Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems (Paperback, 1st ed. 2020)

This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming. The book begins with an introduction to relative optimization, including a comparison with the traditional approach of dynamic programming. The text then studies the Markov process, focusing on infinite-horizon optimization problems, and moves on to discuss optimal control of diffusion processes with semi-smooth value functions and degenerate points, and optimization of multi-dimensional diffusion processes. The book concludes with a brief overview of performance derivative-based optimization. Among the more important novel considerations presented are: the extension of the Hamilton-Jacobi-Bellman optimality condition from smooth to semi-smooth value functions by derivation of explicit optimality conditions at semi-smooth points and application of this result to degenerate and reflected processes; proof of semi-smoothness of the value function at degenerate points; attention to the under-selectivity issue for the long-run average and bias optimality; discussion of state classification for time nonhomogeneous continuous processes and multi-class optimization; and development of the multi-dimensional Tanaka formula for semi-smooth functions and application of this formula to stochastic control of multi-dimensional systems with degenerate points. The book will be of interest to researchers and students in the field of stochastic control and performance optimization alike.

General

Imprint:	Springer Nature Switzerland AG
Country of origin:	Switzerland
Series:	Communications and Control Engineering
Release date:	May 2021
First published:	2020
Authors:	Xi-Ren Cao
Dimensions:	235 x 155mm (L x W)
Format:	Paperback
Pages:	365
Edition:	1st ed. 2020
ISBN-13:	978-3-03-041848-9
Categories:	Books > Science & Mathematics > Mathematics > Calculus & mathematical analysis > Calculus of variations Books > Science & Mathematics > Mathematics > Optimization > General Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Books > Professional & Technical > Electronics & communications engineering > Electronics engineering > Automatic control engineering > General
LSN:	3-03-041848-0
Barcode:	9783030418489

Is the information for this product incomplete, wrong or inappropriate? Let us know about it.

Does this product have an incorrect or missing image? Send us a new image.

Is this product missing categories? Add more categories.

Review This Product

No reviews yet - be the first to create one!