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Image of - Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions | Paperback
Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions | Paperback

Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions | Paperback

by Sun J.

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues “ the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Highlights

  • binding-icon

    9783030209216

    ISBN:

  • binding-icon

    Sun J.

    Author:

  • binding-icon

    120

    Pages:

  • binding-icon

    210 gm

    Weight:

  • langauage-icon

    English

    Language:

  • date-icon

    2020

    Year:

  • edition-icon

    1st Edition

    Edition:

  • binding-icon

    Paperback

    Binding:

₹5254

₹6567

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues “ the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

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