Description: Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions by Jingrui Sun, Jiongmin Yong This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Back Cover 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. Author Biography Jingrui Sun received his PhD in Mathematics from the University of Science and Technology of China in 2015. From 2015 to 2017, he was a Postdoctoral Fellow at the Hong Kong Polytechnic University and then a Research Fellow at the National University of Singapore. From 2017 to 2018, he was a Visiting Assistant Professor at the University of Central Florida, USA. Since the spring of 2019, he has been an Assistant Professor at the Southern University of Science and Technology, China. Dr. Sun has broad interests in the area of control theory and its applications. Aside from his primary research on stochastic optimal control and differential games, he is exploring forward and backward stochastic differential equations, stochastic analysis, and mathematical finance. Jiongmin Yong received his PhD from Purdue University in 1986 and is currently a Professor of Mathematics at the University of Central Florida, USA. His main research interests include stochastic control, stochastic differential equations, and optimal control of partial differential equations. Professor Yong has co-authored the following influential books: "Stochastic Control: Hamiltonian Systems and HJB Equations" (with X. Y. Zhou, Springer 1999), "Forward-Backward Stochastic Differential Equations and Their Applications" (with J. Ma, Springer 1999), and "Optimal Control Theory for Infinite-Dimensional Systems" (with X. Li, Birkhauser 1995). His current interests include time-inconsistent stochastic control problems. Table of Contents 1 introduction.- 2 Linear-Quadratic Optimal Controls in Finite Horizons.- 3 Linear-Quadratic Optimal Controls in Infinite Horizons.- 4 Linear Algebra and BSDEs. Review "This book offers results on the optimal control of a solution to the linear stochastic differential equation with a quadratic cost functional. ... This book is characterized by clear statements of problems, definitions, propositions, and theorems. It contains examples and counterexamples that support the theoretical results." (Konstantin Rybakov, Mathematical Reviews, May, 2024) Feature Provides a detailed overview of stochastic control theory Largely self-contained, allowing readers to pursue independent study Includes several explicitly worked-out examples, helping readers to easily understand the theory discussed Details ISBN3030209210 Author Jiongmin Yong ISBN-10 3030209210 ISBN-13 9783030209216 Language English Format Paperback DOI 10.1007/978-3-030-20922-3 Pages 120 Edition 1st Imprint Springer Nature Switzerland AG Place of Publication Cham Country of Publication Switzerland Illustrations 1 Illustrations, color; 2 Illustrations, black and white; XIV, 120 p. 3 illus., 1 illus. in color. Year 2020 Publication Date 2020-06-30 UK Release Date 2020-06-30 Publisher Springer Nature Switzerland AG Edition Description 1st ed. 2020 Series SpringerBriefs in Mathematics DEWEY 515.64 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. 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ISBN-13: 9783030209216
Book Title: Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and
Number of Pages: 120 Pages
Language: English
Publication Name: Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
Publisher: Springer Nature Switzerland Ag
Publication Year: 2020
Subject: Computer Science, Mathematics
Item Height: 235 mm
Item Weight: 221 g
Type: Textbook
Author: Jingrui Sun, Jiongmin Yong
Item Width: 155 mm
Format: Paperback
