國立虎尾科技大學 |

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions/ by Jingrui Sun, Jiongmin Yong.
Author:	Sun, Jingrui.
other author:	Yong, Jiongmin.
Description:	XIV, 120 p. 3 illus., 1 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Calculus of variations. -
Online resource:	https://doi.org/10.1007/978-3-030-20922-3
ISBN:	9783030209223

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
Sun, Jingrui.

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions[electronic resource] /by Jingrui Sun, Jiongmin Yong. - 1st ed. 2020. - XIV, 120 p. 3 illus., 1 illus. in color.online resource. - SpringerBriefs in Mathematics,2191-8198. - SpringerBriefs in Mathematics,.

1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs.

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.

ISBN: 9783030209223

Standard No.: 10.1007/978-3-030-20922-3doiSubjects--Topical Terms:

527927
Calculus of variations.

LC Class. No.: QA315-316

Dewey Class. No.: 515.64

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
LDR:02654nam a22004215i 4500 001 1024170
003 DE-He213
005 20200705103951.0
007 cr nn 008mamaa
008 210318s2020 gw | s |||| 0|eng d
020 $a 9783030209223 $9 978-3-030-20922-3
024 7 $a 10.1007/978-3-030-20922-3 $2 doi
035 $a 978-3-030-20922-3
050 4 $a QA315-316
050 4 $a QA402.3
072 7 $a PBKQ $2 bicssc
072 7 $a MAT005000 $2 bisacsh
072 7 $a PBKQ $2 thema
072 7 $a PBU $2 thema
082 0 4 $a 515.64 $2 23
100 1 $a Sun, Jingrui. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1320241
245 1 0 $a Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions $h [electronic resource] / $c by Jingrui Sun, Jiongmin Yong.
250 $a 1st ed. 2020.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2020.
300 $a XIV, 120 p. 3 illus., 1 illus. in color. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a SpringerBriefs in Mathematics, $x 2191-8198
505 0 $a 1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs.
520 $a 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.
650 0 $a Calculus of variations. $3 527927
650 0 $a Probabilities. $3 527847
650 0 $a System theory. $3 566168
650 0 $a Game theory. $3 556918
650 1 4 $a Calculus of Variations and Optimal Control; Optimization. $3 593942
650 2 4 $a Probability Theory and Stochastic Processes. $3 593945
650 2 4 $a Systems Theory, Control. $3 669337
650 2 4 $a Game Theory, Economics, Social and Behav. Sciences. $3 669497
700 1 $a Yong, Jiongmin. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1320242
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783030209216
776 0 8 $i Printed edition: $z 9783030209230
830 0 $a SpringerBriefs in Mathematics, $x 2191-8198 $3 1255329
856 4 0 $u https://doi.org/10.1007/978-3-030-20922-3
912 $a ZDB-2-SMA
912 $a ZDB-2-SXMS
950 $a Mathematics and Statistics (SpringerNature-11649)
950 $a Mathematics and Statistics (R0) (SpringerNature-43713)