Stochastic Control Partially Observ - Brossura

Bensoussan, Alain

Brossura

ISBN 10: 0521611970 ISBN 13: 9780521611978

Casa editrice: Cambridge University Press, 2008

Riassunto

These systems play an important role in many applications.

Su questo libro

Descrizione del libro

The problem of stochastic control of partially observable systems plays an important role in many applications. All real problems are in fact of this type, and deterministic control as well as stochastic control with full observation can only be approximations to the real world.

Contenuti

Preface; 1. Linear filtering theory; 2. Optimal stochastic control for linear dynamic systems with quadratic payoff; 3. Optimal control of linear stochastic systems with an exponential-of-integral performance index; 4. Non linear filtering theory; 5. Perturbation methods in non linear filtering; 6. Some explicit solutions of the Zakai equation; 7. Some explicit controls for systems with partial observation; 8. Stochastic maximum principle and dynamic programming for systems with partial observation; 9. Existence results for stochastic control problems with partial information; References; Index.

Dettagli dell'edizione

• Editore: Cambridge University Press
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 0521611970
• ISBN 13: 9780521611978
• Rilegatura: Copertina flessibile
• Numero di pagine: 364
• Contatto del produttore: non disponibile
• Persona responsabile: GPSR Kontakt; gpsr@libri.de; ; Europaallee 1; Bad Hersfeld; 36244; Germania