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

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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 majoringin 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.

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 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 Country of Origin NL Product Class Description Mathematics Alternative 9783030209223 Illustrations 1 Illustrations, color; 2 Illustrations, black and white
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