Optimal control for stochastic and adaptive processes

  • 33 Pages
  • 2.81 MB
  • 8612 Downloads
  • English
by
TEMPO, General Electric Co. , Santa Barbara, Calif
Automatic con
Other titlesOptimum system synthesis.
Statementby E.L. Peterson.
Classifications
LC ClassificationsTJ213 .P427
The Physical Object
Paginationv, 33 p. :
ID Numbers
Open LibraryOL5967154M
LC Control Number65066253
OCLC/WorldCa17504466

Two types of optimal control problems—the discounted problem and the biased problem—are investigated. Reinforcement learning and adaptive dynamic programming techniques are employed to design stochastic adaptive optimal controllers through online successive approximations of Author: T.

Bian, Zhong-Ping Jiang. Investigations in discrete-time, discrete-state, optimal stochastic control, using both theoretical analysis and computer simulation, are reported.

The state and action spaces are both finite sets of integers.

Description Optimal control for stochastic and adaptive processes EPUB

The equation which governs the evolution of a Markov chain on the state space, at. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes.

Our treatment follows the dynamic pro­ gramming method, and depends on the intimate relationship between second­ order partial differential equations of parabolic type and stochastic differential equations. The book introduces stochastic optimal control concepts for application to actual problems with sufficient theoretical background to justify their use, but not enough to get bogged down in the math.

The book gives the reader with little background in control theory the tools to design practical control systems and the confidence to tackle more /5(19). The first three chapters provide motivation and background material on stochastic processes, followed by an analysis of dynamical systems with inputs of stochastic processes.

A simple version of the problem of optimal control of stochastic systems is discussed, along Cited by: Optimal Control of Stochastic Difference Volterra Equations commences with an historical introduction to the emergence of this type of equation with some additional mathematical preliminaries.

It then deals with the necessary conditions for optimality in the control of the equations and constructs a. An optimal indirect stochastic adaptive control is obtained explicitly for linear time-varying discrete-time systems with general delay and white noise perturbation, while minimizing the variance.

This algorithm is called the optimal adaptive control of uncertain stochastic discrete linear systems. In this section the alg orithm is described. In the following subsection the asym ptotic. Networked control systems are increasingly ubiquitous today, with applications ranging from vehicle communication and adaptive power grids to space exploration and economics.

The optimal design of such systems presents major challenges, requiring tools from various disciplines within applied mathematics such as decentralized control, stochastic control, information theory, and quantization. The first part of this book presents the essential topics for an introduction to deterministic optimal control theory.

The second part introduces stochastic optimal control for Markov diffusion processes. It also inlcudes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

() Stochastic adaptive one-step-ahead optimal controllers based on input matching. IEEE Transactions on Automatic ControlM. Prandini and M. by: Stochastic Processes, Estimation, and Control: The Entropy Approach is the first book to apply the thermodynamic principle of entropy to the measurement and analysis of uncertainty in systems.

Its new reformulation takes an important first step toward a unified approach to the theory of intelligent machines, where artificial intelligence and. This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i.

e., stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4).

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The chapters include treatments of optimal stopping problems. This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems.

edition. Stochastic Dynamical Systems and Decision Processes -- 2. Discrete-time Stochastic Control and Decision Problems -- 3. Optimal Linear Discrete-time State Estimation -- 4.

Discrete-time Stochastic Control With Partial Information -- 5. Dynamic System Identification and Adaptive Filtering -- 6. Stochastic Control Under Parameter Uncertainty -- 7.

Stochastic Hybrid Systems,edited by Christos G. Cassandras and John Lygeros Wireless Ad Hoc and Sensor Networks: Protocols, Performance, and Control,Jagannathan Sarangapani Optimal and Robust Estimation: With an Introduction to Stochastic Control Theory, Second Edition,Frank L.

Lewis, Lihua Xie, and Dan PopaCited by: Some results in discrete-time stochastic adaptive control are surveyed. The survey divides itself into two parts—Bayesian and non-Bayesian adaptive control. In the former area, the problems of converting an incompletely observed system into a completely observed one, multi-armed bandit processes, Bayesian adaptive control of Markov chains and Bayesian adaptive control of linear systems are Cited by:   Control systems, Stochastic control, Optimal Control, State space Collection folkscanomy; additional_collections Language English.

Stochastic Optimal Control: Theory and Application. Robert F. Stengel. Addeddate Identifier StochasticOptimalControl Identifier-ark ark://t58d57b21 Ocr. Adaptive Filtering Parameter-Adaptive Filtering Noise-Adaptive Filtering Multiple-Model Estimation Problems References 5.

STOCHASTIC OPTIMAL CONTROL Nonlinear Systems with Random Inputs and Perfect Measurements Stochastic Principle of Optimality for Nonlinear Systems Stochastic Principle of Optimality for Linear-Quadratic ProblemsBrand: Dover Publications. This research monograph, first published in by Academic Press, remains the authoritative and comprehensive treatment of the mathematical foundations of stochastic optimal control of discrete-time systems, including the treatment of the intricate measure-theoretic issues.

This book treats stochastic control theory and its applications in management. The main numerical techniques necessary for such applications are presented. Several advanced topics leading to optimal processes are dismissed.

Adaptive Control Processes: Optimal Policy for Some Non-stationary Stochastic Control Processes, Optimal Policy for an. Book Description. Adaptive Stochastic Optimization Techniques with Applications provides a single, convenient source for state-of-the-art information on optimization techniques used to solve problems with adaptive, dynamic, and stochastic features.

Presenting modern advances in static and dynamic optimization, decision analysis, intelligent systems, evolutionary programming, heuristic. EEL Stochastic Control Spring Control of systems subject to noise and uncertainty Prof.

Sean Meyn, [email protected] MAE-ATuesThur The rst goal is to learn how to formulate models for the purposes of control, in ap.

Optimal Coding and Control for Linear Gaussian Systems over Gaussian Channels under Quadratic Cost.- Agreement in Teams and the Dynamic Programming Approach under Information Constraints.- A Topological Notions and Optimization.- B Probability Theory and Stochastic Processes.- C Markov Chains, Martingales and Ergodic Processes adaptive control problem for a scalar linear stochastic control system perturbed by a fractional Brownian motion [ 3 ] with the Hurst parameter H in (1/2, 1) is solved.

A necessary ingredient of a self-optimizing adaptive control is the corresponding optimal control for the known system. It seems that the optimal control problem has only been File Size: KB. This book, Continuous Time Dynamical Systems: State Estimation and Optimal Control with Orthogonal Functions, considers different classes of systems with quadratic performance criteria.

It then attempts to find the optimal control law for each class of systems using orthogonal functions that can optimize the given performance criteria. Stochastic Optimal Control – part 2 discrete time, Markov Decision Processes, Reinforcement Learning Marc Toussaint Machine Learning & Robotics Group – TU Berlin [email protected] adaptive optimal control algorithm •Great impact on the field of Reinforcement LearningFile Size: KB.

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Dynamic management decision and stochastic control processes. [Toshio Odanaka] -- This book treats stochastic control theory and its applications in management.

The main numerical techniques necessary for such applications are. This book was originally published by Academic Press inand republished by Athena Scientific in in paperback form.

It can be purchased from Athena Scientific or it can be freely downloaded in scanned form ( pages, about 20 Megs). The book is a comprehensive and theoretically sound treatment of the mathematical foundations of stochastic optimal control of discrete-time systems.

Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly s of the modern probability and random processes theories and the.

Markov Decision Processes With Their Applications examines MDPs and their applications in the optimal control of discrete event systems (DESs), optimal replacement, and optimal allocations in sequential online auctions. The book presents four main topics that are used to study optimal control problems.The forth chapter introduces stochastic optimal control by using a workhorse model in terms of a stochastic optimal growth problem.

We introduce the relevant theorems connected with the Hamilton-Jacobi-Bellman equation, and we, in particular, solve a fair .By Huyen Pham, Continuous-time Stochastic Control and Optimization with Financial Applications. You can also get started with some lecture notes by the same author.

This treatment is in much less depth: Page on This is the only bo.