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Stochastic linear-quadratic optimal ...

Sun, Jingrui.

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Stochastic linear-quadratic optimal control theory = open-loop and closed-loop solutions /

Record Type:	Electronic resources : Monograph/item
Title/Author:	Stochastic linear-quadratic optimal control theory/ by Jingrui Sun, Jiongmin Yong.
Reminder of title:	open-loop and closed-loop solutions /
Author:	Sun, Jingrui.
other author:	Yong, Jiongmin.
Published:	Cham :Springer International Publishing : : 2020.,
Description:	xiv, 120 p. :ill., digital ;24 cm.
[NT 15003449]:	1 introduction -- 2 Linear-Quadratic Optimal Controls in Finite Horizons -- 3 Linear-Quadratic Optimal Controls in Infinite Horizons -- 4 Linear Algebra and BSDEs.
Contained By:	Springer Nature eBook
Subject:	Mathematical optimization. -
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 theoryopen-loop and closed-loop solutions /[electronic resource] :by Jingrui Sun, Jiongmin Yong. - Cham :Springer International Publishing :2020. - xiv, 120 p. :ill., digital ;24 cm. - 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:

517763
Mathematical optimization.

LC Class. No.: QC20.7.M27 / S85 2020

Dewey Class. No.: 519.6

Stochastic linear-quadratic optimal control theory = open-loop and closed-loop solutions /
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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.
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