Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability (1))

Synopsis

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--publisher Description. The Simplest Problem In Calculus Of Variations -- The Optimal Control Problem -- Existence And Continuity Properties Of Optimal Controls -- Dynamic Programming -- Stochastic Differential Equations And Markov Diffusion Processes -- Optimal Control Of Markov Diffusion Processes. Wendell H. Fleming, Raymond W. Rishel. Includes Index. Bibliography: P. [213]-220.