Features and topics include:
* Surveys properties of the most important shastic dynamical models, including singular control, and those for diffusion and reflected diffusion models.
* Gives approximations to the dynamical models that simplify the numerical problem, but have only small effects on the behavior.
* Develops an ergodic theory for reflected diffusions with delays, as well as model simplifications useful for numerical approximations for average cost per unit time problems.
* Provides numerical algorithms for models with delays in the path, or path and control, with reduced memory requirements.
* Develops transformations of the problem that yield more efficient approximations when the control, driving Wiener process, and/or reflection processes might be delayed, as well as the path.
* Presents examples with applications to control and modern communications systems.
The book is the first on the subject and will be of interest to all those who work with shastic delay equations and whose main interest is in either the use of the algorithms or the underlying mathematics. An excellent resource for graduate students, researchers, and practitioners, the work may be used as a graduate-level textbook for a special topics course or seminar on numerical methods in shastic control.
Features and topics include:
* Surveys properties of the most important shastic dynamical models, including singular control, and those for diffusion and reflected diffusion models.
* Gives approximations to the dynamical models that simplify the numerical problem, but have only small effects on the behavior.
* Develops an ergodic theory for reflected diffusions with delays, as well as model simplifications useful for numerical approximations for average cost per unit time problems.
* Provides numerical algorithms for models with delays in the path, or path and control, with reduced memory requirements.
* Develops transformations of the problem that yield more efficient approximations when the control, driving Wiener process, and/or reflection processes might be delayed, as well as the path.
* Presents examples with applications to control and modern communications systems.
The book is the first on the subject and will be of interest to all those who work with shastic delay equations and whose main interest is in either the use of the algorithms or the underlying mathematics. An excellent resource for graduate students, researchers, and practitioners, the work may be used as a graduate-level textbook for a special topics course or seminar on numerical methods in shastic control.
Numerical Methods for Controlled Stochastic Delay Systems
282
Numerical Methods for Controlled Stochastic Delay Systems
282Hardcover(2008)
Product Details
| ISBN-13: | 9780817645342 |
|---|---|
| Publisher: | Birkhäuser Boston |
| Publication date: | 08/25/2008 |
| Series: | Systems & Control: Foundations & Applications |
| Edition description: | 2008 |
| Pages: | 282 |
| Product dimensions: | 6.30(w) x 9.30(h) x 0.80(d) |