Optimal Control: Basics and Beyond / Edition 1

Optimal Control: Basics and Beyond / Edition 1

by Peter Whittle, Whittle
     
 

Optimal Control Basics and Beyond Peter Whittle Statistical Laboratory, University of Cambridge, UK ‘Control theory’ is now understood not merely in the narrow sense of the control of mechanisms but in the wider sense of the control of any dynamic system (e.g. communication, distribution, production, financial, economic), in general stochastic and

See more details below

Overview

Optimal Control Basics and Beyond Peter Whittle Statistical Laboratory, University of Cambridge, UK ‘Control theory’ is now understood not merely in the narrow sense of the control of mechanisms but in the wider sense of the control of any dynamic system (e.g. communication, distribution, production, financial, economic), in general stochastic and imperfectly observed. The author takes this wider view and so covers general techniques of optimisation (e.g. dynamic programming and the maximum principle) as well as topics more classically associated with narrow-sense control theory (e.g. stability, feedback, controllability). There is now a great deal of standard material in this area, and it is to this which the ‘basics’ component of the book provides an introduction. However, while the material may be standard, the treatment of the section is shaped considerably by consciousness of the ‘beyond’ component into which it leads. This subsequent section covers risk-sensitive and H- criteria, time-integral methods, optimal stationary policies, near-determinism and large deviation theory. Covering both standard material and recent results, this book will prove to be essential reading for students and researchers with an interest in control theory. Contents Preface Basics Part 1 Deterministic Models Part 2 Stochastic Models Beyond Part 3 Risk-sensitive and H- Criteria Part 4 Time-integral Methods and Optimal Stationary Policies Part 5 Non-determinism and Large Deviation Theory Appendices References Index By the same author Optimization Over Time, Volume 2: Dynamic Programming and Stochastic Control Wiley 1983, ISBN 0 471 10496 5 Risk-Sensitive Optimal Control Wiley 1990, ISBN 0 471 92622 1 Of related interest Probability, Statistics and Optimization: A Tribute to Peter Whittle F.P. Kelly (Editor), Statistical Laboratory, University of Cambridge, UK Wiley 1994, ISBN 0 471 94829 2

Read More

Product Details

ISBN-13:
9780471956792
Publisher:
Wiley
Publication date:
04/19/1996
Series:
Wiley Interscience Series in Systems and Optimization Series, #7
Pages:
474
Product dimensions:
6.32(w) x 9.41(h) x 1.35(d)

Table of Contents

Preface
1First ideas1
2Deterministic models and their optimisation11
3A sketch of infinite-horizon behaviour; policy improvement47
4The classic formulation of the control problem; operators and filters63
5State-structured deterministic models91
6Stationary rules and direct optimisation for the LQ model111
7The Pontryagin maximum principle131
8Stochastic dynamic programming169
9Stochastic dynamics in continuous time179
10Some stochastic examples189
11Policy improvement: stochastic versions and examples215
12The LQG model with imperfect observation229
13Stationary processes; spectral theory255
14Optimal allocation; the multi-armed bandit269
15Imperfect state observation285
16Risk-sensitivity: the LEQG model295
17The [actual symbol not reproducible] formulation321
18The time-integral formalism335
19Optimal stationary LQG policies: perfect observation349
20Optimal Stationary LQG policies: imperfect observation357
21The risk-sensitive (LEQG) version371
22The essentials of large deviation theory383
23Control optimisation in the large deviation limit405
24Controlled first passage415
25Imperfect observation; non-linear filtering431
App. A1 Notation and conventions443
App. A2 The structural basis of temporal optimisation449
App. A3 Moment generating functions; basic properties455
References457
Index461

Read More

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >