Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991
This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular shasticcontrol, queuing networks, the mathematical theory of shastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.
1117070823
Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991
This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular shasticcontrol, queuing networks, the mathematical theory of shastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.
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Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991

Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991

Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991

Applied Stochastic Analysis: Proceedings of a US-French Workshop, Rutgers University, New Brunswick, N.J., April 29 - May 2, 1991

Overview

This volume contains papers presented during a four-day Workshop that took place at Rutgers University from 29 April to 2 May, 1991. The purpose of this workshop was to promote interaction among specialists in these areas byproviding for all an up-to-date picture of current issues and outstanding problems. The topics covered include singular shasticcontrol, queuing networks, the mathematical theory of shastic optimization and filtering, adaptive control and the estimation for random fields and its connections with simulated annealing, statistical mechanics, and combinatorial optimization.

Product Details

ISBN-13: 9783540552963
Publisher: Springer Berlin Heidelberg
Publication date: 06/18/1992
Series: Lecture Notes in Control and Information Sciences , #177
Pages: 315
Product dimensions: 6.69(w) x 9.61(h) x 0.03(d)

Table of Contents

Estimates of cycle times in shastic petri nets.- On Bellman equations of ergodic control in R n .- Some results on the filtering Riccati equation with random parameters.- Multi-dimensional finite-fuel singular shastic control.- Numerical methods in ergodic optimal shastic control and application.- Exponential triangular cooling schedules for simulated annealing algorithms : A case study.- A numerical method for a calculus of variations problem with discontinuous integrand.- Piecewise monotone filtering with small observation noise: Numerical simulations.- Particle approximation for first order shastic partial differential equations.- An infinite-dimensional LP solution to control of a continuous, monotone process.- An optimal control depending on the conditional density of the unobserved state.- Partially observed control of Markov processes.- Numerical approximation for nonlinear filtering and finite-time observers.- A numerical method for shastic singular control problems with nonadditive controls.- Averaging for martingale problems and shastic approximation.- A nonlinear filter with two time scales.- Bounds for the price of options.- Brownian and diffusion decision processes.- Kantorovich's functionals in space of measures.- Partially parallel simulated annealing: Low and high temperature approach of the invariante measure.- Martingale representation for a class of processes with independent increments and its applications.
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