Download or read book Linear programming over an infinite horizon written by J.J.M. Evers and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Constrained Markov Decision Processes written by Eitan Altman and published by Routledge. This book was released on 2021-12-17 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a unified approach for the study of constrained Markov decision processes with a finite state space and unbounded costs. Unlike the single controller case considered in many other books, the author considers a single controller with several objectives, such as minimizing delays and loss, probabilities, and maximization of throughputs. It is desirable to design a controller that minimizes one cost objective, subject to inequality constraints on other cost objectives. This framework describes dynamic decision problems arising frequently in many engineering fields. A thorough overview of these applications is presented in the introduction. The book is then divided into three sections that build upon each other.

Download or read book Infinite Horizon Convex Programs written by Kung-Cheng Huang and published by . This book was released on 1983 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Infinite Horizon Optimal Control written by Dean A. Carlson and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph deals with various classes of deterministic continuous time optimal control problems wh ich are defined over unbounded time intervala. For these problems, the performance criterion is described by an improper integral and it is possible that, when evaluated at a given admissible element, this criterion is unbounded. To cope with this divergence new optimality concepts; referred to here as "overtaking", "weakly overtaking", "agreeable plans", etc. ; have been proposed. The motivation for studying these problems arisee primarily from the economic and biological aciences where models of this nature arise quite naturally since no natural bound can be placed on the time horizon when one considers the evolution of the state of a given economy or species. The reeponsibility for the introduction of this interesting class of problems rests with the economiste who first studied them in the modeling of capital accumulation processes. Perhaps the earliest of these was F. Ramsey who, in his seminal work on a theory of saving in 1928, considered a dynamic optimization model defined on an infinite time horizon. Briefly, this problem can be described as a "Lagrange problem with unbounded time interval". The advent of modern control theory, particularly the formulation of the famoue Maximum Principle of Pontryagin, has had a considerable impact on the treatment of these models as well as optimization theory in general.

Download or read book Markov Decision Processes with Applications to Finance written by Nicole Bäuerle and published by Springer Science & Business Media. This book was released on 2011-06-06 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).

Download or read book Encyclopedia of Optimization written by Christodoulos A. Floudas and published by Springer Science & Business Media. This book was released on 2008-09-04 with total page 4646 pages. Available in PDF, EPUB and Kindle. Book excerpt: The goal of the Encyclopedia of Optimization is to introduce the reader to a complete set of topics that show the spectrum of research, the richness of ideas, and the breadth of applications that has come from this field. The second edition builds on the success of the former edition with more than 150 completely new entries, designed to ensure that the reference addresses recent areas where optimization theories and techniques have advanced. Particularly heavy attention resulted in health science and transportation, with entries such as "Algorithms for Genomics", "Optimization and Radiotherapy Treatment Design", and "Crew Scheduling".

Download or read book Convex Analysis and Mathematical Economics written by J. Kriens and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 146 pages. Available in PDF, EPUB and Kindle. Book excerpt: On February 20, 1978, the Department of Econometrics of the University of Tilburg organized a symposium on Convex Analysis and Mathematical th Economics to commemorate the 50 anniversary of the University. The general theme of the anniversary celebration was "innovation" and since an important part of the departments' theoretical work is con centrated on mathematical economics, the above mentioned theme was chosen. The scientific part of the Symposium consisted of four lectures, three of them are included in an adapted form in this volume, the fourth lec ture was a mathematical one with the title "On the development of the application of convexity". The three papers included concern recent developments in the relations between convex analysis and mathematical economics. Dr. P.H.M. Ruys and Dr. H.N. Weddepohl (University of Tilburg) study in their paper "Economic theory and duality", the relations between optimality and equilibrium concepts in economic theory and various duality concepts in convex analysis. The models are introduced with an individual facing a decision in an optimization problem. Next, an n person decision problem is analyzed, and the following concepts are defined: optimum, relative optimum, Nash-equilibrium, and Pareto-optimum.

Download or read book Constrained Optimal Control of Linear and Hybrid Systems written by Francesco Borrelli and published by Springer. This book was released on 2003-09-04 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many practical control problems are dominated by characteristics such as state, input and operational constraints, alternations between different operating regimes, and the interaction of continuous-time and discrete event systems. At present no methodology is available to design controllers in a systematic manner for such systems. This book introduces a new design theory for controllers for such constrained and switching dynamical systems and leads to algorithms that systematically solve control synthesis problems. The first part is a self-contained introduction to multiparametric programming, which is the main technique used to study and compute state feedback optimal control laws. The book's main objective is to derive properties of the state feedback solution, as well as to obtain algorithms to compute it efficiently. The focus is on constrained linear systems and constrained linear hybrid systems. The applicability of the theory is demonstrated through two experimental case studies: a mechanical laboratory process and a traction control system developed jointly with the Ford Motor Company in Michigan.

Download or read book Tools and Algorithms for the Construction and Analysis of Systems written by Sriram Sankaranarayanan and published by Springer Nature. This book was released on 2023-04-21 with total page 718 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book constitutes the proceedings of the 29th International Conference on Tools and Algorithms for the Construction and Analysis of Systems, TACAS 2023, which was held as part of the European Joint Conferences on Theory and Practice of Software, ETAPS 2023, during April 22-27, 2023, in Paris, France. The 56 full papers and 6 short tool demonstration papers presented in this volume were carefully reviewed and selected from 169 submissions. The proceedings also contain 1 invited talk in full paper length, 13 tool papers of the affiliated competition SV-Comp and 1 paper consisting of the competition report. TACAS is a forum for researchers, developers, and users interested in rigorously based tools and algorithms for the construction and analysis of systems. The conference aims to bridge the gaps between different communities with this common interest and to support them in their quest to improve the utility, reliability, flexibility, and efficiency of tools and algorithms for building computer-controlled systems.

Download or read book duality in infinite dimensional linear programming written by and published by . This book was released on 1990 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Goal Programming Techniques for Bank Asset Liability Management written by Kyriaki Kosmidou and published by Springer Science & Business Media. This book was released on 2006-04-18 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Other publications that exist on this topic, are mainly focused on the general aspects and methodologies of the field and do not refer extensively to bank ALM. On the other hand the existing books on goal programming techniques do not involve the ALM problem and more specifically the bank ALM one. Therefore, there is a lack in the existing literature of a comprehensive text book that combines both the concepts of bank ALM and goal programming techniques and illustrates the contribution of goal programming techniques to bank ALM. This is the major contributing feature of this book and its distinguishing characteristic as opposed to the existing literature. This volume would be suitable for academics and practitioners in operations research, management scientists, financial managers, bank managers, economists and risk analysts. The book can also be used as a textbook for graduate courses of asset liability management, financial risk management and banking risks.

Download or read book Approximate Dynamic Programming written by Warren B. Powell and published by John Wiley & Sons. This book was released on 2011-10-26 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for the First Edition "Finally, a book devoted to dynamic programming and written using the language of operations research (OR)! This beautiful book fills a gap in the libraries of OR specialists and practitioners." —Computing Reviews This new edition showcases a focus on modeling and computation for complex classes of approximate dynamic programming problems Understanding approximate dynamic programming (ADP) is vital in order to develop practical and high-quality solutions to complex industrial problems, particularly when those problems involve making decisions in the presence of uncertainty. Approximate Dynamic Programming, Second Edition uniquely integrates four distinct disciplines—Markov decision processes, mathematical programming, simulation, and statistics—to demonstrate how to successfully approach, model, and solve a wide range of real-life problems using ADP. The book continues to bridge the gap between computer science, simulation, and operations research and now adopts the notation and vocabulary of reinforcement learning as well as stochastic search and simulation optimization. The author outlines the essential algorithms that serve as a starting point in the design of practical solutions for real problems. The three curses of dimensionality that impact complex problems are introduced and detailed coverage of implementation challenges is provided. The Second Edition also features: A new chapter describing four fundamental classes of policies for working with diverse stochastic optimization problems: myopic policies, look-ahead policies, policy function approximations, and policies based on value function approximations A new chapter on policy search that brings together stochastic search and simulation optimization concepts and introduces a new class of optimal learning strategies Updated coverage of the exploration exploitation problem in ADP, now including a recently developed method for doing active learning in the presence of a physical state, using the concept of the knowledge gradient A new sequence of chapters describing statistical methods for approximating value functions, estimating the value of a fixed policy, and value function approximation while searching for optimal policies The presented coverage of ADP emphasizes models and algorithms, focusing on related applications and computation while also discussing the theoretical side of the topic that explores proofs of convergence and rate of convergence. A related website features an ongoing discussion of the evolving fields of approximation dynamic programming and reinforcement learning, along with additional readings, software, and datasets. Requiring only a basic understanding of statistics and probability, Approximate Dynamic Programming, Second Edition is an excellent book for industrial engineering and operations research courses at the upper-undergraduate and graduate levels. It also serves as a valuable reference for researchers and professionals who utilize dynamic programming, stochastic programming, and control theory to solve problems in their everyday work.

Download or read book Scientific and Technical Aerospace Reports written by and published by . This book was released on 1981 with total page 1370 pages. Available in PDF, EPUB and Kindle. Book excerpt: Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

Download or read book Markov Chains Models Algorithms and Applications written by Wai-Ki Ching and published by Springer Science & Business Media. This book was released on 2006-06-05 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov chains are a particularly powerful and widely used tool for analyzing a variety of stochastic (probabilistic) systems over time. This monograph will present a series of Markov models, starting from the basic models and then building up to higher-order models. Included in the higher-order discussions are multivariate models, higher-order multivariate models, and higher-order hidden models. In each case, the focus is on the important kinds of applications that can be made with the class of models being considered in the current chapter. Special attention is given to numerical algorithms that can efficiently solve the models. Therefore, Markov Chains: Models, Algorithms and Applications outlines recent developments of Markov chain models for modeling queueing sequences, Internet, re-manufacturing systems, reverse logistics, inventory systems, bio-informatics, DNA sequences, genetic networks, data mining, and many other practical systems.

Download or read book Duality Theory and Finite Horizon Approximations for Discrete Time Infinite Horizon Convex Programs written by Alexander Nicolaos Svoronos and published by . This book was released on 1985 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reinforcement Learning and Optimal Control written by Dimitri Bertsekas and published by Athena Scientific. This book was released on 2019-07-01 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book considers large and challenging multistage decision problems, which can be solved in principle by dynamic programming (DP), but their exact solution is computationally intractable. We discuss solution methods that rely on approximations to produce suboptimal policies with adequate performance. These methods are collectively known by several essentially equivalent names: reinforcement learning, approximate dynamic programming, neuro-dynamic programming. They have been at the forefront of research for the last 25 years, and they underlie, among others, the recent impressive successes of self-learning in the context of games such as chess and Go. Our subject has benefited greatly from the interplay of ideas from optimal control and from artificial intelligence, as it relates to reinforcement learning and simulation-based neural network methods. One of the aims of the book is to explore the common boundary between these two fields and to form a bridge that is accessible by workers with background in either field. Another aim is to organize coherently the broad mosaic of methods that have proved successful in practice while having a solid theoretical and/or logical foundation. This may help researchers and practitioners to find their way through the maze of competing ideas that constitute the current state of the art. This book relates to several of our other books: Neuro-Dynamic Programming (Athena Scientific, 1996), Dynamic Programming and Optimal Control (4th edition, Athena Scientific, 2017), Abstract Dynamic Programming (2nd edition, Athena Scientific, 2018), and Nonlinear Programming (Athena Scientific, 2016). However, the mathematical style of this book is somewhat different. While we provide a rigorous, albeit short, mathematical account of the theory of finite and infinite horizon dynamic programming, and some fundamental approximation methods, we rely more on intuitive explanations and less on proof-based insights. Moreover, our mathematical requirements are quite modest: calculus, a minimal use of matrix-vector algebra, and elementary probability (mathematically complicated arguments involving laws of large numbers and stochastic convergence are bypassed in favor of intuitive explanations). The book illustrates the methodology with many examples and illustrations, and uses a gradual expository approach, which proceeds along four directions: (a) From exact DP to approximate DP: We first discuss exact DP algorithms, explain why they may be difficult to implement, and then use them as the basis for approximations. (b) From finite horizon to infinite horizon problems: We first discuss finite horizon exact and approximate DP methodologies, which are intuitive and mathematically simple, and then progress to infinite horizon problems. (c) From deterministic to stochastic models: We often discuss separately deterministic and stochastic problems, since deterministic problems are simpler and offer special advantages for some of our methods. (d) From model-based to model-free implementations: We first discuss model-based implementations, and then we identify schemes that can be appropriately modified to work with a simulator. The book is related and supplemented by the companion research monograph Rollout, Policy Iteration, and Distributed Reinforcement Learning (Athena Scientific, 2020), which focuses more closely on several topics related to rollout, approximate policy iteration, multiagent problems, discrete and Bayesian optimization, and distributed computation, which are either discussed in less detail or not covered at all in the present book. The author's website contains class notes, and a series of videolectures and slides from a 2021 course at ASU, which address a selection of topics from both books.

Download or read book Evolutionary Optimization written by Ruhul Sarker and published by Springer Science & Business Media. This book was released on 2006-04-11 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolutionary computation techniques have attracted increasing att- tions in recent years for solving complex optimization problems. They are more robust than traditional methods based on formal logics or mathematical programming for many real world OR/MS problems. E- lutionary computation techniques can deal with complex optimization problems better than traditional optimization techniques. However, most papers on the application of evolutionary computation techniques to Operations Research /Management Science (OR/MS) problems have scattered around in different journals and conference proceedings. They also tend to focus on a very special and narrow topic. It is the right time that an archival book series publishes a special volume which - cludes critical reviews of the state-of-art of those evolutionary com- tation techniques which have been found particularly useful for OR/MS problems, and a collection of papers which represent the latest devel- ment in tackling various OR/MS problems by evolutionary computation techniques. This special volume of the book series on Evolutionary - timization aims at filling in this gap in the current literature. The special volume consists of invited papers written by leading - searchers in the field. All papers were peer reviewed by at least two recognised reviewers. The book covers the foundation as well as the practical side of evolutionary optimization.