Download or read book Stochastic Systems written by P. R. Kumar and published by SIAM. This book was released on 2015-12-15 with total page 371 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since its origins in the 1940s, the subject of decision making under uncertainty has grown into a diversified area with application in several branches of engineering and in those areas of the social sciences concerned with policy analysis and prescription. These approaches required a computing capacity too expensive for the time, until the ability to collect and process huge quantities of data engendered an explosion of work in the area. This book provides succinct and rigorous treatment of the foundations of stochastic control; a unified approach to filtering, estimation, prediction, and stochastic and adaptive control; and the conceptual framework necessary to understand current trends in stochastic control, data mining, machine learning, and robotics.

Download or read book Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems written by Houmin Yan and published by Springer Science & Business Media. This book was released on 2006-09-10 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

Download or read book Adaptive Control written by Karl J. Åström and published by Courier Corporation. This book was released on 2013-04-26 with total page 596 pages. Available in PDF, EPUB and Kindle. Book excerpt: Suitable for advanced undergraduates and graduate students, this overview introduces theoretical and practical aspects of adaptive control, with emphasis on deterministic and stochastic viewpoints. 1995 edition.

Download or read book Stochastic Analysis Control Optimization and Applications written by William M. McEneaney and published by Springer Science & Business Media. This book was released on 1999 with total page 892 pages. Available in PDF, EPUB and Kindle. Book excerpt: In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.

Download or read book Stochastic Adaptive Search for Global Optimization written by Z.B. Zabinsky and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of global optimization has been developing at a rapid pace. There is a journal devoted to the topic, as well as many publications and notable books discussing various aspects of global optimization. This book is intended to complement these other publications with a focus on stochastic methods for global optimization. Stochastic methods, such as simulated annealing and genetic algo rithms, are gaining in popularity among practitioners and engineers be they are relatively easy to program on a computer and may be cause applied to a broad class of global optimization problems. However, the theoretical performance of these stochastic methods is not well under stood. In this book, an attempt is made to describe the theoretical prop erties of several stochastic adaptive search methods. Such a theoretical understanding may allow us to better predict algorithm performance and ultimately design new and improved algorithms. This book consolidates a collection of papers on the analysis and de velopment of stochastic adaptive search. The first chapter introduces random search algorithms. Chapters 2-5 describe the theoretical anal ysis of a progression of algorithms. A main result is that the expected number of iterations for pure adaptive search is linear in dimension for a class of Lipschitz global optimization problems. Chapter 6 discusses algorithms, based on the Hit-and-Run sampling method, that have been developed to approximate the ideal performance of pure random search. The final chapter discusses several applications in engineering that use stochastic adaptive search methods.

Download or read book Adaptive Control Tutorial written by Petros Ioannou and published by SIAM. This book was released on 2006-01-01 with total page 401 pages. Available in PDF, EPUB and Kindle. Book excerpt: Designed to meet the needs of a wide audience without sacrificing mathematical depth and rigor, Adaptive Control Tutorial presents the design, analysis, and application of a wide variety of algorithms that can be used to manage dynamical systems with unknown parameters. Its tutorial-style presentation of the fundamental techniques and algorithms in adaptive control make it suitable as a textbook. Adaptive Control Tutorial is designed to serve the needs of three distinct groups of readers: engineers and students interested in learning how to design, simulate, and implement parameter estimators and adaptive control schemes without having to fully understand the analytical and technical proofs; graduate students who, in addition to attaining the aforementioned objectives, also want to understand the analysis of simple schemes and get an idea of the steps involved in more complex proofs; and advanced students and researchers who want to study and understand the details of long and technical proofs with an eye toward pursuing research in adaptive control or related topics. The authors achieve these multiple objectives by enriching the book with examples demonstrating the design procedures and basic analysis steps and by detailing their proofs in both an appendix and electronically available supplementary material; online examples are also available. A solution manual for instructors can be obtained by contacting SIAM or the authors. Preface; Acknowledgements; List of Acronyms; Chapter 1: Introduction; Chapter 2: Parametric Models; Chapter 3: Parameter Identification: Continuous Time; Chapter 4: Parameter Identification: Discrete Time; Chapter 5: Continuous-Time Model Reference Adaptive Control; Chapter 6: Continuous-Time Adaptive Pole Placement Control; Chapter 7: Adaptive Control for Discrete-Time Systems; Chapter 8: Adaptive Control of Nonlinear Systems; Appendix; Bibliography; Index

Download or read book Mathematics of Finance written by George Yin and published by American Mathematical Soc.. This book was released on 2004 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird. This book includes such topics as modeling, estimation, optimization, control, and risk assessment and management. It is suitable for students interested in mathematical finance.

Download or read book Mathematical Theory of Adaptive Control written by Vladimir G. Sragovich and published by World Scientific. This book was released on 2006 with total page 490 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of adaptive control is concerned with construction of strategies so that the controlled system behaves in a desirable way, without assuming the complete knowledge of the system. The models considered in this comprehensive book are of Markovian type. Both partial observation and partial information cases are analyzed. While the book focuses on discrete time models, continuous time ones are considered in the final chapter. The book provides a novel perspective by summarizing results on adaptive control obtained in the Soviet Union, which are not well known in the West. Comments on the interplay between the Russian and Western methods are also included.

Download or read book American Doctoral Dissertations written by and published by . This book was released on 1996 with total page 872 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Stochastic Processes Finance and Control written by Samuel N. Cohen and published by World Scientific. This book was released on 2012 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.

Download or read book Copula Theory and Its Applications written by Piotr Jaworski and published by Springer Science & Business Media. This book was released on 2010-07-16 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Copulas are mathematical objects that fully capture the dependence structure among random variables and hence offer great flexibility in building multivariate stochastic models. Since their introduction in the early 50's, copulas have gained considerable popularity in several fields of applied mathematics, such as finance, insurance and reliability theory. Today, they represent a well-recognized tool for market and credit models, aggregation of risks, portfolio selection, etc. This book is divided into two main parts: Part I - "Surveys" contains 11 chapters that provide an up-to-date account of essential aspects of copula models. Part II - "Contributions" collects the extended versions of 6 talks selected from papers presented at the workshop in Warsaw.

Download or read book Adaptive Control with Recurrent High order Neural Networks written by George A. Rovithakis and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: The series Advances in Industrial Control aims to report and encourage technology transfer in control engineering. The rapid development of control technology has an impact on all areas of the control discipline. New theory, new controllers, actuators, sensors, new industrial processes, computer methods, new applications, new philosophies ... , new challenges. Much of this development work resides in industrial reports, feasibility study papers and the reports of advanced collaborative projects. The series offers an opportunity for researchers to present an extended exposition of such new work in all aspects of industrial control for wider and rapid dissemination. Neural networks is one of those areas where an initial burst of enthusiasm and optimism leads to an explosion of papers in the journals and many presentations at conferences but it is only in the last decade that significant theoretical work on stability, convergence and robustness for the use of neural networks in control systems has been tackled. George Rovithakis and Manolis Christodoulou have been interested in these theoretical problems and in the practical aspects of neural network applications to industrial problems. This very welcome addition to the Advances in Industrial Control series provides a succinct report of their research. The neural network model at the core of their work is the Recurrent High Order Neural Network (RHONN) and a complete theoretical and simulation development is presented. Different readers will find different aspects of the development of interest. The last chapter of the monograph discusses the problem of manufacturing or production process scheduling.

Download or read book Applied Stochastic Processes and Control for Jump Diffusions written by Floyd B. Hanson and published by SIAM. This book was released on 2007-01-01 with total page 472 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

Download or read book Recent Developments in Computational Finance written by Thomas Gerstner and published by World Scientific. This book was released on 2013 with total page 481 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computational finance is an interdisciplinary field which joins financial mathematics, stochastics, numerics and scientific computing. Its task is to estimate as accurately and efficiently as possible the risks that financial instruments generate. This volume consists of a series of cutting-edge surveys of recent developments in the field written by leading international experts. These make the subject accessible to a wide readership in academia and financial businesses. The book consists of 13 chapters divided into 3 parts: foundations, algorithms and applications. Besides surveys of existing results, the book contains many new previously unpublished results.

Download or read book Stochastic Modeling and Optimization written by David D. Yao and published by Springer Science & Business Media. This book was released on 2003-01-14 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Download or read book Proceedings of the First International Forum on Financial Mathematics and Financial Technology written by Zhiyong Zheng and published by Springer Nature. This book was released on 2021-02-08 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains high-quality papers presented at the First International Forum on Financial Mathematics and Financial Technology. With the rapid development of FinTech, the in-depth integration between mathematics, finance and advanced technology is the general trend. This book focuses on selected aspects of the current and upcoming trends in FinTech. In detail, the included scientific papers focus on financial mathematics and FinTech, presenting the innovative mathematical models and state-of-the-art technologies such as deep learning, with the aim to improve our financial analysis and decision-making and enhance the quality of financial services and risk control. The variety of the papers delivers added value for both scholars and practitioners where they will find perfect integration of elegant mathematical models and up-to-date data mining technologies in financial market analysis.

Download or read book Springer Handbook of Automation written by Shimon Y. Nof and published by Springer Nature. This book was released on 2023-06-16 with total page 1533 pages. Available in PDF, EPUB and Kindle. Book excerpt: This handbook incorporates new developments in automation. It also presents a widespread and well-structured conglomeration of new emerging application areas, such as medical systems and health, transportation, security and maintenance, service, construction and retail as well as production or logistics. The handbook is not only an ideal resource for automation experts but also for people new to this expanding field.