Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems
Home > General > Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems
Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems

Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems


     0     
5
4
3
2
1



International Edition


About the Book

This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming.

The book begins with an introduction to relative optimization, including a comparison with the traditional approach of dynamic programming. The text then studies the Markov process, focusing on infinite-horizon optimization problems, and moves on to discuss optimal control of diffusion processes with semi-smooth value functions and degenerate points, and optimization of multi-dimensional diffusion processes. The book concludes with a brief overview of performance derivative-based optimization.

Among the more important novel considerations presented are:

  • the extension of the Hamilton-Jacobi-Bellman optimality condition from smooth to semi-smooth value functions by derivation of explicit optimality conditions at semi-smooth points and application of this result to degenerate and reflected processes;
  • proof of semi-smoothness of the value function at degenerate points;
  • attention to the under-selectivity issue for the long-run average and bias optimality;
  • discussion of state classification for time nonhomogeneous continuous processes and multi-class optimization; and
  • development of the multi-dimensional Tanaka formula for semi-smooth functions and application of this formula to stochastic control of multi-dimensional systems with degenerate points.

The book will be of interest to researchers and students in the field of stochastic control and performance optimization alike.


About the Author:

Professor Xi-Ren Cao gained his Masters degree in engineering and PhD in applied mathematics from Harvard University in 1982 and 1984 respectively. He has worked in an academic position at numerous institutions, including as a visiting professor at both the University of Massachusetts and the University of Maryland, a chair professor at the Hong Kong University of Science and Technology, and his current position of Chair Professor at Shanghai Jiao Tong University. He has published 125 peer-reviewed journal papers, 12 invited book chapters, and three books in areas related to stochastic and discrete control. He was Editor-in-Chief for Discrete Event Dynamic Systems: Theory and Applications from 2005 to 2014. He has extensive industrial experiences with Digital Equipment Corporation, Massachusetts, and AT&T Labs. He is Fellow of IEEE and IFAC.


Best Sellers



Product Details
  • ISBN-13: 9783030418458
  • Publisher: Springer International Publishing
  • Publisher Imprint: Springer
  • Height: 239 mm
  • No of Pages: 365
  • Series Title: Communications and Control Engineering
  • Weight: 730 gr
  • ISBN-10: 3030418456
  • Publisher Date: 14 May 2020
  • Binding: Hardback
  • Language: English
  • Returnable: Y
  • Spine Width: 18 mm
  • Width: 196 mm


Similar Products

Add Photo
Add Photo

Customer Reviews

REVIEWS      0     
Click Here To Be The First to Review this Product
Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems
Springer International Publishing -
Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems
Writing guidlines
We want to publish your review, so please:
  • keep your review on the product. Review's that defame author's character will be rejected.
  • Keep your review focused on the product.
  • Avoid writing about customer service. contact us instead if you have issue requiring immediate attention.
  • Refrain from mentioning competitors or the specific price you paid for the product.
  • Do not include any personally identifiable information, such as full names.

Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems

Required fields are marked with *

Review Title*
Review
    Add Photo Add up to 6 photos
    Would you recommend this product to a friend?
    Tag this Book Read more
    Does your review contain spoilers?
    What type of reader best describes you?
    I agree to the terms & conditions
    You may receive emails regarding this submission. Any emails will include the ability to opt-out of future communications.

    CUSTOMER RATINGS AND REVIEWS AND QUESTIONS AND ANSWERS TERMS OF USE

    These Terms of Use govern your conduct associated with the Customer Ratings and Reviews and/or Questions and Answers service offered by Bookswagon (the "CRR Service").


    By submitting any content to Bookswagon, you guarantee that:
    • You are the sole author and owner of the intellectual property rights in the content;
    • All "moral rights" that you may have in such content have been voluntarily waived by you;
    • All content that you post is accurate;
    • You are at least 13 years old;
    • Use of the content you supply does not violate these Terms of Use and will not cause injury to any person or entity.
    You further agree that you may not submit any content:
    • That is known by you to be false, inaccurate or misleading;
    • That infringes any third party's copyright, patent, trademark, trade secret or other proprietary rights or rights of publicity or privacy;
    • That violates any law, statute, ordinance or regulation (including, but not limited to, those governing, consumer protection, unfair competition, anti-discrimination or false advertising);
    • That is, or may reasonably be considered to be, defamatory, libelous, hateful, racially or religiously biased or offensive, unlawfully threatening or unlawfully harassing to any individual, partnership or corporation;
    • For which you were compensated or granted any consideration by any unapproved third party;
    • That includes any information that references other websites, addresses, email addresses, contact information or phone numbers;
    • That contains any computer viruses, worms or other potentially damaging computer programs or files.
    You agree to indemnify and hold Bookswagon (and its officers, directors, agents, subsidiaries, joint ventures, employees and third-party service providers, including but not limited to Bazaarvoice, Inc.), harmless from all claims, demands, and damages (actual and consequential) of every kind and nature, known and unknown including reasonable attorneys' fees, arising out of a breach of your representations and warranties set forth above, or your violation of any law or the rights of a third party.


    For any content that you submit, you grant Bookswagon a perpetual, irrevocable, royalty-free, transferable right and license to use, copy, modify, delete in its entirety, adapt, publish, translate, create derivative works from and/or sell, transfer, and/or distribute such content and/or incorporate such content into any form, medium or technology throughout the world without compensation to you. Additionally,  Bookswagon may transfer or share any personal information that you submit with its third-party service providers, including but not limited to Bazaarvoice, Inc. in accordance with  Privacy Policy


    All content that you submit may be used at Bookswagon's sole discretion. Bookswagon reserves the right to change, condense, withhold publication, remove or delete any content on Bookswagon's website that Bookswagon deems, in its sole discretion, to violate the content guidelines or any other provision of these Terms of Use.  Bookswagon does not guarantee that you will have any recourse through Bookswagon to edit or delete any content you have submitted. Ratings and written comments are generally posted within two to four business days. However, Bookswagon reserves the right to remove or to refuse to post any submission to the extent authorized by law. You acknowledge that you, not Bookswagon, are responsible for the contents of your submission. None of the content that you submit shall be subject to any obligation of confidence on the part of Bookswagon, its agents, subsidiaries, affiliates, partners or third party service providers (including but not limited to Bazaarvoice, Inc.)and their respective directors, officers and employees.

    Accept

    New Arrivals



    Inspired by your browsing history


    Your review has been submitted!

    You've already reviewed this product!