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Numerical Methods for Controlled Stochastic Delay Systems (Systems & Control: Foundations & Applications)

Автор: Harold J. Kushner
Год: 2008
Издание: [не указанo]
Страниц: 282
ISBN: 0817645349
The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. Because such problems are infinite-dimensional, many new issues arise in getting good numerical approximations and in the convergence proofs. Useful forms of numerical algorithms and system approximations are developed in this work, and the convergence proofs are given. All of the usual cost functions are treated as well as singular and impulsive controls. A major concern is on representations and approximations that use minimal memory. Features and topics include: * Surveys properties of the most important stochastic dynamical models, including singular control, and those for diffusion and reflected diffusion models. * Gives approximations to the dynamical models that simplify the numerical problem, but have only small effects on the behavior. * Develops an ergodic theory for...
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