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Optimal Control of Stochastic Difference Volterra Equations

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This book showcases a subclass of hereditary systems, that is, systems with behaviour depending not only on their current state but also on their past history; it is an introduction to the mathematical theory of optimal control for stochastic difference Volterra equations of neutral type. As such, it will be of much interest to researchers interested in modelling processes in physics, mechanics, automatic regulation, economics and finance, biology, sociology and medicine for all of which such equations are very popular tools.
The text deals with problems of optimal control such as meeting given performance criteria, and stabilization, extending them to neutral stochastic difference Volterra equations. In particular, it contrasts the difference analogues of solutions to optimal control and optimal estimation problems for stochastic integral Volterra equations with optimal solutions for corresponding problems in stochastic difference Volterra equations.
Optimal Control of Stochastic Difference Volterra Equations commences with an historical introduction to the emergence of this type of equation with some additional mathematical preliminaries. It then deals with the necessary conditions for optimality in the control of the equations and constructs a feedback control scheme. The approximation of stochastic quasilinear Volterra equations with quadratic performance functionals is then considered. Optimal stabilization is discussed and the filtering problem formulated. Finally, two methods of solving the optimal control problem for partly observable linear stochastic processes, also with quadratic performance functionals, are developed.
Integrating the author’s own research within the context of the current state-of-the-art of research in difference equations, hereditary systems theory and optimal control, this book is addressed to specialists in mathematical optimal control theory and to graduate students in pure and applied mathematics and control engineering.

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Detail Information

Series Title

Studies in Systems, Decision and Control

Call Number

-

Publisher

Cham, Switzerland : ., 2015

Collation

X, 220

Language

English

ISBN/ISSN

978-3-319-13238-9

Classification

NONE

Content Type

text

Media Type

computer

Carrier Type

online resource

Edition

1

Subject(s)

Control
Calculus of Variations and Optimization
Control and Systems Theory
Systems Theory

Specific Detail Info

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Statement of Responsibility

Leonid Shaikhet

Other Information

Cataloger

Rani

Source

-

Validator

TAUFIK

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