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BOOK EXCERPT:
This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Product Details :
Genre |
: Mathematics |
Author |
: George Yin |
Publisher |
: Springer Nature |
Release |
: 2022-04-22 |
File |
: 466 Pages |
ISBN-13 |
: 9783030985196 |
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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.
Product Details :
Genre |
: Technology & Engineering |
Author |
: William M. McEneaney |
Publisher |
: Springer Science & Business Media |
Release |
: 2012-12-06 |
File |
: 660 Pages |
ISBN-13 |
: 9781461217848 |
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BOOK EXCERPT:
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
Product Details :
Genre |
: Mathematics |
Author |
: Wendell H. Fleming |
Publisher |
: Springer Science & Business Media |
Release |
: 2012-12-06 |
File |
: 231 Pages |
ISBN-13 |
: 9781461263807 |
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BOOK EXCERPT:
Product Details :
Genre |
: Mathematics |
Author |
: G. Kallianpur |
Publisher |
: Springer |
Release |
: 2006-11-15 |
File |
: 259 Pages |
ISBN-13 |
: 9783540355564 |
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BOOK EXCERPT:
Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which are used in relation to non-stationary signals. Exercises with solutions feature in each chapter to demonstrate the practical application of these ideas using MATLAB.
Product Details :
Genre |
: Technology & Engineering |
Author |
: Jean-Claude Bertein |
Publisher |
: John Wiley & Sons |
Release |
: 2012-12-27 |
File |
: 196 Pages |
ISBN-13 |
: 9781118600535 |
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BOOK EXCERPT:
This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.
Product Details :
Genre |
: Science |
Author |
: Andrew H. Jazwinski |
Publisher |
: Courier Corporation |
Release |
: 2013-04-15 |
File |
: 404 Pages |
ISBN-13 |
: 9780486318196 |
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BOOK EXCERPT:
This book introduces essential concepts in stochastic processes that interface seamlessly with applications of interest in science and engineering.
Product Details :
Genre |
: Mathematics |
Author |
: Debasish Roy |
Publisher |
: Cambridge University Press |
Release |
: 2017-05-04 |
File |
: 749 Pages |
ISBN-13 |
: 9781107182646 |
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BOOK EXCERPT:
An introduction to general theories of stochastic processes and modern martingale theory. The volume focuses on consistency, stability and contractivity under geometric invariance in numerical analysis, and discusses problems related to implementation, simulation, variable step size algorithms, and random number generation.
Product Details :
Genre |
: Mathematics |
Author |
: D. Kannan |
Publisher |
: CRC Press |
Release |
: 2001-10-23 |
File |
: 808 Pages |
ISBN-13 |
: 9781482294705 |
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BOOK EXCERPT:
This ENCYCLOPAEDIA OF MATHEMATICS aims to be a reference work for all parts of mathe matics. It is a translation with updates and editorial comments of the Soviet Mathematical Encyclopaedia published by 'Soviet Encyclopaedia Publishing House' in five volumes in 1977-1985. The annotated translation consists of ten volumes including a special index volume. There are three kinds of articles in this ENCYCLOPAEDIA. First of all there are survey-type articles dealing with the various main directions in mathematics (where a rather fine subdivi sion has been used). The main requirement for these articles has been that they should give a reasonably complete up-to-date account of the current state of affairs in these areas and that they should be maximally accessible. On the whole, these articles should be understandable to mathematics students in their first specialization years, to graduates from other mathematical areas and, depending on the specific subject, to specialists in other domains of science, en gineers and teachers of mathematics. These articles treat their material at a fairly general level and aim to give an idea of the kind of problems, techniques and concepts involved in the area in question. They also contain background and motivation rather than precise statements of precise theorems with detailed definitions and technical details on how to carry out proofs and constructions. The second kind of article, of medium length, contains more detailed concrete problems, results and techniques.
Product Details :
Genre |
: Mathematics |
Author |
: Michiel Hazewinkel |
Publisher |
: Springer Science & Business Media |
Release |
: 2013-12-01 |
File |
: 743 Pages |
ISBN-13 |
: 9789400903654 |
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BOOK EXCERPT:
This volume attempts to exhibit current research in stochastic integration, stochastic differential equations, stochastic optimization and stochastic problems in physics and biology. It includes information on the theory of Dirichlet forms, Feynman integration and the Schrodinger's equation.
Product Details :
Genre |
: Mathematics |
Author |
: Mark A. Pinsky |
Publisher |
: CRC Press |
Release |
: 2020-10-15 |
File |
: 476 Pages |
ISBN-13 |
: 9781000146202 |