As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol- lowing: (Q) What is the relationship betwccn the maximum principlc and dy- namic programming in stochastic optimal controls? There did exist some researches (prior...
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving ...
Infinite dimensional systems can be used to describe many phenomena in the real world. As is well known, heat conduction, properties of elastic plastic material, fluid dynamics, diffusion-reaction processes, etc., all lie within this area. The object that we are studying (temperature, displace ment, concentration, velocity, etc.) is usually referred to as the state. We are interested in the case where the state satisfies proper differential equa tions that are derived from certain physical laws, such as Newton's law, Fourier's law etc. The space in which the state exists is called the state...
Infinite dimensional systems can be used to describe many phenomena in the real world. As is well known, heat conduction, properties of elastic plasti...
This book is intended to give an introduction to the theory of forwa- backward stochastic di erential equations (FBSDEs, for short) which has received strong attention in recent years because of its interesting structure and its usefulness in various applied elds. The motivation for studying FBSDEs comes originally from stochastic optimal control theory, that is, the adjoint equation in the Pontryagin-type maximum principle. The earliest version of such an FBSDE was introduced by Bismut 1] in 1973, with a decoupled form, namely, a system of a usual (forward)stochastic di erential equation...
This book is intended to give an introduction to the theory of forwa- backward stochastic di erential equations (FBSDEs, for short) which has received...
Xunjing Li (1935-2003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global community of optimal control theory of distributed parameter systems. He has made important contributions to the optimal control theory of distributed parameter systems, in particular regarding the first-order necessary conditions (Pontryagin-type maximum principle) for optimal control of nonlinear infinite-dimensional systems. He directed the Seminar of Control Theory at Fudan towards stochastic control theory in 1980s, and mathematical finance in...
Xunjing Li (1935-2003) was a pioneer in control theory in China. He was known in the Chinese community of applied mathematics, and in the global commu...
The IFIP-TC7, WG 7.2 Conference on Control Theory of Distributed Parameter Systems and Applications was held at Fudan University, Shanghai, China, May 6-9, 1990. The papers presented cover a wide variety of topics, e.g. the theory of identification, optimal control, stabilization, controllability, stochastic control as well as appplications in heat exchangers, elastic structures, nuclear reactor, meteorology etc.
The IFIP-TC7, WG 7.2 Conference on Control Theory of Distributed Parameter Systems and Applications was held at Fudan University, Shanghai, China, May...
Infinite dimensional systems can be used to describe many phenomena in the real world. As is well known, heat conduction, properties of elastic plastic material, fluid dynamics, diffusion-reaction processes, etc., all lie within this area. The object that we are studying (temperature, displace ment, concentration, velocity, etc.) is usually referred to as the state. We are interested in the case where the state satisfies proper differential equa tions that are derived from certain physical laws, such as Newton's law, Fourier's law etc. The space in which the state exists is called the state...
Infinite dimensional systems can be used to describe many phenomena in the real world. As is well known, heat conduction, properties of elastic plasti...
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol- lowing: (Q) What is the relationship betwccn the maximum principlc and dy- namic programming in stochastic optimal controls? There did exist some researches (prior...
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving ...
