Anbieter: Ria Christie Collections, Uxbridge, Vereinigtes Königreich
EUR 182,11
Währung umrechnenAnzahl: Mehr als 20 verfügbar
In den WarenkorbZustand: New. In English.
Anbieter: Ria Christie Collections, Uxbridge, Vereinigtes Königreich
EUR 189,08
Währung umrechnenAnzahl: Mehr als 20 verfügbar
In den WarenkorbZustand: New. In English.
Verlag: Springer New York, Springer US, 1999
ISBN 10: 0387987231 ISBN 13: 9780387987231
Sprache: Englisch
Anbieter: AHA-BUCH GmbH, Einbeck, Deutschland
EUR 201,36
Währung umrechnenAnzahl: 1 verfügbar
In den WarenkorbBuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.