Dynamic Programming and Stochastic Control
Published on 14. May 2014
415 pages
978-0-08-095634-3 (ISBN)
Description
Dynamic Programming and Stochastic Control
More details
Series
Language
English
Place of publication
San Diego
United States
ISBN-13
978-0-08-095634-3 (9780080956343)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
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Additional editions
Dimitri P. Bertsekas
Dynamic Programming and Stochastic Control
Book
01/1976
Academic Press
€79.86
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Content
- Front Cover
- Dynamic Programming and Stochastic Control
- Copyright Page
- Contents
- Preface
- Acknowledgments
- Chapter 1. Introduction
- 1.1 The Problems of Decision under Uncertainty
- 1.2 Expected Utility Theory and Risk
- 1.3 Some Nonsequential Decision Problems
- 1.4 A Model for Sequential Decision Making
- 1.5 Notes
- Problems
- Part I: CONTROL OF UNCERTAIN SYSTEMS OVER A FINITE HORIZON
- Chapter 2. The Dynamic Programming Algorithm
- 2.1 The Basic Problem
- 2.2 The Dynamic Programming Algorithm
- 2.3 Time Lags, Correlated Disturbances, and Forecasts
- 2.4 Notes
- Problems
- Chapter 3. Applications in Specific Areas
- 3.1 Linear Systems with Quadratic Cost Functional-The Certainty Equivalence Principle
- 3.2 Inventory Control
- 3.3 Dynamic Portfolio Analysis
- 3.4 Optimal Stopping Problems-Examples
- 3.5 Notes
- Problems
- Chapter 4. Problems with Imperfect State Information
- 4.1 Reduction to the Perfect State Information Case
- 4.2 Sufficient Statistics
- 4.3 Linear Systems with Quadratic Cost Functionals-Separation of Estimation and Control
- 4.4 Finite State Markov Chains-A Problem of Instruction
- 4.5 Hypothesis Testing-Sequential Probability Ratio Test
- 4.6 Sequential Sampling of a Large Batch
- 4.7 Notes
- Problems
- Appendix. Least-Squares Estimation-The Kalman Filter
- Chapter 5. Computational Aspects of Dynamic Programming-Suboptimal Control
- 5.1 The Curse of Dimensionality
- 5.2 Discretization Procedures and Their Convergence
- 5.3 Suboptimal Controllers and the Notion of Adaptivity
- 5.4 Naive Feedback and Open-Loop Feedback Controllers
- 5.5 Partial Open-Loop Feedback Controllers and the Efficient Utilization of Forecasts
- 5.6 Control of Systems with Unknown Parameters-Self-Tuning Regulators
- 5.7 Notes
- Problems
- Part II: CONTROL OF UNCERTAIN SYSTEMS OVER AN INFINITE HORIZON
- Chapter 6. Minimization of Total Expected Value-Discounted Cost
- 6.1 Convergence and Existence Results
- 6.2 Computational Methods-Successive Approximation, Policy Iteration, Linear Programming
- 6.3 Contraction Mappings
- 6.4 Unbounded Costs per Stage
- 6.5 Linear Systems and Quadratic Cost Functionals
- 6.6 Inventory Control
- 6.7 Nonstationary and Periodic Problems
- 6.8 Notes
- Problems
- Chapter 7. Minimization of Total Expected Value-Undiscounted Cost
- 7.1 Convergence and Existence Results
- 7.2 Optimal Stopping
- 7.3 Optimal Gambling Strategies
- 7.4 The First Passage Problem
- 7.5 Notes
- Problems
- Chapter 8. Minimization of Average Expected Value
- 8.1 Existence Results
- 8.2 Successive Approximation
- 8.3 Policy Iteration
- 8.4 Infinite State Space-Linear Systems with Quadratic Cost Functionals
- 8.5 Notes
- Problems
- Appendix. Existence Analysis under the Weak Accessibility Condition
- APPENDIXES
- Appendix A. Mathematical Review
- Appendix B. On Optimization Theory
- Appendix C. On Probability Theory
- Appendix D. On Finite State Markov Chains
- References
- Index
