Stochastic Optimal Control: The Discrete-Time Case
by Dimitri P. Bertsekas, Steven E. Shreve
Publisher: Athena Scientific 1996
Number of pages: 331
This research monograph is the authoritative and comprehensive treatment of the mathematical foundations of stochastic optimal control of discrete-time systems, including the treatment of the intricate measure-theoretic issues.
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by B.D.O. Anderson, J.B. Moore - Prentice-Hall
Numerous examples highlight this treatment of the use of linear quadratic Gaussian methods for control system design. It explores linear optimal control theory from an engineering viewpoint, with illustrations of practical applications.
by Hans Zwart, Birgit Jacob - CIMPA
Topics from the table of contents: Introduction; Homogeneous differential equation; Boundary Control Systems; Transfer Functions; Well-posedness; Stability and Stabilizability; Systems with Dissipation; Mathematical Background.
by Lawrence C. Evans - University of California, Berkeley
Contents: Introduction; Controllability, bang-bang principle; Linear time-optimal control; The Pontryagin Maximum Principle; Dynamic programming; Game theory; Introduction to stochastic control theory; Proofs of the Pontryagin Maximum Principle.
by Richard Weber - University of Cambridge
Topics: Dynamic Programming; Dynamic Programming Examples; Dynamic Programming over the Infinite Horizon; Positive Programming; Negative Programming; Bandit Processes and Gittins Index; Average-cost Programming; LQ Regulation; Controllability; etc.