Stochastic Theory and Control

Proceedings of a Workshop held in Lawrence, Kansas

Buch | Softcover

XVIII, 566 Seiten

2002 | 2002
Springer Berlin (Verlag)
978-3-540-43777-2 (ISBN)

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This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18-20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on "Adaptation of Real-Time Seizure Detection Algorithm" was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on "Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy" that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world's most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.

Nonlinear and Stochastic Stability Problems in Gated Radar Range Trackers.- Asymptotic Properties and Associated Control Problems of Discrete-Time Singularly Perturbed Markov Chains.- Feedback Designs in Information-Based Control.- Ergodic Control Bellman Equation with Neumann Boundary Conditions.- Regime Switching and European Options.- Equivalence of Two Kinds of Stability for Multi-dimensional ARMA Systems.- System Identification and Time Series Analysis: Past, Present, and Future.- Max-Plus Stochastic Control.- An Optimal Consumption-Investment Problem for Factor-Dependent Models.- Adaptation of a Real-Time Seizure Detection Algorithm.- Randomization Methods in Optimization and Adaptive Control.- Capacity of the Multiple-Input, Multiple-Output Poisson Channel.- Stochastic Analysis of Jump-Diffusions for Financial Log-Return Processes.- Numerical Methods for Optimal Stopping Using Linear and Non-linear Programming.- The ODE Method and Spectral Theory of Markov Operators.- Sign-Regressor Adaptive Filtering Algorithms Using Averaged Iterates and Observations.- Kalman-Type Filters Approach for Some Nonparametric Estimation Problems.- Detection and Estimation in Stochastic Systems with Time-Varying Parameters.- Asymptotic Normality in Partially Observed Diffusions with Small Noise: Application to FDI.- Stochastic Lagrangian Adaptive LQG Control.- Optimal Control of Linear Backward Stochastic Differential Equations with a Quadratic Cost Criterion.- Hilbert Spaces Induced by Toeplitz Covariance Kernels.- Error Analysis of a Max-Plus Algorithm for a First-Order HJB Equation.- Optimal Strategies for Ergodic Control Problems Arising from Portfolio Optimization.- Finite Horizon Full-State Feedback kCC Control in Civil Structures Protection.- Robust Stochastic Maximum Principle: A Measured Space as Uncertainty Set.- On Optimality of Stochastic N-Machine Flowshop with Long-Run Average Cost.- A Risk-Sensitive Generalization of Maximum APosterior Probability (MAP) Estimation.- Bayesian Adaptive Control of Discrete Time Partially Observed Markov Processes.- Portfolio Optimization in Markets Having Stochastic Rates.- Moment Problems Related to the Solutions of Stochastic Differential Equations.- -Transform, Normal Functionals, and Lévy Laplacian in Poisson Noise Analysis.- Probabilistic Rate Compartment Cancer Model: Alternate versus Traditional Chemotherapy Scheduling.- Finite-Dimensional Filters with Nonlinear Drift. XII: Linear and Constant Structure of Wong-Matrix.- The Stability Game.- Bayes Estimation via Filtering Equation for O-U Process with Discrete Noises: Application to the Micro-Movement of Stock Prices.- Hybrid Filtering.

Erscheint lt. Verlag	24.7.2002
Reihe/Serie	Lecture Notes in Control and Information Sciences
Zusatzinfo	XVIII, 566 p.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	877 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
Themenwelt	Technik ► Elektrotechnik / Energietechnik
Schlagworte	Adaptive Control • algorithm • algorithms • Calculus • Complexity • differential equation • estimation • Hardcover, Softcover / Technik/Bautechnik, Umwelttechnik • Hardcover, Softcover / Technik/Elektronik, Elektrotechnik, Nachrichtentechnik • HC/Technik/Elektronik, Elektrotechnik, Nachrichtentechnik • HC/Technik/Maschinenbau, Fertigungstechnik • Identification • linear optimization • Markov • Markov process • mathematics of finance • nonlinear filtering • optimal control • Risk sensitive control • stability • stochastic control • Stochastic differential equations • stochastic partial differential equations • Stochastic Theory
ISBN-10	3-540-43777-0 / 3540437770
ISBN-13	978-3-540-43777-2 / 9783540437772
Zustand	Neuware