Titlebook: Stochastic Differential Systems, Stochastic Control Theory and Applications; Proceedings of a Wor Wendell Fleming,Pierre-Louis Lions Confer

疾驰

迅速成长

The Filtering Problem for Infinite Dimensional Stochastic Processes,d as the unique solution of certain measure valued equations. Robustness properties — both pathwise and statistical — are given and a preliminary result shows consistency with the stochastic calculus theory. Applications to random fields and models of voltage potential in neurophysiology are briefly

Gourmet

Recent Advances in the Theory of Stochastic Adaptive Control,trol laws, their optimality with respect to the minimum output variance criterion, and their self-tuning property for both the regulation and tracking problems, have all been proved. In this paper we outline these recent advances in the theory of stochastic adaptive control and also indicate some of

梯田

Asymptotic Solutions of Bandit Problems,classical “closed bandit problem” of adaptive allocation involving . statistical populations, and (b) the “open bandit problem” of priority scheduling in a queueing network. Making use of the interconnections between the discounted and finite-horizon formulations of these problems, we also suggest c

fleeting

Viscosity Solutions of Second-Order Equations, Stochastic Control and Stochastic Differential Gamesochastic control and stochastic differential games and the viscosity solutions of the associated Hamilton-Jacobi-Bellman HJB and Bellman-Isaacs BI equations. It is well-known that the derivation of these equations is heuristic and it is justified only when the value functions are smooth enough (W.H.

initiate

,Optimality of “full bang to reduce predicted miss” for some partially observed stochastic control phods to show that predicted miss defines the switching surfaces for an optimal “bang-bang” control law whose gist, simply stated, is to reduce predicted miss. The surfaces in question are explicitly calculated.

generic

Applications of Homogenization Theory to the Control of Flexible Structures,h approximations may be derived in a systematic way which avoids errors made using “direct” averaging methods. We also develop a model for the combined problem of homogenization and control of vibrations in lattice structures and present some preliminary analysis of this problem.

GULP

Brownian Models of Queueing Networks with Heterogeneous Customer Populations,There is a renewal input process and general service time distribution for each class. The correspondence between customer classes and service stations is in general many to one, and the service discipline (or scheduling protocol) at each station is left as a matter for dynamic decision making.

Obverse

Asymptotic Solutions of Bandit Problems, in a queueing network. Making use of the interconnections between the discounted and finite-horizon formulations of these problems, we also suggest certain heuristic arguments that lead to simple asymptotic solutions.

jungle