Estimation and control of dynamical systems
deterministic optimal controldifferential gamesestimationfilteringfinance problemsstochastic optimal control
Research exposition (monographs, survey articles) pertaining to dynamical systems and ergodic theory (37-02) Dynamical systems in control (37N35) Dynamical systems in optimization and economics (37N40) Linear optimal control problems (49N05) Differential games (aspects of game theory) (91A23) Financial applications of other theories (91G80) Control/observation systems governed by ordinary differential equations (93C15) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11) Identification in stochastic control theory (93E12) Optimal stochastic control (93E20)
This book considers modeling and control problems of dynamical systems. The situation in which the input-output relationship is obtained through the evolution of a state variable is considered. A key element is the state representation of dynamical systems, also called the internal representation. Previously, dynamical systems were modeled by an external representation, also called an input-output relation. The internal representation introduces the very important concept of state of the system. The structure of these models is supposed to be known. Such models are nonlinear, but a linearization can be made. The question of internal representation from a given external representation is discussed. In the book it is claimed that an external representation can be always obtained from an internal representation. Control theory has been already applied successfully in many fields, such as economics, management science and mathematical finance. The main purpose is to develop control theory for a very large family of systems. Stochastic control problems of linear dynamical systems with full and partial information as well as of non-Markov systems are also considered. Nonlinear systems with non-quadratic payoffs are investigated. It is shown that for deterministic systems the Pontryagin's maximum principle can be used to derive necessary conditions of optimality for an optimal control. Problems of stochastic optimal control are considered as well. Applications of stochastic control algorithms to problems of financial mathematics are given. A financial market with \(n\) risky assets is considered. The price of assets is a random process. The Wiener process represents the only source of uncertainties in the financial market. Each component is an uncertainty, and the number of uncertainties is equal to the number of risky assets. These uncertainties are external and influence the evolution of the price of risky assets. The fact that the number of risky assets and the number of uncertainties are the same is a part of the assumption of complete markets. Stochastic control problems arising in this context are considered. The consumer-investor problem is considered. The methods of dynamic programming and the martingale method are applied. Many connections between estimation and control, as for example in the presentation of controllability and observability are discussed. Classical estimation methods such that the maximum likelihood and the Bayesian approach are reviewed.
- Stochastic Processes, Estimation, and Control
- Advanced topics in control and estimation of state-multiplicative noisy systems
- Introduction to the mathematical theory of control
- Optimal control theory. Applications to management science and economics
- Control and system theory of discrete-time stochastic systems
- Estimation and control with cubic nonlinearities
- Estimation for dynamical systems using a population-based Kalman filter -- applications in computational biology
- Automatic model training under restrictive time constraints
- The Pontryagin maximum principle for solving Fokker-Planck optimal control problems
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- A general time-varying estimation and control problem
- Optimal control and forecasting of complex dynamical systems
- Stochastic Processes, Estimation, and Control
- scientific article; zbMATH DE number 193670 (Why is no real title available?)
- scientific article; zbMATH DE number 522883 (Why is no real title available?)
- scientific article; zbMATH DE number 2108969 (Why is no real title available?)
- scientific article; zbMATH DE number 2109199 (Why is no real title available?)
- Identification of linear dynamical systems and machine learning
- Kernel representation of Kalman observer and associated H-matrix based discretization
- An optimal control derivation of nonlinear smoothing equations
- Control theory for physicists
- Identification and control of electro-mechanical systems using state-dependent parameter estimation
- Algorithms of estimation for nonlinear systems. A differential and algebraic viewpoint
- scientific article; zbMATH DE number 5182527 (Why is no real title available?)
- Zero-Sum Stackelberg Stochastic Linear-Quadratic Differential Games
- Value-Gradient Based Formulation of Optimal Control Problem and Machine Learning Algorithm
- Stochastic Linear-Quadratic Optimal Control with Partial Observation
- Linear-Quadratic Optimal Controls for Stochastic Volterra Integral Equations: Causal State Feedback and Path-Dependent Riccati Equations
- Stochastic teams, games, and control under information constraints
- Using a population-based Kalman estimator to model the COVID-19 epidemic in France: estimating associations between disease transmission and non-pharmaceutical interventions
- Recent developments in machine learning methods for stochastic control and games
- Modelling stochastic uncertainties. From Monte Carlo simulations to game theory
- Optimal advertising and product durability decisions in new product diffusion
- Controllability of stochastic impulsive integro-differential systems involving nonlocal conditions and conformable derivatives
- Continuous-time persuasion by filtering
- Path integral control of partially observed systems via fully observable control approximations
- Discrete-time formulations as time discretization strategies in data assimilation
- Linear quadratic extended mean field games and control problems
- Linear-quadratic stochastic teams and zero-sum differential games for jump-diffusion systems with Markovian-switching coefficients under partial observations
- Alternating minimization for simultaneous estimation of a latent variable and identification of a linear continuous-time dynamic system
- Pareto-based Stackelberg solutions for the mean-field type discrete-time stochastic systems with cooperative followers
- From Nash equilibrium to social optimum and back: a mean field perspective
- Forward-backward stochastic linear-quadratic optimal controls: equilibrium strategies and nonsymmetric Riccati equations
- Global well-posedness of first-order mean field games and master equations with nonlinear dynamics
- Linear-quadratic zero-sum stochastic differential game with partial observation
- Digital twins: McKean-Pontryagin control for partially observed physical twins
- Optimal linear filtering of partially observed polynomial processes in discrete and continuous time
This page was built for publication: Estimation and control of dynamical systems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1708167)
