Relative optimization of continuous-time and continuous-state stochastic systems

DOI10.1007/978-3-030-41846-5MaRDI QIDQ2173468zbMATH OpenOpenAlexFDO

Authors Xi-Ren Cao

Publication date 23 April 2020

Published in Communications and Control Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-41846-5

zbMATH Keywords

bias optimalitycontrol of diffusion processcontrol of Markov processdegenerate diffusiondynamic programmingfinite-horizon stochastic controllong-run averagemulti-dimensional diffusionoptimal controloptimal stoppingoptimization conditionperformance-derivative based optimizationrelative optimizationsemi-smooth potential functionsemi-smooth value functionsingular controlstochastic control

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20)

Review text

For discrete settings theory and application of relative optimization has already been fairly well developed. The purpose of the present volume is the extension to continuous-state and continuous-time stochastic systems, taking an engineering point of view, avoiding heavy mathematical technicalities such as the existence and uniqueness of solutions of partial differential equations or the theory of viscosity solutions, as they occur in the context of dynamic programming. The author begins by explaining and exemplifying the difference between the latter and relative optimization: While dynamic programming provides the ``local information about the value function at a particular state and time, relative optimization leads to the ``global information about the performance comparison in the entire time horizon. The introduction is followed by chapters on optimal control of Markov processes with infinite horizon, on optimal control of diffusion processes, degenerate diffusions, and multi-dimensional diffusions, and on performance-derivative based optimization. Most of the new results in the book concern cases in which the value function or potential function is semi-smooth, i.e., at some point their two one-sided first-order derivatives exist but are not equal. Also, the under-selectivity issue for long-run average optimization is solved. Mathematical tools needed, mostly from stochastic analysis, are provided, and each chapter contains examples and exercises, with solutions given at the end of the book.

Recommendations

• Foundations of average-cost nonhomogeneous controlled Markov chains
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Cited in

(3)

• A general class of relative optimization problems
• scientific article; zbMATH DE number 1059819 (Why is no real title available?)
• Foundations of average-cost nonhomogeneous controlled Markov chains

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