Stochastic Optimal Control in Infinite Dimension


Book Description

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.




Infinite Dimensional Optimization and Control Theory


Book Description

Treats optimal problems for systems described by ODEs and PDEs, using an approach that unifies finite and infinite dimensional nonlinear programming.




Optimal Control Theory for Infinite Dimensional Systems


Book Description

Infinite dimensional systems can be used to describe many phenomena in the real world. As is well known, heat conduction, properties of elastic plastic material, fluid dynamics, diffusion-reaction processes, etc., all lie within this area. The object that we are studying (temperature, displace ment, concentration, velocity, etc.) is usually referred to as the state. We are interested in the case where the state satisfies proper differential equa tions that are derived from certain physical laws, such as Newton's law, Fourier's law etc. The space in which the state exists is called the state space, and the equation that the state satisfies is called the state equation. By an infinite dimensional system we mean one whose corresponding state space is infinite dimensional. In particular, we are interested in the case where the state equation is one of the following types: partial differential equation, functional differential equation, integro-differential equation, or abstract evolution equation. The case in which the state equation is being a stochastic differential equation is also an infinite dimensional problem, but we will not discuss such a case in this book.




Nonsmooth Lyapunov Analysis in Finite and Infinite Dimensions


Book Description

Nonsmooth Lyapunov Analysis in Finite and Infinite Dimensions provides helpful tools for the treatment of a broad class of dynamical systems that are governed, not only by ordinary differential equations but also by partial and functional differential equations. Existing Lyapunov constructions are extended to discontinuous systems—those with variable structure and impact—by the involvement of nonsmooth Lyapunov functions. The general theoretical presentation is illustrated by control-related applications; the nonsmooth Lyapunov construction is particularly applied to the tuning of sliding-mode controllers in the presence of mismatched disturbances and to orbital stabilization of the bipedal gate. The nonsmooth construction is readily extendible to the control and identification of distributed-parameter and time-delay systems. The first part of the book outlines the relevant fundamentals of benchmark models and mathematical basics. The second concentrates on the construction of nonsmooth Lyapunov functions. Part III covers design and applications material. This book will benefit the academic research and graduate student interested in the mathematics of Lyapunov equations and variable-structure control, stability analysis and robust feedback design for discontinuous systems. It will also serve the practitioner working with applications of such systems. The reader should have some knowledge of dynamical systems theory, but no background in discontinuous systems is required—they are thoroughly introduced in both finite- and infinite-dimensional settings.




Infinite Dimensional Linear Control Systems


Book Description

For more than forty years, the equation y'(t) = Ay(t) + u(t) in Banach spaces has been used as model for optimal control processes described by partial differential equations, in particular heat and diffusion processes. Many of the outstanding open problems, however, have remained open until recently, and some have never been solved. This book is a survey of all results know to the author, with emphasis on very recent results (1999 to date). The book is restricted to linear equations and two particular problems (the time optimal problem, the norm optimal problem) which results in a more focused and concrete treatment. As experience shows, results on linear equations are the basis for the treatment of their semilinear counterparts, and techniques for the time and norm optimal problems can often be generalized to more general cost functionals. The main object of this book is to be a state-of-the-art monograph on the theory of the time and norm optimal controls for y'(t) = Ay(t) + u(t) that ends at the very latest frontier of research, with open problems and indications for future research. Key features: · Applications to optimal diffusion processes. · Applications to optimal heat propagation processes. · Modelling of optimal processes governed by partial differential equations. · Complete bibliography. · Includes the latest research on the subject. · Does not assume anything from the reader except basic functional analysis. · Accessible to researchers and advanced graduate students alike· Applications to optimal diffusion processes.· Applications to optimal heat propagation processes.· Modelling of optimal processes governed by partial differential equations.· Complete bibliography.· Includes the latest research on the subject.· Does not assume anything from the reader except basic functional analysis.· Accessible to researchers and advanced graduate students alike




Infinite Dimensional And Finite Dimensional Stochastic Equations And Applications In Physics


Book Description

This volume contains survey articles on various aspects of stochastic partial differential equations (SPDEs) and their applications in stochastic control theory and in physics.The topics presented in this volume are:This book is intended not only for graduate students in mathematics or physics, but also for mathematicians, mathematical physicists, theoretical physicists, and science researchers interested in the physical applications of the theory of stochastic processes.




Mathematical Control Theory


Book Description

Geared primarily to an audience consisting of mathematically advanced undergraduate or beginning graduate students, this text may additionally be used by engineering students interested in a rigorous, proof-oriented systems course that goes beyond the classical frequency-domain material and more applied courses. The minimal mathematical background required is a working knowledge of linear algebra and differential equations. The book covers what constitutes the common core of control theory and is unique in its emphasis on foundational aspects. While covering a wide range of topics written in a standard theorem/proof style, it also develops the necessary techniques from scratch. In this second edition, new chapters and sections have been added, dealing with time optimal control of linear systems, variational and numerical approaches to nonlinear control, nonlinear controllability via Lie-algebraic methods, and controllability of recurrent nets and of linear systems with bounded controls.




An Introduction to Infinite-Dimensional Linear Systems Theory


Book Description

Infinite dimensional systems is now an established area of research. Given the recent trend in systems theory and in applications towards a synthesis of time- and frequency-domain methods, there is a need for an introductory text which treats both state-space and frequency-domain aspects in an integrated fashion. The authors' primary aim is to write an introductory textbook for a course on infinite dimensional linear systems. An important consideration by the authors is that their book should be accessible to graduate engineers and mathematicians with a minimal background in functional analysis. Consequently, all the mathematical background is summarized in an extensive appendix. For the majority of students, this would be their only acquaintance with infinite dimensional systems.




Mathematical Control Theory I


Book Description

This treatment of modern topics related to mathematical systems theory forms the proceedings of a workshop, Mathematical Systems Theory: From Behaviors to Nonlinear Control, held at the University of Groningen in July 2015. The workshop celebrated the work of Professors Arjan van der Schaft and Harry Trentelman, honouring their 60th Birthdays. The first volume of this two-volume work covers a variety of topics related to nonlinear and hybrid control systems. After giving a detailed account of the state of the art in the related topic, each chapter presents new results and discusses new directions. As such, this volume provides a broad picture of the theory of nonlinear and hybrid control systems for scientists and engineers with an interest in the interdisciplinary field of systems and control theory. The reader will benefit from the expert participants’ ideas on exciting new approaches to control and system theory and their predictions of future directions for the subject that were discussed at the workshop.




Control and Observer Design for Nonlinear Finite and Infinite Dimensional Systems


Book Description

This volume presents a well balanced combination of state-of-the-art theoretical results in the field of nonlinear controller and observer design, combined with industrial applications stemming from mechatronics, electrical, (bio–) chemical engineering, and fluid dynamics. The unique combination of results of finite as well as infinite–dimensional systems makes this book a remarkable contribution addressing postgraduates, researchers, and engineers both at universities and in industry. The contributions to this book were presented at the Symposium on Nonlinear Control and Observer Design: From Theory to Applications (SYNCOD), held September 15–16, 2005, at the University of Stuttgart, Germany. The conference and this book are dedicated to the 65th birthday of Prof. Dr.–Ing. Dr.h.c. Michael Zeitz to honor his life – long research and contributions on the fields of nonlinear control and observer design.