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This book provides a comprehensive introduction to stochastic control problems in discrete and continuous time. The material is presented logically, beginning with the discrete-time case before proceeding to the stochastic continuous-time models. Central themes are dynamic programming in discrete time and HJB-equations in continuous time. Topics covered include stochastic maximum principles for discrete time and continuous time, even for problems with terminal conditions. Numerous illustrative examples and exercises, with solutions at the end of the book, are included to enhance the understanding of the reader. By interlinking many fields in stochastic control, the material gives the student the opportunity to see the connections between different fields and the underlying ideas that unify them. This text will benefit students in applied mathematics, economics, engineering, and related fields. Prerequisites include a course in calculus and elementary probability theory. No knowledge of measure theory is assumed.

Discrete-time systems. --- Stochastic control theory. --- Stochastic control theory --- Discrete-time systems --- Civil & Environmental Engineering --- Engineering & Applied Sciences --- Operations Research --- 003.76 --- DES (System analysis) --- Discrete event systems --- Sampled-data systems --- Digital control systems --- System analysis --- Linear time invariant systems --- Control theory --- Stochastic processes --- Mathematics. --- System theory. --- Calculus of variations. --- Probabilities. --- Economic theory. --- Probability Theory and Stochastic Processes. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Calculus of Variations and Optimal Control; Optimization. --- Systems Theory, Control. --- Distribution (Probability theory. --- Mathematical optimization. --- Systems theory. --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Maxima and minima --- Operations research --- Simulation methods --- Economic theory --- Political economy --- Social sciences --- Economic man --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Systems, Theory of --- Systems science --- Science --- Isoperimetrical problems --- Variations, Calculus of --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Philosophy

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Design of Observer-based Compensators presents the frequency domain design of observer-based controllers in complete correspondence to well-known time domain results and gives connecting relations at every design stage. This facilitates and adds transparency to the design in the frequency domain which is not as well-established among control engineers as time-domain design. The presentation of the design procedures starts with a short review of the time domain results; therefore, the book also provides quick access to state space methods for control system design. The frequency domain design of observer-based compensators of all orders from the full-order to the completely reduced-order compensator is covered. The design of decoupling and disturbance rejecting controllers is presented. Furthermore, solutions are given to the linear quadratic and the model matching problems. The pole assignment is facilitated by a new parametric approach which is formulated directly in the frequency domain. Anti-windup control is also investigated in the framework of the polynomial approach. Though mainly continuous-time systems are considered, the discrete-time results for disturbance rejection and linear quadratic control are also presented. The monograph contains worked examples that can easily be reproduced by the reader, and the results are illustrated by simulations. Design of Observer-based Compensators will be of use as a reference for control engineers, graduate students and researchers who are familiar with the time domain design and who want to become acquainted with the frequency domain design using polynomial matrices.

Control theory. --- Discrete-time systems. --- Frequencies of oscillating systems. --- System design. --- Systems engineering. --- Time-series analysis. --- Systems engineering --- System design --- Frequencies of oscillating systems --- Time-series analysis --- Discrete-time systems --- Control theory --- Mechanical Engineering --- Engineering & Applied Sciences --- Industrial & Management Engineering --- Mechanical Engineering - General --- DES (System analysis) --- Discrete event systems --- Sampled-data systems --- Analysis of time series --- Frequencies of vibrating systems --- Frequency analysis (Dynamics) --- Frequency of oscillation --- Frequency of vibration --- Vibration frequencies --- Design, System --- Systems design --- Engineering systems --- System engineering --- Design and construction --- Engineering. --- System theory. --- Control engineering. --- Robotics. --- Mechatronics. --- Control. --- Systems Theory, Control. --- Control, Robotics, Mechatronics. --- Dynamics --- Machine theory --- Digital control systems --- System analysis --- Linear time invariant systems --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Oscillations --- Vibration --- Electronic data processing --- Engineering --- Industrial engineering --- Systems theory. --- Control and Systems Theory. --- Mechanical engineering --- Microelectronics --- Microelectromechanical systems --- Automation --- Systems, Theory of --- Systems science --- Science --- Control engineering --- Control equipment --- Engineering instruments --- Programmable controllers --- Philosophy

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The study of discrete structures and networks becomes more and more important in decision theory. A relevant topic in modern control theory reflecting this fact is concerned with multiobjective control problems and dynamical games. The monograph presents recent developments and applications in the field of multiobjective control of time-discrete systems with a finite set of states. The dynamics of such systems is described by a directed graph in which each vertex corresponds to a dynamic state and the edges correspond to transitions of the system moving from one state to another. This characterization allows us to formulate the considered control models on special dynamic networks. Suitable algorithms are derived exploiting multilayered structures. Game theoretical properties are characterized. A multilayered game on a network can be used to model a certain trading procedure of emission certificates within Kyoto process. Optimal economic behavior and equilibria can be determined.

Equilibrium (Economics). --- Game theory. --- Mathematical optimization. --- Discrete-time systems --- Control theory --- Dynamic programming --- Optimization --- Civil & Environmental Engineering --- Engineering & Applied Sciences --- Operations Research --- Discrete-time systems. --- Control theory. --- Dynamic programming. --- Program transformation (Computer programming) --- Computer program optimization --- Computer program transformation --- Optimization of computer programs --- Transformation of computer programs --- DES (System analysis) --- Discrete event systems --- Sampled-data systems --- Mathematics. --- Operations research. --- Decision making. --- Calculus of variations. --- Control engineering. --- Robotics. --- Mechatronics. --- Quality control. --- Reliability. --- Industrial safety. --- Calculus of Variations and Optimal Control; Optimization. --- Operation Research/Decision Theory. --- Quality Control, Reliability, Safety and Risk. --- Control, Robotics, Mechatronics. --- Computer programming --- Mathematical optimization --- Programming (Mathematics) --- Systems engineering --- Dynamics --- Machine theory --- Digital control systems --- System analysis --- Linear time invariant systems --- System safety. --- Operations Research/Decision Theory. --- Safety, System --- Safety of systems --- Systems safety --- Accidents --- Industrial safety --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Optimization (Mathematics) --- Optimization techniques --- Optimization theory --- Systems optimization --- Mathematical analysis --- Maxima and minima --- Operations research --- Simulation methods --- Prevention --- Mechanical engineering --- Microelectronics --- Microelectromechanical systems --- Automation --- Control engineering --- Control equipment --- Engineering instruments --- Programmable controllers --- Industrial accidents --- Industries --- Job safety --- Occupational hazards, Prevention of --- Occupational health and safety --- Occupational safety and health --- Prevention of industrial accidents --- Prevention of occupational hazards --- Safety, Industrial --- Safety engineering --- Safety measures --- Safety of workers --- System safety --- Dependability --- Trustworthiness --- Conduct of life --- Factory management --- Reliability (Engineering) --- Sampling (Statistics) --- Standardization --- Quality assurance --- Quality of products --- Deciding --- Decision (Psychology) --- Decision analysis --- Decision processes --- Making decisions --- Management --- Management decisions --- Choice (Psychology) --- Problem solving --- Isoperimetrical problems --- Variations, Calculus of --- Decision making