Stochastic Controls Hamiltonian Systems and HJB Equations |
|
| Author:
| Yong, Jiongmin
Zhou, Xun Yu |
| Series title: | Applications of Mathematics Ser. |
| ISBN: | 978-0-387-98723-1 |
| Publication Date: | Jan 1999 |
| Publisher: | Springer
|
| Book Format: | Hardback |
| List Price: | AUD $341.95 |
Book Description:
|
This book unifies the maximum principle and dynamic programming, the two most commonly used approaches in solving optimal control problems. The author shows that the viscosity solution theory provides the unifying framework.
This book unifies the maximum principle and dynamic programming, the two most commonly used approaches in solving optimal control problems. The author shows that the viscosity solution theory provides the unifying framework.