Stochastic Optimal Control: The Discrete-Time Case (Optimization and Neural Computation Series)

Softcover

ISBN 10: 1886529035 ISBN 13: 9781886529038

Publisher: Athena Scientific, 2007

This research monograph is the authoritative and comprehensive treatment of the mathematical foundations of stochastic optimal control of discrete-time systems, including the treatment of the intricate measure-theoretic issues.

About the Author:

Dimitri P. Bertsekas is McAfee Professor of Engineering at the Massachusetts Institute of Technology and a member of the National Academy of Engineering. Steven Shreve is Professor of Mathematics at the Carnegie Mellon University.

Review:

Bertsekas and Shreve have written a fine book. The exposition is extremely clear and a helpful introductory chapter provides orientation and a guide to the rather intimidating mass of literature on the subject. Apart from anything else, the book serves as an excellent introduction to the arcane world of analytic sets and other lesser known byways of measure theory. --Mark H. A. Davis, in IEEE Trans. on Automatic Control