Research Catalog

Title

Stochastic processes, optimization, and control theory : applications in financial engineering, queueing networks and manufacturing systems : a volume in honor of Suresh Sethi / Houmin Yan, George Yin, and Qing Zhang, editors.

Publication

New York : Springer, ©2006.

Items in the Library & Off-site

Details

Additional Authors

• Yan, Houmin.
• Yin, George, 1954-
• Zhang, Qing, 1959-
• Sethi, Suresh P.

Description

xlvi, 360 pages : illustrations; 24 cm.

Summary

"Stochastic distribution control (SDC) systems are widely seen in practical industrial processes, the aim of the controller design being generation of output probability density functions for non-Gaussian systems. Examples of SDC processes are: particle-size-distribution control in chemical engineering, flame-distribution control in energy generation and combustion engines, steel and film production, papermaking and general quality data distribution control for various industries. SDC is different from well-developed forms of stochastic control like minimum-variance and linear-quadratic-Gaussian control, in which the aim is limited to the design of controllers for the output mean and variances. An important recent development in SDC-related problems is the establishment of intelligent SDC models and the intensive use of linear-matrix-inequality-based (LMI-based) convex optimization methods. Within this theoretical framework, control parameter determination can be designed and stability and robustness of closed-loop systems can be analyzed. Stochastic Distribution Control System Design describes the new framework of SDC system design and provides a comprehensive description of the modelling of controller design tools and their real-time implementation. The book starts with a review of current research on SDC and moves on to some basic techniques for modelling and controller design of SDC systems. This is followed by a description of controller design for fixed-control-structure SDC systems, PDF control for general input- and output-represented systems, filtering designs, and fault detection and diagnosis (FDD) for SDC systems. Many new LMI techniques being developed for SDC systems are shown to have independent theoretical significance for robust control and FDD problems. This monograph will be of interest to academic researchers in statistical, robust and process control, and FDD, process and quality control engineers working in industry and as a reference for graduate control students."--Publisher's website.

Series Statement

International series in operations research & management science ; 94

Uniform Title

International series in operations research & management science ; 94.

Subject

• Stochastic systems
• Production control > Mathematical models
• Kontrolltheorie
• Optimierung
• Stochastischer Prozess
• Stochastische processen
• Optimaliseren

Genre/Form

Aufsatzsammlung.

Note

• Series no. from p. [4] of cover.

Bibliography (note)

• Includes bibliographical references and index.

Contents

1. TCP-AQM interaction : periodic optimization via linear programming / K.E. Avrachenkov, L.D. Finlay and V.G. Gaitsgory -- 2. Explicit solutions of linear quadratic differential games / A. Bensoussan -- 3. Extended generators of Markov processes and applications / T.R. Bielecki and E. Frankiewicz -- 4. Control of manufacturing systems with delayed inspection and limited capacity / E.K. Boukas -- 5. Admission control in the presence of priorities : a sample path approach / F. Chen and V.G. Kulkarni -- 6. Some bilinear stochastic equations with a fractional Brownian motion / T.E. Duncan -- 7. Two types of risk / J.A. Filar and B. Kang -- 8. Optimal production policy in a stochastic manufacturing system / Y. Guo and H. Zhang -- 9. A stochastic control approach to optimal climate policies / A. Haurie -- 10. Characterization of just in time sequencing via apportionment / J. Jozefowska, L. Jozefowski and W. Kubiak -- 11. Linear stochastic equations in a Hilbert space with a fractional Brownian motion / B. Pasik-Duncan, T.E. Duncan and B. Maslowski -- 12. Hedging options with transaction costs / W. Suo -- 13. Supply portfolio selection and execution with demand information updates / H. Wang and H. Yan -- 14. A regime-switching model for European options / D.D. Yao, Q. Zhang and X.Y. Zhou -- 15. Pricing American put options using stochastic optimization methods / G. Yin, J.W. Wang, Q. Zhang, Y.J. Liu and R.H. Liu -- 16. Optimal portfolio application with double-uniform jump model / Z. Zhu and F.B. Hanson.

ISBN

• 0387337709
• 9780387337708

LCCN

• 2006924379
• 9780387337708

OCLC

• ocm70171531
• 70171531
• SCSB-9178623

Owning Institutions

Princeton University Library