Deterministic and Stochastic Optimal Control
by Wendell H. Fleming, Raymond W. Rishel · first published 1975
33% recommend67% neutral
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader
Affiliate links. As an Amazon Associate I earn from qualifying purchases.
Mentions per year
What Hacker News says
Related books
2010–2025The art and theory of dynamic programming
Stuart E. Dreyfus
Recommended by 1 · mentioned by 41 recommend · 4 mention1 recommend · 41 recommend
2010–2025Controlled Markov processes
E. B. Dynkin
Recommended by 1 · mentioned by 41 recommend · 4 mention1 recommend · 41 recommend
2011–2025Foundations of optimal control theory
E. B. Lee
Recommended by 1 · mentioned by 21 recommend · 2 mention1 recommend · 21 recommend
2011–2026Optimization by Vector Space Methods
David G. Luenberger
Recommended by 7 · mentioned by 87 recommend · 8 mention7 recommend · 87 recommend
2009–2025Real and complex analysis
Walter Rudin
Recommended by 25 · mentioned by 4025 recommend · 40 mention25 recommend · 4025 recommend
…Dynamic Programming. Stuart E. Dreyfus and Averill M. Law, The Art and Theory of Dynamic Programming. E. B. Dynkin and A. A. Yushkevich, Controlled Markov Processes. Wendell H. Fleming and Raymond W. Rishel, Deterministic and Stochastic Optimal Control. There is more from R. T. Rockafellar and R. J.-B. Wets. And of course we should mention R. Bellman, the father of this subject.
on “Decision Making Under Uncertainty with POMDPs.jl” ↗…Dynamic Programming. Stuart E. Dreyfus and Averill M. Law, The Art and Theory of Dynamic Programming. E. B. Dynkin and A. A. Yushkevich, Controlled Markov Processes. Wendell H. Fleming and Raymond W. Rishel, Deterministic and Stochastic Optimal Control. There is more from R. T. Rockafellar and R. J.-B. Wets. And of course we should mention R. Bellman. IIRC, Dreyfus was a Bellman student, and Dynkin's dissertation advisors were Gelfand and Kolmogorov.
on “The Mathematics of 2048: Optimal Play with Markov Decision Processes (2018)” ↗…P.\ Bertsekas and Steven E.\ Shreve, {\it Stochastic Optimal Control: The Discrete Time Case,\/} ISBN 0-12-093260-1, Academic Press, New York, 1978.\ \ Wendell H.\ Fleming and Raymond W.\ Rishel, {\it Deterministic and Stochastic Optimal Control,\/} ISBN 0-387-90155-8, Springer-Verlag, Berlin, 1979.\ \ some of my work, etc. Dynamic programming has been and is a major interest of the Department of Operations Research and Financial Engineering…
on “Solving dynamic programming interview problems” ↗…0-12-221860-4, Academic Press. Dimitri P. Bertsekas and Steven E. Shreve, 'Stochastic Optimal Control: The Discrete Time Case', ISBN 0-12-093260-1, Academic Press. Wendell H. Fleming and Raymond W. Rishel, 'Deterministic and Stochastic Optimal Control', ISBN 0-387-90155-8, Springer-Verlag, Berlin, 1979. E. B. Dynkin and A. A. Yushkevich, 'Controlled Markov Processes', ISBN 0-387-90387-9, Springer-Verlag, Berlin. So, a lot of quite serious applied…
on “Super easy project planning and estimation” ↗…given the present). There is, from MIT and CMU, Dimitri P. Bertsekas and Steven E. Shreve, Stochastic Optimal Control: The Discrete Time Case. And there is Wendell H. Fleming and Raymond W. Rishel, Deterministic and Stochastic Optimal Control. There are papers by R. Rockafellar, long at U. Washington. There is now an ambitious program at Princeton in the department of Operations Research and Financial Engineering. I tried to get IBM's Watson…
on “David Patterson Says It’s Time for New Computer Architectures and Languages” ↗For control theory from a mathematician, Fleming, long at the Division of Applied Mathematics at Brown University, there is: Wendell H. Fleming and Raymond W. Rishel, Deterministic and Stochastic Optimal Control, ISBN 0-387-90155-8, Springer-Verlag, Berlin, 1979. There is more on optimization, especially from the Hahn-Banach theorem, and also Kalman filtering, in David G. Luenberger, Optimization by Vector…
on “Algorithms for Decision Making” ↗…Wiley and Sons, New York\ \ E.\ B.\ Dynkin and A.\ A.\ Yushkevich, {\it Controlled Markov Processes,\/} ISBN 0-387-90387-9, Springer-Verlag, Berlin.\ \ Wendell H.\ Fleming and Raymond W.\ Rishel, {\it Deterministic and Stochastic Optimal Control,\/} ISBN 0-387-90155-8, Springer-Verlag, Berlin.\ \ Michael Athans and Peter L.\ Falb, {\it Optimal Control:\ \ An Introduction to the Theory and Its Applications,\/} McGraw-Hill Book Company, New York.\…
on ““Dynamic programming” is not referring to “computer programming”” ↗…Press, New York, 1978.\ \ E.\ B.\ Dynkin and A.\ A.\ Yushkevich, {\it Controlled Markov Processes,\/} ISBN 0-387-90387-9, Springer-Verlag, Berlin, 1979.\ \ Wendell H.\ Fleming and Raymond W.\ Rishel, {\it Deterministic and Stochastic Optimal Control,\/} ISBN 0-387-90155-8, Springer-Verlag, Berlin, 1979.\ \ For the word segmentation problem, for some positive integer n, we are given a string of length n of characters of the alphabet, and we are given…
on “Retiring a Great Interview Problem” ↗…algorithms in 'advanced computer science', commonly they want to treat optimization. Tilt! Optimization is a huge field from applied math, operations research, and electrical engineering. There is deterministic and stochastic optimal control, Kalman filtering, integer linear programming, and much more. It's darned good applied math, and the math background I outlined is needed. "numerical analysis" That's a field of applied math. E.g.,…
on “Advanced Computer Science Courses” ↗