Stochastic Optimal Control: The Discrete-Time Case

by Dimitri P. Bertsekas and Steven E. Shreve

ISBN: 1-886529-03-5
Publication: 1996, 330 pages, softcover
Price: $49.50

Contents, Preface, Ordering


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This research monograph, first published in 1978 by Academic Press, remains 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. It is an excellent supplement to the first author's Dynamic Programming and Optimal Control (Athena Scientific, 2000).

Review of the 1978 printing:

"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, Imperial College, in IEEE Trans. on Automatic Control

Among its special features, the book:

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.


Supplementary Material:


Brief Contents Preface Ordering

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Cover designs by Ann Gallager.


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