Elements of Optimal Control Theory

[1]  Brian D. O. Anderson,et al.  Linear Optimal Control , 1971 .

[2]  Robert E. Kalaba,et al.  Dynamic Programming and Modern Control Theory , 1966 .

[3]  Kok Lay Teo,et al.  An upwind finite-difference method for the approximation of viscosity solutions to Hamilton-Jacobi-Bellman equations , 2000 .

[4]  B. Goh.  The Second Variation for the Singular Bolza Problem , 1966 .

[5]  B. Goh,et al.  Management and analysis of biological populations , 1982 .

[6]  Warren B. Powell,et al.  “Approximate dynamic programming: Solving the curses of dimensionality” by Warren B. Powell , 2007, Wiley Series in Probability and Statistics.

[7]  J. Lions.  Optimal Control of Systems Governed by Partial Differential Equations , 1971 .

[8]  W. Fleming,et al.  Deterministic and Stochastic Optimal Control , 1975 .

[9]  Richard Bellman,et al.  Introduction to the mathematical theory of control processes , 1967 .

[10]  B. Goh.  Necessary Conditions for Singular Extremals Involving Multiple Control Variables , 1966 .

[11]  Kok Lay Teo,et al.  Augmented Lagrangian method applied to American option pricing , 2006, Autom..

[12]  K. Teo,et al.  On application of an alternating direction method to Hamilton-Jacobin-Bellman equations , 2004 .

[13]  M. Gerdts.  Optimal Control of ODEs and DAEs , 2011 .

[14]  Kok Lay Teo,et al.  Numerical performance of penalty method for American option pricing , 2010, Optim. Methods Softw..

[15]  Gerald L. Thompson,et al.  Optimal Maintenance Policy and Sale Date of a Machine , 1968 .

[16]  William M. McEneaney,et al.  A Curse-of-Dimensionality-Free Numerical Method for Solution of Certain HJB PDEs , 2007, SIAM J. Control. Optim..

[17]  J. P. Lasalle,et al.  functional analysis and time Optimal Control , 1969 .

[18]  J. Warga.  Optimal control of differential and functional equations , 1972 .

[19]  Kok Lay Teo,et al.  Computational Methods for Optimizing Distributed Systems , 1984 .

[20]  G. Leitmann,et al.  Mathematical Methods of Optimal Control , 1971 .

[21]  Kok Lay Teo,et al.  Optimal control of distributed parameter systems , 1981 .

[22]  M. Namik Oguztöreli,et al.  Time-lag control systems , 1966 .

[23]  A. J. Laub,et al.  Efficient matrix-valued algorithms for solving stiff Riccati differential equations , 1990 .

[24]  L. S. Pontryagin,et al.  Mathematical Theory of Optimal Processes , 1962 .

[25]  K. Teo,et al.  Solving Hamilton-Jacobi-Bellman equations by a modified method of characteristics , 2000 .

[26]  Kok Lay Teo,et al.  Convergence analysis of a monotonic penalty method for American option pricing , 2008 .

[27]  Frank L. Lewis,et al.  Optimal Control , 1986 .

[28]  E B Lee,et al.  Foundations of optimal control theory , 1967 .

[29]  R. V. Gamkrelidze,et al.  Principles of optimal control theory , 1977 .

[30]  Lucien W. Neustadt,et al.  Optimization: A Theory of Necessary Conditions , 1976 .

[31]  A. G. Butkovskiĭ,et al.  Distributed control systems , 1969 .

[32]  Warren B. Powell,et al.  Approximate Dynamic Programming - Solving the Curses of Dimensionality , 2007 .

[33]  Kok Lay Teo,et al.  A power penalty approach to numerical solutions of two-asset American options , 2009 .

[34]  Ekkehard W. Sachs,et al.  Algorithmic methods in optimal control , 1981 .

[35]  Suresh P. Sethi,et al.  A Survey of the Maximum Principles for Optimal Control Problems with State Constraints , 1995, SIAM Rev..

[36]  Lamberto Cesari,et al.  Optimization-Theory And Applications , 1983 .

[37]  G. Thompson,et al.  Optimal Control Theory: Applications to Management Science and Economics , 2000 .

[38]  N. Ahmed.  Dynamic: Systems and Control With Applications , 2006 .

[39]  Kok Lay Teo,et al.  Numerical Solution of Hamilton-Jacobi-Bellman Equations by an Upwind Finite Volume Method , 2003, J. Glob. Optim..

[40]  Arthur E. Bryson,et al.  Applied Optimal Control , 1969 .