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This volume contains papers presented during a four-dayWorkshop that took place at Rutgers University from 29 Aprilto 2 May, 1991. The purpose of this workshop was to promoteinteraction among specialists in these areas byprovidingfor all an up-to-date picture of current issues andoutstanding problems.The topics covered include singular stochasticcontrol,queuing networks, the mathematical theory of stochasticoptimization and filtering, adaptive control and theestimation for random fields and its connections withsimulated annealing, statistical mechanics, andcombinatorial optimization.
List of contents
Estimates of cycle times in stochastic petri nets.- On Bellman equations of ergodic control in R n .- Some results on the filtering Riccati equation with random parameters.- Multi-dimensional finite-fuel singular stochastic control.- Numerical methods in ergodic optimal stochastic control and application.- Exponential triangular cooling schedules for simulated annealing algorithms : A case study.- A numerical method for a calculus of variations problem with discontinuous integrand.- Piecewise monotone filtering with small observation noise: Numerical simulations.- Particle approximation for first order stochastic partial differential equations.- An infinite-dimensional LP solution to control of a continuous, monotone process.- An optimal control depending on the conditional density of the unobserved state.- Partially observed control of Markov processes.- Numerical approximation for nonlinear filtering and finite-time observers.- A numerical method for stochastic singular control problems with nonadditive controls.- Averaging for martingale problems and stochastic approximation.- A nonlinear filter with two time scales.- Bounds for the price of options.- Brownian and diffusion decision processes.- Kantorovich's functionals in space of measures.- Partially parallel simulated annealing: Low and high temperature approach of the invariante measure.- Martingale representation for a class of processes with independent increments and its applications.
