随机动态规划

We start by covering deterministic and stochastic dynamic optimization using dynamic programming analysis.

我们会以使用动态规划分析来处理确定及随机的动态最适化作为开始。

In chapter two, under non-Lipschitz condition, the existence and uniqueness of the solution of the second kind of BSDE is researched, based on it, the stability of the solution is proved; In chapter three, under non-Lipschitz condition, the comparison theorem of the solution of the second kind of BSDE is proved and using the monotone iterative technique , the existence of minimal and maximal solution is constructively proved; in chapter four, on the base of above results, we get some results of the second kind of BSDE which partly decouple with SDE, which include that the solution of the BSDE is continuous in the initial value of SDE and the application to optimal control and dynamic programming. At the end of this section, the character of the corresponding utility function has been discussed, e.g monotonicity, concavity and risk aversion; in chapter 5, for the first land of BSDE ,using the monotone iterative technique , the existence of minimal and maximal solution is proved and other characters and applications to utility function are studied.

首先，第二章在非Lipschitz条件下，研究了第二类方程的解的存在唯一性问题，在此基础上，又证明了解的稳定性；第三章在非Lipschitz条件下，证明了第二类BSDE解的比较定理，并在此基础上，利用单调迭代的方法，构造性证明了最大、最小解的存在性；第四章在以上的一些理论基础之上，得到了相应的与第二类倒向随机微分方程耦合的正倒向随机微分方程系统的一些结果，主要包括倒向随机微分方程的解关于正向随机微分方程的初值是具有连续性的，得到了最优控制和动态规划的一些结果，在这一章的最后还讨论了相应的效用函数的性质，如，效用函数的单调性、凹性以及风险规避性等；第五章，针对第一类倒向随机微分方程，运用单调迭代方法，证明了最大和最小解的存在性，并研究了解的其它性质及在效用函数上的应用。

Based on the principle of Markov process and multiobjective programming, a stochastic multiobjective dynamic programming model considering faced runoff prediction is developed for the optimization of generation and water supply at Danjiangkou reservoir. The reservoir will be used for water supply of the south-north water transfer project.

本文通过对丹江口水库综合利用任务的分析，运用随机规划与多目标规划的基本理论和方法，建立了考虑面临时径流预报下丹江口水库发电及向外流域供水的随机多目标动态规划模型，并分析了长期平稳运行特性。

This is the Massachusetts Institute of Technology on Dynamic Programming and Stochastic Control in courseware, want to learn dynamic programming and stochastic control to all of us help.

详细说明：这是美国麻省理工学院的有关动态规划与随机控制方面的课件，希望对学习动态规划和随机控制方面对大家有所帮助。

At last, we discuss the computational problems in solving the model. After an introduction of some common used algorithms and an analysis on their advantages and shortcomings, a new method for solving stochastic programrning stochastic dual dynamic programming is presented.

本章最后讨论了模型求解问题，在介绍常用随机规划算法和分析它们优缺点的基础上，给出一种新的求解方法一随机对偶动态规划算法。

Linear Programming Model,Multi-Period Stochastic Programming,Dynamic Programming,Asset Allocation

线性规划模型，多期随机规划，动态规划，资产配置

Stochastic programming ; multiobjective ; dynamic programming ; simulation operation

随机规划；多目标；动态规划；模拟运行

This problem is firstly decomposed into two problems including capacity allocation problem and routing problem and then these two problems are integrated.The project establishes a series of mathematical models to analyze the problem by the means of stochastic programming and dynamic programming.

对于不确定环境下全球集装箱的收益管理问题，首先分解为集装箱空箱和重箱的舱位分配问题以及空船与满船的路径问题，然后再集成研究，运用随机规划和动态规划的方法建立一系列的数学模型进行分析。

This book discusses linear and nonlinear programming, dynamic programming, integer programming and stochastic programming.

本书讨论了线性和非线性规划，动态规划，整数规划和随机规划。

And to the problems of special distribution of underlying assets, this paper analyzes the price movement of the underlying assets from the arrival of information, the market efficiency and the market mechanism which decide the price. It also studies the problem of real option pricing when the underlying assets follow the pure jump Poisson, mixed jump-diffusion Merton and mean-reversion model, and obtains the price formula or partial differential equation to price and hedge the real option.

对实物资产的特殊价值分布问题，本文从决定资产价格的市场机制、信息到达方式及市场效率三方面来分析实物资产的价格变动特征；并重点研究当基本资产遵循纯跳跃Poisson过程、跳跃扩散Merton过程及均值回复过程时的实物期权定价问题，运用复制定价和随机动态规划方法，得到确定实物期权价值和风险对冲策略的偏微分方程。

Do you know, i need you to come back

你知道吗，我需要你回来

Yang yinshu、Wang xiangsheng、Li decang,The first discovery of haemaphysalis conicinna.

1〕 杨银书，王祥生，李德昌。安徽省首次发现嗜群血蜱。