## Stochastic Optimal Control: The Discrete-Time CaseThis 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, 2018). 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: 1) Resolves definitively the mathematical issues of discrete-time stochastic optimal control problems, including Borel models, and semi-continuous models 2) Establishes the most general possible theory of finite and infinite horizon stochastic dynamic programming models, through the use of analytic sets and universally measurable policies 3) Develops general frameworks for dynamic programming based on abstract contraction and monotone mappings 4) Provides extensive background on analytic sets, Borel spaces and their probability measures 5) Contains much in depth research not found in any other textbook |

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### Contents

1 | |

25 | |

Finite Horizon Models | 39 |

Infinite Horizon Models Under a Contraction Assumption | 52 |

Infinite Horizon Models Under Monotonicity Assumptions | 70 |

A Generalized Abstract Dynamic Programming Model | 91 |

Borel Spaces and Their Probability Measures | 101 |

The Finite Horizon Borel Model | 188 |

The Imperfect State Information Model | 242 |

Miscellaneous | 266 |

The Outer Integral | 273 |

Additional Measurability Properties of Borel Spaces | 282 |

The Hausdorff Metric and the Exponential Topology | 303 |

312 | |

Table of Propositions Lemmas Definitions and Assumptions | 317 |

321 | |

### Other editions - View all

Stochastic Optimal Control: The Discrete Time Case, Volume 139 Dimitri P. Bertsekas No preview available - 1961 |