Math 712: Spring 2008: Literature & Resources

[a partial list; to be updated...]

 

 

Books & Manuscripts (in alphabetical order)

 

  1. [AMO] Ahuja, Ravindra K.; Magnanti, Thomas L.; Orlin, James B.
    Network Flows.
    Prentice Hall, Upper Saddle River, NJ, 1993.

 

  1. [BCD] Bardi, Martino; Capuzzo-Dolcetta, Italo.
    Optimal control and viscosity solutions of Hamilton-Jacobi-Bellman equations.
    Birkhäuser, Boston, MA, 1997.

 

  1. [BB] Basar, Tamer; Bernhard, Pierre.
    H-infinity optimal control and related minimax design problems.
    A dynamic game approach. Second edition.
    Birkhäuser, Boston, MA, 1995.

 

  1. [BO] Basar, Tamer; Olsder, Geert J.
    Dynamic noncooperative game theory. Reprint of the second (1995) edition.
    Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 1999.

 

  1. [B1] Bertsekas, Dimitri P.
    Dynamic Programming and Optimal Control: 3rd Edition. (Volumes I and II)
    Athena Scientific, Boston, MA,2007.

 

  1. [B2] Bertsekas, Dimitri P.
    Network optimization: continuous & discrete models.
    Athena Scientific, Boston, MA,1998.

 

  1. [BT] Bertsekas, Dimitri P.; Tsitsiklis, John N.
    Neuro-Dynamic Programming
    Athena Scientific, Boston, MA,1996.

 

  1. [BP] Bressan, Alberto; Piccoli, Benedetto.
    Introduction to the Mathematical Theory of Control
    American Institute of Mathematical Sciences,2007.

 

  1. [CIL] Crandall, Michael G.; Ishii, Hitoshi; Lions, Pierre-Louis.
    User's guide to viscosity solutions of second order partial differential equations.
    Bull. Amer. Math. Soc. (N.S.) 27 (1992), no. 1, 1--67.
    http://arxiv.org/abs/math.AP/9207212

 

  1. [E] Evans, Lawrence C.
    Partial Differential Equations.
    American Mathematical Society, Providence, RI, 1998.

 

  1. [FS] Fleming, Wendell H.; Soner H.M.
    Controlled Markov Processes and Viscosity Solutions. Second Edition.
    Springer, New York, NY2006.

 

  1. [I] Isaacs, Rufus.
    Differential games. A mathematical theory with applications to warfare and pursuit, control and optimization.
    John Wiley & Sons, Inc., New York-London-Sydney, 1965.

 

  1. [KD] Kushner, Harold J.; Dupuis, Paul.
    Numerical methods for stochastic control problems in continuous time. Second edition.
    Springer-Verlag, New York, NY, 2001.

 

  1. [OF] Osher, Stanley J.; Fedkiw, Ronald P.
    Level Set Methods and Dynamic Implicit Surfaces.
    Springer-Verlag, New York, NY, 2002.

 

  1. [S] Sethian, James A.
    Level set methods and fast marching methods. Evolving interfaces in computational geometry, fluid mechanics, computer vision, and materials science. Second edition.
    Cambridge University Press, Cambridge, 1999.

 

 

 

 

 

Primary Online Resources

 

Lecture notes for D. Bertesekas' course on
"Dynamic Programming & Stochastic Control"
http://www.athenasc.com/DP_Slides.pdf
http://web.mit.edu/6.231/www/

 

Lecture notes for D. Pucci de Farias' course on
"Decision Making in Large-Scale Systems"
http://stellar.mit.edu/S/course/2/sp04/2.997/materials.html

 

Lecture notes for R. Kohn's course on
"PDEs for Finance"
http://www.math.nyu.edu/faculty/kohn/pde_finance.html

 

Lecture notes for T. Basar's course on
"Optimum Control Systems"
http://decision.csl.uiuc.edu/~tbasar/ece553/

 

Lecture notes for T. Basar's course on
"Static and Dynamic Game Theory"
http://courses.ece.uiuc.edu/ece586/TB/

 

Lecture notes for I. Mitchell's course on
"Level Set Methods"
http://www.cs.ubc.ca/~mitchell/Class/CS542D.2006W2/

 

Lecture notes for B. Bernhardsson's course on
"Game Theory"
http://www.control.lth.se/~bob/game99/

 

 

 

Other Resources (economists' perspective)

 

Jim Ratliff (prev. Arizona), Graduate-Level Course in Game Theory
Max Stinchcombe (Texas), Notes for a Course in Game Theory
Max Stinchcombe (Texas), Dynamics and Learning (evolutionary game theory)
Christopher Carroll (JHU), Solution Methods for Microeconomic Dynamic Stochastic Optimization Problems (computational methods)

http://www.econphd.net/notes.htm