Continuous-Time Markov Chains and Applications

A Two-Time-Scale Approach
Buch | Hardcover
430 Seiten
2012 | 2nd ed. 2013
Springer-Verlag New York Inc.
978-1-4614-4345-2 (ISBN)

Lese- und Medienproben

Continuous-Time Markov Chains and Applications - G. George Yin, Qing Zhang
139,09 inkl. MwSt
This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. To bridge the gap between theory and applications, a large portion of the book is devoted to applications in controlled dynamic systems, production planning, and numerical methods for controlled Markovian systems with large-scale and complex structures in the real-world problems. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. The chapters on analytic and probabilistic properties of two-time-scale Markov chains have been almost completely rewritten and the notation has been streamlined and simplified.

This book is written for applied mathematicians, engineers, operations researchers, and applied scientists. Selected material from the book can also be used for a one semester advanced graduate-level course in applied probability and stochastic processes.

​ Prologue and Preliminaries: Introduction and overview- Mathematical preliminaries.- Markovian models.- Two-Time-Scale Markov Chains: Asymptotic Expansions of Solutions for Forward Equations.- Occupation Measures: Asymptotic Properties and Ramification.- Asymptotic Expansions of Solutions for Backward Equations.- Applications:MDPs, Near-optimal Controls, Numerical Methods, and LQG with Switching: Markov Decision Problems.- Stochastic Control of Dynamical Systems.- Numerical Methods for Control and Optimization.- Hybrid LQG Problems.- References.- Index.-

Erscheint lt. Verlag 25.10.2012
Reihe/Serie Stochastic Modelling and Applied Probability ; 37
Zusatzinfo XXII, 430 p.
Verlagsort New York, NY
Sprache englisch
Maße 155 x 235 mm
Themenwelt Mathematik / Informatik Mathematik Analysis
Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
Wirtschaft Betriebswirtschaft / Management
Schlagworte continuous-time systems • markov chains • probability vectors • Stochastic Processes
ISBN-10 1-4614-4345-8 / 1461443458
ISBN-13 978-1-4614-4345-2 / 9781461443452
Zustand Neuware
Haben Sie eine Frage zum Produkt?
Wie bewerten Sie den Artikel?
Bitte geben Sie Ihre Bewertung ein:
Bitte geben Sie Daten ein:
Mehr entdecken
aus dem Bereich

von Tilo Arens; Frank Hettlich; Christian Karpfinger …

Buch | Hardcover (2022)
Springer Spektrum (Verlag)
79,99