Continuous-Time Markov Chains and Applications (eBook)

A Two-Time-Scale Approach
eBook Download: PDF
2012 | 2nd ed. 2013
XXII, 430 Seiten
Springer New York (Verlag)
978-1-4614-4346-9 (ISBN)

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Continuous-Time Markov Chains and Applications - G. George Yin, Qing Zhang
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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.
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 14.11.2012
Reihe/Serie Stochastic Modelling and Applied Probability
Stochastic Modelling and Applied Probability
Zusatzinfo XXII, 430 p.
Verlagsort New York
Sprache englisch
Themenwelt Mathematik / Informatik Mathematik Analysis
Mathematik / Informatik Mathematik Statistik
Mathematik / Informatik Mathematik Wahrscheinlichkeit / Kombinatorik
Technik
Wirtschaft Betriebswirtschaft / Management Planung / Organisation
Schlagworte continuous-time systems • markov chains • probability vectors • Stochastic Processes
ISBN-10 1-4614-4346-6 / 1461443466
ISBN-13 978-1-4614-4346-9 / 9781461443469
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