Stochastic Modeling and Optimization With Applications in Queues, Finance, and Supply Chains
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Auteur:
Maurice M. Reeder
Hangin Zhang
Co-auteur:
Xun Yu Zhou
- Engels
- Hardcover
- 9780387955827
- 14 januari 2003
- 468 pagina's
Samenvatting
The first part is a col lection of several basic methodologies: singularly perturbed Markov chains (Chapter 1), and related applications in stochastic optimal control (Chapter 2);
The objective of this volume is to highlight through a collection of chap ters some of the recent research works in applied prob ability, specifically stochastic modeling and optimization. The volume is organized loosely into four parts. The first part is a col lection of several basic methodologies: singularly perturbed Markov chains (Chapter 1), and related applications in stochastic optimal control (Chapter 2); stochastic approximation, emphasizing convergence properties (Chapter 3); a performance-potential based approach to Markov decision program ming (Chapter 4); and interior-point techniques (homogeneous self-dual embedding and central path following) applied to stochastic programming (Chapter 5). The three chapters in the second part are concerned with queueing the ory. Chapters 6 and 7 both study processing networks - a general dass of queueing networks - focusing, respectively, on limit theorems in the form of strong approximation, and the issue of stability via connections to re lated fluid models. The subject of Chapter 8 is performance asymptotics via large deviations theory, when the input process to a queueing system exhibits long-range dependence, modeled as fractional Brownian motion.
The objective of this volume is to highlight through a collection of chap ters some of the recent research works in applied prob ability, specifically stochastic modeling and optimization. The volume is organized loosely into four parts. The first part is a col lection of several basic methodologies: singularly perturbed Markov chains (Chapter 1), and related applications in stochastic optimal control (Chapter 2); stochastic approximation, emphasizing convergence properties (Chapter 3); a performance-potential based approach to Markov decision program ming (Chapter 4); and interior-point techniques (homogeneous self-dual embedding and central path following) applied to stochastic programming (Chapter 5). The three chapters in the second part are concerned with queueing the ory. Chapters 6 and 7 both study processing networks - a general dass of queueing networks - focusing, respectively, on limit theorems in the form of strong approximation, and the issue of stability via connections to re lated fluid models. The subject of Chapter 8 is performance asymptotics via large deviations theory, when the input process to a queueing system exhibits long-range dependence, modeled as fractional Brownian motion.
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- Hardcover
- Oorspronkelijke releasedatum
- 14 januari 2003
- Aantal pagina's
- 468
- Illustraties
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Betrokkenen
- Hoofdauteur
- Maurice M. Reeder
- Tweede Auteur
- Hangin Zhang
- Co Auteur
- Xun Yu Zhou
- Hoofdredacteur
- David D. Yao
- Tweede Redacteur
- Hanqin Zhang
- Co Redacteur
- X.Y. Zhou
- Hoofduitgeverij
- Springer-Verlag New York Inc.
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- 2003 ed.
- Extra groot lettertype
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- 155 mm
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- 155 mm
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- 794 g
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- 9780387955827
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