Applied Stochastic System Modeling
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Applied Stochastic System Modeling
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Author : Shunji Osaki
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Applied Stochastic System Modeling written by Shunji Osaki and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
This book was written for an introductory one-semester or two-quarter course in stochastic processes and their applications. The reader is assumed to have a basic knowledge of analysis and linear algebra at an undergraduate level. Stochastic models are applied in many fields such as engineering systems, physics, biology, operations research, business, economics, psychology, and linguistics. Stochastic modeling is one of the promising kinds of modeling in applied probability theory. This book is intended to introduce basic stochastic processes: Poisson pro cesses, renewal processes, discrete-time Markov chains, continuous-time Markov chains, and Markov-renewal processes. These basic processes are introduced from the viewpoint of elementary mathematics without going into rigorous treatments. This book also introduces applied stochastic system modeling such as reliability and queueing modeling. Chapters 1 and 2 deal with probability theory, which is basic and prerequisite to the following chapters. Many important concepts of probabilities, random variables, and probability distributions are introduced. Chapter 3 develops the Poisson process, which is one of the basic and im portant stochastic processes. Chapter 4 presents the renewal process. Renewal theoretic arguments are then used to analyze applied stochastic models. Chapter 5 develops discrete-time Markov chains. Following Chapter 5, Chapter 6 deals with continuous-time Markov chains. Continuous-time Markov chains have im portant applications to queueing models as seen in Chapter 9. A one-semester course or two-quarter course consists of a brief review of Chapters 1 and 2, fol lowed in order by Chapters 3 through 6.
Applied Stochastic Modelling
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Author : Byron J.T. Morgan
language : en
Publisher: CRC Press
Release Date : 2008-12-02
Applied Stochastic Modelling written by Byron J.T. Morgan and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-12-02 with Mathematics categories.
Highlighting modern computational methods, Applied Stochastic Modelling, Second Edition provides students with the practical experience of scientific computing in applied statistics through a range of interesting real-world applications. It also successfully revises standard probability and statistical theory. Along with an updated bibliography and
Stochastic Modeling And Optimization
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Author : David D. Yao
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Modeling And Optimization written by David D. Yao and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
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.
An Introduction To Stochastic Modeling
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Author : Howard M. Taylor
language : en
Publisher: Academic Press
Release Date : 2014-05-10
An Introduction To Stochastic Modeling written by Howard M. Taylor and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-10 with Mathematics categories.
An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Basics Of Applied Stochastic Processes
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Author : Richard Serfozo
language : en
Publisher: Springer
Release Date : 2012-10-02
Basics Of Applied Stochastic Processes written by Richard Serfozo and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-02 with Mathematics categories.
Stochastic processes are mathematical models of random phenomena that evolve according to prescribed dynamics. Processes commonly used in applications are Markov chains in discrete and continuous time, renewal and regenerative processes, Poisson processes, and Brownian motion. This volume gives an in-depth description of the structure and basic properties of these stochastic processes. A main focus is on equilibrium distributions, strong laws of large numbers, and ordinary and functional central limit theorems for cost and performance parameters. Although these results differ for various processes, they have a common trait of being limit theorems for processes with regenerative increments. Extensive examples and exercises show how to formulate stochastic models of systems as functions of a system’s data and dynamics, and how to represent and analyze cost and performance measures. Topics include stochastic networks, spatial and space-time Poisson processes, queueing, reversible processes, simulation, Brownian approximations, and varied Markovian models. The technical level of the volume is between that of introductory texts that focus on highlights of applied stochastic processes, and advanced texts that focus on theoretical aspects of processes.
Stochastic System Reliability Modeling
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Author : Shunji Osaki
language : en
Publisher: World Scientific
Release Date : 1985
Stochastic System Reliability Modeling written by Shunji Osaki and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Technology & Engineering categories.
Probability theory. Stochastic processes. Markov renewal processes. Stochastic models for one-unit systems. Stochastic models for two-unit redundant systems. Stochastic models for fault-tolerant computing systems. Laplace-stieltjes transforms. Signal-flow graphs.
Stochastic System Reliability Modelling
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Author : Shunji Osaki
language : en
Publisher: World Scientific
Release Date : 1985-10-01
Stochastic System Reliability Modelling written by Shunji Osaki and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985-10-01 with Mathematics categories.
This book aims to present an overview of stochastic system reliability modeling for undergraduate and graduate students, engineers and researchers. It is ideal as a one-semester undergraduate or graduate level text in reliability, applied stochastic processes, stochastic operations research and systems engineering. The topics are divided into two parts: The first part deals with probability theory and stochastic processes, which provide the basic ideas of applied stochastic processes and the second part treats their applications to system reliability modelling. Throughout the later half, Markov renewal processes are applied to formulating stochastic models for system reliability. Since a fairly intermediate level of mathematics is assumed two appendices on Laplace-Stieltjes transforms and signal flow graphs provide much background material. The text is pedagogically sound.
Stochastic Systems
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Author : P. R. Kumar
language : en
Publisher: SIAM
Release Date : 2015-12-15
Stochastic Systems written by P. R. Kumar and has been published by SIAM this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-12-15 with Mathematics categories.
Since its origins in the 1940s, the subject of decision making under uncertainty has grown into a diversified area with application in several branches of engineering and in those areas of the social sciences concerned with policy analysis and prescription. These approaches required a computing capacity too expensive for the time, until the ability to collect and process huge quantities of data engendered an explosion of work in the area. This book provides succinct and rigorous treatment of the foundations of stochastic control; a unified approach to filtering, estimation, prediction, and stochastic and adaptive control; and the conceptual framework necessary to understand current trends in stochastic control, data mining, machine learning, and robotics.?
Stochastic Analysis Stochastic Systems And Applications To Finance
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Author : Allanus Hak-Man Tsoi
language : en
Publisher: World Scientific
Release Date : 2011
Stochastic Analysis Stochastic Systems And Applications To Finance written by Allanus Hak-Man Tsoi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Business & Economics categories.
Pt. I. Stochastic analysis and systems. 1. Multidimensional Wick-Ito formula for Gaussian processes / D. Nualart and S. Ortiz-Latorre. 2. Fractional white noise multiplication / A.H. Tsoi. 3. Invariance principle of regime-switching diffusions / C. Zhu and G. Yin -- pt. II. Finance and stochastics. 4. Real options and competition / A. Bensoussan, J.D. Diltz and S.R. Hoe. 5. Finding expectations of monotone functions of binary random variables by simulation, with applications to reliability, finance, and round robin tournaments / M. Brown, E.A. Pekoz and S.M. Ross. 6. Filtering with counting process observations and other factors : applications to bond price tick data / X. Hu, D.R. Kuipers and Y. Zeng. 7. Jump bond markets some steps towards general models in applications to hedging and utility problems / M. Kohlmann and D. Xiong. 8. Recombining tree for regime-switching model : algorithm and weak convergence / R.H. Liu. 9. Optimal reinsurance under a jump diffusion model / S. Luo. 10. Applications of counting processes and martingales in survival analysis / J. Sun. 11. Stochastic algorithms and numerics for mean-reverting asset trading / Q. Zhang, C. Zhuang and G. Yin
Linear Stochastic Systems
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Author : Anders Lindquist
language : en
Publisher: Springer
Release Date : 2015-04-24
Linear Stochastic Systems written by Anders Lindquist and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-24 with Science categories.
This book presents a treatise on the theory and modeling of second-order stationary processes, including an exposition on selected application areas that are important in the engineering and applied sciences. The foundational issues regarding stationary processes dealt with in the beginning of the book have a long history, starting in the 1940s with the work of Kolmogorov, Wiener, Cramér and his students, in particular Wold, and have since been refined and complemented by many others. Problems concerning the filtering and modeling of stationary random signals and systems have also been addressed and studied, fostered by the advent of modern digital computers, since the fundamental work of R.E. Kalman in the early 1960s. The book offers a unified and logically consistent view of the subject based on simple ideas from Hilbert space geometry and coordinate-free thinking. In this framework, the concepts of stochastic state space and state space modeling, based on the notion of the conditional independence of past and future flows of the relevant signals, are revealed to be fundamentally unifying ideas. The book, based on over 30 years of original research, represents a valuable contribution that will inform the fields of stochastic modeling, estimation, system identification, and time series analysis for decades to come. It also provides the mathematical tools needed to grasp and analyze the structures of algorithms in stochastic systems theory.