Continuous Time Markov Chains
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Continuous Time Markov Chains
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Author : William J. Anderson
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Continuous Time Markov Chains written by William J. Anderson 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 Mathematics categories.
Continuous time parameter Markov chains have been useful for modeling various random phenomena occurring in queueing theory, genetics, demography, epidemiology, and competing populations. This is the first book about those aspects of the theory of continuous time Markov chains which are useful in applications to such areas. It studies continuous time Markov chains through the transition function and corresponding q-matrix, rather than sample paths. An extensive discussion of birth and death processes, including the Stieltjes moment problem, and the Karlin-McGregor method of solution of the birth and death processes and multidimensional population processes is included, and there is an extensive bibliography. Virtually all of this material is appearing in book form for the first time.
Continuous Time Markov Chains And Applications
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Author : G. George Yin
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-11-14
Continuous Time Markov Chains And Applications written by G. George Yin 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 2012-11-14 with Mathematics categories.
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.
Continuous Time Markov Processes
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Author : Thomas Milton Liggett
language : en
Publisher: American Mathematical Soc.
Release Date : 2010
Continuous Time Markov Processes written by Thomas Milton Liggett and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Mathematics categories.
Markov processes are among the most important stochastic processes for both theory and applications. This book develops the general theory of these processes, and applies this theory to various special examples.
Discrete Time Markov Chains
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Author : G. George Yin
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-10-04
Discrete Time Markov Chains written by G. George Yin 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 2005-10-04 with Mathematics categories.
This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems from existing and emerging applications in optimization and control of complex systems in manufacturing, wireless communication, and ?nancial engineering. Much of our e?ort in this book is devoted to designing system models arising from various applications, analyzing them via analytic and probabilistic techniques, and developing feasible compu- tionalschemes. Ourmainconcernistoreducetheinherentsystemcompl- ity. Although each of the applications has its own distinct characteristics, all of them are closely related through the modeling of uncertainty due to jump or switching random processes. Oneofthesalientfeaturesofthisbookistheuseofmulti-timescalesin Markovprocessesandtheirapplications. Intuitively,notallpartsorcom- nents of a large-scale system evolve at the same rate. Some of them change rapidly and others vary slowly. The di?erent rates of variations allow us to reduce complexity via decomposition and aggregation. It would be ideal if we could divide a large system into its smallest irreducible subsystems completely separable from one another and treat each subsystem indep- dently. However, this is often infeasible in reality due to various physical constraints and other considerations. Thus, we have to deal with situations in which the systems are only nearly decomposable in the sense that there are weak links among the irreducible subsystems, which dictate the oc- sional regime changes of the system. An e?ective way to treat such near decomposability is time-scale separation. That is, we set up the systems as if there were two time scales, fast vs. slow. xii Preface Followingthetime-scaleseparation,weusesingularperturbationmeth- ology to treat the underlying systems.
Markov Chains
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Author : Pierre Bremaud
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09
Markov Chains written by Pierre Bremaud 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 2013-03-09 with Mathematics categories.
Primarily an introduction to the theory of stochastic processes at the undergraduate or beginning graduate level, the primary objective of this book is to initiate students in the art of stochastic modelling. However it is motivated by significant applications and progressively brings the student to the borders of contemporary research. Examples are from a wide range of domains, including operations research and electrical engineering. Researchers and students in these areas as well as in physics, biology and the social sciences will find this book of interest.
Continuous Time Markov Decision Processes
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Author : Xianping Guo
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-09-18
Continuous Time Markov Decision Processes written by Xianping Guo 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 2009-09-18 with Mathematics categories.
Continuous-time Markov decision processes (MDPs), also known as controlled Markov chains, are used for modeling decision-making problems that arise in operations research (for instance, inventory, manufacturing, and queueing systems), computer science, communications engineering, control of populations (such as fisheries and epidemics), and management science, among many other fields. This volume provides a unified, systematic, self-contained presentation of recent developments on the theory and applications of continuous-time MDPs. The MDPs in this volume include most of the cases that arise in applications, because they allow unbounded transition and reward/cost rates. Much of the material appears for the first time in book form.
Selected Topics On Continuous Time Controlled Markov Chains And Markov Games
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Author : Tomás Prieto-Rumeau
language : en
Publisher: World Scientific
Release Date : 2012
Selected Topics On Continuous Time Controlled Markov Chains And Markov Games written by Tomás Prieto-Rumeau and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Mathematics categories.
This book concerns continuous-time controlled Markov chains, also known as continuous-time Markov decision processes. They form a class of stochastic control problems in which a single decision-maker wishes to optimize a given objective function. This book is also concerned with Markov games, where two decision-makers (or players) try to optimize their own objective function. Both decision-making processes appear in a large number of applications in economics, operations research, engineering, and computer science, among other areas.An extensive, self-contained, up-to-date analysis of basic optimality criteria (such as discounted and average reward), and advanced optimality criteria (e.g., bias, overtaking, sensitive discount, and Blackwell optimality) is presented. A particular emphasis is made on the application of the results herein: algorithmic and computational issues are discussed, and applications to population models and epidemic processes are shown.This book is addressed to students and researchers in the fields of stochastic control and stochastic games. Moreover, it could be of interest also to undergraduate and beginning graduate students because the reader is not supposed to have a high mathematical background: a working knowledge of calculus, linear algebra, probability, and continuous-time Markov chains should suffice to understand the contents of the book.
Continuous Time Markov Jump Linear Systems
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Author : Oswaldo Luiz do Valle Costa
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-18
Continuous Time Markov Jump Linear Systems written by Oswaldo Luiz do Valle Costa 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 2012-12-18 with Mathematics categories.
It has been widely recognized nowadays the importance of introducing mathematical models that take into account possible sudden changes in the dynamical behavior of a high-integrity systems or a safety-critical system. Such systems can be found in aircraft control, nuclear power stations, robotic manipulator systems, integrated communication networks and large-scale flexible structures for space stations, and are inherently vulnerable to abrupt changes in their structures caused by component or interconnection failures. In this regard, a particularly interesting class of models is the so-called Markov jump linear systems (MJLS), which have been used in numerous applications including robotics, economics and wireless communication. Combining probability and operator theory, the present volume provides a unified and rigorous treatment of recent results in control theory of continuous-time MJLS. This unique approach is of great interest to experts working in the field of linear systems with Markovian jump parameters or in stochastic control. The volume focuses on one of the few cases of stochastic control problems with an actual explicit solution and offers material well-suited to coursework, introducing students to an interesting and active research area. The book is addressed to researchers working in control and signal processing engineering. Prerequisites include a solid background in classical linear control theory, basic familiarity with continuous-time Markov chains and probability theory, and some elementary knowledge of operator theory.
Reliability And Availability Engineering
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Author : Kishor S. Trivedi
language : en
Publisher: Cambridge University Press
Release Date : 2017-08-03
Reliability And Availability Engineering written by Kishor S. Trivedi and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-08-03 with Computers categories.
Learn about the techniques used for evaluating the reliability and availability of engineered systems with this comprehensive guide.
Continuos Time Markov Modulated Chains In Operations Research
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Author : Alexander M Andronov
language : en
Publisher: World Scientific
Release Date : 2024-04-22
Continuos Time Markov Modulated Chains In Operations Research written by Alexander M Andronov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-04-22 with Mathematics categories.
Probabilistic models are widely used for description and an analysis of various processes in system reliability, risk, queuing, data communication, logistic and storage systems. The book contains various applications of the theory of continuous-time Markov-modulated processes in operation research. All analytical results are illustrated by numerical computations. Used algorithms allow overcoming computation difficulties successfully. For example, a calculation of transient probabilities of states for a continuous-time finite Markov chain uses eigenvalues and eigenvectors of the corresponding matrix (generator). In a more complex case of differential or integral equations, such a simple explicit form of a solution is missing. The explicit form of solution is presented by means of infinity sums of functions. For example, often we have to deal with the so-called renewal equation. Its solution is presented as an infinite sum of the renewal function. In this case, an approximation of functions of interest and iterative computation procedures are used.