Further Topics On Discrete Time Markov Control Processes
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Further Topics On Discrete Time Markov Control Processes
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Author : Onesimo Hernandez-Lerma
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Further Topics On Discrete Time Markov Control Processes written by Onesimo Hernandez-Lerma 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.
This book presents the second part of a two-volume series devoted to a sys tematic exposition of some recent developments in the theory of discrete time Markov control processes (MCPs). As in the first part, hereafter re ferred to as "Volume I" (see Hernandez-Lerma and Lasserre [1]), interest is mainly confined to MCPs with Borel state and control spaces, and possibly unbounded costs. However, an important feature of the present volume is that it is essentially self-contained and can be read independently of Volume I. The reason for this independence is that even though both volumes deal with similar classes of MCPs, the assumptions on the control models are usually different. For instance, Volume I deals only with nonnegative cost per-stage functions, whereas in the present volume we allow cost functions to take positive or negative values, as needed in some applications. Thus, many results in Volume Ion, say, discounted or average cost problems are not applicable to the models considered here. On the other hand, we now consider control models that typically re quire more restrictive classes of control-constraint sets and/or transition laws. This loss of generality is, of course, deliberate because it allows us to obtain more "precise" results. For example, in a very general context, in §4.
Further Topics On Discrete Time Markov Control Processes
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Author : Onesimo Hernandez-Lerma
language : en
Publisher: Springer
Release Date : 2012-10-12
Further Topics On Discrete Time Markov Control Processes written by Onesimo Hernandez-Lerma and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-12 with Mathematics categories.
Devoted to a systematic exposition of some recent developments in the theory of discrete-time Markov control processes, the text is mainly confined to MCPs with Borel state and control spaces. Although the book follows on from the author's earlier work, an important feature of this volume is that it is self-contained and can thus be read independently of the first. The control model studied is sufficiently general to include virtually all the usual discrete-time stochastic control models that appear in applications to engineering, economics, mathematical population processes, operations research, and management science.
Optimization Control And Applications Of Stochastic Systems
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Author : Daniel Hernández-Hernández
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-15
Optimization Control And Applications Of Stochastic Systems written by Daniel Hernández-Hernández 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 2012-08-15 with Science categories.
This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields. Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.
Stochastic Processes Finance And Control
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Author : Robert J. Elliot
language : en
Publisher: World Scientific
Release Date : 2012
Stochastic Processes Finance And Control written by Robert J. Elliot 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 Festschrift is dedicated to Robert J Elliott on the occasion of his 70th birthday It brings together a collection of chapters by distinguished and eminent scholars in the fields of stochastic processes, filtering and control, as well as their applications to mathematical finance It presents cutting edge developments in these fields and is a valuable source of references for researchers, graduate students and market practitioners in mathematical finance and financial engineering Topics include the theory of stochastic processes, differential and stochastic games, mathematical finance, filtering and control.
Handbook Of Markov Decision Processes
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Author : Eugene A. Feinberg
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Handbook Of Markov Decision Processes written by Eugene A. Feinberg 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.
Eugene A. Feinberg Adam Shwartz This volume deals with the theory of Markov Decision Processes (MDPs) and their applications. Each chapter was written by a leading expert in the re spective area. The papers cover major research areas and methodologies, and discuss open questions and future research directions. The papers can be read independently, with the basic notation and concepts ofSection 1.2. Most chap ters should be accessible by graduate or advanced undergraduate students in fields of operations research, electrical engineering, and computer science. 1.1 AN OVERVIEW OF MARKOV DECISION PROCESSES The theory of Markov Decision Processes-also known under several other names including sequential stochastic optimization, discrete-time stochastic control, and stochastic dynamic programming-studiessequential optimization ofdiscrete time stochastic systems. The basic object is a discrete-time stochas tic system whose transition mechanism can be controlled over time. Each control policy defines the stochastic process and values of objective functions associated with this process. The goal is to select a "good" control policy. In real life, decisions that humans and computers make on all levels usually have two types ofimpacts: (i) they cost orsavetime, money, or other resources, or they bring revenues, as well as (ii) they have an impact on the future, by influencing the dynamics. In many situations, decisions with the largest immediate profit may not be good in view offuture events. MDPs model this paradigm and provide results on the structure and existence of good policies and on methods for their calculation.
Modern Trends In Controlled Stochastic Processes
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Author : Alexey Piunovskiy
language : en
Publisher: Springer Nature
Release Date : 2021-06-04
Modern Trends In Controlled Stochastic Processes written by Alexey Piunovskiy and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-06-04 with Technology & Engineering categories.
This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers discussed at the traditional Liverpool workshop on controlled stochastic processes with participants from both the east and the west. New problems are formulated, and progresses of ongoing research are reported. Topics covered in this book include theoretical results and numerical methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information, optimal filtering, robust control, Q-learning, and self-organizing algorithms. Real-life case studies and applications, e.g., queueing systems, forest management, control of water resources, marketing science, and healthcare, are presented. Scientific researchers and postgraduate students interested in stochastic optimal control,- as well as practitioners will find this book appealing and a valuable reference.
Foundations Of Average Cost Nonhomogeneous Controlled Markov Chains
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Author : Xi-Ren Cao
language : en
Publisher: Springer Nature
Release Date : 2020-09-09
Foundations Of Average Cost Nonhomogeneous Controlled Markov Chains written by Xi-Ren Cao and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-09 with Technology & Engineering categories.
This Springer brief addresses the challenges encountered in the study of the optimization of time-nonhomogeneous Markov chains. It develops new insights and new methodologies for systems in which concepts such as stationarity, ergodicity, periodicity and connectivity do not apply. This brief introduces the novel concept of confluencity and applies a relative optimization approach. It develops a comprehensive theory for optimization of the long-run average of time-nonhomogeneous Markov chains. The book shows that confluencity is the most fundamental concept in optimization, and that relative optimization is more suitable for treating the systems under consideration than standard ideas of dynamic programming. Using confluencity and relative optimization, the author classifies states as confluent or branching and shows how the under-selectivity issue of the long-run average can be easily addressed, multi-class optimization implemented, and Nth biases and Blackwell optimality conditions derived. These results are presented in a book for the first time and so may enhance the understanding of optimization and motivate new research ideas in the area.
Image Analysis Random Fields And Markov Chain Monte Carlo Methods
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Author : Gerhard Winkler
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Image Analysis Random Fields And Markov Chain Monte Carlo Methods written by Gerhard Winkler 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.
This second edition of G. Winkler's successful book on random field approaches to image analysis, related Markov Chain Monte Carlo methods, and statistical inference with emphasis on Bayesian image analysis concentrates more on general principles and models and less on details of concrete applications. Addressed to students and scientists from mathematics, statistics, physics, engineering, and computer science, it will serve as an introduction to the mathematical aspects rather than a survey. Basically no prior knowledge of mathematics or statistics is required. The second edition is in many parts completely rewritten and improved, and most figures are new. The topics of exact sampling and global optimization of likelihood functions have been added.
Proceedings Of Income V Cepe Net 2020
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Author : Dong Zhen
language : en
Publisher: Springer Nature
Release Date : 2021-05-15
Proceedings Of Income V Cepe Net 2020 written by Dong Zhen and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-15 with Technology & Engineering categories.
This volume gathers the latest advances, innovations and applications in the field of condition monitoring, plant maintenance and reliability, as presented by leading international researchers and engineers at the 5th International Conference on Maintenance Engineering and the 2020 Annual Conference of the Centre for Efficiency and Performance Engineering Network (IncoME-V & CEPE Net-2020), held in Zhuhai, China on October 23-25, 2020. Topics include vibro-acoustics monitoring, condition-based maintenance, sensing and instrumentation, machine health monitoring, maintenance auditing and organization, non-destructive testing, reliability, asset management, condition monitoring, life-cycle cost optimisation, prognostics and health management, maintenance performance measurement, manufacturing process monitoring, and robot-based monitoring and diagnostics. The contributions, which were selected through a rigorous international peer-review process, share exciting ideas that will spur novel research directions and foster new multidisciplinary collaborations.
Examples In Markov Decision Processes
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Author : A. B. Piunovskiy
language : en
Publisher: World Scientific
Release Date : 2013
Examples In Markov Decision Processes written by A. B. Piunovskiy and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Mathematics categories.
This invaluable book provides approximately eighty examples illustrating the theory of controlled discrete-time Markov processes. Except for applications of the theory to real-life problems like stock exchange, queues, gambling, optimal search etc, the main attention is paid to counter-intuitive, unexpected properties of optimization problems. Such examples illustrate the importance of conditions imposed in the theorems on Markov Decision Processes. Many of the examples are based upon examples published earlier in journal articles or textbooks while several other examples are new. The aim was to collect them together in one reference book which should be considered as a complement to existing monographs on Markov decision processes. The book is self-contained and unified in presentation. The main theoretical statements and constructions are provided, and particular examples can be read independently of others. Examples in Markov Decision Processes is an essential source of reference for mathematicians and all those who apply the optimal control theory to practical purposes. When studying or using mathematical methods, the researcher must understand what can happen if some of the conditions imposed in rigorous theorems are not satisfied. Many examples confirming the importance of such conditions were published in different journal articles which are often difficult to find. This book brings together examples based upon such sources, along with several new ones. In addition, it indicates the areas where Markov decision processes can be used. Active researchers can refer to this book on applicability of mathematical methods and theorems. It is also suitable reading for graduate and research students where they will better understand the theory.