Handbook Of Stochastic Processes Optimization And Control Theory
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Handbook Of Stochastic Processes Optimization And Control Theory
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Author : Sharples Norris
language : en
Publisher:
Release Date : 2012-09
Handbook Of Stochastic Processes Optimization And Control Theory written by Sharples Norris and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09 with Mathematical optimization categories.
This book discusses issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the handbook is highly multi-disciplinary. It addresses operations research, control theory and optimization, stochastic analysis, and financial engineering and reviews and substantially updates the recent progress in these fields.
Stochastic Optimization In Continuous Time
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Author : Fwu-Ranq Chang
language : en
Publisher: Cambridge University Press
Release Date : 2004-04-26
Stochastic Optimization In Continuous Time written by Fwu-Ranq Chang 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 2004-04-26 with Business & Economics categories.
First published in 2004, this is a rigorous but user-friendly book on the application of stochastic control theory to economics. A distinctive feature of the book is that mathematical concepts are introduced in a language and terminology familiar to graduate students of economics. The standard topics of many mathematics, economics and finance books are illustrated with real examples documented in the economic literature. Moreover, the book emphasises the dos and don'ts of stochastic calculus, cautioning the reader that certain results and intuitions cherished by many economists do not extend to stochastic models. A special chapter (Chapter 5) is devoted to exploring various methods of finding a closed-form representation of the value function of a stochastic control problem, which is essential for ascertaining the optimal policy functions. The book also includes many practice exercises for the reader. Notes and suggested readings are provided at the end of each chapter for more references and possible extensions.
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.
Handbook Of Simulation Optimization
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Author : Michael C Fu
language : en
Publisher: Springer
Release Date : 2014-11-13
Handbook Of Simulation Optimization written by Michael C Fu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-13 with Business & Economics categories.
The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading contributors cover such topics as discrete optimization via simulation, ranking and selection, efficient simulation budget allocation, random search methods, response surface methodology, stochastic gradient estimation, stochastic approximation, sample average approximation, stochastic constraints, variance reduction techniques, model-based stochastic search methods and Markov decision processes. This single volume should serve as a reference for those already in the field and as a means for those new to the field for understanding and applying the main approaches. The intended audience includes researchers, practitioners and graduate students in the business/engineering fields of operations research, management science, operations management and stochastic control, as well as in economics/finance and computer science.
Process Optimization
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Author : Enrique del Castillo
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-09-14
Process Optimization written by Enrique del Castillo 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 2007-09-14 with Mathematics categories.
PROCESS OPTIMIZATION: A Statistical Approach is a textbook for a course in experimental optimization techniques for industrial production processes and other "noisy" systems where the main emphasis is process optimization. The book can also be used as a reference text by Industrial, Quality and Process Engineers and Applied Statisticians working in industry, in particular, in semiconductor/electronics manufacturing and in biotech manufacturing industries.
Principles Of Mathematics In Operations Research
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Author : Levent Kandiller
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-12-18
Principles Of Mathematics In Operations Research written by Levent Kandiller 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 2006-12-18 with Mathematics categories.
Principles of Mathematics in Operations Research is a comprehensive survey of the mathematical concepts and principles of industrial mathematics. Its purpose is to provide students and professionals with an understanding of the fundamental mathematical principles used in Industrial Mathematics/OR in modeling problems and application solutions. All the concepts presented in each chapter have undergone the learning scrutiny of the author and his students. The conceptual relationships within the chapter material have been developed in the classroom experience working with the students' level of understanding. The illustrative material throughout the book (i.e., worked-out problems and examples of the mathematical principles) was refined for student comprehension as the manuscript developed through its iterations, and the chapter exercises are refined from the previous year's exercises. In sum, the author has carefully developed a pedagogically strong survey textbook of OR and Industrial Mathematics.
Linear And Nonlinear Programming
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Author : David G. Luenberger
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-06-20
Linear And Nonlinear Programming written by David G. Luenberger 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 2008-06-20 with Business & Economics categories.
This third edition of the classic textbook in Optimization has been fully revised and updated. It comprehensively covers modern theoretical insights in this crucial computing area, and will be required reading for analysts and operations researchers in a variety of fields. The book connects the purely analytical character of an optimization problem, and the behavior of algorithms used to solve it. Now, the third edition has been completely updated with recent Optimization Methods. The book also has a new co-author, Yinyu Ye of California’s Stanford University, who has written lots of extra material including some on Interior Point Methods.
Stochastic Programming
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Author : Horand Gassmann
language : en
Publisher: World Scientific
Release Date : 2013
Stochastic Programming written by Horand Gassmann 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 Business & Economics categories.
This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.
Just In Time Scheduling
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Author : Joanna Jozefowska
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-08-08
Just In Time Scheduling written by Joanna Jozefowska 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 2007-08-08 with Technology & Engineering categories.
As supply chain management has matured, maintaining the precise flow of goods to manage schedules (and minimize inventories) on a just-in-time basis still presents major challenges. This has inspired an array of models and algorithms to help ensure the precise flow of components and final products into inventories to meet just-in-time requirements. This is the first survey of the theoretical work on computer systems models and algorithms utilized in just-in-time scheduling.
Nested Partitions Method Theory And Applications
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Author : Leyuan Shi
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-30
Nested Partitions Method Theory And Applications written by Leyuan Shi 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 2008-10-30 with Mathematics categories.
Thesubjectofthisbookisthenested partitions method(NP),arelativelynew optimization method that has been found to be very e?ective solving discrete optimization problems. Such discrete problems are common in many practical applications and the NP method is thus useful in diverse application areas. It can be applied to both operational and planning problems and has been demonstrated to e?ectively solve complex problems in both manufacturing and service industries. To illustrate its broad applicability and e?ectiveness, in this book we will show how the NP method has been successful in solving complex problems in planning and scheduling, logistics and transportation, supply chain design, data mining, and health care. All of these diverse app- cationshaveonecharacteristicincommon:theyallleadtocomplexlarge-scale discreteoptimizationproblemsthatareintractableusingtraditionaloptimi- tion methods. 1.1 Large-Scale Optimization IndevelopingtheNPmethodwewillconsideroptimization problemsthatcan be stated mathematically in the following generic form: minf(x), (1.1) x?X where the solution space or feasible region X is either a discrete or bounded ? set of feasible solutions. We denote a solution to this problem x and the ? ? objective function value f = f (x ).