Relative Optimization Of Continuous Time And Continuous State Stochastic Systems
DOWNLOAD
Download Relative Optimization Of Continuous Time And Continuous State Stochastic Systems PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Relative Optimization Of Continuous Time And Continuous State Stochastic Systems book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Relative Optimization Of Continuous Time And Continuous State Stochastic Systems
DOWNLOAD
Author : Xi-Ren Cao
language : en
Publisher: Springer Nature
Release Date : 2020-05-13
Relative Optimization Of Continuous Time And Continuous State Stochastic Systems 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 2020-05-13 with Technology & Engineering categories.
This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming. The book begins with an introduction to relative optimization, including a comparison with the traditional approach of dynamic programming. The text then studies the Markov process, focusing on infinite-horizon optimization problems, and moves on to discuss optimal control of diffusion processes with semi-smooth value functions and degenerate points, and optimization of multi-dimensional diffusion processes. The book concludes with a brief overview of performance derivative-based optimization. Among the more important novel considerations presented are: the extension of the Hamilton–Jacobi–Bellman optimality condition from smooth to semi-smooth value functions by derivation of explicit optimality conditions at semi-smooth points and application of this result to degenerate and reflected processes; proof of semi-smoothness of the value function at degenerate points; attention to the under-selectivity issue for the long-run average and bias optimality; discussion of state classification for time nonhomogeneous continuous processes and multi-class optimization; and development of the multi-dimensional Tanaka formula for semi-smooth functions and application of this formula to stochastic control of multi-dimensional systems with degenerate points. The book will be of interest to researchers and students in the field of stochastic control and performance optimization alike.
Stochastic Models In Reliability Network Security And System Safety
DOWNLOAD
Author : Quan-Lin Li
language : en
Publisher: Springer Nature
Release Date : 2019-10-21
Stochastic Models In Reliability Network Security And System Safety written by Quan-Lin Li and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-21 with Computers categories.
This book is dedicated to Jinhua Cao on the occasion of his 80th birthday. Jinhua Cao is one of the most famous reliability theorists. His main contributions include: published over 100 influential scientific papers; published an interesting reliability book in Chinese in 1986, which has greatly influenced the reliability of education, academic research and engineering applications in China; initiated and organized Reliability Professional Society of China (the first part of Operations Research Society of China) since 1981. The high admiration that Professor Cao enjoys in the reliability community all over the world was witnessed by the enthusiastic response of each contributor in this book. The contributors are leading researchers with diverse research perspectives. The research areas of the book iclude a broad range of topics related to reliability models, queueing theory, manufacturing systems, supply chain finance, risk management, Markov decision processes, blockchain and so forth. The book consists of a brief Preface describing the main achievements of Professor Cao; followed by congratulations from Professors Way Kuo and Wei Wayne Li, and by Operations Research Society of China, and Reliability Professional Society of China; and further followed by 25 articles roughly grouped together. Most of the articles are written in a style understandable to a wide audience. This book is useful to anyone interested in recent developments in reliability, network security, system safety, and their stochastic modeling and analysis.
Foundations Of Average Cost Nonhomogeneous Controlled Markov Chains
DOWNLOAD
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.
Multi State System Reliability Analysis And Optimization For Engineers And Industrial Managers
DOWNLOAD
Author : Anatoly Lisnianski
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-08-02
Multi State System Reliability Analysis And Optimization For Engineers And Industrial Managers written by Anatoly Lisnianski 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 2010-08-02 with Technology & Engineering categories.
Multi-state System Reliability Analysis and Optimization for Engineers and Industrial Managers presents a comprehensive, up-to-date description of multi-state system (MSS) reliability as a natural extension of classical binary-state reliability. It presents all essential theoretical achievements in the field, but is also practically oriented. New theoretical issues are described, including: • combined Markov and semi-Markov processes methods, and universal generating function techniques; • statistical data processing for MSSs; • reliability analysis of aging MSSs; • methods for cost-reliability and cost-availability analysis of MSSs; and • main definitions and concepts of fuzzy MSS. Multi-state System Reliability Analysis and Optimization for Engineers and Industrial Managers also discusses life cycle cost analysis and practical optimal decision making for real world MSSs. Numerous examples are included in each section in order to illustrate mathematical tools. Besides these examples, real world MSSs (such as power generating and transmission systems, air-conditioning systems, production systems, etc.) are considered as case studies. Multi-state System Reliability Analysis and Optimization for Engineers and Industrial Managers also describes basic concepts of MSS, MSS reliability measures and tools for MSS reliability assessment and optimization. It is a self-contained study resource and does not require prior knowledge from its readers, making the book attractive for researchers as well as for practical engineers and industrial managers.
Stochastic Learning And Optimization
DOWNLOAD
Author : Xi-Ren Cao
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-10-23
Stochastic Learning And Optimization written by Xi-Ren Cao 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 2007-10-23 with Computers categories.
Performance optimization is vital in the design and operation of modern engineering systems, including communications, manufacturing, robotics, and logistics. Most engineering systems are too complicated to model, or the system parameters cannot be easily identified, so learning techniques have to be applied. This book provides a unified framework based on a sensitivity point of view. It also introduces new approaches and proposes new research topics within this sensitivity-based framework. This new perspective on a popular topic is presented by a well respected expert in the field.
Introduction To Stochastic Search And Optimization
DOWNLOAD
Author : James C. Spall
language : en
Publisher: John Wiley & Sons
Release Date : 2005-03-11
Introduction To Stochastic Search And Optimization written by James C. Spall and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-03-11 with Mathematics categories.
* Unique in its survey of the range of topics. * Contains a strong, interdisciplinary format that will appeal to both students and researchers. * Features exercises and web links to software and data sets.
Optimization Control And Applications Of Stochastic Systems
DOWNLOAD
Author : Daniel Hernández-Hernández
language : en
Publisher: Birkhäuser
Release Date : 2012-08-14
Optimization Control And Applications Of Stochastic Systems written by Daniel Hernández-Hernández and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-14 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.
Discrete Time Markov Chains
DOWNLOAD
Author : G. George Yin
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-03-30
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 2006-03-30 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.
Control And Dynamic Systems V28
DOWNLOAD
Author : C.T. Leonides
language : en
Publisher: Elsevier
Release Date : 2012-12-02
Control And Dynamic Systems V28 written by C.T. Leonides and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-02 with Technology & Engineering categories.
Control and Dynamic Systems: Advances in Theory in Applications, Volume 28: Advances in Algorithms and Computational Techniques in Dynamic Systems Control, Part 1 of 3 discusses developments in algorithms and computational techniques for control and dynamic systems. This book presents algorithms and numerical techniques used for the analysis and control design of stochastic linear systems with multiplicative and additive noise. It also discusses computational techniques for the matrix pseudoinverse in minimum variance reduced-order filtering and control; decomposition technique in multiobjective discrete-time dynamic problems; computational techniques in robotic systems; reduced complexity algorithm using microprocessors; algorithms for image-based tracking; and modeling of linear and nonlinear systems. This volume will be an important reference source for practitioners in the field who are looking for techniques with significant applied implications.
Optimal Financial Decision Making Under Uncertainty
DOWNLOAD
Author : Giorgio Consigli
language : en
Publisher: Springer
Release Date : 2016-10-17
Optimal Financial Decision Making Under Uncertainty written by Giorgio Consigli and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-17 with Business & Economics categories.
The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows: Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas. Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.