Stochastic Modeling
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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.
Stochastic Modeling
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Author : Barry L. Nelson
language : en
Publisher: Courier Corporation
Release Date : 2012-10-11
Stochastic Modeling written by Barry L. Nelson and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-11 with Mathematics categories.
Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.
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.
Probability And Stochastic Modeling
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Author : Vladimir I. Rotar
language : en
Publisher: CRC Press
Release Date : 2012-08-25
Probability And Stochastic Modeling written by Vladimir I. Rotar and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-25 with Mathematics categories.
A First Course in Probability with an Emphasis on Stochastic Modeling Probability and Stochastic Modeling not only covers all the topics found in a traditional introductory probability course, but also emphasizes stochastic modeling, including Markov chains, birth-death processes, and reliability models. Unlike most undergraduate-level probability texts, the book also focuses on increasingly important areas, such as martingales, classification of dependency structures, and risk evaluation. Numerous examples, exercises, and models using real-world data demonstrate the practical possibilities and restrictions of different approaches and help students grasp general concepts and theoretical results. The text is suitable for majors in mathematics and statistics as well as majors in computer science, economics, finance, and physics. The author offers two explicit options to teaching the material, which is reflected in "routes" designated by special "roadside" markers. The first route contains basic, self-contained material for a one-semester course. The second provides a more complete exposition for a two-semester course or self-study.
Stochastic Modelling Of Electricity And Related Markets
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Author : Fred Espen Benth
language : en
Publisher: World Scientific
Release Date : 2008
Stochastic Modelling Of Electricity And Related Markets written by Fred Espen Benth and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Business & Economics categories.
The markets for electricity, gas and temperature have distinctive features, which provide the focus for countless studies. For instance, electricity and gas prices may soar several magnitudes above their normal levels within a short time due to imbalances in supply and demand, yielding what is known as spikes in the spot prices. The markets are also largely influenced by seasons, since power demand for heating and cooling varies over the year. The incompleteness of the markets, due to nonstorability of electricity and temperature as well as limited storage capacity of gas, makes spot-forward hedging impossible. Moreover, futures contracts are typically settled over a time period rather than at a fixed date. All these aspects of the markets create new challenges when analyzing price dynamics of spot, futures and other derivatives.This book provides a concise and rigorous treatment on the stochastic modeling of energy markets. Ornstein?Uhlenbeck processes are described as the basic modeling tool for spot price dynamics, where innovations are driven by time-inhomogeneous jump processes. Temperature futures are studied based on a continuous higher-order autoregressive model for the temperature dynamics. The theory presented here pays special attention to the seasonality of volatility and the Samuelson effect. Empirical studies using data from electricity, temperature and gas markets are given to link theory to practice.
Elements Of Stochastic Modelling
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Author : K. A. Borovkov
language : en
Publisher: World Scientific
Release Date : 2003
Elements Of Stochastic Modelling written by K. A. Borovkov and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Mathematics categories.
This textbook has been developed from the lecture notes for a one-semester course on stochastic modelling. It reviews the basics of probability theory and then covers the following topics: Markov chains, Markov decision processes, jump Markov processes, elements of queueing theory, basic renewal theory, elements of time series and simulation. Rigorous proofs are often replaced with sketches of arguments ? with indications as to why a particular result holds, and also how it is connected with other results ? and illustrated by examples. Wherever possible, the book includes references to more specialised texts containing both proofs and more advanced material related to the topics covered.
Stochastic Modeling Of Microstructures
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Author : Kazimierz Sobczyk
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Modeling Of Microstructures written by Kazimierz Sobczyk 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.
A major challenge in applied mathematics and mechanics of materials is to describe various types of material microstructures. The details of the microstructure of most natural and engineered materials are usually obscure; uncertainty and randomness are the inherent features. This complexity due to material heterogeneity has not been A major challenge in applied mathematics and mechanics of materials is to describe various types of material microstructures. The details of the microstructure of most natural and engineered materials are usually obscure; uncertainty and randomness are the inherent features. This complexity due to material heterogeneity has not been adequately described by current classical models and theories. Stochastic Modeling of Microstructures presents a concise and unified presentation of the basic principles and tools for the modeling of real materials, natural and man-made, that possess complex, random heterogeneity. The book uses the language and methods of random field theory combined with the basic constructs of stochastic geometry and geometrical/spatial statistics in order to give the reader the knowledge necessary to model various types of material microstructures. The application of the theoretical constructs reviewed in the first three chapters to the analysis of empirical data via the tools of statistical inference is also discussed. The final chapters address practical aspects of specific modeling problems. Features- ú First comprehensive introduction to the comparatively new field of stochastic modeling of material microstructures ú Presentation of basic tools required from the diverse subjects of random field theory, stochastic geometry and spatial statistics ú Provides background concepts from probability theory and stochastic processes are provided ú Applications from various fields are discussed, including stochastic wave propagation and the mechanics of
An Introduction To Stochastic Modeling
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Author : Mark Pinsky
language : en
Publisher: Academic Press
Release Date : 2010-11-18
An Introduction To Stochastic Modeling written by Mark Pinsky and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-11-18 with Mathematics categories.
Serving as the foundation for a one-semester course in stochastic processes for students familiar with elementary probability theory and calculus, Introduction to Stochastic Modeling, Fourth Edition, bridges the gap between basic probability and an intermediate level course in stochastic processes. The objectives of the text are to introduce students to the standard concepts and methods of stochastic modeling, to illustrate the rich diversity of applications of stochastic processes in the applied sciences, and to provide exercises in the application of simple stochastic analysis to realistic problems. New to this edition: - Realistic applications from a variety of disciplines integrated throughout the text, including more biological applications - Plentiful, completely updated problems - Completely updated and reorganized end-of-chapter exercise sets, 250 exercises with answers - New chapters of stochastic differential equations and Brownian motion and related processes - Additional sections on Martingale and Poisson process - Realistic applications from a variety of disciplines integrated throughout the text - Extensive end of chapter exercises sets, 250 with answers - Chapter 1-9 of the new edition are identical to the previous edition - New! Chapter 10 - Random Evolutions - New! Chapter 11- Characteristic functions and Their Applications
Optimization Of Stochastic Models
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Author : Georg Ch. Pflug
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Optimization Of Stochastic Models written by Georg Ch. Pflug 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.
Stochastic models are everywhere. In manufacturing, queuing models are used for modeling production processes, realistic inventory models are stochastic in nature. Stochastic models are considered in transportation and communication. Marketing models use stochastic descriptions of the demands and buyer's behaviors. In finance, market prices and exchange rates are assumed to be certain stochastic processes, and insurance claims appear at random times with random amounts. To each decision problem, a cost function is associated. Costs may be direct or indirect, like loss of time, quality deterioration, loss in production or dissatisfaction of customers. In decision making under uncertainty, the goal is to minimize the expected costs. However, in practically all realistic models, the calculation of the expected costs is impossible due to the model complexity. Simulation is the only practicable way of getting insight into such models. Thus, the problem of optimal decisions can be seen as getting simulation and optimization effectively combined. The field is quite new and yet the number of publications is enormous. This book does not even try to touch all work done in this area. Instead, many concepts are presented and treated with mathematical rigor and necessary conditions for the correctness of various approaches are stated. Optimization of Stochastic Models: The Interface Between Simulation and Optimization is suitable as a text for a graduate level course on Stochastic Models or as a secondary text for a graduate level course in Operations Research.
Stochastic Models Of Systems
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Author : Vladimir S. Korolyuk
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Models Of Systems written by Vladimir S. Korolyuk 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.
In this monograph stochastic models of systems analysis are discussed. It covers many aspects and different stages from the construction of mathematical models of real systems, through mathematical analysis of models based on simplification methods, to the interpretation of real stochastic systems. The stochastic models described here share the property that their evolutionary aspects develop under the influence of random factors. It has been assumed that the evolution takes place in a random medium, i.e. unilateral interaction between the system and the medium. As only Markovian models of random medium are considered in this book, the stochastic models described here are determined by two processes, a switching process describing the evolution of the systems and a switching process describing the changes of the random medium. Audience: This book will be of interest to postgraduate students and researchers whose work involves probability theory, stochastic processes, mathematical systems theory, ordinary differential equations, operator theory, or mathematical modelling and industrial mathematics.