[连续马尔科夫链]Continuous-Time Markov Chains and Applications

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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.

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Product Details

• Series: Stochastic Modelling and Applied Probability (Book 37)
• Hardcover: 430 pages
• Publisher: Springer; 2nd ed. 2013 edition (October 25, 2012)
• Language: English
• ISBN-10: 1461443458
• ISBN-13: 978-1461443452
• Product Dimensions: 6.1 x 1 x 9.2 inches
• Shipping Weight: 1.8 pounds (View shipping rates and policies)
  

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关键词：Applications Application Continuous cation Chains occupation naturally backward measures between

lasgpope 发表于 2015-4-18 22:34
This book gives a systematic treatment of singularly perturbed systems that naturally arise in contr ...

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Continuous-Time Markov Chains and Applications

kankan

markove chains好东西

时齐马尔科夫链

学习下

thyanks for sharing