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Continuous-Time Markov Chains and Applications A Two-Time-Scale Approach

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, propert...

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Bibliographic Details
Main Authors: Yin, G. George, Zhang, Qing (Author)
Format: eBook
Language:English
Published: New York, NY Springer New York 2013, 2013
Edition:2nd ed. 2013
Series:Stochastic Modelling and Applied Probability
Subjects:
Operations Research, Management Science
Operations Research
Engineering Mathematics
Management Science
Calculus Of Variations And Optimization
Probability Theory
Engineering / Data Processing
Mathematical Optimization
Mathematical And Computational Engineering Applications
Calculus Of Variations
Probabilities
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Table of Contents:
  • Prologue and Preliminaries: Introduction and overview- Mathematical preliminaries
  • Markovian models
  • Two-Time-Scale Markov Chains: Asymptotic Expansions of Solutions for Forward Equations
  • Occupation Measures: Asymptotic Properties and Ramification
  • Asymptotic Expansions of Solutions for Backward Equations
  • Applications:MDPs, Near-optimal Controls, Numerical Methods, and LQG with Switching: Markov Decision Problems
  • Stochastic Control of Dynamical Systems
  • Numerical Methods for Control and Optimization
  • Hybrid LQG Problems
  • References
  • Index.-

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