Markov models and optimization:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London [u.a.]
Chapman & Hall
1993
|
| Edition: | 1. ed. |
| Series: | Monographs on statistics and applied probability
49 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XIV, 295 S. graph. Darst. |
| ISBN: | 041231410X |
Staff View
MARC
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| 100 | 1 | |a Davis, Mark H. A. |d 1945-2020 |e Verfasser |0 (DE-588)120781611 |4 aut | |
| 245 | 1 | 0 | |a Markov models and optimization |c M. H. A. Davis |
| 250 | |a 1. ed. | ||
| 264 | 1 | |a London [u.a.] |b Chapman & Hall |c 1993 | |
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| 490 | 1 | |a Monographs on statistics and applied probability |v 49 | |
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| 650 | 4 | |a Optimización matemática | |
| 650 | 7 | |a Regeltheorie |2 gtt | |
| 650 | 4 | |a Control theory | |
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Record in the Search Index
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|---|---|
| adam_text | Contents
Preface ix
1 Analysis, probability and stochastic processes 1
11 Analysis 2
12 Probability theory 8
13 Stochastic processes 16
14 Markov processes 23
15 Notes and references 33
2 Piecewise deterministic Markov processes 35
21 Markov models and supplementary variables 36
22 Ordinary differential equations and vector fields 52
23 Simulation 55
24 Definition of the PDP 57
25 The strong Markov property 62
26 The extended generator of the PDP 66
27 Further Markov properties of the PDP 74
28 Notes and references 79
3 Distributions and expectations 81
31 The differential formula and transformations of PDPs 82
32 Expectations 92
33 Applications 101
34 Stationary distributions 111
35 Notes and references 132
4 Control theory 134
41 Feedback control of PDPs 135
42 Naive dynamic programming 139
43 Relaxed controls 147
44 Control via discrete time dynamic programming 151
viii CONTENTS
45 Non smooth analysis and deterministic optimal
control 164
46 Necessary and sufficient conditions for optimality:
the generalized Bellman equation 170
47 Discrete stage Markov decision models 181
48 Notes and references 185
5 Control by intervention 186
51 Optimal stopping 188
52 Randomized stopping 205
53 Variational inequalities and the penalty method 211
54 Impulse control 226
55 Computational methods 250
56 Notes and references 254
Appendix: Jump processes and their martingales 256
Al Definition of the jump process 257
A2 Structure of stopping times and stopped (j fields 259
A3 Predictability 263
A4 The single jump process 266
A5 Local martingale representation for the general
jump process 275
Bibliography 280
Index of notation 287
Subject index 289
|
| adam_txt |
Contents
Preface ix
1 Analysis, probability and stochastic processes 1
11 Analysis 2
12 Probability theory 8
13 Stochastic processes 16
14 Markov processes 23
15 Notes and references 33
2 Piecewise deterministic Markov processes 35
21 Markov models and supplementary variables 36
22 Ordinary differential equations and vector fields 52
23 Simulation 55
24 Definition of the PDP 57
25 The strong Markov property 62
26 The extended generator of the PDP 66
27 Further Markov properties of the PDP 74
28 Notes and references 79
3 Distributions and expectations 81
31 The differential formula and transformations of PDPs 82
32 Expectations 92
33 Applications 101
34 Stationary distributions 111
35 Notes and references 132
4 Control theory 134
41 Feedback control of PDPs 135
42 Naive dynamic programming 139
43 Relaxed controls 147
44 Control via discrete time dynamic programming 151
viii CONTENTS
45 Non smooth analysis and deterministic optimal
control 164
46 Necessary and sufficient conditions for optimality:
the generalized Bellman equation 170
47 Discrete stage Markov decision models 181
48 Notes and references 185
5 Control by intervention 186
51 Optimal stopping 188
52 Randomized stopping 205
53 Variational inequalities and the penalty method 211
54 Impulse control 226
55 Computational methods 250
56 Notes and references 254
Appendix: Jump processes and their martingales 256
Al Definition of the jump process 257
A2 Structure of stopping times and stopped (j fields 259
A3 Predictability 263
A4 The single jump process 266
A5 Local martingale representation for the general
jump process 275
Bibliography 280
Index of notation 287
Subject index 289 |
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| illustrated | Illustrated |
| index_date | 2024-07-02T16:17:52Z |
| indexdate | 2024-07-09T20:51:20Z |
| institution | BVB |
| isbn | 041231410X |
| language | English |
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| physical | XIV, 295 S. graph. Darst. |
| publishDate | 1993 |
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| publisher | Chapman & Hall |
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| series | Monographs on statistics and applied probability |
| series2 | Monographs on statistics and applied probability |
| spelling | Davis, Mark H. A. 1945-2020 Verfasser (DE-588)120781611 aut Markov models and optimization M. H. A. Davis 1. ed. London [u.a.] Chapman & Hall 1993 XIV, 295 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Monographs on statistics and applied probability 49 Control, Teoría del Dynamische systemen gtt Markov-processen gtt Optimaliseren gtt Optimización matemática Regeltheorie gtt Control theory Markov processes Mathematical optimization Optimierung (DE-588)4043664-0 gnd rswk-swf Markov-Prozess (DE-588)4134948-9 gnd rswk-swf Optimale Kontrolle (DE-588)4121428-6 gnd rswk-swf Markov-Prozess (DE-588)4134948-9 s Optimale Kontrolle (DE-588)4121428-6 s 1\p DE-604 Optimierung (DE-588)4043664-0 s 2\p DE-604 Monographs on statistics and applied probability 49 (DE-604)BV002494005 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015360421&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Davis, Mark H. A. 1945-2020 Markov models and optimization Monographs on statistics and applied probability Control, Teoría del Dynamische systemen gtt Markov-processen gtt Optimaliseren gtt Optimización matemática Regeltheorie gtt Control theory Markov processes Mathematical optimization Optimierung (DE-588)4043664-0 gnd Markov-Prozess (DE-588)4134948-9 gnd Optimale Kontrolle (DE-588)4121428-6 gnd |
| subject_GND | (DE-588)4043664-0 (DE-588)4134948-9 (DE-588)4121428-6 |
| title | Markov models and optimization |
| title_auth | Markov models and optimization |
| title_exact_search | Markov models and optimization |
| title_exact_search_txtP | Markov models and optimization |
| title_full | Markov models and optimization M. H. A. Davis |
| title_fullStr | Markov models and optimization M. H. A. Davis |
| title_full_unstemmed | Markov models and optimization M. H. A. Davis |
| title_short | Markov models and optimization |
| title_sort | markov models and optimization |
| topic | Control, Teoría del Dynamische systemen gtt Markov-processen gtt Optimaliseren gtt Optimización matemática Regeltheorie gtt Control theory Markov processes Mathematical optimization Optimierung (DE-588)4043664-0 gnd Markov-Prozess (DE-588)4134948-9 gnd Optimale Kontrolle (DE-588)4121428-6 gnd |
| topic_facet | Control, Teoría del Dynamische systemen Markov-processen Optimaliseren Optimización matemática Regeltheorie Control theory Markov processes Mathematical optimization Optimierung Markov-Prozess Optimale Kontrolle |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=015360421&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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