Markov chains and stochastic stability /:
Meyn and Tweedie is back! The bible on Markov chains in general state spaces has been brought up to date to reflect developments in the field since 1996 - many of them sparked by publication of the first edition. The pursuit of more efficient simulation algorithms for complex Markovian models, or al...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge ; New York :
Cambridge University Press,
2009.
|
| Ausgabe: | 2nd ed. |
| Schriftenreihe: | Communications and control engineering series.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Meyn and Tweedie is back! The bible on Markov chains in general state spaces has been brought up to date to reflect developments in the field since 1996 - many of them sparked by publication of the first edition. The pursuit of more efficient simulation algorithms for complex Markovian models, or algorithms for computation of optimal policies for controlled Markov models, has opened new directions for research on Markov chains. As a result, new applications have emerged across a wide range of topics including optimisation, statistics, and economics. New commentary and an epilogue by Sean Meyn summarise recent developments and references have been fully updated. This second edition reflects the same discipline and style that marked out the original and helped it to become a classic: proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background. |
| Beschreibung: | 1 online resource (xxviii, 594 pages) : illustrations |
| Bibliographie: | Includes bibliographical references (pages 567-586) and index. |
| ISBN: | 9780511719462 0511719469 9780511626630 0511626630 |
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| author | Meyn, S. P. (Sean P.) Tweedie, R. L. (Richard L.) |
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| contents | List of figures; Prologue to the second edition Peter W. Glynn; Preface to the second edition Sean Meyn; Preface to the first edition; Part I. Communication and Regeneration: 1. Heuristics; 2. Markov models; 3. Transition probabilities; 4. Irreducibility; 5. Pseudo-atoms; 6. Topology and continuity; 7. The nonlinear state space model; Part II. Stability Structures: 8. Transience and recurrence; 9. Harris and topological recurrence; 10. The existence of PI; 11. Drift and regularity; 12. Invariance and tightness; Part III. Convergence: 13. Ergodicity; 14. f-Ergodicity and f-regularity; 15. Geometric ergodicity; 16. V-Uniform ergodicity; 17. Sample paths and limit theorems; 18. Positivity; 19. Generalized classification criteria; 20. Epilogue to the second edition; Part IV. Appendices: A. Mud maps; B. Testing for stability; C. Glossary of model assumptions; D. Some mathematical background; Bibliography; Indexes. |
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| indexdate | 2024-11-27T13:17:32Z |
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| spelling | Meyn, S. P. (Sean P.), author. http://id.loc.gov/authorities/names/n93079885 Markov chains and stochastic stability / Sean Meyn and Richard L. Tweedie. 2nd ed. Cambridge ; New York : Cambridge University Press, 2009. 1 online resource (xxviii, 594 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Communications and control engineering series Includes bibliographical references (pages 567-586) and index. List of figures; Prologue to the second edition Peter W. Glynn; Preface to the second edition Sean Meyn; Preface to the first edition; Part I. Communication and Regeneration: 1. Heuristics; 2. Markov models; 3. Transition probabilities; 4. Irreducibility; 5. Pseudo-atoms; 6. Topology and continuity; 7. The nonlinear state space model; Part II. Stability Structures: 8. Transience and recurrence; 9. Harris and topological recurrence; 10. The existence of PI; 11. Drift and regularity; 12. Invariance and tightness; Part III. Convergence: 13. Ergodicity; 14. f-Ergodicity and f-regularity; 15. Geometric ergodicity; 16. V-Uniform ergodicity; 17. Sample paths and limit theorems; 18. Positivity; 19. Generalized classification criteria; 20. Epilogue to the second edition; Part IV. Appendices: A. Mud maps; B. Testing for stability; C. Glossary of model assumptions; D. Some mathematical background; Bibliography; Indexes. Meyn and Tweedie is back! The bible on Markov chains in general state spaces has been brought up to date to reflect developments in the field since 1996 - many of them sparked by publication of the first edition. The pursuit of more efficient simulation algorithms for complex Markovian models, or algorithms for computation of optimal policies for controlled Markov models, has opened new directions for research on Markov chains. As a result, new applications have emerged across a wide range of topics including optimisation, statistics, and economics. New commentary and an epilogue by Sean Meyn summarise recent developments and references have been fully updated. This second edition reflects the same discipline and style that marked out the original and helped it to become a classic: proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background. Markov processes. http://id.loc.gov/authorities/subjects/sh85081369 Processus de Markov. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Markov processes fast Markov-Kette gnd http://d-nb.info/gnd/4037612-6 Tweedie, R. L. (Richard L.), author. http://id.loc.gov/authorities/names/n93079890 Print version: Meyn, S.P. (Sean P.). Markov chains and stochastic stability. 2nd ed. Cambridge ; New York : Cambridge University Press, 2009 9780521731829 (DLC) 2009289770 (OCoLC)295002246 Communications and control engineering series. http://id.loc.gov/authorities/names/n42007988 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313161 Volltext |
| spellingShingle | Meyn, S. P. (Sean P.) Tweedie, R. L. (Richard L.) Markov chains and stochastic stability / Communications and control engineering series. List of figures; Prologue to the second edition Peter W. Glynn; Preface to the second edition Sean Meyn; Preface to the first edition; Part I. Communication and Regeneration: 1. Heuristics; 2. Markov models; 3. Transition probabilities; 4. Irreducibility; 5. Pseudo-atoms; 6. Topology and continuity; 7. The nonlinear state space model; Part II. Stability Structures: 8. Transience and recurrence; 9. Harris and topological recurrence; 10. The existence of PI; 11. Drift and regularity; 12. Invariance and tightness; Part III. Convergence: 13. Ergodicity; 14. f-Ergodicity and f-regularity; 15. Geometric ergodicity; 16. V-Uniform ergodicity; 17. Sample paths and limit theorems; 18. Positivity; 19. Generalized classification criteria; 20. Epilogue to the second edition; Part IV. Appendices: A. Mud maps; B. Testing for stability; C. Glossary of model assumptions; D. Some mathematical background; Bibliography; Indexes. Markov processes. http://id.loc.gov/authorities/subjects/sh85081369 Processus de Markov. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Markov processes fast Markov-Kette gnd http://d-nb.info/gnd/4037612-6 |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85081369 http://d-nb.info/gnd/4037612-6 |
| title | Markov chains and stochastic stability / |
| title_auth | Markov chains and stochastic stability / |
| title_exact_search | Markov chains and stochastic stability / |
| title_full | Markov chains and stochastic stability / Sean Meyn and Richard L. Tweedie. |
| title_fullStr | Markov chains and stochastic stability / Sean Meyn and Richard L. Tweedie. |
| title_full_unstemmed | Markov chains and stochastic stability / Sean Meyn and Richard L. Tweedie. |
| title_short | Markov chains and stochastic stability / |
| title_sort | markov chains and stochastic stability |
| topic | Markov processes. http://id.loc.gov/authorities/subjects/sh85081369 Processus de Markov. MATHEMATICS Probability & Statistics Stochastic Processes. bisacsh Markov processes fast Markov-Kette gnd http://d-nb.info/gnd/4037612-6 |
| topic_facet | Markov processes. Processus de Markov. MATHEMATICS Probability & Statistics Stochastic Processes. Markov processes Markov-Kette |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=313161 |
| work_keys_str_mv | AT meynsp markovchainsandstochasticstability AT tweedierl markovchainsandstochasticstability |