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Optimization, Control, and Applications of Stochastic Systems

In Honor of Onésimo Hernández-Lerma

  • Book
  • © 2012

Overview

Editors:
  1. Daniel Hernández-Hernández

    1. , Department of Probability and Statistics, Center for Research in Mathematics, Guanajuato, Mexico

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    You can also search for this editor in PubMed   Google Scholar

  2. J. Adolfo Minjárez-Sosa

    1. , Department of Mathematics, University of Sonora, Hermosillo, Mexico

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    You can also search for this editor in PubMed   Google Scholar

  • Presents cutting-edge developments in many different areas of applied mathematics
  • Provides an interdisciplinary approach to the topic
  • Contributions written by experts in the field?
  • Includes supplementary material: sn.pub/extras

Part of the book series: Systems & Control: Foundations & Applications (SCFA)

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Table of contents (18 chapters)

  1. Front Matter

    Pages i-xxvii
    Download chapter PDF

  2. On the Policy Iteration Algorithm for Nondegenerate Controlled Diffusions Under the Ergodic Criterion

    • Ari Arapostathis
    Pages 1-12

  3. Discrete-Time Inventory Problems with Lead-Time and Order-Time Constraint

    • Lankere Benkherouf, Alain Bensoussan
    Pages 13-29

  4. Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition

    • Rolando Cavazos-Cadena, Raúl Montes-de-Oca
    Pages 31-57

  5. Approximation of Infinite Horizon Discounted Cost Markov Decision Processes

    • François Dufour, Tomás Prieto-Rumeau
    Pages 59-76

  6. Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs

    • Eugene A. Feinberg
    Pages 77-97

  7. Continuous-Time Controlled Jump Markov Processes on the Finite Horizon

    • Mrinal K. Ghosh, Subhamay Saha
    Pages 99-109

  8. Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions

    • T. E. Govindan
    Pages 111-124

  9. A Constrained Optimization Problem with Applications to Constrained MDPs

    • Xianping Guo, Qingda Wei, Junyu Zhang
    Pages 125-150

  10. Optimal Execution of Derivatives: A Taylor Expansion Approach

    • Gerardo Hernandez-del-Valle, Yuemeng Sun
    Pages 151-156

  11. A Survey of Some Model-Based Methods for Global Optimization

    • Jiaqiao Hu, Yongqiang Wang, Enlu Zhou, Michael C. Fu, Steven I. Marcus
    Pages 157-179

  12. Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes

    • Yonghui Huang, Xianping Guo
    Pages 181-202

  13. Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions

    • Héctor Jasso-Fuentes, George Yin
    Pages 203-223

  14. Fluid Approximations to Markov Decision Processes with Local Transitions

    • Alexey Piunovskiy, Yi Zhang
    Pages 225-238

  15. Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach

    • Rosario Romera, Wolfgang Runggaldier
    Pages 239-252

  16. Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models

    • Luz del Carmen Rosas-Rosas
    Pages 253-264

  17. Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems

    • Lukasz Stettner
    Pages 265-282

  18. A Direct Approach to the Solution of Optimal Multiple-Stopping Problems

    • Richard H. Stockbridge, Chao Zhu
    Pages 283-299

  19. On the Regularity Property of Semi-Markov Processes with Borel State Spaces

    • Óscar Vega-Amaya
    Pages 301-309
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Keywords

About this book

This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields.

Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.

Editors and Affiliations

  • , Department of Probability and Statistics, Center for Research in Mathematics, Guanajuato, Mexico

    Daniel Hernández-Hernández

  • , Department of Mathematics, University of Sonora, Hermosillo, Mexico

    J. Adolfo Minjárez-Sosa

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