Logo - springer
Slogan - springer

Mathematics - Probability Theory and Stochastic Processes | Continuous-Time Markov Chains and Applications - A Two-Time-Scale Approach

Continuous-Time Markov Chains and Applications

A Two-Time-Scale Approach

Yin, G. George, Zhang, Qing

2nd ed. 2013, XXII, 430 p.

Available Formats:
eBook
Information

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.

 
$99.00

(net) price for USA

ISBN 978-1-4614-4346-9

digitally watermarked, no DRM

Included Format: PDF and EPUB

download immediately after purchase


learn more about Springer eBooks

add to marked items

Hardcover
Information

Hardcover version

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$129.00

(net) price for USA

ISBN 978-1-4614-4345-2

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

Softcover
Information

Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$129.00

(net) price for USA

ISBN 978-1-4899-9118-8

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

  • New chapters added on backward equations and LQG control problems
  • Bridges the gap between theory and applications
  • Presents results on asymptotic expansions of the corresponding probability distributions

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.

Content Level » Research

Keywords » Markov chains - continuous-time systems - probability vectors - stochastic processes

Related subjects » Applications - Computational Intelligence and Complexity - Mathematics - Probability Theory and Stochastic Processes

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.-

Popular Content within this publication 

 

Articles

Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Probability Theory and Stochastic Processes.