Stochastic Modeling and Optimization

With Applications in Queues, Finance, and Supply Chains

Editors: Yao, David D., Zhang, Hanqin, Zhou, Xun Yu (Eds.)

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About this book

The objective of this volume is to highlight through a collection of chap­ ters some of the recent research works in applied prob ability, specifically stochastic modeling and optimization. The volume is organized loosely into four parts. The first part is a col­ lection of several basic methodologies: singularly perturbed Markov chains (Chapter 1), and related applications in stochastic optimal control (Chapter 2); stochastic approximation, emphasizing convergence properties (Chapter 3); a performance-potential based approach to Markov decision program­ ming (Chapter 4); and interior-point techniques (homogeneous self-dual embedding and central path following) applied to stochastic programming (Chapter 5). The three chapters in the second part are concerned with queueing the­ ory. Chapters 6 and 7 both study processing networks - a general dass of queueing networks - focusing, respectively, on limit theorems in the form of strong approximation, and the issue of stability via connections to re­ lated fluid models. The subject of Chapter 8 is performance asymptotics via large deviations theory, when the input process to a queueing system exhibits long-range dependence, modeled as fractional Brownian motion.

Reviews

From the reviews:

"The Workshop Stochastic Models and Optimization … in May 2001, forms the basis of the present volume. 14 papers from about 60 presentations at the workshop were selected and thoroughly revised making self-contained chapters of a book for a broad audience. It highlighted some recent advances in applied probability achieved mainly by scientists with Chinese background. … The book seems to be very suitable for seminar studies at the graduate level." (Hans-Joachim Girlich, OR News, 25, November 2005)


Table of contents (14 chapters)

  • Discrete-time Singularly Perturbed Markov Chains

    Yin, G. (et al.)

    Pages 1-42

  • Nearly Optimal Controls of Markovian Systems

    Zhang, Q. (et al.)

    Pages 43-86

  • Stochastic Approximation, with Applications

    Chen, Han-Fu

    Pages 87-109

  • Performance Potential Based Optimization and MDPs

    Cao, Xi-Ren

    Pages 111-135

  • An Interior-Point Approach to Multi-Stage Stochastic Programming

    Zhang, Shuzhong

    Pages 137-170

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-0-387-21757-4
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.00
price for USA
  • ISBN 978-0-387-95582-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $139.00
price for USA
  • ISBN 978-1-4419-3065-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Modeling and Optimization
Book Subtitle
With Applications in Queues, Finance, and Supply Chains
Editors
  • David D. Yao
  • Hanqin Zhang
  • Xun Yu Zhou
Copyright
2003
Publisher
Springer-Verlag New York
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-0-387-21757-4
DOI
10.1007/978-0-387-21757-4
Hardcover ISBN
978-0-387-95582-7
Softcover ISBN
978-1-4419-3065-1
Edition Number
1
Number of Pages
XI, 468
Topics