International Series in Operations Research & Management Science

Markov Chains

Models, Algorithms and Applications

Authors: Ching, W.-K., Huang, X., Ng, M.K., Siu, T.K.

  • New edition now focused on applications where Markov chains have seen explosive growth
  • New edition now with exercises in each chapter
  • Three of the authors are among the leading researchers/academics in the field
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Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-1-4614-6312-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-1-4614-6311-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-1-4899-9752-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

This new edition of Markov Chains: Models, Algorithms and Applications has been completely reformatted as a text, complete with end-of-chapter exercises, a new focus on management science, new applications of the models, and new examples with applications in financial risk management and modeling of financial data.

This book consists of eight chapters.  Chapter 1 gives a brief introduction to the classical theory on both discrete and continuous time Markov chains. The relationship between Markov chains of finite states and matrix theory will also be highlighted. Some classical iterative methods for solving linear systems will be introduced for finding the stationary distribution of a Markov chain. The chapter then covers the basic theories and algorithms for hidden Markov models (HMMs) and Markov decision processes (MDPs).

Chapter 2 discusses the applications of continuous time Markov chains to model queueing systems and discrete time Markov chain for computing the PageRank, the ranking of websites on the Internet. Chapter 3 studies Markovian models for manufacturing and re-manufacturing systems and presents closed form solutions and fast numerical algorithms for solving the captured systems. In Chapter 4, the authors present a simple hidden Markov model (HMM) with fast numerical algorithms for estimating the model parameters. An application of the HMM for customer classification is also presented.


Chapter 5 discusses Markov decision processes for customer lifetime values. Customer Lifetime Values (CLV) is an important concept and quantity in marketing management. The authors present an approach based on Markov decision processes for the calculation of CLV using real data.

Chapter 6 considers higher-order Markov chain models, particularly a class of parsimonious higher-order Markov chain models. Efficient estimation methods for model parameters based on linear programming are presented. Contemporary research results on applications to demand predictions, inventory control and financial risk measurement are also presented. In Chapter 7, a class of parsimonious multivariate Markov models is introduced. Again, efficient estimation methods based on linear programming are presented. Applications to demand predictions, inventory control policy and modeling credit ratings data are discussed. Finally, Chapter 8 re-visits hidden Markov models, and the authors present a new class of hidden Markov models with efficient algorithms for estimating the model parameters. Applications to modeling interest rates, credit ratings and default data are discussed.
 
This book is aimed at senior undergraduate students, postgraduate students, professionals, practitioners, and researchers in applied mathematics, computational science, operational research, management science and finance, who are interested in the formulation and computation of queueing networks, Markov chain models and related topics. Readers are expected to have some basic knowledge of probability theory, Markov processes and matrix theory.

Reviews

From the reviews of the First Edition:

"The authors outline recent developments of Markov chain models … . This book is aimed at students, professionals, practitioners, and researchers in scientific computing and operational research, who are interested in the formulation and computation of queuing and manufacturing systems. It gives a number of useful tools for researchers in real applications … ." (Alexander I. Zejfman, Zentralblatt MATH, Vol. 1089 (15), 2006)

"In this book’s … essential notions on Markov chains, hidden Markov models, and Markov decision processes are covered, with special emphasis on iterative methods for solving linear systems. … Each chapter finishes with a short summary and sometimes a selection of open problems. … This book is intended for students and researchers in applied mathematics, scientific computing, and operations research … . Overall, this book offers much interesting and up-to-date material on a wide variety of topics, dealing with finite-space Markov processes." (Jozef L. Teugels, Journal of the American Statistical Association, Vol. 103 (483), September, 2008)


Table of contents (8 chapters)

  • Introduction

    Ching, Wai-Ki (et al.)

    Pages 1-46

  • Queueing Systems and the Web

    Ching, Wai-Ki (et al.)

    Pages 47-76

  • Manufacturing and Re-manufacturing Systems

    Ching, Wai-Ki (et al.)

    Pages 77-96

  • A Hidden Markov Model for Customer Classification

    Ching, Wai-Ki (et al.)

    Pages 97-106

  • Markov Decision Processes for Customer Lifetime Value

    Ching, Wai-Ki (et al.)

    Pages 107-139

Buy this book

eBook $109.00
price for USA (gross)
  • ISBN 978-1-4614-6312-2
  • Digitally watermarked, DRM-free
  • Included format: PDF, EPUB
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $149.00
price for USA
  • ISBN 978-1-4614-6311-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $149.00
price for USA
  • ISBN 978-1-4899-9752-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Markov Chains
Book Subtitle
Models, Algorithms and Applications
Authors
Series Title
International Series in Operations Research & Management Science
Series Volume
189
Copyright
2013
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4614-6312-2
DOI
10.1007/978-1-4614-6312-2
Hardcover ISBN
978-1-4614-6311-5
Softcover ISBN
978-1-4899-9752-4
Series ISSN
0884-8289
Edition Number
2
Number of Pages
XVI, 243
Topics