Probability Theory and Stochastic Modelling
cover

Continuous-Time Markov Decision Processes

Borel Space Models and General Control Strategies

Authors: Piunovskiy, Alexey, Zhang, Yi

  • Features a detailed treatment of constrained problems
  • Covers exponential semi-Markov decision processes
  • Includes various unpublished results and illustrates the theory with new solved examples
  • Introduces new and broad classes of strategies
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eBook 106,99 €
price for Spain (gross)
  • The eBook version of this title will be available soon
  • Due: December 21, 2020
  • ISBN 978-3-030-54987-9
  • Digitally watermarked, DRM-free
  • Included format:
  • Immediate eBook download after purchase and usable on all devices
Hardcover 135,19 €
price for Spain (gross)
About this book

This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional constraints and the realizability of strategies.

Three major methods of investigations are presented, based on dynamic programming, linear programming, and reduction to discrete-time problems. Although the main focus is on models with total (discounted or undiscounted) cost criteria, models with average cost criteria and with impulsive controls are also discussed in depth.

The book is self-contained. A separate chapter is devoted to Markov pure jump processes and the appendices collect the requisite background on real analysis and applied probability. All the statements in the main text are proved in detail.

Researchers and graduate students in applied probability, operational research, statistics and engineering will find this monograph interesting, useful and valuable.  

About the authors

Alexey Piunovskiy was born in Moscow, USSR, in 1954. He obtained his PhD in 1981 from the Moscow State Institute of Electronics and Mathematics, and his DSc from the Moscow State Institute of Physics and Technology in 2000. Since then he has been at the University of Liverpool, where he is presently a Reader. His research interests include stochastic optimal control and constrained optimization.

 

Yi Zhang was born in Qingdao, PRC, in 1985. He obtained his PhD in 2010 from the Department of Mathematical Sciences at the University of Liverpool, where he is currently a Lecturer. His research interests include stochastic models in operational research, Markov decision processes and their applications to problems in statistics and optimal control. 

 

Buy this book

eBook 106,99 €
price for Spain (gross)
  • The eBook version of this title will be available soon
  • Due: December 21, 2020
  • ISBN 978-3-030-54987-9
  • Digitally watermarked, DRM-free
  • Included format:
  • Immediate eBook download after purchase and usable on all devices
Hardcover 135,19 €
price for Spain (gross)
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Bibliographic Information

Bibliographic Information
Book Title
Continuous-Time Markov Decision Processes
Book Subtitle
Borel Space Models and General Control Strategies
Authors
Series Title
Probability Theory and Stochastic Modelling
Series Volume
97
Copyright
2020
Publisher
Springer International Publishing
Copyright Holder
Springer Nature Switzerland AG
eBook ISBN
978-3-030-54987-9
DOI
10.1007/978-3-030-54987-9
Hardcover ISBN
978-3-030-54986-2
Series ISSN
2199-3130
Edition Number
1
Number of Pages
XXV, 583
Number of Illustrations
3 b/w illustrations, 3 illustrations in colour
Topics