Stochastic Modeling and Optimization: With Applications in Queues, Finance, and Supply Chains

David D. Yao (Curatore)

Hanqin Zhang (Curatore)

Springer-Verlag New York Inc., 2003

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.

• Curatore: David D. Yao, Hanqin Zhang
• Editore: Springer-Verlag New York Inc.
• Anno: 2003
• Rilegatura: Hardback
• Pagine: 468 p.
• Dimensioni: 235 x 155 mm
• EAN: 9780387955827

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