ENGLISH

Discrete-Time Markov Chains: Two-Time-Scale Methods and Applications

By G. George Yin , Qing Zhang

Book information

Publisher
Springer
Year
2004
ISBN
9780387219486, 0-387-21948-X
Open Library ID
OL7444386M
Language
english
Format
PDF
Filesize
7 MB (7398996 bytes)
Series
Stochastic Modelling and Applied Probability
Edition
1
Pages
353\353
Library
mexmat
Time added
2009-07-20 03:45:11

Description

This book focuses on the theory and applications of discrete-time two-time-scale Markov chains. Much effort in this book is devoted to designing system models arising from these applications, analyzing them via analytic and probabilistic techniques, and developing feasible computational algorithms so as to reduce the inherent complexity. This book presents results including asymptotic expansions of probability vectors, structural properties of occupation measures, exponential bounds, aggregation and decomposition and associated limit processes, and interface of discrete-time and continuous-time systems. One of the salient features is that it contains a diverse range of applications on filtering, estimation, control, optimization, and Markov decision processes, and financial engineering. This book will be an important reference for researchers in the areas of applied probability, control theory, operations research, as well as for practitioners who use optimization techniques. Part of the book can also be used in a graduate course of applied probability, stochastic processes, and applications.

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