Overview
This book gives a systematic treatment of singularly perturbed systems that naturally arise in control and optimization, queueing networks, manufacturing systems, and financial engineering. It presents results on asymptotic expansions of solutions of Komogorov forward and backward equations, properties of functional occupation measures, exponential upper bounds, and functional limit results for Markov chains with weak and strong interactions. To bridge the gap between theory and applications, a large portion of the book is devoted to applications in controlled dynamic systems, production planning, and numerical methods for controlled Markovian systems with large-scale and complex structures in the real-world problems. This second edition has been updated throughout and includes two new chapters on asymptotic expansions of solutions for backward equations and hybrid LQG problems. The chapters on analytic and probabilistic properties of two-time-scale Markov chains have been almost completely rewritten and the notation has been streamlined and simplified. This book is written for applied mathematicians, engineers, operations researchers, and applied scientists. Selected material from the book can also be used for a one semester advanced graduate-level course in applied probability and stochastic processes.
Full Product Details
Author: G. George Yin ,
Qing Zhang
Publisher: Springer-Verlag New York Inc.
Imprint: Springer-Verlag New York Inc.
Edition: 2nd ed. 2013
Volume: 37
Dimensions:
Width: 15.50cm
, Height: 2.30cm
, Length: 23.50cm
Weight: 6.788kg
ISBN: 9781489991188
ISBN 10: 1489991182
Pages: 430
Publication Date: 09 November 2014
Audience:
Professional and scholarly
,
Professional & Vocational
Format: Paperback
Publisher's Status: Active
Availability: Manufactured on demand
We will order this item for you from a manufactured on demand supplier.
Reviews
From the reviews of the second edition: This book is the expanded second edition of `Continuous-time Markov chains and applications. A singular perturbation approach.' which appeared 1998. ... The book remains clearly of interest to researchers in stochastic control, operation research, manufacturing system, engineering, economics and applied mathematics. (Michael Hogele, zbMATH, Vol. 1277, 2014) The book is devoted to a study of continuous time singularly perturbed (SP) Markov chains and their applications in problems of control and optimization. ... There is no doubt that this second, revised and updated edition will be also well received by the intended audience (researchers and graduate students in applied mathematics and control engineering interested in modeling and optimization of complex stochastic systems) and will excite further interest to the topic. (Vladimir Gaitsgory, SIAM Review, Vol. 55 (4), 2013)
From the reviews of the second edition: This book is the expanded second edition of 'Continuous-time Markov chains and applications. A singular perturbation approach.' which appeared 1998. ... The book remains clearly of interest to researchers in stochastic control, operation research, manufacturing system, engineering, economics and applied mathematics. (Michael Hogele, zbMATH, Vol. 1277, 2014) The book is devoted to a study of continuous time singularly perturbed (SP) Markov chains and their applications in problems of control and optimization. ... There is no doubt that this second, revised and updated edition will be also well received by the intended audience (researchers and graduate students in applied mathematics and control engineering interested in modeling and optimization of complex stochastic systems) and will excite further interest to the topic. (Vladimir Gaitsgory, SIAM Review, Vol. 55 (4), 2013)
From the reviews of the second edition: This book is the expanded second edition of Continuous-time Markov chains and applications. A singular perturbation approach. which appeared 1998. The book remains clearly of interest to researchers in stochastic control, operation research, manufacturing system, engineering, economics and applied mathematics. (Michael Hogele, zbMATH, Vol. 1277, 2014) The book is devoted to a study of continuous time singularly perturbed (SP) Markov chains and their applications in problems of control and optimization. There is no doubt that this second, revised and updated edition will be also well received by the intended audience (researchers and graduate students in applied mathematics and control engineering interested in modeling and optimization of complex stochastic systems) and will excite further interest to the topic. (Vladimir Gaitsgory, SIAM Review, Vol. 55 (4), 2013)
