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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

2006-09-10 Technology & Engineering
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Release : 2006-09-10
Genre : Technology & Engineering
Kind : eBook
Book Rating : 152/5 ( reviews)

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Book Synopsis Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems by : Houmin Yan

Download or read book Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems written by Houmin Yan. This book was released on 2006-09-10. Available in PDF, EPUB and Kindle. Book excerpt: This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

Handbook of Stochastic Processes, Optimization and Control Theory

2012-09 Mathematical optimization
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Release : 2012-09
Genre : Mathematical optimization
Kind : eBook
Book Rating : 909/5 ( reviews)

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Book Synopsis Handbook of Stochastic Processes, Optimization and Control Theory by : Sharples Norris

Download or read book Handbook of Stochastic Processes, Optimization and Control Theory written by Sharples Norris. This book was released on 2012-09. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the handbook is highly multi-disciplinary. It addresses operations research, control theory and optimization, stochastic analysis, and financial engineering and reviews and substantially updates the recent progress in these fields.

Stochastic Modeling and Optimization

2012-12-06 Business & Economics
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Release : 2012-12-06
Genre : Business & Economics
Kind : eBook
Book Rating : 576/5 ( reviews)

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Book Synopsis Stochastic Modeling and Optimization by : David D. Yao

Download or read book Stochastic Modeling and Optimization written by David D. Yao. This book was released on 2012-12-06. Available in PDF, EPUB and Kindle. Book excerpt: This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Continuous-Time Markov Chains and Applications

2012-11-14 Mathematics
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Release : 2012-11-14
Genre : Mathematics
Kind : eBook
Book Rating : 466/5 ( reviews)

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Book Synopsis Continuous-Time Markov Chains and Applications by : G. George Yin

Download or read book Continuous-Time Markov Chains and Applications written by G. George Yin. This book was released on 2012-11-14. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Stochastic Programming

2013 Business & Economics
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Release : 2013
Genre : Business & Economics
Kind : eBook
Book Rating : 518/5 ( reviews)

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Book Synopsis Stochastic Programming by : Horand Gassmann

Download or read book Stochastic Programming written by Horand Gassmann. This book was released on 2013. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

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