Optimization, Control, and Applications of Stochastic Systems: In Honor of Onésimo Hernández-Lerma

by Daniel Hernández-Hernández (Editor), J. Adolfo Minjárez-Sosa (Editor)

Overview

This volume provides a general overview of discrete- and continuous-time Markov control processes and shastic games, along with a look at the range of applications of shastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields.

Optimization, Control, and Applications of Shastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of shastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.

Product Details

ISBN-13:	9780817683368
Publisher:	Birkhäuser Boston
Publication date:	08/15/2012
Series:	Systems & Control: Foundations & Applications
Edition description:	2012
Pages:	309
Product dimensions:	6.10(w) x 9.25(h) x 0.04(d)

Table of Contents

1 On the Policy Iteration Algorithm for Non-degenerate Controlled Diffusions under the Ergodic Criterion.- 2 Discrete-Time Inventory Problems with Lead Time and Order-Time Constraint.- 3 Sample-Path Optimality in Average Markov Decision Chains.- 4 Approximation of Infinite Horizon Discounted Cost Markov.- 5 Reduction of Discounted Continuous-Time MDPs with Unbounded.- 6 Continuous-Time Controlled Jump Markov Processes on the Finite.- 7 Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions.- 8 A Constrained Optimization Problem with Applications to Constrained.- 9 Optimal Execution of Derivatives, a Taylor Expansion Approach.- 10 A Survey of Some Model-Based Methods for Global Optimization.- 11 Constrained Optimality for First Passage Criteria in Semi-Markov.- 12 Infinite-Horizon Optimal Control Problems for Hybrid Switching.- 13 Fluid Approximations to Markov Decision Processes with Local.- 14 Minimizing Ruin Probabilities by Reinsurance and Investment: a Markovian Decision Approach.- 15 Estimation of the Optimality Deviation in Discounted Semi-Markov.- 16 Discrete Time Approximations of Continuous Time Finite Horizon.- 17 A Direct Approach to the Solution of Optimal Multiple-Stopping.- 18 On the Regularity Property of Semi-Markov Processes with Borel State Spaces.