Stochastic Modeling and Optimization: With Applications in Queues, Finance, and Supply Chains / Edition 1

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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.
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Editorial Reviews

From the Publisher
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"The Workshop Shastic Models and Optimization … in May 2001, forms the basis of the present volume. 14 papers from about 60 presentations at the workshop were selected and thoroughly revised making self-contained chapters of a book for a broad audience. It highlighted some recent advances in applied probability achieved mainly by scientists with Chinese background. … The book seems to be very suitable for seminar studies at the graduate level." (Hans-Joachim Girlich, OR News, 25, November 2005)

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Product Details

  • ISBN-13: 9780387955827
  • Publisher: Springer New York
  • Publication date: 1/14/2003
  • Edition description: 2003
  • Edition number: 1
  • Pages: 468
  • Product dimensions: 9.21 (w) x 6.14 (h) x 1.06 (d)

Table of Contents

1 Discrete-time Singularly Perturbed Markov Chains
2 Nearly Optimal Controls of Markovian Systems
3 Stochastic Approximation, with Applications
4 Performance Potential Based Optimization and MDPs
5 An Interior-Point Approach to Multi-Stage Stochastic Programming
6 A Brownian Model of Stochastic Processing Networks
7 Stability of General Processing Networks
8 Large Deviations, Long-Range Dependence, and Queues
9 Markowitz's World in Continuous Time, and Beyond
10 Variance Minimization in Stochastic Systems
11 A Markov Chain Method for Pricing Contingent Claims
12 Stochastic Network Models and Optimization of a Hospital System
13 Optimal Airline Booking Control with Cancellations
14 Information Revision and Decision Making in Supply Chain Management
About the Contributors
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