| Stochastic Modeling and Optimization: With Applications in Queues, Finance, and Supply Chains 2003 Edition Contributor(s): Yao, David D. (Editor), Zhang, Hanqin (Editor), Zhou, Xun Yu (Editor) |
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ISBN: 0387955828 ISBN-13: 9780387955827 Publisher: Springer OUR PRICE: $52.24 Product Type: Hardcover - Other Formats Published: January 2003 Annotation: This book covers the broad range of research in stochastic models and optimization. Applications covered include networks, financial engineering, production planning and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics. |
| Additional Information |
| BISAC Categories: - Business & Economics | Economics - General - Business & Economics | Operations Research - Mathematics | Applied |
| Dewey: 330.015 |
| LCCN: 2002030567 |
| Series: Springer Series in Operations Research |
| Physical Information: 1.07" H x 6.12" W x 9.48" (1.75 lbs) 468 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: The objective of this volume is to highlight through a collection of chap- ters some of the recent research works in applied prob ability, specifically stochastic modeling and optimization. The volume is organized loosely into four parts. The first part is a col- lection of several basic methodologies: singularly perturbed Markov chains (Chapter 1), and related applications in stochastic optimal control (Chapter 2); stochastic approximation, emphasizing convergence properties (Chapter 3); a performance-potential based approach to Markov decision program- ming (Chapter 4); and interior-point techniques (homogeneous self-dual embedding and central path following) applied to stochastic programming (Chapter 5). The three chapters in the second part are concerned with queueing the- ory. Chapters 6 and 7 both study processing networks - a general dass of queueing networks - focusing, respectively, on limit theorems in the form of strong approximation, and the issue of stability via connections to re- lated fluid models. The subject of Chapter 8 is performance asymptotics via large deviations theory, when the input process to a queueing system exhibits long-range dependence, modeled as fractional Brownian motion. |