Constructive Computation in Stochastic Models with Applications: The RG-Factorizations

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Springer Science & Business Media, Feb 2, 2011 - Mathematics - 650 pages

"Constructive Computation in Stochastic Models with Applications: The RG-Factorizations" provides a unified, constructive and algorithmic framework for numerical computation of many practical stochastic systems. It summarizes recent important advances in computational study of stochastic models from several crucial directions, such as stationary computation, transient solution, asymptotic analysis, reward processes, decision processes, sensitivity analysis as well as game theory. Graduate students, researchers and practicing engineers in the field of operations research, management sciences, applied probability, computer networks, manufacturing systems, transportation systems, insurance and finance, risk management and biological sciences will find this book valuable.

Dr. Quan-Lin Li is an Associate Professor at the Department of Industrial Engineering of Tsinghua University, China.

 

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Contents

1 Stochastic Models
1
2 BlockStructured Markov Chains
72
3 Markov Chains of GIG1 Type
131
4 Asymptotic Analysis
176
5 Markov Chains on Continuous State Space
216
6 BlockStructured Markov Renewal Processes
288
7 Examples of Practical Applications
331
8 Transient Solution
389
9 QuasiStationary Distributions
432
10 Markov Reward Processes
526
11 Sensitivity Analysis and Evolutionary Games
574
Appendix
652
Index
669
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