Discrete-Time Markov Chains

Name: Discrete-Time Markov Chains
Brand: Springer-Verlag New York Inc.
SKU: 9781441919557
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Two-Time-Scale Methods and Applications

Autor: G. George Yin, Qing Zhang

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer-Verlag New York Inc.

Dostupnost: Skladem u dodavatele

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This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems from existi...

Informace o knize

Autor

G. George Yin, Qing Zhang

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2010

Stránek

347

EAN

9781441919557

ISBN

1441919554

Enbook ID

02716935

Vydavatel

Springer-Verlag New York Inc.

Hmotnost

563

Rozměry

155 x 20 x 20

Kompletní popis

This book focuses on two-time-scale Markov chains in discrete time. Our motivation stems from existing and emerging applications in optimization and control of complex systems in manufacturing, wireless communication, and ?nancial engineering. Much of our e?ort in this book is devoted to designing system models arising from various applications, analyzing them via analytic and probabilistic techniques, and developing feasible compu- tionalschemes. Ourmainconcernistoreducetheinherentsystemcompl- ity. Although each of the applications has its own distinct characteristics, all of them are closely related through the modeling of uncertainty due to jump or switching random processes. Oneofthesalientfeaturesofthisbookistheuseofmulti-timescalesin Markovprocessesandtheirapplications. Intuitively,notallpartsorcom- nents of a large-scale system evolve at the same rate. Some of them change rapidly and others vary slowly. The di?erent rates of variations allow us to reduce complexity via decomposition and aggregation. It would be ideal if we could divide a large system into its smallest irreducible subsystems completely separable from one another and treat each subsystem indep- dently. However, this is often infeasible in reality due to various physical constraints and other considerations. Thus, we have to deal with situations in which the systems are only nearly decomposable in the sense that there are weak links among the irreducible subsystems, which dictate the oc- sional regime changes of the system. An e?ective way to treat such near decomposability is time-scale separation. That is, we set up the systems as if there were two time scales, fast vs. slow. xii Preface Followingthetime-scaleseparation,weusesingularperturbationmeth- ology to treat the underlying systems.

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Discrete-Time Markov Chains

Two-Time-Scale Methods and Applications

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