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Author : Karl Hinderer
Publisher :
ISBN 13 : 9780387049564
Total Pages : 160 pages
Book Rating : 4.0/5 (495 download)
Download or read book Foundations of Non-Stationary Dynamic Programming with Discrete Time Parameter written by Karl Hinderer and published by . This book was released on 1970-08 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : K. Hinderer
Publisher : Springer Science & Business Media
ISBN 13 : 3642462294
Total Pages : 171 pages
Book Rating : 4.6/5 (424 download)
Download or read book Foundations of Non-stationary Dynamic Programming with Discrete Time Parameter written by K. Hinderer and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present work is an extended version of a manuscript of a course which the author taught at the University of Hamburg during summer 1969. The main purpose has been to give a rigorous foundation of stochastic dynamic programming in a manner which makes the theory easily applicable to many different practical problems. We mention the following features which should serve our purpose. a) The theory is built up for non-stationary models, thus making it possible to treat e.g. dynamic programming under risk, dynamic programming under uncertainty, Markovian models, stationary models, and models with finite horizon from a unified point of view. b) We use that notion of optimality (p-optimality) which seems to be most appropriate for practical purposes. c) Since we restrict ourselves to the foundations, we did not include practical problems and ways to their numerical solution, but we give (cf.section 8) a number of problems which show the diversity of structures accessible to non stationary dynamic programming. The main sources were the papers of Blackwell (65), Strauch (66) and Maitra (68) on stationary models with general state and action spaces and the papers of Dynkin (65), Hinderer (67) and Sirjaev (67) on non-stationary models. A number of results should be new, whereas most theorems constitute extensions (usually from stationary models to non-stationary models) or analogues to known results.
Author : Georges Zaccour
Publisher : Springer Science & Business Media
ISBN 13 : 1475735618
Total Pages : 419 pages
Book Rating : 4.4/5 (757 download)
Download or read book Decision & Control in Management Science written by Georges Zaccour and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 419 pages. Available in PDF, EPUB and Kindle. Book excerpt: Decision & Control in Management Science analyzes emerging decision problems in the management and engineering sciences. It is divided into five parts. The first part explores methodological issues involved in the optimization of deterministic and stochastic dynamical systems. The second part describes approaches to the model energy and environmental systems and draws policy implications related to the mitigation of pollutants. The third part applies quantitative techniques to problems in finance and economics, such as hedging of options, inflation targeting, and equilibrium asset pricing. The fourth part considers a series of problems in production systems. Optimization methods are put forward to provide optimal policies in areas such as inventory management, transfer-line, flow-shop and other industrial problems. The last part covers game theory. Chapters range from theoretical issues to applications in politics and interactions in franchising systems. Decision & Control in Management Science is an excellent reference covering methodological issues and applications in operations research, optimal control, and dynamic games.
Author : Jan G. Olsder
Publisher : Springer Science & Business Media
ISBN 13 : 1461242746
Total Pages : 478 pages
Book Rating : 4.4/5 (612 download)
Download or read book New Trends in Dynamic Games and Applications written by Jan G. Olsder and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 478 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of dynamic games is very rich in nature and very much alive! If the reader does not already agree with this statement, I hope he/she will surely do so after having consulted the contents of the current volume. The activities which fall under the heading of 'dynamic games' cannot easily be put into one scientific discipline. On the theoretical side one deals with differential games, difference games (the underlying models are described by differential, respec tively difference equations) and games based on Markov chains, with determin istic and stochastic games, zero-sum and nonzero-sum games, two-player and many-player games - all under various forms of equilibria. On the practical side, one sees applications to economics (stimulated by the recent Nobel prize for economics which went to three prominent scientists in game theory), biology, management science, and engineering. The contents of this volume are primarily based on selected presentations made at the Sixth International Symposium on Dynamic Games and Applica tions, held in St Jovite, Quebec, Canada, 13-15 July 1994. Every paper that appears in this volume has passed through a stringent reviewing process, as is the case with publications for archival technical journals. This conference, as well as its predecessor which was held in Grimentz, 1992, took place under the auspices of the International Society of Dynamic Games (ISDG), established in 1990. One of the activities of the ISDG is the publication of these Annals. The contributions in this volume have been grouped around five themes.
Author : Eugene A. Feinberg
Publisher : Springer Science & Business Media
ISBN 13 : 1461508053
Total Pages : 560 pages
Book Rating : 4.4/5 (615 download)
Download or read book Handbook of Markov Decision Processes written by Eugene A. Feinberg and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 560 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eugene A. Feinberg Adam Shwartz This volume deals with the theory of Markov Decision Processes (MDPs) and their applications. Each chapter was written by a leading expert in the re spective area. The papers cover major research areas and methodologies, and discuss open questions and future research directions. The papers can be read independently, with the basic notation and concepts ofSection 1.2. Most chap ters should be accessible by graduate or advanced undergraduate students in fields of operations research, electrical engineering, and computer science. 1.1 AN OVERVIEW OF MARKOV DECISION PROCESSES The theory of Markov Decision Processes-also known under several other names including sequential stochastic optimization, discrete-time stochastic control, and stochastic dynamic programming-studiessequential optimization ofdiscrete time stochastic systems. The basic object is a discrete-time stochas tic system whose transition mechanism can be controlled over time. Each control policy defines the stochastic process and values of objective functions associated with this process. The goal is to select a "good" control policy. In real life, decisions that humans and computers make on all levels usually have two types ofimpacts: (i) they cost orsavetime, money, or other resources, or they bring revenues, as well as (ii) they have an impact on the future, by influencing the dynamics. In many situations, decisions with the largest immediate profit may not be good in view offuture events. MDPs model this paradigm and provide results on the structure and existence of good policies and on methods for their calculation.
Author : J. Adolfo Minjárez-Sosa
Publisher : Springer Nature
ISBN 13 : 3030357201
Total Pages : 129 pages
Book Rating : 4.0/5 (33 download)
Download or read book Zero-Sum Discrete-Time Markov Games with Unknown Disturbance Distribution written by J. Adolfo Minjárez-Sosa and published by Springer Nature. This book was released on 2020-01-27 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This SpringerBrief deals with a class of discrete-time zero-sum Markov games with Borel state and action spaces, and possibly unbounded payoffs, under discounted and average criteria, whose state process evolves according to a stochastic difference equation. The corresponding disturbance process is an observable sequence of independent and identically distributed random variables with unknown distribution for both players. Unlike the standard case, the game is played over an infinite horizon evolving as follows. At each stage, once the players have observed the state of the game, and before choosing the actions, players 1 and 2 implement a statistical estimation process to obtain estimates of the unknown distribution. Then, independently, the players adapt their decisions to such estimators to select their actions and construct their strategies. This book presents a systematic analysis on recent developments in this kind of games. Specifically, the theoretical foundations on the procedures combining statistical estimation and control techniques for the construction of strategies of the players are introduced, with illustrative examples. In this sense, the book is an essential reference for theoretical and applied researchers in the fields of stochastic control and game theory, and their applications.
Author : David Blackwell
Publisher : IMS
ISBN 13 : 9780940600423
Total Pages : 428 pages
Book Rating : 4.6/5 (4 download)
Download or read book Statistics, Probability, and Game Theory written by David Blackwell and published by IMS. This book was released on 1996 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most of the 26 papers are research reports on probability, statistics, gambling, game theory, Markov decision processes, set theory, and logic. But they also include reviews on comparing experiments, games of timing, merging opinions, associated memory models, and SPLIF's; historical views of Carnap, von Mises, and the Berkeley Statistics Department; and a brief history, appreciation, and bibliography of Berkeley professor Blackwell. A sampling of titles turns up The Hamiltonian Cycle Problem and Singularly Perturbed Markov Decision Process, A Pathwise Approach to Dynkin Games, The Redistribution of Velocity: Collision and Transformations, Casino Winnings at Blackjack, and Randomness and the Foundations of Probability. No index. Annotation copyrighted by Book News, Inc., Portland, OR
Author : Narayanaswamy Balakrishnan
Publisher : John Wiley & Sons
ISBN 13 : 0470405104
Total Pages : 735 pages
Book Rating : 4.4/5 (74 download)
Download or read book Methods and Applications of Statistics in Business, Finance, and Management Science written by Narayanaswamy Balakrishnan and published by John Wiley & Sons. This book was released on 2010-07-13 with total page 735 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inspired by the Encyclopedia of Statistical Sciences, Second Edition, this volume presents the tools and techniques that are essential for carrying out best practices in the modern business world The collection and analysis of quantitative data drives some of the most important conclusions that are drawn in today's business world, such as the preferences of a customer base, the quality of manufactured products, the marketing of products, and the availability of financial resources. As a result, it is essential for individuals working in this environment to have the knowledge and skills to interpret and use statistical techniques in various scenarios. Addressing this need, Methods and Applications of Statistics in Business, Finance, and Management Science serves as a single, one-of-a-kind resource that guides readers through the use of common statistical practices by presenting real-world applications from the fields of business, economics, finance, operations research, and management science. Uniting established literature with the latest research, this volume features classic articles from the acclaimed Encyclopedia of Statistical Sciences, Second Edition along with brand-new contributions written by today's leading academics and practitioners. The result is a compilation that explores classic methodology and new topics, including: Analytical methods for risk management Statistical modeling for online auctions Ranking and selection in mutual funds Uses of Black-Scholes formula in finance Data mining in prediction markets From auditing and marketing to stock market price indices and banking, the presented literature sheds light on the use of quantitative methods in research relating to common financial applications. In addition, the book supplies insight on common uses of statistical techniques such as Bayesian methods, optimization, simulation, forecasting, mathematical modeling, financial time series, and data mining in modern research. Providing a blend of traditional methodology and the latest research, Methods and Applications of Statistics in Business, Finance, and Management Science is an excellent reference for researchers, managers, consultants, and students in the fields of business, management science, operations research, supply chain management, mathematical finance, and economics who must understand statistical literature and carry out quantitative practices to make smart business decisions in their everyday work.
Author : Eitan Altmann
Publisher : Springer Science & Business Media
ISBN 13 : 1461201551
Total Pages : 343 pages
Book Rating : 4.4/5 (612 download)
Download or read book Advances in Dynamic Games and Applications written by Eitan Altmann and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: Game theory is a rich and active area of research of which this new volume of the Annals of the International Society of Dynamic Games is yet fresh evidence. Since the second half of the 20th century, the area of dynamic games has man aged to attract outstanding mathematicians, who found exciting open questions requiring tools from a wide variety of mathematical disciplines; economists, so cial and political scientists, who used game theory to model and study competition and cooperative behavior; and engineers, who used games in computer sciences, telecommunications, and other areas. The contents of this volume are primarily based on selected presentation made at the 8th International Symposium of Dynamic Games and Applications, held in Chateau Vaalsbroek, Maastricht, the Netherlands, July 5-8, 1998; this conference took place under the auspices of the International Society of Dynamic Games (ISDG), established in 1990. The conference has been cosponsored by the Control Systems Society of the IEEE, IFAC (International Federation of Automatic Con trol), INRIA (Institute National de Recherche en Informatique et Automatique), and the University of Maastricht. One ofthe activities of the ISDG is the publica tion of the Annals. Every paper that appears in this volume has passed through a stringent reviewing process, as is the case with publications for archival journals.
Author : Nicole Bäuerle
Publisher : Springer Science & Business Media
ISBN 13 : 3642183247
Total Pages : 393 pages
Book Rating : 4.6/5 (421 download)
Download or read book Markov Decision Processes with Applications to Finance written by Nicole Bäuerle and published by Springer Science & Business Media. This book was released on 2011-06-06 with total page 393 pages. Available in PDF, EPUB and Kindle. Book excerpt: The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
Author : K. Ito
Publisher : Springer
ISBN 13 : 3540387013
Total Pages : 758 pages
Book Rating : 4.5/5 (43 download)
Download or read book Probability Theory and Mathematical Statistics written by K. Ito and published by Springer. This book was released on 2006-11-15 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Lester E. Dubins
Publisher : Courier Corporation
ISBN 13 : 0486780643
Total Pages : 307 pages
Book Rating : 4.4/5 (867 download)
Download or read book How to Gamble If You Must written by Lester E. Dubins and published by Courier Corporation. This book was released on 2014-08-20 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: This classic of advanced statistics is geared toward graduate-level readers and uses the concepts of gambling to develop important ideas in probability theory. The authors have distilled the essence of many years' research into a dozen concise chapters. "Strongly recommended" by the Journal of the American Statistical Association upon its initial publication, this revised and updated edition features contributions from two well-known statisticians that include a new Preface, updated references, and findings from recent research. Following an introductory chapter, the book formulates the gambler's problem and discusses gambling strategies. Succeeding chapters explore the properties associated with casinos and certain measures of subfairness. Concluding chapters relate the scope of the gambler's problems to more general mathematical ideas, including dynamic programming, Bayesian statistics, and stochastic processes. Dover (2014) revised and updated republication of the 1976 Dover edition entitled Inequalities for Stochastic Processes. See every Dover book in print at www.doverpublications.com
Author : Marius Iosifescu
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 3112314034
Total Pages : 676 pages
Book Rating : 4.1/5 (123 download)
Download or read book Proceedings of the Seventh Conference on Probability Theory written by Marius Iosifescu and published by Walter de Gruyter GmbH & Co KG. This book was released on 2020-05-18 with total page 676 pages. Available in PDF, EPUB and Kindle. Book excerpt: No detailed description available for "Proceedings of the Seventh Conference on Probability Theory".
Author : P. Kall
Publisher : Springer Science & Business Media
ISBN 13 : 364251572X
Total Pages : 236 pages
Book Rating : 4.6/5 (425 download)
Download or read book Recent Results in Stochastic Programming written by P. Kall and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Eitan Altman
Publisher : Routledge
ISBN 13 : 1351458248
Total Pages : 256 pages
Book Rating : 4.3/5 (514 download)
Download or read book Constrained Markov Decision Processes written by Eitan Altman and published by Routledge. This book was released on 2021-12-17 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a unified approach for the study of constrained Markov decision processes with a finite state space and unbounded costs. Unlike the single controller case considered in many other books, the author considers a single controller with several objectives, such as minimizing delays and loss, probabilities, and maximization of throughputs. It is desirable to design a controller that minimizes one cost objective, subject to inequality constraints on other cost objectives. This framework describes dynamic decision problems arising frequently in many engineering fields. A thorough overview of these applications is presented in the introduction. The book is then divided into three sections that build upon each other.
Author : Hanspeter Schmidli
Publisher : Springer Science & Business Media
ISBN 13 : 1848000030
Total Pages : 263 pages
Book Rating : 4.8/5 (48 download)
Download or read book Stochastic Control in Insurance written by Hanspeter Schmidli and published by Springer Science & Business Media. This book was released on 2007-11-20 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques, then applies the principles to several problems. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case. Schmidli’s brilliant text also includes a number of appendices, a vital resource for those in both academic and professional settings.
Author : C.C. v. Weizsäcker
Publisher : Springer Science & Business Media
ISBN 13 : 3642806465
Total Pages : 108 pages
Book Rating : 4.6/5 (428 download)
Download or read book Steady State Capital Theory written by C.C. v. Weizsäcker and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: The following lecture notes were written shortly after I gave a course on capital theory in the winter-semester 1970/71 at the Univer sity of Heidelberg. While the general line of the argument is similar to the one in the course, I have modified and added a large number' of specific points in the process of writing the English version. I should like to emphasize the narrow limitations of the material covered in these notes. I have completely concentrated on steady states of stationary and exponentially growing economies, even up to the point where there is the danger of misleading the reader1 I have done this for several reasons. Other activities have not left me with a sufficient amount of time to be able to find the unifying principle of analysis and mode of presentation for the dynamic aspects of capi tal theory which would have made it worthwhile to add a sizeable book to the large body of literature in this field. On the other hand over the last couple of years I have become increasingly aware that some of the results in steady state capital theory (which could be derived without too much mathematical effort) are of relevance in present day dis cussions about the political role of economic theory and the relative merits of orthodox and radical economics. Also these results seemed not to be known by' mO$ of the participants in these discussions.
