Description |
1 online resource. |
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text file |
Series |
ICP advanced texts in mathematics ; v. 5
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Imperial College Press advanced texts in mathematics ; v. 5.
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Summary |
This book concerns continuous-time controlled Markov chains, also known as continuous-time Markov decision processes. They form a class of stochastic control problems in which a single decision-maker wishes to optimize a given objective function. This book is also concerned with Markov games, where two decision-makers (or players) try to optimize their own objective function. Both decision-making processes appear in a large number of applications in economics, operations research, engineering, and computer science, among other areas. An extensive, self-contained, up-to-date analysis of basic o. |
Contents |
Preface; Contents; 1. Introduction; 1.1 Preliminary examples; 1.1.1 A controlled population system; 1.1.2 A prey-predator game model; 1.2 Overview of the book; 1.3 Contents; 1.4 Notation; 2. Controlled Markov Chains; 2.1 Introduction; 2.2 The control model; 2.3 Existence of controlled Markov chains; 2.4 Exponential ergodicity; 2.5 Proof of Theorem 2.11; 2.6 Conclusions; 3. Basic Optimality Criteria; 3.1 Introduction; 3.2 The finite horizon case; 3.3 The infinite horizon discounted reward; 3.3.1 Definitions; 3.3.2 The discounted reward optimality equation; 3.3.3 The uniformization technique. |
Local Note |
eBooks on EBSCOhost EBSCO eBook Subscription Academic Collection - North America |
Subject |
Markov processes.
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Markov processes. |
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Stochastic processes.
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Stochastic processes. |
Genre/Form |
Electronic books.
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Electronic books.
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ISBN |
9781848168497 (electronic book) |
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1848168497 (electronic book) |
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1848168489 |
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9781848168480 |
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