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Dynamic programming : models and applications.
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ISBN: 0486428109 Year: 2003 Publisher: Mineola Dover

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On the rate of convergence in diffusion approximation of jump Markov processes
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Year: 1978 Publisher: Uppsala : Uppsala University, Dept. of Mathematics,

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Dynamic programming.
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ISBN: 0486428095 9780486428093 Year: 2003 Publisher: Mineola Dover

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An introduction to the mathematical theory of multistage decision processes, this text takes a "functional equation" approach to the discovery of optimum policies. Written by a leading developer of such policies, it presents a series of methods, uniqueness and existence theorems, and examples for solving the relevant equations. The text examines existence and uniqueness theorems, the optimal inventory equation, bottleneck problems in multistage production processes, a new formalism in the calculus of variation, strategies behind multistage games, and Markovian decision processes. Each chapter concludes with a problem set that Eric V. Denardo of Yale University, in his informative new introduction, calls "a rich lode of applications and research topics." 1957 edition. 37 figures.

Probability : an introduction with statistical applications.
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ISBN: 0471122106 Year: 1997 Publisher: New York Wiley

Advances in data mining and modeling, Hong Kong, 27-28 June 2002
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ISBN: 9812383549 9789812383549 9812704957 9789812704955 1281372994 9781281372994 9786611372996 6611372997 Year: 2003 Publisher: Singapore ; River Edge, NJ : World Scientific,

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Data mining and data modeling are hot topics and are under fast development. Because of their wide applications and rich research contents, many practitioners and academics are attracted to work in these areas. With a view to promoting communication and collaboration among the practitioners and researchers in Hong Kong, a workshop on data mining and modeling was held in June 2002. Prof Ngaiming Mok, Director of the Institute of Mathematical Research, The University of Hong Kong, and Prof Tze Leung Lai (Stanford University), C V Starr Professor of the University of Hong Kong, initiated the work

Markov set-chain
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ISBN: 3540647759 3540687114 9783540647751 Year: 1998 Volume: 1695 Publisher: Berlin ; Heidelberg ; New York Springer Verlag

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In this study extending classical Markov chain theory to handle fluctuating transition matrices, the author develops a theory of Markov set-chains and provides numerous examples showing how that theory can be applied. Chapters are concluded with a discussion of related research. Readers who can benefit from this monograph are those interested in, or involved with, systems whose data is imprecise or that fluctuate with time. A background equivalent to a course in linear algebra and one in probability theory should be sufficient.

Continuous strong Markov processes in dimension one : a stochastic calculus approach
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ISBN: 3540644652 3540697861 9783540644651 Year: 1998 Volume: 1688 Publisher: Berlin ; Heidelberg ; New York Springer Verlag

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The book presents an in-depth study of arbitrary one-dimensional continuous strong Markov processes using methods of stochastic calculus. Departing from the classical approaches, a unified investigation of regular as well as arbitrary non-regular diffusions is provided. A general construction method for such processes, based on a generalization of the concept of a perfect additive functional, is developed. The intrinsic decomposition of a continuous strong Markov semimartingale is discovered. The book also investigates relations to stochastic differential equations and fundamental examples of irregular diffusions.

Scaling limits of interacting particle systems
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ISBN: 3540649131 3642084443 3662037521 9783540649137 Year: 1999 Volume: 320 Publisher: Berlin ; Heidelberg ; New York Springer Verlag

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The idea of writing up a book on the hydrodynamic behavior of interacting particle systems was born after a series of lectures Claude Kipnis gave at the University of Paris 7 in the spring of 1988. At this time Claude wrote some notes in French that covered Chapters 1 and 4, parts of Chapters 2, 5 and Appendix 1 of this book. His intention was to prepare a text that was as self-contained as possible. lt would include, for instance, all tools from Markov process theory ( cf. Appendix 1, Chaps. 2 and 4) necessary to enable mathematicians and mathematical physicists with some knowledge of probability, at the Ievel of Chung (1974), to understand the techniques of the theory of hydrodynamic Iimits of interacting particle systems. In the fall of 1991 Claude invited me to complete his notes with him and transform them into a book that would present to a large audience the latest developments of the theory in a simple and accessible form. To concentrate on the main ideas and to avoid unnecessary technical difficulties, we decided to consider systems evolving in finite lattice spaces and for which the equilibrium states are product measures. To illustrate the techniques we chose two well-known particle systems, the generalized exclusion processes and the zero-range processes. We also conceived the book in such a manner that most chapters can be read independently of the others. Here are some comments that might help readers find their way.

Numerical methods of statistics.
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ISBN: 0521791685 Year: 2001 Publisher: Cambridge ; Cambridge university press

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This book explains how computer software is designed to perform the tasks required for sophisticated statistical analysis. For statisticians, it examines the nitty-gritty computational problems behind statistical methods; for mathematicians and computer scientists, it looks at the application of mathematical tools to statistical problems. The first half of the book provides a basic background in numerical analysis emphasizing issues important to statisticians. The next several chapters cover a broad array of statistical tools, such as maximum likelihood and nonlinear regression. The author also treats application of numerical tools: numerical integration and random number generation are explained in a unified manner reflecting complementary views of Monte Carlo methods. The book concludes with an examination of sorting, FFT and the application of other 'fast' algorithms to statistics. Each chapter contains exercises that range from the simple to research problems, as well as examples of the methods at work. Most of the examples are accompanied by demonstration code available on a floppy disk included with the book.

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