Continuous-time Markov decision processes : Borel space models and general control strategies / Alexey Piunovskiy, Yi Zhang ; foreword by Albert Nikolaevich Shiryaev.

This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional constra...

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Bibliographic Details
Main Authors: Piunovskiy, A. B. (Author), Zhang, Yi (Author)
Format: eBook
Language:English
Published: Cham : Springer, [2020]
Series:Probability theory and stochastic modelling ; v. 97.
Subjects:
Online Access:Click for online access

MARC

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245 1 0 |a Continuous-time Markov decision processes :  |b Borel space models and general control strategies /  |c Alexey Piunovskiy, Yi Zhang ; foreword by Albert Nikolaevich Shiryaev. 
264 1 |a Cham :  |b Springer,  |c [2020] 
300 |a 1 online resource (xxiv, 583 pages) :  |b illustrations (some color) 
336 |a text  |b txt  |2 rdacontent 
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490 1 |a Probability theory and stochastic modelling,  |x 2199-3130 ;  |v volume 97 
504 |a Includes bibliographical references and index. 
520 |a This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional constraints and the realizability of strategies. Three major methods of investigations are presented, based on dynamic programming, linear programming, and reduction to discrete-time problems. Although the main focus is on models with total (discounted or undiscounted) cost criteria, models with average cost criteria and with impulsive controls are also discussed in depth. The book is self-contained. A separate chapter is devoted to Markov pure jump processes and the appendices collect the requisite background on real analysis and applied probability. All the statements in the main text are proved in detail. Researchers and graduate students in applied probability, operational research, statistics and engineering will find this monograph interesting, useful and valuable. 
505 0 |a Foreword -- Preface -- Description of CTMDPs and Preliminaries -- Selected Properties of Controlled Processes -- The Discounted Cost Model -- Reduction to DTMDP: The Total Cost Model -- The Average Cost Model -- The Total Cost Model: General Case -- Gradual-Impulsive Control Models -- Appendices: Miscellaneous Results.-Relevant Definitions and Facts -- Definitions and Facts about Discrete-Time Markov Decision Processes -- Bibliography -- Index -- Notation. 
588 0 |a Online resource; title from PDF title page (SpringerLink, viewed January 26, 2021). 
650 0 |a Markov processes. 
650 0 |a Probabilities. 
650 0 |a Statistics. 
650 0 |a System theory. 
650 0 |a Mathematical optimization. 
650 7 |a probability.  |2 aat 
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650 7 |a Optimización matemática  |2 embne 
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650 7 |a Mathematical optimization  |2 fast 
650 7 |a Probabilities  |2 fast 
650 7 |a Statistics  |2 fast 
650 7 |a System theory  |2 fast 
700 1 |a Zhang, Yi,  |e author. 
758 |i has work:  |a Continuous-time Markov decision processes (Text)  |1 https://id.oclc.org/worldcat/entity/E39PCGk3x9JmQPwxPP3dbRX7jK  |4 https://id.oclc.org/worldcat/ontology/hasWork 
776 0 8 |i Print version:  |z 9783030549862 
776 0 8 |i Print version:  |z 9783030549886 
776 0 8 |i Print version:  |z 9783030549893 
830 0 |a Probability theory and stochastic modelling ;  |v v. 97.  |x 2199-3130 
856 4 0 |u https://holycross.idm.oclc.org/login?auth=cas&url=https://link.springer.com/10.1007/978-3-030-54987-9  |y Click for online access 
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