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Selected Topics On Continuoustime Controlled Markov Chains And Markov Games Tomas Prietorumeau

  • SKU: BELL-5243510
Selected Topics On Continuoustime Controlled Markov Chains And Markov Games Tomas Prietorumeau
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Selected Topics On Continuoustime Controlled Markov Chains And Markov Games Tomas Prietorumeau instant download after payment.

Publisher: Imperial College Press
File Extension: PDF
File size: 1.43 MB
Pages: 292
Author: Tomas Prieto-Rumeau, Onesimo Hernandez-Lerma
ISBN: 9781848168480, 1848168489
Language: English
Year: 2012

Product desciption

Selected Topics On Continuoustime Controlled Markov Chains And Markov Games Tomas Prietorumeau by Tomas Prieto-rumeau, Onesimo Hernandez-lerma 9781848168480, 1848168489 instant download after payment.

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 optimality criteria (such as discounted and average reward), and advanced optimality criteria (e.g., bias, overtaking, sensitive discount, and Blackwell optimality) is presented. A particular emphasis is made on the application of the results herein: algorithmic and computational issues are discussed, and applications to population models and epidemic processes are shown.

This book is addressed to students and researchers in the fields of stochastic control and stochastic games. Moreover, it could be of interest also to undergraduate and beginning graduate students because the reader is not supposed to have a high mathematical background: a working knowledge of calculus, linear algebra, probability, and continuous-time Markov chains should suffice to understand the contents of the book.

Readership: Graduate students and researchers in the fields of stochastic control and stochastic analysis.

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