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This book presents state-of-the-art solution methods and
applications of stochastic optimal control. It is a collection of
extended papers discussed at the traditional Liverpool workshop on
controlled stochastic processes with participants from both the
east and the west. New problems are formulated, and progresses of
ongoing research are reported. Topics covered in this book include
theoretical results and numerical methods for Markov and
semi-Markov decision processes, optimal stopping of Markov
processes, stochastic games, problems with partial information,
optimal filtering, robust control, Q-learning, and self-organizing
algorithms. Real-life case studies and applications, e.g., queueing
systems, forest management, control of water resources, marketing
science, and healthcare, are presented. Scientific researchers and
postgraduate students interested in stochastic optimal control,- as
well as practitioners will find this book appealing and a valuable
reference.
This book presents state-of-the-art solution methods and
applications of stochastic optimal control. It is a collection of
extended papers discussed at the traditional Liverpool workshop on
controlled stochastic processes with participants from both the
east and the west. New problems are formulated, and progresses of
ongoing research are reported. Topics covered in this book include
theoretical results and numerical methods for Markov and
semi-Markov decision processes, optimal stopping of Markov
processes, stochastic games, problems with partial information,
optimal filtering, robust control, Q-learning, and self-organizing
algorithms. Real-life case studies and applications, e.g., queueing
systems, forest management, control of water resources, marketing
science, and healthcare, are presented. Scientific researchers and
postgraduate students interested in stochastic optimal control,- as
well as practitioners will find this book appealing and a valuable
reference.
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.
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.
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