Selected topics on continuous-time controlled Markov chains and Markov games.

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Bibliographic Details
Author / Creator:Prieto-Rumeau, Tomás.
Imprint:London : Imperial College Press ; Singapore ; Hackensack, NJ : Distributed by World Scientific Publishing Co., ©2012.
Description:1 online resource
Series:ICP advanced texts in mathematics ; v. 5
Imperial College Press advanced texts in mathematics ; v. 5.
Subject:Markov processes.
Stochastic processes.
MATHEMATICS -- Probability & Statistics -- Stochastic Processes.
Markov processes.
Stochastic processes.
Electronic books.
Electronic books.
Format: E-Resource Book
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Notes:Includes bibliographical references (pages 265-274) and index.
Online resource; title from digital title page (viewed May 24, 2012).
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.
Other form:1848168489
Table of 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.