Introduction to Stochastic Dynamic Programming e-bog
223,05 DKK
(inkl. moms 278,81 DKK)
Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of applications of stochastic dynamic programming. The book begins with a chapter on various finite-stage models, illustrating the wide range of applications of stochastic dynamic programming. Subsequent chapters study infinite-stage models: discounting future returns, minimizing nonnegative costs,...
E-bog
223,05 DKK
Forlag
Academic Press
Udgivet
10 juli 2014
Længde
178 sider
Genrer
Applied mathematics
Sprog
English
Format
pdf
Beskyttelse
LCP
ISBN
9781483269092
Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of applications of stochastic dynamic programming. The book begins with a chapter on various finite-stage models, illustrating the wide range of applications of stochastic dynamic programming. Subsequent chapters study infinite-stage models: discounting future returns, minimizing nonnegative costs, maximizing nonnegative returns, and maximizing the long-run average return. Each of these chapters first considers whether an optimal policy need exist-providing counterexamples where appropriate-and then presents methods for obtaining such policies when they do. In addition, general areas of application are presented. The final two chapters are concerned with more specialized models. These include stochastic scheduling models and a type of process known as a multiproject bandit. The mathematical prerequisites for this text are relatively few. No prior knowledge of dynamic programming is assumed and only a moderate familiarity with probability- including the use of conditional expectation-is necessary.