Discrete Stochastics PDF Download
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| Author | : Robert G. Gallager |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 280 |
| Release | : 2012-12-06 |
| Genre | : Technology & Engineering |
| ISBN | : 146152329X |
Download Discrete Stochastic Processes Book in PDF, ePub and Kindle
Stochastic processes are found in probabilistic systems that evolve with time. Discrete stochastic processes change by only integer time steps (for some time scale), or are characterized by discrete occurrences at arbitrary times. Discrete Stochastic Processes helps the reader develop the understanding and intuition necessary to apply stochastic process theory in engineering, science and operations research. The book approaches the subject via many simple examples which build insight into the structure of stochastic processes and the general effect of these phenomena in real systems. The book presents mathematical ideas without recourse to measure theory, using only minimal mathematical analysis. In the proofs and explanations, clarity is favored over formal rigor, and simplicity over generality. Numerous examples are given to show how results fail to hold when all the conditions are not satisfied. Audience: An excellent textbook for a graduate level course in engineering and operations research. Also an invaluable reference for all those requiring a deeper understanding of the subject.
| Author | : Nicolas Privault |
| Publisher | : Springer |
| Total Pages | : 322 |
| Release | : 2009-07-14 |
| Genre | : Mathematics |
| ISBN | : 3642023800 |
Download Stochastic Analysis in Discrete and Continuous Settings Book in PDF, ePub and Kindle
This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely?-algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di?usion processes on Gaussian and Wiener spaces, cf. e.g. [51], [63], [65], [72], [83], [84], [92], [128], [134], [143], [146], [147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni?ed framework of normal martingales.
| Author | : Atle Seierstad |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 299 |
| Release | : 2008-11-11 |
| Genre | : Mathematics |
| ISBN | : 0387766162 |
Download Stochastic Control in Discrete and Continuous Time Book in PDF, ePub and Kindle
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.
| Author | : Torsten Söderström |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 387 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 1447101014 |
Download Discrete-time Stochastic Systems Book in PDF, ePub and Kindle
This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
| Author | : Armin Zimmermann |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 393 |
| Release | : 2008-01-12 |
| Genre | : Computers |
| ISBN | : 3540741739 |
Download Stochastic Discrete Event Systems Book in PDF, ePub and Kindle
Stochastic discrete-event systems (SDES) capture the randomness in choices due to activity delays and the probabilities of decisions. This book delivers a comprehensive overview on modeling with a quantitative evaluation of SDES. It presents an abstract model class for SDES as a pivotal unifying result and details important model classes. The book also includes nontrivial examples to explain real-world applications of SDES.
| Author | : Konrad Jacobs |
| Publisher | : Birkhäuser |
| Total Pages | : 287 |
| Release | : 2012-12-06 |
| Genre | : Mathematics |
| ISBN | : 3034886454 |
Download Discrete Stochastics Book in PDF, ePub and Kindle
Discrete stochastics is the theory of discrete probability spaces. This undergraduate textbook gives a concise introduction into discrete stochastics in general, and into a variety of typical special topics in this field, such as information theory, fluctuation theory, and semigroups of stochastic matrices. The emphasis lies on probability theory rather than on statistical methodology. Motivations, interpretations, and numerous examples and exercises relate the mathematical theory to stochastic experience.
| Author | : Martin L. Puterman |
| Publisher | : John Wiley & Sons |
| Total Pages | : 544 |
| Release | : 2014-08-28 |
| Genre | : Mathematics |
| ISBN | : 1118625870 |
Download Markov Decision Processes Book in PDF, ePub and Kindle
The Wiley-Interscience Paperback Series consists of selected books that have been made more accessible to consumers in an effort to increase global appeal and general circulation. With these new unabridged softcover volumes, Wiley hopes to extend the lives of these works by making them available to future generations of statisticians, mathematicians, and scientists. "This text is unique in bringing together so many results hitherto found only in part in other texts and papers. . . . The text is fairly self-contained, inclusive of some basic mathematical results needed, and provides a rich diet of examples, applications, and exercises. The bibliographical material at the end of each chapter is excellent, not only from a historical perspective, but because it is valuable for researchers in acquiring a good perspective of the MDP research potential." —Zentralblatt fur Mathematik ". . . it is of great value to advanced-level students, researchers, and professional practitioners of this field to have now a complete volume (with more than 600 pages) devoted to this topic. . . . Markov Decision Processes: Discrete Stochastic Dynamic Programming represents an up-to-date, unified, and rigorous treatment of theoretical and computational aspects of discrete-time Markov decision processes." —Journal of the American Statistical Association
| Author | : Jan H. van Schuppen |
| Publisher | : Springer Nature |
| Total Pages | : 940 |
| Release | : 2021-08-02 |
| Genre | : Technology & Engineering |
| ISBN | : 3030669521 |
Download Control and System Theory of Discrete-Time Stochastic Systems Book in PDF, ePub and Kindle
This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows. The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.
| Author | : Konrad Jacobs |
| Publisher | : Birkhäuser |
| Total Pages | : 283 |
| Release | : 2012-10-29 |
| Genre | : Mathematics |
| ISBN | : 9783034897136 |
Download Discrete Stochastics Book in PDF, ePub and Kindle
Discrete stochastics is the theory of discrete probability spaces. This undergraduate textbook gives a concise introduction into discrete stochastics in general, and into a variety of typical special topics in this field, such as information theory, fluctuation theory, and semigroups of stochastic matrices. The emphasis lies on probability theory rather than on statistical methodology. Motivations, interpretations, and numerous examples and exercises relate the mathematical theory to stochastic experience.
| Author | : Vasile Dragan |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 349 |
| Release | : 2009-11-10 |
| Genre | : Mathematics |
| ISBN | : 1441906304 |
Download Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems Book in PDF, ePub and Kindle
In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006. Key features: - Provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature; - Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains; - Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations; - Leads the reader in a natural way to the original results through a systematic presentation; - Presents new theoretical results with detailed numerical examples. The monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.
