Tag: Markov

Free Download Markov Decision Processes and Stochastic Positional Games: Optimal Control on Complex Networks
English | 2024 | ISBN: 3031401794 | 396 Pages | PDF EPUB (True) | 35 MB
This book presents recent findings and results concerning the solutions of especially finite state-space Markov decision problems and determining Nash equilibria for related stochastic games with average and total expected discounted reward payoffs. In addition, it focuses on a new class of stochastic games: stochastic positional games that extend and generalize the classic deterministic positional games. It presents new algorithmic results on the suitable implementation of quasi-monotonic programming techniques. Moreover, the book presents applications of positional games within a class of multi-objective discrete control problems and hierarchical control problems on networks.

Free Download Markov Chains on Metric Spaces: A Short Course (Universitext) by Michel Benaïm, Tobias Hurth
English | November 22, 2022 | ISBN: 3031118219 | 216 pages | MOBI | 25 Mb
This book gives an introduction to discrete-time Markov chains which evolve on a separable metric space.

Free Download Eugene A. Feinberg, Adam Shwartz, "Handbook of Markov Decision Processes: Methods and Applications"
English | 2002 | ISBN: 1461352487, 0792374592 | DJVU | pages: 557 | 6.1 mb
Eugene A. Feinberg Adam Shwartz This volume deals with the theory of Markov Decision Processes (MDPs) and their applications. Each chapter was written by a leading expert in the re spective area. The papers cover major research areas and methodologies, and discuss open questions and future research directions. The papers can be read independently, with the basic notation and concepts ofSection 1.2. Most chap ters should be accessible by graduate or advanced undergraduate students in fields of operations research, electrical engineering, and computer science. 1.1 AN OVERVIEW OF MARKOV DECISION PROCESSES The theory of Markov Decision Processes-also known under several other names including sequential stochastic optimization, discrete-time stochastic control, and stochastic dynamic programming-studiessequential optimization ofdiscrete time stochastic systems. The basic object is a discrete-time stochas tic system whose transition mechanism can be controlled over time. Each control policy defines the stochastic process and values of objective functions associated with this process. The goal is to select a "good" control policy. In real life, decisions that humans and computers make on all levels usually have two types ofimpacts: (i) they cost orsavetime, money, or other resources, or they bring revenues, as well as (ii) they have an impact on the future, by influencing the dynamics. In many situations, decisions with the largest immediate profit may not be good in view offuture events. MDPs model this paradigm and provide results on the structure and existence of good policies and on methods for their calculation.

Free Download Daniel W. Stroock, "An Introduction to Markov Processes Ed 2"
English | ISBN: 3642405223 | 2014 | 220 pages | EPUB | 3 MB
This book provides a rigorous but elementary introduction to the theory of Markov Processes on a countable state space. It should be accessible to students with a solid undergraduate background in mathematics, including students from engineering, economics, physics, and biology. Topics covered are: Doeblin’s theory, general ergodic properties, and continuous time processes. Applications are dispersed throughout the book. In addition, a whole chapter is devoted to reversible processes and the use of their associated Dirichlet forms to estimate the rate of convergence to equilibrium. These results are then applied to the analysis of the Metropolis (a.k.a simulated annealing) algorithm.

Free Download Optimization and Games for Controllable Markov Chains:
Numerical Methods with Application to Finance and Engineering
English | 2024 | ISBN: 3031435745 | 570 Pages | PDF EPUB (True) | 50 MB

Free Download Local Limit Theorems for Inhomogeneous Markov Chains by Dmitry Dolgopyat , Omri M. Sarig
English | PDF | 2023 | 348 Pages | ISBN : 3031326008 | 10 MB
This book extends the local central limit theorem to Markov chains whose state spaces and transition probabilities are allowed to change in time. Such chains are used to model Markovian systems depending on external time-dependent parameters. The book develops a new general theory of local limit theorems for additive functionals of Markov chains, in the regimes of local, moderate, and large deviations, and provides nearly optimal conditions for the classical expansions, as well as asymptotic corrections when these conditions fail. Applications include local limit theorems for independent but not identically distributed random variables, Markov chains in random environments, and time-dependent perturbations of homogeneous Markov chains.

Free Download Discrete-Time Semi-Markov Random Evolutions and Their Applications
English | 2023 | ISBN: 3031334280 | 198 Pages | PDF EPUB (True) | 17 MB
This book extends the theory and applications of random evolutions to semi-Markov random media in discrete time, essentially focusing on semi-Markov chains as switching or driving processes. After giving the definitions of discrete-time semi-Markov chains and random evolutions, it presents the asymptotic theory in a functional setting, including weak convergence results in the series scheme, and their extensions in some additional directions, including reduced random media, controlled processes, and optimal stopping. Finally, applications of discrete-time semi-Markov random evolutions in epidemiology and financial mathematics are discussed. This book will be of interest to researchers and graduate students in applied mathematics and statistics, and other disciplines, including engineering, epidemiology, finance and economics, who are concerned with stochastic models of systems.

Free Download Markov Chains For Programmers
English | 2022 | ISBN: n/a | 68 Pages | PDF | 2.5 MB
"Markov Chains for programmers" is devoted to programmers at any level wanting to understand more about the underpinnings of Markov Chains (MC) and basic solution methods.

Free Download Markov Processes: Volume I by E. B. Dynkin
English | PDF | 1965 | 377 Pages | ISBN : 3662000334 | 29 MB
The modem theory of Markov processes has its origins in the studies of A. A. MARKOV (1906-1907) on sequences of experiments "connected in a chain" and in the attempts to describe mathematically the physical phenomenon known as Brownian motion (L. BACHELlER 1900, A. EIN STEIN 1905). The first correct mathematical construction of a Markov process with continuous trajectories was given by N. WIENER in 1923. (This process is often called the Wiener process.) The general theory of Markov processes was developed in the 1930’s and 1940’s by A. N. KOL MOGOROV, W. FELLER, W. DOEBLlN, P. LEVY, J. L. DOOB, and others. During the past ten years the theory of Markov processes has entered a new period of intensive development. The methods of the theory of semigroups of linear operators made possible further progress in the classification of Markov processes by their infinitesimal characteristics. The broad classes of Markov processes with continuous trajectories be came the main object of study.

Free Download Markov Chains: With Stationary Transition Probabilities by Kai Lai Chung
English | PDF | 1967 | 312 Pages | ISBN : 3540038221 | 23.3 MB
In this revised edition I have added some new material as well as making corrections and improvements. In Part I the additions (in §§ 9, 10, 11) are a few results closely related to the original text and illustrative of the method of taboos. In Part II the major additions have to do with the boundary theory; these include "fine topology" in § 11, "Martin boundary" and "entrance law" in § 19. The old Addenda have been expanded into the new § 12, some of the developments there being also germane to the boundary theory. It is hoped that these efforts have now brought the reader right up to the edge of the boundary. A number of selected items have been inserted in the Bibliography as a further guide to the latest literature on the above-mentioned and other topics.