This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.
This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, p...
In the mathematical treatment of many problems which arise in physics, economics, engineering, management, etc., the researcher frequently faces two major difficulties: infinite dimensionality and randomness of the evolution process. Infinite dimensionality occurs when the evolution in time of a process is accompanied by a space-like dependence; for example, spatial distribution of the temperature for a heat-conductor, spatial dependence of the time-varying displacement of a membrane subject to external forces, etc. Randomness is intrinsic to the mathematical formulation of many phenomena,...
In the mathematical treatment of many problems which arise in physics, economics, engineering, management, etc., the researcher frequently faces two m...
This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, production planning, and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.
This books covers the broad range of research in stochastic models and optimization. Applications presented include networks, financial engineering, p...
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol- lowing: (Q) What is the relationship betwccn the maximum principlc and dy- namic programming in stochastic optimal controls? There did exist some researches (prior...
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving ...
