Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes: Application...

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Benoîte de Saporta François Dufour

Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes

Application to Reliability

Benoîte de Saporta, François Dufour, Huilong Zhang , Beno Te De Saporta

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English

ISTE Ltd and John Wiley & Sons Inc
15 January 2016

Numerical analysis; Optimisation

Mark H.A. Davis introduced the Piecewise-Deterministic Markov Process (PDMP) class of stochastic hybrid models in an article in 1984. Today it is used to model a variety of complex systems in the fields of engineering, economics, management sciences, biology, Internet traffic, networks and many more. Yet, despite this, there is very little in the way of literature devoted to the development of numerical methods for PDMDs to solve problems of practical importance, or the computational control of PDMPs.

This book therefore presents a collection of mathematical tools that have been recently developed to tackle such problems. It begins by doing so through examples in several application domains such as reliability. The second part is devoted to the study and simulation of expectations of functionals of PDMPs. Finally, the third part introduces the development of numerical techniques for optimal control problems such as stopping and impulse control problems.

By: Benoîte de Saporta, François Dufour, Huilong Zhang, Beno Te De Saporta, Fran Ois Dufour
Imprint: ISTE Ltd and John Wiley & Sons Inc
Country of Publication: United Kingdom
Dimensions: Height: 241mm, Width: 163mm, Spine: 23mm
Weight: 590g
ISBN: 9781848218390
ISBN 10: 1848218397
Pages: 298
Publication Date: 15 January 2016
Audience: Professional and scholarly , Undergraduate
Format: Hardback
Publisher's Status: Active

Benoîte de Saporta is Professor in Applied Probabilities at the University of Montpellier 2 in France. François Dufour is Professor at the University of Bordeaux in France. Huilong Zhang is a lecturer at INRIA in Bordeaux, France.