Ebook: Optimization, Control, and Applications of Stochastic Systems: In Honor of Onésimo Hernández-Lerma

This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields.

Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.

---

This volume covers recent developments in the design, operation, and management of mobile telecommunication and computer systems. Uncertainty regarding loading and system parameters leads to challenging optimization and robustness issues. Stochastic modeling combined with optimization theory ensures the optimum end-to-end performance of telecommunication or computer network systems. In view of the diverse design options possible, supporting models have many adjustable parameters and choosing the best set for a particular performance objective is delicate and time-consuming. An optimization based approach determines the optimal possible allocation for these parameters. Researchers and graduate students working at the interface of telecommunications and operations research will benefit from this book. Due to the practical approach, this book will also serve as a reference tool for scientists and engineers in telecommunication and computer networks who depend upon optimization On the Policy Iteration Algorithm for Nondegenerate Controlled Diffusions Under the Ergodic Criterion / Ari Arapostathis -- Discrete-Time Inventory Problems with Lead-Time and Order-Time Constraint / Lankere Benkherouf and Alain Bensoussan -- Sample-Path Optimality in Average Markov Decision Chains Under a Double Lyapunov Function Condition / Rolando Cavazos-Cadena and Raúl Montes-de-Oca -- Approximation of Infinite Horizon Discounted Cost Markov Decision Processes / François Dufour and Tomás Prieto-Rumeau -- Reduction of Discounted Continuous-Time MDPs with Unbounded Jump and Reward Rates to Discrete-Time Total-Reward MDPs / Eugene A. Feinberg -- Continuous-Time Controlled Jump Markov Processes on the Finite Horizon / Mrinal K. Ghosh and Subhamay Saha -- Existence and Uniqueness of Solutions of SPDEs in Infinite Dimensions / T. E. Govindan -- A Constrained Optimization Problem with Applications to Constrained MDPs / Xianping Guo, Qingda Wei and Junyu Zhang -- Optimal Execution of Derivatives: A Taylor Expansion Approach / Gerardo Hernandez-del-Valle and Yuemeng Sun -- A Survey of Some Model-Based Methods for Global Optimization / Jiaqiao Hu, Yongqiang Wang, Enlu Zhou, Michael C. Fu and Steven I. Marcus -- Constrained Optimality for First Passage Criteria in Semi-Markov Decision Processes / Yonghui Huang and Xianping Guo -- Infinite-Horizon Optimal Control Problems for Hybrid Switching Diffusions / Héctor Jasso-Fuentes and George Yin -- Fluid Approximations to Markov Decision Processes with Local Transitions / Alexey Piunovskiy and Yi Zhang -- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach / Rosario Romera and Wolfgang Runggaldier -- Estimation of the Optimality Deviation in Discounted Semi-Markov Control Models / Luz del Carmen Rosas-Rosas -- Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems / Lukasz Stettner -- A Direct Approach to the Solution of Optimal Multiple-Stopping Problems / Richard H. Stockbridge and Chao Zhu -- On the Regularity Property of Semi-Markov Processes with Borel State Spaces / Óscar Vega-Amaya