Numerical methods for simulation and optimization of piecewise deterministic Markov processes : application to reliability / Benoîte de Saporta, Franc̜ois Dufour, Huilong Zhang.
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| Online Access: |
Full Text (via ProQuest) |
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| Main Authors: | , , |
| Format: | eBook |
| Language: | English |
| Published: |
London : Hoboken, NJ :
ISTE ; John Wiley & Sons, Inc.,
2016.
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| Series: | Oregon State monographs. Mathematics and statistics series.
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| Subjects: |
Table of Contents:
- Part 1. Piecewise deterministic Markov processes and quantization
- Piecewise deterministic Markov processes
- Examples in reliability
- Quantization technique
- Part 2. Simulation of functionals
- Expectation of functionals
- Exit time
- Example in reliability: service time
- Part 3. Optimization
- Optimal stopping
- Partially observed optimal stopping problem
- Example in reliability: maintenance optimization
- Optimal impluse control.