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Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes by Benoite de Saporta, Francois Dufour, Huilong Zhang

Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes Benoite de Saporta, Francois Dufour, Huilong Zhang ebook
Format: pdf
Page: 260
ISBN: 9781848218390
Publisher: Wiley

Davis, Markov Models and Optimization„ Chapman & Hall, London, 1984. For a class of piecewise-deterministic Markov processes (PDMPs). Stochastic Processes: Modelling and Simulation Numerical methods for HJB equations of optimization problems for piecewise deterministic systems. We propose a numerical method for the optimal design and maintenance for the heated We model the system by a piecewise deterministic Markov process. Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes. Simulating Piecewise Deterministic Markov Processes above), and to solve by methods other than Monte Carlo simulation, as one can see from very recent Davis, M.H.A. SIAM Journal on Control and Optimization 07/2015; 53(4):1860-1891. In this paper we study the problem of the existence of a solution for the Poisson equation (PE) associated to a piecewise-deterministic Markov process (PDP). Lundberg risk model, piecewise deterministic Markov processes are used to describe the computational alternative of stochastic simulation of the risk process. Piecewise deterministic Markov processes (PDMP), see [ 6]. The ruin probabilities obtained by the recursive numerical method above [3] M. Keywords: Production availability; Loss of production; Numerical methods; Dynamic reliability. Average control of piecewise deterministic Markov processes,, O. Abstract We propose a numerical method to approximate the stopping of a piecewise deterministic Markov process {X(t)} by using a quantization technique. Dufour, SIAM Journal of Control and Optimization. (1993) Markov Models and Optimization, Chapman& Hall.