Stochastic Modeling and Optimization - With Applications in Queues, Finance, and Supply Chains

This book covers the broad range of research in stochastic models and optimization. Applications covered include networks, financial engineering, production planning and supply chain management. Each contribution is aimed at graduate students working in operations research, probability, and statistics.

Contents

• Discrete-time Singularly Perturbed Markov Chains
• Nearly Optimal Controls of Markovian Systems
• Stochastic Approximation, with Applications
• Performance Potential Based Optimization and MDPs
• An Interior-Point and Decomposition Approach to Stochastic Programming
• A Brownian Model of Stochastic Processing Networks
• Stability of General Processing Networks
• Large Deviations, Long-Range Dependence, and Queues
• Markowitz's World in Continuous Time, and Beyond
• Variance Minimization in Stochastic Systems
• A Markov Chain Method for Pricing Contingent Claims
• Stochastic Network Models and Optimization of a Hospital System
• Optimal Airline Booking Control with Cancellations
• Information Revision and Decision Making in Supply Chain Management