Introduction to Stochastic Dynamic Programming - Softcover

Ross, Sheldon M.

Softcover

ISBN 10: 1483245772 ISBN 13: 9781483245775

Publisher: Academic Press, 2014

Synopsis

Introduction to Stochastic Dynamic Programming presents the basic theory and examines the scope of applications of stochastic dynamic programming.The book begins with a chapter on various finite-stage models, illustrating the wide range of applications of stochastic dynamic programming. Subsequent chapters study infinite-stage discounting future returns, minimizing nonnegative costs, maximizing nonnegative returns, and maximizing the long-run average return. Each of these chapters first considers whether an optimal policy need exist—providing counterexamples where appropriate—and then presents methods for obtaining such policies when they do. In addition, general areas of application are presented.The final two chapters are concerned with more specialized models. These include stochastic scheduling models and a type of process known as a multiproject bandit. The mathematical prerequisites for this text are relatively few. No prior knowledge of dynamic programming is assumed and only a moderate familiarity with probability— including the use of conditional expectation—is necessary.

About this title

About the Author

Sheldon M. Ross is a professor in the Department of Industrial Engineering and Operations Research at the University of Southern California. He received his Ph.D. in statistics at Stanford University in 1968. He has published many technical articles and textbooks in the areas of statistics and applied probability. Among his texts are A First Course in Probability, Introduction to Probability Models, Stochastic Processes, and Introductory Statistics. Professor Ross is the founding and continuing editor of the journal Probability in the Engineering and Informational Sciences. He is a Fellow of the Institute of Mathematical Statistics, and a recipient of the Humboldt US Senior Scientist Award.

Edition details

• Publisher: Academic Press
• Publication date: 2014
• Language: English
• ISBN 10: 1483245772
• ISBN 13: 9781483245775
• Binding: Paperback
• Number of pages: 178
• Editor: Birnbaum Z. W.