Description : Markov processes are processes that have limited memory. In particular, their dependence on the past is only through the previous state. They are used to model the behavior of many systems including communications systems, transportation networks, image segmentation and analysis, biological systems and DNA sequence analysis, random atomic motion and diffusion in physics, social mobility, population studies, epidemiology, animal and insect migration, queueing systems, resource management, dams, financial engineering, actuarial science, and decision systems. Covering a wide range of areas of application of Markov processes, this second edition is revised to highlight the most important aspects as well as the most recent trends and applications of Markov processes. The author spent over 16 years in the industry before returning to academia, and he has applied many of the principles covered in this book in multiple research projects. Therefore, this is an applications-oriented book that also includes enough theory to provide a solid ground in the subject for the reader. Presents both the theory and applications of the different aspects of Markov processes Includes numerous solved examples as well as detailed diagrams that make it easier to understand the principle being presented Discusses different applications of hidden Markov models, such as DNA sequence analysis and speech analysis.
Description : This textbook has been developed from the lecture notes for a one-semester course on stochastic modelling. It reviews the basics of probability theory and then covers the following topics: Markov chains, Markov decision processes, jump Markov processes, elements of queueing theory, basic renewal theory, elements of time series and simulation. Rigorous proofs are often replaced with sketches of arguments ? with indications as to why a particular result holds, and also how it is connected with other results ? and illustrated by examples. Wherever possible, the book includes references to more specialised texts containing both proofs and more advanced material related to the topics covered.
Description : This book presents an algebraic development of the theory of countable state space Markov chains with discrete- and continuous-time parameters. A Markov chain is a stochastic process characterized by the Markov prop erty that the distribution of future depends only on the current state, not on the whole history. Despite its simple form of dependency, the Markov property has enabled us to develop a rich system of concepts and theorems and to derive many results that are useful in applications. In fact, the areas that can be modeled, with varying degrees of success, by Markov chains are vast and are still expanding. The aim of this book is a discussion of the time-dependent behavior, called the transient behavior, of Markov chains. From the practical point of view, when modeling a stochastic system by a Markov chain, there are many instances in which time-limiting results such as stationary distributions have no meaning. Or, even when the stationary distribution is of some importance, it is often dangerous to use the stationary result alone without knowing the transient behavior of the Markov chain. Not many books have paid much attention to this topic, despite its obvious importance.
Description : Coherent introduction to techniques also offers a guide to the mathematical, numerical, and simulation tools of systems analysis. Includes formulation of models, analysis, and interpretation of results. 1995 edition.
Description : The field of applied probability has changed profoundly in the past twenty years. The development of computational methods has greatly contributed to a better understanding of the theory. A First Course in Stochastic Models provides a self-contained introduction to the theory and applications of stochastic models. Emphasis is placed on establishing the theoretical foundations of the subject, thereby providing a framework in which the applications can be understood. Without this solid basis in theory no applications can be solved. Provides an introduction to the use of stochastic models through an integrated presentation of theory, algorithms and applications. Incorporates recent developments in computational probability. Includes a wide range of examples that illustrate the models and make the methods of solution clear. Features an abundance of motivating exercises that help the student learn how to apply the theory. Accessible to anyone with a basic knowledge of probability. A First Course in Stochastic Models is suitable for senior undergraduate and graduate students from computer science, engineering, statistics, operations resear ch, and any other discipline where stochastic modelling takes place. It stands out amongst other textbooks on the subject because of its integrated presentation of theory, algorithms and applications.
Description : An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.
Description : Stochastic Modeling of Scientific Data combines stochastic modeling and statistical inference in a variety of standard and less common models, such as point processes, Markov random fields and hidden Markov models in a clear, thoughtful and succinct manner. The distinguishing feature of this work is that, in addition to probability theory, it contains statistical aspects of model fitting and a variety of data sets that are either analyzed in the text or used as exercises. Markov chain Monte Carlo methods are introduced for evaluating likelihoods in complicated models and the forward backward algorithm for analyzing hidden Markov models is presented. The strength of this text lies in the use of informal language that makes the topic more accessible to non-mathematicians. The combinations of hard science topics with stochastic processes and their statistical inference puts it in a new category of probability textbooks. The numerous examples and exercises are drawn from astronomy, geology, genetics, hydrology, neurophysiology and physics.
Description : The Book Presents A Systematic Exposition Of The Basic Theory And Applications Of Stochastic Models.Emphasising The Modelling Rather Than Mathematical Aspects Of Stochastic Processes, The Book Bridges The Gap Between The Theory And Applications Of These Processes.The Basic Building Blocks Of Model Construction Are Explained In A Step By Step Manner, Starting From The Simplest Model Of Random Walk And Proceeding Gradually To More Complicated Models. Several Examples Are Given Throughout The Text To Illustrate Important Analytical Properties As Well As To Provide Applications.The Book Also Includes A Detailed Chapter On Inference For Stochastic Processes. This Chapter Highlights Some Of The Recent Developments In The Subject And Explains Them Through Illustrative Examples.An Important Feature Of The Book Is The Complements And Problems Section At The End Of Each Chapter Which Presents (I) Additional Properties Of The Model, (Ii) Extensions Of The Model, And (Iii) Applications Of The Model To Different Areas.With All These Features, This Is An Invaluable Text For Post-Graduate Students Of Statistics, Mathematics And Operation Research.
Description : Serving as the foundation for a one-semester course in stochastic processes for students familiar with elementary probability theory and calculus, Introduction to Stochastic Modeling, Third Edition, bridges the gap between basic probability and an intermediate level course in stochastic processes. The objectives of the text are to introduce students to the standard concepts and methods of stochastic modeling, to illustrate the rich diversity of applications of stochastic processes in the applied sciences, and to provide exercises in the application of simple stochastic analysis to realistic problems. * Realistic applications from a variety of disciplines integrated throughout the text * Plentiful, updated and more rigorous problems, including computer "challenges" * Revised end-of-chapter exercises sets-in all, 250 exercises with answers * New chapter on Brownian motion and related processes * Additional sections on Matingales and Poisson process * Solutions manual available to adopting instructors