Numerical Methods for Structured Markov Chains

Author: Dario A. Bini,Guy Latouche,Beatrice Meini

Publisher: Oxford University Press on Demand

ISBN: 0198527683

Category: Computers

Page: 327

View: 5157


Intersecting two large research areas - numerical analysis and applied probability/queuing theory - this book is a self-contained introduction to the numerical solution of structured Markov chains, which have a wide applicability in queuing theory and stochastic modeling and include M/G/1 and GI/M/1-type Markov chain, quasi-birth-death processes, non-skip free queues and tree-like stochastic processes. Written for applied probabilists and numerical analysts, but accessible toengineers and scientists working on telecommunications and evaluation of computer systems performances, it provides a systematic treatment of the theory and algorithms for important families of structured Markov chains and a thorough overview of the current literature.The book, consisting of nine Chapters, is presented in three parts. Part 1 covers a basic description of the fundamental concepts related to Markov chains, a systematic treatment of the structure matrix tools, including finite Toeplitz matrices, displacement operators, FFT, and the infinite block Toeplitz matrices, their relationship with matrix power series and the fundamental problems of solving matrix equations and computing canonical factorizations. Part 2 deals with the description andanalysis of structure Markov chains and includes M/G/1, quasi-birth-death processes, non-skip-free queues and tree-like processes. Part 3 covers solution algorithms where new convergence and applicability results are proved. Each chapter ends with bibliographic notes for further reading, and the bookends with an appendix collecting the main general concepts and results used in the book, a list of the main annotations and algorithms used in the book, and an extensive index.

Large Truncated Toeplitz Matrices, Toeplitz Operators, and Related Topics

The Albrecht Böttcher Anniversary Volume

Author: Dario A. Bini,Torsten Ehrhardt,Alexei Yu. Karlovich,Ilya Spitkovsky

Publisher: Birkhäuser

ISBN: 3319491822

Category: Mathematics

Page: 740

View: 7945


This book presents a collection of expository and research papers on various topics in matrix and operator theory, contributed by several experts on the occasion of Albrecht Böttcher’s 60th birthday. Albrecht Böttcher himself has made substantial contributions to the subject in the past. The book also includes a biographical essay, a complete bibliography of Albrecht Böttcher’s work and brief informal notes on personal encounters with him. The book is of interest to graduate and advanced undergraduate students majoring in mathematics, researchers in matrix and operator theory as well as engineers and applied mathematicians.

Exploiting Hidden Structure in Matrix Computations: Algorithms and Applications

Cetraro, Italy 2015

Author: Michele Benzi,Dario Bini,Daniel Kressner,Hans Munthe-Kaas,Charles Van Loan

Publisher: Springer

ISBN: 3319498878

Category: Mathematics

Page: 406

View: 3492


Focusing on special matrices and matrices which are in some sense `near’ to structured matrices, this volume covers a broad range of topics of current interest in numerical linear algebra. Exploitation of these less obvious structural properties can be of great importance in the design of efficient numerical methods, for example algorithms for matrices with low-rank block structure, matrices with decay, and structured tensor computations. Applications range from quantum chemistry to queuing theory. Structured matrices arise frequently in applications. Examples include banded and sparse matrices, Toeplitz-type matrices, and matrices with semi-separable or quasi-separable structure, as well as Hamiltonian and symplectic matrices. The associated literature is enormous, and many efficient algorithms have been developed for solving problems involving such matrices. The text arose from a C.I.M.E. course held in Cetraro (Italy) in June 2015 which aimed to present this fast growing field to young researchers, exploiting the expertise of five leading lecturers with different theoretical and application perspectives.

Numerical Solution of Algebraic Riccati Equations

Author: Dario A. Bini,Bruno Iannazzo,Beatrice Meini

Publisher: SIAM

ISBN: 9781611972092

Category: Differential algebra

Page: 250

View: 6819


This treatment of the basic theory of algebraic Riccati equations describes the classical as well as the more advanced algorithms for their solution in a manner that is accessible to both practitioners and scholars. It is the first book in which nonsymmetric algebraic Riccati equations are treated in a clear and systematic way. Some proofs of theoretical results have been simplified and a unified notation has been adopted. Readers will find a unified discussion of doubling algorithms, which are effective in solving algebraic Riccati equations as well as a detailed description of all classical and advanced algorithms for solving algebraic Riccati equations and their MATLAB codes. This will help the reader gain an understanding of the computational issues and provide ready-to-use implementation of the different solution techniques.

Chaînes de Markov : Théorie, algorithmes et applications

Author: SERICOLA Bruno

Publisher: Lavoisier

ISBN: 2746289164


Page: 389

View: 6490


Les chaînes de Markov sont des modèles probabilistes utilisés dans des domaines variés comme la logistique, l'informatique, la fiabilité, les télécommunications, ou encore la biologie et la physique-chimie. On les retrouve également dans la finance, l’économie et les sciences sociales. Cet ouvrage présente une étude approfondie des chaînes de Markov à temps discret et à temps continu avec des applications détaillées aux processus de naissance et mort et aux files d'attente. Ces applications sont illustrées par des algorithmes généraux de calcul de probabilités d'état et de distribution de temps de passage. Le développement de ces algorithmes repose sur l'utilisation de la technique d'uniformisation des chaînes de Markov qui est présentée de manière théorique et intuitive. Ce livre s'adresse aux ingénieurs et chercheurs ayant besoin de modèles probabilistes pour évaluer et prédire le comportement des systèmes qu'ils étudient ou qu'ils développent. Il est aussi très bien adapté pour un cours de master.

Introduction to the Numerical Solution of Markov Chains

Author: William J. Stewart

Publisher: Princeton University Press

ISBN: 0691036993

Category: Mathematics

Page: 539

View: 8234


Markov chains; Direct methods; Iterative methods; Projection methods; Block hessenberg matrices and solution by recursion; decompositional methods; P-cyclic markov chains; Trasient solutions; Stochastic automata networks; Software; Bibliography; Index.

Quasi-stationary Phenomena in Nonlinearly Perturbed Stochastic Systems

Author: Mats Gyllenberg,Dmitriĭ Sergeevich Silʹvestrov

Publisher: De Gruyter


Category: Mathematics

Page: 579

View: 3640


This book is devoted to the mathematical studies of stochastic systems with quasi-stationary phenomena which have applications to population dynamics or epidemic models. In addition to its use for the research and reference purposes, the book can also be used in special courses on the subject and as a complementary reading in general courses on stochastic processes. In this respect, it may be useful for specialists as well as doctoral and advanced undergraduate students.

Numerical Analysis 1997

Author: D.F. Griffiths,G.A. Watson,D J Higham

Publisher: CRC Press

ISBN: 9780582312616

Category: Mathematics

Page: 264

View: 6578


This book forms a valuable guide to the direction in which current numerical analysis research is heading. It will be of particular interest to graduate students and researchers concerned with the theoretical and practical issues associated with scientific computation. The main topics include ordinary and partial differential equations, fluid flow, optimization, linear algebra, and approximation theory. Two recurring themes are the need for adaptive and structure preserving numerical methods. The work presented here has a list of direct applications that include colliding black holes, molecular dynamics, blow-up problems, and card shuffling.

Spectra and Pseudospectra

The Behavior of Nonnormal Matrices and Operators

Author: Lloyd Nicholas Trefethen,Mark Embree

Publisher: Princeton University Press

ISBN: 9780691119465

Category: Mathematics

Page: 606

View: 3578


Pure and applied mathematicians, physicists, scientists, and engineers use matrices and operators and their eigenvalues in quantum mechanics, fluid mechanics, structural analysis, acoustics, ecology, numerical analysis, and many other areas. However, in some applications the usual analysis based on eigenvalues fails. For example, eigenvalues are often ineffective for analyzing dynamical systems such as fluid flow, Markov chains, ecological models, and matrix iterations. That's where this book comes in. This is the authoritative work on nonnormal matrices and operators, written by the authorities who made them famous. Each of the sixty sections is written as a self-contained essay. Each document is a lavishly illustrated introductory survey of its topic, complete with beautiful numerical experiments and all the right references. The breadth of included topics and the numerous applications that provide links between fields will make this an essential reference in mathematics and related sciences.