Stochastic Processes Optimization And Control Theory Applications In Financial Engineering Queueing Networks And Manufacturing Systems

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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

Houmin Yan,G. George Yin,Qing Zhang
Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems Book PDF

Author : Houmin Yan,G. George Yin,Qing Zhang
Publisher : Springer Science & Business Media
Page : 397 pages
File Size : 43,9 Mb
Release : 2006-09-10
Category : Technology & Engineering
ISBN : 9780387338156

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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems by Houmin Yan,G. George Yin,Qing Zhang Pdf

This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

Handbook of Stochastic Processes, Optimization and Control Theory

Sharples Norris
Handbook of Stochastic Processes Optimization and Control Theory Book PDF

Author : Sharples Norris
Publisher : Unknown
Page : 368 pages
File Size : 41,8 Mb
Release : 2012-09
Category : Mathematical optimization
ISBN : 178154090X

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Handbook of Stochastic Processes, Optimization and Control Theory by Sharples Norris Pdf

This book discusses issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the handbook is highly multi-disciplinary. It addresses operations research, control theory and optimization, stochastic analysis, and financial engineering and reviews and substantially updates the recent progress in these fields.

Stochastic Programming

Horand Gassmann,W. T. Ziemba
Stochastic Programming Book PDF

Author : Horand Gassmann,W. T. Ziemba
Publisher : World Scientific
Page : 549 pages
File Size : 43,6 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814407502

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Stochastic Programming by Horand Gassmann,W. T. Ziemba Pdf

This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

System Signatures and their Applications in Engineering Reliability

Francisco J. Samaniego
System Signatures and their Applications in Engineering Reliability Book PDF

Author : Francisco J. Samaniego
Publisher : Springer Science & Business Media
Page : 154 pages
File Size : 51,8 Mb
Release : 2007-09-04
Category : Technology & Engineering
ISBN : 9780387717975

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System Signatures and their Applications in Engineering Reliability by Francisco J. Samaniego Pdf

Since the introduction of system signatures in Francisco Samaniego’s 1985 paper, the properties of this technical concept have been examined, tested and proven in a wide variety of systems applications. Based on the practical and research success in building reliability into systems with system signatures, this is the first book treatment of the approach. Its purpose is to provide guidance on how reliability problems might be structured, modeled and solved.

Nested Partitions Method, Theory and Applications

Leyuan Shi,Sigurdur Ólafsson
Nested Partitions Method Theory and Applications Book PDF

Author : Leyuan Shi,Sigurdur Ólafsson
Publisher : Springer Science & Business Media
Page : 259 pages
File Size : 49,5 Mb
Release : 2008-10-30
Category : Mathematics
ISBN : 9780387719092

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Nested Partitions Method, Theory and Applications by Leyuan Shi,Sigurdur Ólafsson Pdf

Thesubjectofthisbookisthenested partitions method(NP),arelativelynew optimization method that has been found to be very e?ective solving discrete optimization problems. Such discrete problems are common in many practical applications and the NP method is thus useful in diverse application areas. It can be applied to both operational and planning problems and has been demonstrated to e?ectively solve complex problems in both manufacturing and service industries. To illustrate its broad applicability and e?ectiveness, in this book we will show how the NP method has been successful in solving complex problems in planning and scheduling, logistics and transportation, supply chain design, data mining, and health care. All of these diverse app- cationshaveonecharacteristicincommon:theyallleadtocomplexlarge-scale discreteoptimizationproblemsthatareintractableusingtraditionaloptimi- tion methods. 1.1 Large-Scale Optimization IndevelopingtheNPmethodwewillconsideroptimization problemsthatcan be stated mathematically in the following generic form: minf(x), (1.1) x?X where the solution space or feasible region X is either a discrete or bounded ? set of feasible solutions. We denote a solution to this problem x and the ? ? objective function value f = f (x ).

Proportional Optimization and Fairness

Wieslaw Kubiak
Proportional Optimization and Fairness Book PDF

Author : Wieslaw Kubiak
Publisher : Springer Science & Business Media
Page : 300 pages
File Size : 54,6 Mb
Release : 2008-11-16
Category : Business & Economics
ISBN : 9780387877198

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Proportional Optimization and Fairness by Wieslaw Kubiak Pdf

Proportional Optimization and Fairness is a long-needed attempt to reconcile optimization with apportionment in just-in-time (JIT) sequences and find the common ground in solving problems ranging from sequencing mixed-model just-in-time assembly lines through just-in-time batch production, balancing workloads in event graphs to bandwidth allocation internet gateways and resource allocation in computer operating systems. The book argues that apportionment theory and optimization based on deviation functions provide natural benchmarks for a process, and then looks at the recent research and developments in the field. Individual chapters look at the theory of apportionment and just-in-time sequences; minimization of just-in-time sequence deviation; optimality of cyclic sequences and the oneness; bottleneck minimization; competition-free instances, Fraenkel’s Conjecture, and optimal admission sequences; response time variability; applications to the Liu-Layland Problem and pinwheel scheduling; temporal capacity constraints and supply chain balancing; fair queuing and stride scheduling; and smoothing and batching.

Manufacturing and Service Enterprise with Risks

Masayuki Matsui
Manufacturing and Service Enterprise with Risks Book PDF

Author : Masayuki Matsui
Publisher : Springer Science & Business Media
Page : 282 pages
File Size : 50,5 Mb
Release : 2008-10-09
Category : Business & Economics
ISBN : 9780387848044

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Manufacturing and Service Enterprise with Risks by Masayuki Matsui Pdf

The subject for this book is my life work on the enterprise modeling and integration by a stochastic/queuing form, and the book plan was conceived before my stay in the USA in 1996–97 as a visiting scholar. The rst title was “Stochastic Management and Design of Manufacturing Systems.” The rst version was attempted in 2001; however, this version was inappropriate and was not revised till now. It is 40 years since I attempted a stochastic approach to manufacturing and management due to the limitations of statistical approaches. The century in which industrial engineering and management rose to the forefront was one in which a static/statistical approach was applied to the development of classical models and general/average theory. This book presents a stochastic management approach to the manufacturing and service enterprise with risks by a game/strategic view, and is based on many papers in production/queueing studies that have appeared in famous journals. The book’s objective is to discuss and show the goals and constraints on manufacturing and service enterprises, and to provide a strategic/collaborative solution for management with risks in heterogeneity. This book mainly focuses on the three manufacturing classes: continuous, poi- wise, and exible stream types under risks. These manufacturing streams are rst studied using the respective stochastic processes, and are characterized and dev- oped as a queueing/strategic control problem of look-ahead/buffer, selection/swit- over, and arrangement/routings. Moreover, the behaviors of some design/control variables are shown and useful theories for design are established.

Process Optimization

Enrique del Castillo
Process Optimization Book PDF

Author : Enrique del Castillo
Publisher : Springer Science & Business Media
Page : 462 pages
File Size : 52,8 Mb
Release : 2007-09-14
Category : Mathematics
ISBN : 9780387714356

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Process Optimization by Enrique del Castillo Pdf

This book covers several bases at once. It is useful as a textbook for a second course in experimental optimization techniques for industrial production processes. In addition, it is a superb reference volume for use by professors and graduate students in Industrial Engineering and Statistics departments. It will also be of huge interest to applied statisticians, process engineers, and quality engineers working in the electronics and biotech manufacturing industries. In all, it provides an in-depth presentation of the statistical issues that arise in optimization problems, including confidence regions on the optimal settings of a process, stopping rules in experimental optimization, and more.

Time-Varying Network Optimization

Dan Sha,C. K. Wong
Time Varying Network Optimization Book PDF

Author : Dan Sha,C. K. Wong
Publisher : Springer Science & Business Media
Page : 234 pages
File Size : 42,9 Mb
Release : 2007-05-05
Category : Computers
ISBN : 9780387712154

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Time-Varying Network Optimization by Dan Sha,C. K. Wong Pdf

This text describes a series of models, propositions, and algorithms developed in recent years on time-varying networks. References and discussions on relevant problems and studies that have appeared in the literature are integrated in the book. Its eight chapters consider problems including the shortest path problem, the minimum-spanning tree problem, the maximum flow problem, and many more. The time-varying traveling salesman problem and the Chinese postman problem are presented in a chapter together with the time-varying generalized problem. While these topics are examined within the framework of time-varying networks, each chapter is self-contained so that each can be read – and used – separately.

Foreign-Exchange-Rate Forecasting with Artificial Neural Networks

Lean Yu,Shouyang Wang,Kin Keung Lai
Foreign Exchange Rate Forecasting with Artificial Neural Networks Book PDF

Author : Lean Yu,Shouyang Wang,Kin Keung Lai
Publisher : Springer Science & Business Media
Page : 316 pages
File Size : 43,6 Mb
Release : 2010-02-26
Category : Business & Economics
ISBN : 9780387717203

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Foreign-Exchange-Rate Forecasting with Artificial Neural Networks by Lean Yu,Shouyang Wang,Kin Keung Lai Pdf

This book focuses on forecasting foreign exchange rates via artificial neural networks (ANNs), creating and applying the highly useful computational techniques of Artificial Neural Networks (ANNs) to foreign-exchange rate forecasting. The result is an up-to-date review of the most recent research developments in forecasting foreign exchange rates coupled with a highly useful methodological approach to predicting rate changes in foreign currency exchanges.

Quantitative Models for Performance Evaluation and Benchmarking

Joe Zhu
Quantitative Models for Performance Evaluation and Benchmarking Book PDF

Author : Joe Zhu
Publisher : Springer Science & Business Media
Page : 336 pages
File Size : 52,9 Mb
Release : 2008-10-20
Category : Business & Economics
ISBN : 9780387859828

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Quantitative Models for Performance Evaluation and Benchmarking by Joe Zhu Pdf

Managers are often under great pressure to improve the performance of their organizations. To improve performance, one needs to constantly evaluate operations or processes related to producing products, providing services, and marketing and selling products. Performance evaluation and benchmarking are a widely used method to identify and adopt best practices as a means to improve performance and increase productivity, and are particularly valuable when no objective or engineered standard is available to define efficient and effective performance. For this reason, benchmarking is often used in managing service operations, because service standards (benchmarks) are more difficult to define than manufacturing standards. Benchmarks can be established but they are somewhat limited as they work with single measurements one at a time. It is difficult to evaluate an organization’s performance when there are multiple inputs and outputs to the system. The difficulties are further enhanced when the relationships between the inputs and the outputs are complex and involve unknown tradeoffs. It is critical to show benchmarks where multiple measurements exist. The current book introduces the methodology of data envelopment analysis (DEA) and its uses in performance evaluation and benchmarking under the context of multiple performance measures.

Feasibility and Infeasibility in Optimization:

John W. Chinneck
Feasibility and Infeasibility in Optimization Book PDF

Author : John W. Chinneck
Publisher : Springer Science & Business Media
Page : 274 pages
File Size : 46,5 Mb
Release : 2007-10-25
Category : Mathematics
ISBN : 9780387749327

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Feasibility and Infeasibility in Optimization: by John W. Chinneck Pdf

Written by a world leader in the field and aimed at researchers in applied and engineering sciences, this brilliant text has as its main goal imparting an understanding of the methods so that practitioners can make immediate use of existing algorithms and software, and so that researchers can extend the state of the art and find new applications. It includes algorithms on seeking feasibility and analyzing infeasibility, as well as describing new and surprising applications.

Game Theoretic Risk Analysis of Security Threats

Vicki M. Bier,M. Naceur Azaiez
Game Theoretic Risk Analysis of Security Threats Book PDF

Author : Vicki M. Bier,M. Naceur Azaiez
Publisher : Springer Science & Business Media
Page : 242 pages
File Size : 52,8 Mb
Release : 2008-10-20
Category : Technology & Engineering
ISBN : 9780387877679

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Game Theoretic Risk Analysis of Security Threats by Vicki M. Bier,M. Naceur Azaiez Pdf

Game Theoretic Risk Analysis of Security Threats introduces reliability and risk analysis in the face of threats by intelligent agents. More specifically, game-theoretic models are developed for identifying optimal and/or equilibrium defense and attack strategies in systems of varying degrees of complexity. The book covers applications to networks, including problems in both telecommunications and transportation. However, the book’s primary focus is to integrate game theory and reliability methodologies into a set of techniques to predict, detect, diminish, and stop intentional attacks at targets that vary in complexity. In this book, Bier and Azaiez highlight work by researchers who combine reliability and risk analysis with game theory methods to create a set of functional tools that can be used to offset intentional, intelligent threats (including threats of terrorism and war). These tools will help to address problems of global security and facilitate more cost-effective defensive investments.

Supply Chain Risk

George A. Zsidisin,Bob Ritchie
Supply Chain Risk Book PDF

Author : George A. Zsidisin,Bob Ritchie
Publisher : Springer Science & Business Media
Page : 351 pages
File Size : 43,9 Mb
Release : 2008-09-08
Category : Business & Economics
ISBN : 9780387799346

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Supply Chain Risk by George A. Zsidisin,Bob Ritchie Pdf

Risk is of fundamental importance in this era of the global economy. Supply chains must into account the uncertainty of demand. Moreover, the risk of uncertain demand can cut two ways: (1) there is the risk that unexpected demand will not be met on time, and the reverse problem (2) the risk that demand is over estimated and excessive inventory costs are incurred. There are other risks in unreliable vendors, delayed shipments, natural disasters, etc. In short, there are a host of strategic, tactical and operational risks to business supply chains. Supply Chain Risk: A Handbook of Assessment, Management, and Performance will focus on how to assess, evaluate, and control these various risks.

Risk Analysis of Complex and Uncertain Systems

Louis Anthony Cox Jr.
Risk Analysis of Complex and Uncertain Systems Book PDF

Author : Louis Anthony Cox Jr.
Publisher : Springer Science & Business Media
Page : 457 pages
File Size : 48,7 Mb
Release : 2009-06-12
Category : Business & Economics
ISBN : 9780387890142

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Risk Analysis of Complex and Uncertain Systems by Louis Anthony Cox Jr. Pdf

In Risk Analysis of Complex and Uncertain Systems acknowledged risk authority Tony Cox shows all risk practitioners how Quantitative Risk Assessment (QRA) can be used to improve risk management decisions and policies. It develops and illustrates QRA methods for complex and uncertain biological, engineering, and social systems – systems that have behaviors that are just too complex to be modeled accurately in detail with high confidence – and shows how they can be applied to applications including assessing and managing risks from chemical carcinogens, antibiotic resistance, mad cow disease, terrorist attacks, and accidental or deliberate failures in telecommunications network infrastructure. This book was written for a broad range of practitioners, including decision risk analysts, operations researchers and management scientists, quantitative policy analysts, economists, health and safety risk assessors, engineers, and modelers.