共查询到20条相似文献,搜索用时 15 毫秒
1.
Mohamed Abdel-Hameed 《商业与工业应用随机模型》1986,2(4):193-208
In this paper we obtain identities for some stopped Markov chains. These identities give a unified approach to many problems in optimal stopping of a Markovian sequence, extinction probability of a Markovian branching process and martingale theory. 相似文献
2.
Rajeeva L. Karandikar Vidyadhar G. Kulkarni 《Stochastic Processes and their Applications》1985,19(2):225-235
Let \s{Xn, n ? 0\s} and \s{Yn, n ? 0\s} be two stochastic processes such that Yn depends on Xn in a stationary manner, i.e. P(Yn ? A\vbXn) does not depend on n. Sufficient conditions are derived for Yn to have a limiting distribution. If Xn is a Markov chain with stationary transition probabilities and Yn = f(Xn,..., Xn+k) then Yn depends on Xn is a stationary way. Two situations are considered: (i) \s{Xn, n ? 0\s} has a limiting distribution (ii) \s{Xn, n ? 0\s} does not have a limiting distribution and exits every finite set with probability 1. Several examples are considered including that of a non-homogeneous Poisson process with periodic rate function where we obtain the limiting distribution of the interevent times. 相似文献
3.
Thomas Kaijser 《数学学报(英文版)》2011,27(3):441-476
Let S be a denumerable state space and let P be a transition probability matrix on S. If a denumerable set M of nonnegative matrices is such that the sum of the matrices is equal to P, then we call M a partition of P. 相似文献
4.
The isomorphism theorem of Dynkin is definitely an important tool to investigate the problems raised in terms of local times of Markov processes. This theorem concerns continuous time Markov processes. We give here an equivalent version for Markov chains. 相似文献
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A fluctuation theory for Markov chains on an ordered countable state space is developed, using ladder processes. These are shown to be Markov renewal processes. Results are given for the joint distribution of the extremum (maximum or minimum) and the first time the extremum is achieved. Also a new classification of the states of a Markov chain is suggested. Two examples are given. 相似文献
9.
Sébastien Gadat Sofiane Saadane 《Stochastics An International Journal of Probability and Stochastic Processes》2018,90(6):886-926
Narendra-Shapiro (NS) algorithms are bandit-type algorithms developed in the 1960s. NS-algorithms have been deeply studied in infinite horizon but little non-asymptotic results exist for this type of bandit algorithms. In this paper, we focus on a non-asymptotic study of the regret and address the following question: are Narendra-Shapiro bandit algorithms competitive from this point of view? In our main result, we obtain some uniform explicit bounds for the regret of (over)-penalized-NS algorithms. We also extend to the multi-armed case some convergence properties of penalized-NS algorithms towards a stationary Piecewise Deterministic Markov Process (PDMP). Finally, we establish some new sharp mixing bounds for these processes. 相似文献
10.
Jiaqin Wei 《Stochastics An International Journal of Probability and Stochastic Processes》2018,90(4):605-639
This paper studies Backward Stochastic Volterra Integral Equations (BSVIEs) driven by finite state, continuous time Markov chains. First, the existence and uniqueness of the solutions to two types of BSVIEs are established. Second, some scalar and vector comparison theorems are given. Finally, the applications of BSVIEs to a linear-quadratic optimal control problem and time-inconsistent coherent risk measures are presented. 相似文献
11.
In this paper, the key-role and utility of statistics and probability theory in the field of renewable energy are emphasized and illustrated via specific examples. It is demonstrated that renewable energy is a very suitable field to effectively teach and implement many statistical and probabilistic concepts and techniques. From a research point of view, statistical and probabilistic methods have been successfully employed in evaluating renewable energy systems. These methods will continue to be of core interest for the renewable energy sector in the future, as new and more complex renewable energy systems are developed and installed. In this context, some future research directions in relation to the evaluation of renewable energy systems are also presented. 相似文献
12.
Estimation of spectral gap for Markov chains 总被引:7,自引:0,他引:7
Chen Mufa 《数学学报(英文版)》1996,12(4):337-360
The study of the convergent rate (spectral gap) in theL
2-sense is motivated from several different fields: probability, statistics, mathematical physics, computer science and so on and it is now an active research topic. Based on a new approach (the coupling technique) introduced in [7] for the estimate of the convergent rate and as a continuation of [4], [5], [7–9], [23] and [24], this paper studies the estimate of the rate for time-continuous Markov chains. Two variational formulas for the rate are presented here for the first time for birth-death processes. For diffusions, similar results are presented in an accompany paper [10]. The new formulas enable us to recover or improve the main known results. The connection between the sharp estimate and the corresponding eigenfunction is explored and illustrated by various examples. A previous result on optimal Markovian couplings[4] is also extended in the paper.Research supported in part by NSFC, Qin Shi Sci & Tech. Foundation and the State Education Commission of China. 相似文献
13.
In this paper circuit chains of superior order are defined as multiple Markov chains for which transition probabilities are expressed in terms of the weights of a finite class of circuits in a finite set, in connection with kinetic properties along the circuits. Conversely, it is proved that if we join any finite doubly infinite strictly stationary Markov chain of order r for which transitions hold cyclically with a second chain with the same transitions for the inverse time-sense, then they may be represented as circuit chains of order r. 相似文献
14.
Dan Teodorescu 《Stochastic Processes and their Applications》1980,10(3):255-270
A new class of operators performing an optimization (optimization operators or, simply, optimators) which generate transition matrices with required properties such as ergodicity, recurrence etc., is considered and their fundamental features are described. Some criteria for comparing such operators by taking into account their strenght are given and sufficient conditions for both weak and strong ergodicity are derived. The nearest Markovian model with respect to a given set of observed probability vectors is then defined as a sequence of transition matrices satisfying certain constraints that express our prior knowledge about the system. Finally, sufficient conditions for the existence of such a model are given and the related algorithm is illustrated by an example. 相似文献
15.
We give two simple axioms that characterize a simple functional form for aggregation of column stochastic matrices (i.e., Markov processes). Several additional observations are made about such aggregation, including the special case in which the aggregated process is Markovian relative to the original one. 相似文献
16.
The nature of hydrologic parameters in reservoir management models is uncertain. In mathematical programming models the uncertainties are dealt with either indirectly (sensitivity analysis of a deterministic model) or directly by applying a chance-constrained type of formulation or some of the stochastic programming techniques (LP and DP based models). Various approaches are reviewed in the paper. Moran's theory of storage is an alternative stochastic modelling approach to mathematical programming techniques. The basis of the approach and its application is presented. Reliability programming is a stochastic technique based on the chance-constrained approach, where the reliabilities of the chance constraints are considered as extra decision variables in the model. The problem of random event treatment in the reservoir management model formulation using reliability programming is addressed in this paper. 相似文献
17.
J. B. Lasserre 《Journal of Optimization Theory and Applications》1991,71(2):407-413
Given a family of Markov chains whose transition matrices depend on a parameter vector, we given an exact formula for the gradient of the equilibrium distribution with respect to that parameter even in the case of multiple ergodic classes and transient states. This formula generalizes previous results in the ergodic case. 相似文献
18.
We consider triangular arrays of Markov chains that converge weakly to a diffusion process. Local limit theorems for transition
densities are proved.
Received: 28 August 1998 / Revised version: 6 September 1999 / Published online: 14 June 2000 相似文献
19.
Peter W Glynn 《Operations Research Letters》1985,4(2):49-53
A standard strategy in simulation, for comparing two stochastic systems, is to use a common sequence of random numbers to drive both systems. Since regenerative output analysis of the steady-state of a system requires that the process be regenerative, it is of interest to derive conditions under which the method of common random numbers yields a regenerative process. It is shown here that if the stochastic systems are positive recurrent Markov chains with countable state space, then the coupled system is necessarily regenerative; in fact, we allow couplings more general than those induced by common random numbers. An example is given which shows that the regenerative property can fail to hold in general state space, even if the individual systems are regenerative. 相似文献
20.
Genetic algorithms are stochastic search algorithms that have been applied to optimization problems. In this paper we analyze the run-time complexity of a genetic algorithm when we are interested in one of a set of distinguished solutions. One such case occurs when multiple optima exist. We define the worst case scenario and derive a probabilistic worst case bound on the number of iterations required to find one of these multiple solutions of interest. 相似文献