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Lecture Notes Stochastic Optimization-Koole PDF

42 Pages·2013·English
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by ['nstl0101']| 2013| 42 pages| English

About Lecture Notes Stochastic Optimization-Koole

The document discusses stochastic optimization and Markov decision processes. It begins with an introduction to stochastic optimization, which involves dynamic decision problems where decisions over time have consequences later. The main solution technique is dynamic programming. Examples given include admission control to a queue and routing in a call center. The document then provides a refresher on probability theory concepts like the Poisson process and exponential distribution that are important for stochastic optimization. It introduces Markov chains and describes how to compute the limiting stationary distribution using forward recursion, assuming the Markov chain is unichain, aperiodic, and has a finite state space.

Detailed Information

Author:['nstl0101']
Publication Year:2013
Pages:42
Language:English
Format:PDF
Price:FREE
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