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| 作者简介：David D. Yao (Columbia University) received his Ph.D. degree from the University of Toronto in 1983, and started his academic career at Columbia University, where he became a full professor in 1988, and a holder of Columbia's Thomas Alva Edison Chair in 1992. He has held a part-time appointment at IBM's T.J. Watson Research Center since 1990. His other academic appointments include Harvard (1986-88), Yale (1991/92), the Chinese University of Hong Kong, and Tsinghua University (Beijing). He is an IEEE Fellow, and a recipient of numerous honors and awards, including the Guggenheim Fellowship (1991/92); the Presidential YoungInvestigator Award (1987-92) from the National Science Foundation (U.S.);the Franz Edelman Award (1999) from the Institute for Operations Research and Management Sciences; and from IBM Research, the Outstanding Technical Achievement Award (1999), Research Division Award (1996),and several Invention Achievement Awards. Author/co-author of over 150 refereed publications, three books andfour edited volumes, he has served on the editorial board of several leading journals, including Discrete Event Dynamic Systems, IEEE Transactions on Automatic Control, Management Science, Operations Research, and Queueing Systems. A principal investigator of over two dozen research grants and contracts, he has done extensive research and consulting work in various aspects of semiconductor manufacturing, computer systems scheduling, Internet and web-server performance optimization, and supply chain management.He is a holder of foru U.S patents in manufacruing operations and supply chain logistics. |
| 1 Discrete-time Singularly Perturbed Markov Chains G. Yin and Q. Zhang 1.1 Singularly Perturbed Markov Chains 1.1.1 Motivation 1.1.2 Preliminary 1.1.3 Singularly Perturbed Models 1.1.4 Motivating Examples 1.2 Asymptotic Expansions 1.3 Occupation Measures 1.4 Nonstationary Markov Chains and Applications 1.4.1 Asymptotic Properties for Smooth Transition Matrices 1.4.2 Bounded and Measurable Transition Matrices 1.4.3 Applications to Nearly Optimal Controls 1.5 Notes and Remarks 1.5.1 Notes on the Literature 1.5.2 Possible Future Research Topics 1.6 References 2 Nearly Optimal Controls of Markovian Systems Q. Zhang, R.H. Liu, and G. Yin 2.1 Singularly Perturbed MDP 2.1.1 Irreducible MDP under Discounted Cost 2.1.2 Irreducible MDP under Long-Run Average Cost 2.1.3 MDP with General Transition Matrices 2.1.4 Historical Notes 2.2 Hybrid LQG Control 2.2.1 Aggregation and Approximation 2.2.2 Asymptotic Optimality 2.2.3 Hybrid LQG with General Transition Matrices 2.2.4 A Numerical Example 2.2.5 Historical Notes 2.3 Conclusions 2.4 References 3 Stochastic Approximation, with Applications Han-Fu Chen 9.2 A Stochastic LQ Control Approach 9.3 Efficient Frontier: Deterministic Market Parameters 9.4 Efficient Frontier: Random Adaptive Market Parameters 9.5 Efficient Frontier: Markov-Modulated Market Parameters 9.6 Efficient Frontier: No Short Selling 9.7 Mean-Variance Hedging 9.8 Notes 9.9 References 10 Variance Minimization in Stochastic Systems Duan Li, Fucai Qian and Peilin Fu 10.1 Variance Minimization Problem 10.2 General Variance Minimization Problem 10.3 Variance Minimization in Dynamic Portfolio Selection 10.4 Variance Minimization in Dual Control 10.5 Notes 10.6 References 11 A Markov Chain Method for Pricing Contingent Claims Jin-Chuan Duan, Genevieve Gauthier and Jean-Guy Simonato 11.1 The Markov Chain Pricing Method 11.2 The Black-Scholes (1973) Pricing Model 11.2.1 Choosing the Set of Asset Prices 11.2.2 Computing Transition Probabilities and Option Prices 11.2.3 An Illustrative Example 11.2.4 A Markov Chain Interpretation of Binomial Tree 11.2.5 Numerical Examples 11.3 The GARCH Pricing Model 11.3.1 Choosing the Set of Discrete Prices and Volatilities 11.3.2 Computing Transition Probabilities and Option Prices 11.3.3 Numerical Examples 11.4 Valuing Exotic Options 11.5 Appendix: The Conditional Expected Value of hT. and h2T 11.6 References 12 Stochastic Network Models and Optimization of a Hospital System Xiuli Chao, Liming Liu and Shaohui Zheng 12.1 A Multi-Site Service Network Model 12.2 Patient Flow Management 12.3 Capacity Design 12.4 Switching Costs and Quality of Service 12.5 Insights and Future Research Directions 12.6 Notes 12.7 References 13 Optimal Airline Booking Control with Cancellations Youyi Feng,Ping Lin and Baichun Xiao 14 Information Revision and Decision Making in Supply Chain Management Houmin Yan and Hanqin Zhang About the Contributors |
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