Markovian models and algorithms

zbMath1006.65005MaRDI QIDQ701228

Bernard Ycart

Publication date: 17 October 2002

Published in: Mathématiques \& Applications (Berlin) (Search for Journal in Brave)

zbMATH Keywords

stochastic optimization; Fokker-Planck equation; textbook; genetic algorithms; computational efficiency; network simulation; stochastic simulation; Boltzmann equations; jump Markov process; particle systems; Markov chain models; Monte Carlo Markov chain algorithms; stochastic optimization algorithms; numerical performance; Feynman-Kac equations; Markov chain algorithms; Monte Carlo random algorithms; MOSES algorithms; Scilab numerical simulation

Mathematics Subject Classification ID

60J22: Computational methods in Markov chains

62M05: Markov processes: estimation; hidden Markov models

65C05: Monte Carlo methods

90C15: Stochastic programming

65C40: Numerical analysis or methods applied to Markov chains

82C31: Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics

65Y20: Complexity and performance of numerical algorithms

62M02: Markov processes: hypothesis testing

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Uses Software

• Scilab