随机模型参考文献

杜碧升 Bisheng Du, PhD, Professor

Department of Management Science & Engineering
Business School, Ningbo University, Zhejiang, China

Homepage www.dubisheng.com
Email \(\tt {dubisheng@nbu.edu.cn}\)

随机模型参考文献

Henk C. Tijms. A First Course in Stochastic Models. (2003). John Wiley & Sons.
Alfred Müller, Dietrich Stoyan. Comparison Methods for Stochastic Models and Risks. (2002). Wiley.
Daniel P. Heyman, Matthew J. Sobel. Stochastic Models in Operations Research, Vol. I.: Stochastic Processes and Operating Characteristics. (2003). Dover Publications.
Daniel P. Heyman, Matthew J. Sobel. Stochastic Models in Operations Research, Vol. II.: Stochastic Optimization. (2003). Dover Publications.

People in the field

Abhijit Gosavi. Reinforcement Learning. He developed the code for RL and MDP by Matlab. Link here
Dan Zhang. Stochastic Dynamic Programming with Applications. He developed the code for Porteus (2002) on the MDP Inventory problems. Link here

The book list below from Mor Harchol-Balter's website.

Emphasis on Stochastic Processes – Theory

S. M. Ross, Introduction to Probability Models, Any Edition, Academic Press, 1997.
S. M. Ross, Stochastic Processes, Any Edition, John Wiley & Sons, 1996.
R. G. Gallager, Discrete Stochastic Processes , Kluwer Academic Publishers, 1996.
R. W. Wolff, Stochastic Modeling and the Theory of Queues , Prentice Hall, Inc., 1989.
L. Kleinrock, Queueing Systems, Vol. I: Theory, John Wiley & Sons, Inc., 1975.
L. Kleinrock, Queueing Systems, Vol. II: Computer Applications, John Wiley and Sons, 1995.
R. Nelson, Probability, Stochastic Processes, and Queueing Theory , Springer-Verlag, Inc., 1995.
D. Gross and C. M. Harris, Fundamentals of Queueing Theory , John Wiley & Sons, 1985.
S. Karlin and H. M. Taylor, A First Course in Stochastic Processes , Academic Press, 1975.
A. O. Allen, Probability, Statistics, and Queueing Theory with Computer Science Applications , Academic Press, 1990.
N.U. Prabhu, Foundations of Queueing Theory, Kluwer Academic Publishers, 1997.
Sidney I. Resnick, Adventures in Stochastic Processes, Birkhauser, 1992.
H. J. Kushner, Heavy Traffic Analysis of Controlled Queueing and Communication Networks, Springer-Verlag, 2001.
K. S. Trivedi, Probability & Statistics with Reliability, Queueing, and Computer Science Applications, Prentice Hall, 1982.
H. Chen and D. D. Yao, Fundamentals of Queueing Networks, Springer-Verlag, 2001.
R. Serfozo, Introduction to Stochastic Networks, Springer-Verlag, 1999.
E. Cinlar, Introduction to Stochastic Processes, Prentice-Hall, Inc., 1975.
M. El-Taha and S. Stidham, Sample-Path Analysis of Queueing Systems, Kluwer Academic Publishers, 1999.
C. H. Sauer and K. M. Chandy, Computer Systems Performance Modeling , Prentice Hall, Inc., 1981.

Emphasis on Performance Modeling

E. Lazowska, J. Zahorjan, S. Graham, K. Sevcik, Quantitative System Performance , Prentice-Hall, 1984.
D. Menasce, V. Almeida, and L. Dowdy, Capacity Planning and Performance Modeling, Prentice Hall, 1994.
R. Jain, The Art of Computer Systems Performance Analysis: Techniques for Experimental Design, Measurement, Simulation, and Modeling, John Wiley & Sons, 1991.
D. Bertsekas and R. Gallager, Data Networks , Prentice-Hall, 1992.

Emphasis on Simulation

A. M. Law and W. D. Kelton, Simulation Modeling and Analysis, 2nd Edition, McGraw-Hill, Inc. 1991.
S. M. Ross, Simulation , Academic Press, 1997.

Emphasis on Scheduling

R. Conway, W. Maxwell, and L. Miller, Theory of Scheduling Adison-Wesley Publishing Company, Inc., 1967.
H. Takagi, Queueing Analysis, Vol 1: Vacation and Priority Systems, North-Holland, 1991.
Edited by: P. Chretienne, E. G. Coffman, J.K. Lenstra and Z. Liu, Scheduling Theory and its Applications, John Wiley and Sons, 1995.
Michael Pinedo, Scheduling Theory, Algorithms, and Systems, Prentice Hall, 1995.

General Probability and Statistics

W. Feller, An Introduction to Probability Theory and Its Applications , John Wiley & Sons, 1971.
F. R. Hampel, P.J. Rosseeuw, E. M. Ronchetti, and W. A. Stahel, Robust Statistics: The Approach Based on Influence Functions, John Wiley and Sons, 1986.
K.L. Chung, A Course in Probability Theory, Academic Press, 2001.
P. Whittle, Probability via Expectations, Springer-Verlag, 2000.
P. Billingsley, Probability and Measure, John Wiley, 1995.
P. Billingsley, Convergence of Probabiolity Measures, John Wiley and Sons, 1999.
Hermann Thorisson, Coupling, Stationarity, and Regeneration, Springer Verlag 2000.
G. Casella and R. L. Berger, Statistical Inference, Duxburry, 2002.
S. I. Resnick, A Probability Path, Birkauser, 2001.

Mathematical Finance

S. M. Ross, An Introduction to Mathematical Finance, Cambridge University Press 1999.