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On a class of linear models.

Radu Theodorescu (1985)

Trabajos de Estadística e Investigación Operativa

This paper is concerned with classification criteria, asymptotic behaviour and stationarity of a non-Markovian model with linear transition rule, called a linear OM-chain. This problems are solved by making use of the structure of the stochastic matrix appearing in the definition of such a model. The model studied includes as special cases the Markovian model as well as the linear learning model, and has applications in psychological and biological research, in control theory, and in adaptation...

On dependence structure of copula-based Markov chains

Martial Longla (2014)

ESAIM: Probability and Statistics

We consider dependence coefficients for stationary Markov chains. We emphasize on some equivalencies for reversible Markov chains. We improve some known results and provide a necessary condition for Markov chains based on Archimedean copulas to be exponential ρ-mixing. We analyse the example of the Mardia and Frechet copula families using small sets.

On nearly selfoptimizing strategies for multiarmed bandit problems with controlled arms

Ewa Drabik (1996)

Applicationes Mathematicae

Two kinds of strategies for a multiarmed Markov bandit problem with controlled arms are considered: a strategy with forcing and a strategy with randomization. The choice of arm and control function in both cases is based on the current value of the average cost per unit time functional. Some simulation results are also presented.

On optimal replacement policy

Raimi Ajibola Kasumu, Antonín Lešanovský (1983)

Aplikace matematiky

A system with a single activated unit which can be in k + 1 states is considered. Inspections of the system are carried out at discrete time instants. The process of deterioration of the unit is supposed to be Markovian. The unit by its operation brings an income which is monotonically dependent on its state. A replacement of the unit is associated with certain costs. The paper gives an effective algorithm for finding the replacement strategy maximizing the average income of the system per unit time....

On the discrete time-varying JLQG problem

Adam Czornik, Andrzej Świerniak (2002)

International Journal of Applied Mathematics and Computer Science

In the present paper optimal time-invariant state feedback controllers are designed for a class of discrete time-varying control systems with Markov jumping parameter and quadratic performance index. We assume that the coefficients have limits as time tends to infinity and the boundary system is absolutely observable and stabilizable. Moreover, following the same line of reasoning, an adaptive controller is proposed in the case when system parameters are unknown but their strongly consistent estimators...

On the extremal behavior of a Pareto process: an alternative for ARMAX modeling

Marta Ferreira (2012)

Kybernetika

In what concerns extreme values modeling, heavy tailed autoregressive processes defined with the minimum or maximum operator have proved to be good alternatives to classical linear ARMA with heavy tailed marginals (Davis and Resnick [8], Ferreira and Canto e Castro [13]). In this paper we present a complete characterization of the tail behavior of the autoregressive Pareto process known as Yeh-Arnold-Robertson Pareto(III) (Yeh et al. [32]). We shall see that it is quite similar to the first order...

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