Poisson disorder problem with control on costly observations
| buir.advisor | Dayanık, Savaş | |
| dc.contributor.author | Kadiyala, Bharadwaj | |
| dc.date.accessioned | 2016-01-08T18:20:19Z | |
| dc.date.available | 2016-01-08T18:20:19Z | |
| dc.date.issued | 2012 | |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description | Ankara : The Department of Industrial Engineering and the Graduate School of Engineering and Science of Bilkent University, 2012. | en_US |
| dc.description | Thesis (Master's) -- Bilkent University, 2012. | en_US |
| dc.description | Includes bibliographical references. | en_US |
| dc.description.abstract | A Poisson process Xt changes its rate at an unknown and unobservable time θ from λ0 to λ1. Detecting the change time as quickly as possible in an optimal way is described in literature as the Poisson disorder problem. We provide a more realistic generalization of the disorder problem for Poisson process by introducing fixed and continuous costs for being able to observe the arrival process. As a result, in addition to finding the optimal alarm time, we also characterize an optimal way of observing the arrival process. We illustrate the structure of the solution spaces with the help of some numerical examples. | en_US |
| dc.description.degree | M.S. | en_US |
| dc.description.statementofresponsibility | Kadiyala, Bharadwaj | en_US |
| dc.format.extent | xiii, 91 leaves | en_US |
| dc.identifier.uri | http://hdl.handle.net/11693/15537 | |
| dc.language.iso | English | en_US |
| dc.publisher | Bilkent University | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.subject | Poisson disorder problem | en_US |
| dc.subject | stochastic control | en_US |
| dc.subject | piecewise deterministic Markov processes | en_US |
| dc.subject.lcc | QA274 .K33 2012 | en_US |
| dc.subject.lcsh | Stochastic processes. | en_US |
| dc.subject.lcsh | Markov processes. | en_US |
| dc.subject.lcsh | Stochastic control theory. | en_US |
| dc.subject.lcsh | Optimal stopping (Mathematical statistics) | en_US |
| dc.title | Poisson disorder problem with control on costly observations | en_US |
| dc.type | Thesis | en_US |
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