Nonlinear programming solutions to the nonstationary markov model

DOI10.1080/03610918608812568zbMath0606.90129OpenAlexW2059106824MaRDI QIDQ3745650

Christina M. L. Kelton, Marlene A. Smith

Publication date: 1986

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918608812568

zbMATH Keywords

stochastic processesvariable metric methodMarkov process modelaggregate frequency dataMacRae nonstationary modelsimulated test problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Markov and semi-Markov decision processes (90C40)

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Statistical inference in nonstationary markov models with embedded explanatory variables

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