Stochastic Processes

Stochastic Processes

Estimation, Optimisation and Analysis

1st Edition - July 1, 2004

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  • Authors: Kaddour Najim, Enso Ikonen, Ait-Kadi Daoud
  • Hardcover ISBN: 9781903996553
  • eBook ISBN: 9780080517797

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A ‘stochastic’ process is a ‘random’ or ‘conjectural’ process, and this book is concerned with applied probability and statistics. Whilst maintaining the mathematical rigour this subject requires, it addresses topics of interest to engineers, such as problems in modelling, control, reliability maintenance, data analysis and engineering involvement with insurance.This book deals with the tools and techniques used in the stochastic process – estimation, optimisation and recursive logarithms – in a form accessible to engineers and which can also be applied to Matlab. Amongst the themes covered in the chapters are mathematical expectation arising from increasing information patterns, the estimation of probability distribution, the treatment of distribution of real random phenomena (in engineering, economics, biology and medicine etc), and expectation maximisation. The latter part of the book considers optimization algorithms, which can be used, for example, to help in the better utilization of resources, and stochastic approximation algorithms, which can provide prototype models in many practical applications.

Key Features

* An engineering approach to applied probabilities and statistics
* Presents examples related to practical engineering applications, such as reliability, randomness and use of resources
* Readers with varying interests and mathematical backgrounds will find this book accessible


Students and practitioners in statistics, applied mathematics, automatic control, mechanical and electrical engineering, and those with special interests in topics such as insurance calculations that arise in engineering projects

Table of Contents

  • 1. Stochastic Processes: Foundations of probability; Finite Markov chains; Renewal processes; Martingale, supermartingale, submartingale
    2. Probability Densities Estimation: Skewness and kurtosis measures; Transformation of random variables; Estimation of the probability density functions; Model validation; Numerical examples
    3. Optimisation Techniques: Stochastic approximation techniques; Learning automata; Simulated annealing; Genetic algorithms
    4. Analysis of Recursive Stochastic Algorithms: The analysis of recursive algorithms; Direct use of some inequalities, lemmas and theorems; Case 1 Learning automaton for global optimisation; Case 2 Optimisation based on a team learning automata with binary outputs
    Appendix A: Inequalities, lemmas and theorems
    Appendix B: Matlab programs

Product details

  • No. of pages: 305
  • Language: English
  • Copyright: © Butterworth-Heinemann 2004
  • Published: July 1, 2004
  • Imprint: Butterworth-Heinemann
  • Hardcover ISBN: 9781903996553
  • eBook ISBN: 9780080517797

About the Authors

Kaddour Najim

Affiliations and Expertise

Professor in the Process Control Laboratory, INP Toulouse, France. He is also a member of CENTOR at the University of Laval, Quebec, Canada

Enso Ikonen

Affiliations and Expertise

Adjunct Professor in Systems Engineering at the University of Oulu in Finland

Ait-Kadi Daoud

Affiliations and Expertise

Professor in the Department of Mechanical Engineering at the University of Laval, Quebec, Canada

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