Essays about: "Markov-kedja"

Found 5 essays containing the word Markov-kedja.

  1. 1. Optimal Order Placement Using Markov Models of Limit Order Books

    University essay from KTH/Matematik (Avd.)

    Author : Max Oliveberg; [2023]
    Keywords : Optimal order placement; Limit order book; Markov; Optimal orderläggning; Orderbok; Markov;

    Abstract : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. READ MORE

  3. 2. Impact of Central Nodes in Information Propagation over Graphs

    University essay from Lunds universitet/Matematisk statistik

    Author : Oskar Mellegård; [2023]
    Keywords : Mathematics and Statistics;

    Abstract : There are many systems which can be represented as graphs, to say the least the networks in which we communicate with each other. Thorough understanding of graph structures enables better predictions of the dynamics in real life networks, such as the spreading of a disease in a community or failure propagation in a system. READ MORE

  4. 3. Perron-Frobenius' Theory and Applications

    University essay from Linköpings universitet/Algebra, geometri och diskret matematik; Linköpings universitet/Tekniska fakulteten

    Author : Karl Eriksson; [2023]
    Keywords : Positive matrices; nonnegative matrices; Perron-Frobenius; linear dynamical systems; Leslie matrices; Markov chain; Google s PageRank algorithm; Positiva matriser; icke-negativa matriser; Perron-Frobenius; linjära dynamiska system; Leslie matris; Markov-kedja; Google s PageRank algoritm;

    Abstract : This is a literature study, in linear algebra, about positive and nonnegative matrices and their special properties. We say that a matrix or a vector is positive/nonnegative if all of its entries are positive/nonnegative. First, we study some generalities and become acquainted with two types of nonnegative matrices; irreducible and reducible. READ MORE

  5. 4. On stochastic unit commitment for thermal power plants

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Elin Rahmqvist; [2020]
    Keywords : ;

    Abstract : Climate change is a fact, a crisis threatening every country, economy and human. Toprevent this crisis, the emission of greenhouse gases needs to decrease dramatically. 72%of global greenhouse gas emissions in 2016 came from energy production where electricityand heat account for 42% of the 72%. READ MORE

  6. 5. Particle-based Parameter Inference in Stochastic Volatility Models: Batch vs. Online

    University essay from KTH/Matematisk statistik

    Author : Albin Toft; [2019]
    Keywords : Hidden Markov models; the PaRIS-algorithm; computational statistics; Monte Carlo simulation stochastic volatility models;

    Abstract : This thesis focuses on comparing an online parameter estimator to an offline estimator, both based on the PaRIS-algorithm, when estimating parameter values for a stochastic volatility model. By modeling the stochastic volatility model as a hidden Markov model, estimators based on particle filters can be implemented in order to estimate the unknown parameters of the model. READ MORE