the problem we investigate deals with the optimal assignment of resources to the activities of a stochastic project network. we seek to minimize the expected cost of the project include sum of resource utilization costs and lateness costs. we assume that the work content required by the activities follows an exponential distribution. the decision variables of the model are the allocated resourc...

Many problems of practical interest rely on Continuous-time Markov chains (CTMCs) defined over combinatorial state spaces, rendering the computation of transition probabilities, and hence probabilistic inference, difficult or impossible with existing methods. For problems with countably infinite states, where classical methods such as matrix exponentiation are not applicable, the main alternati...

in the present work‎, ‎a new stochastic algorithm is proposed to solve multiple dimensional fredholm integral equations of the second kind‎. ‎the solution of the‎ integral equation is described by the neumann series expansion‎. ‎each term of this expansion can be considered as an expectation which is approximated by a continuous markov chain monte carlo method‎. ‎an algorithm is proposed to sim...

A novel method is presented for estimating the parameters of a parametric diffusion process. The approach based on closed-form Maximum Likelihood estimator an approximating Continuous Time Markov Chain (CTMC) Unlike typical time discretization approaches, such as pseudo-likelihood approximations with Shoji-Ozaki or Kessler's method, CTMC approximation introduces no time-discretization error dur...