Mathematical

Modeling
Fourth Edition

Mark M. Meerschaert
Department of Statistics and Probability
Michigan State University
A430 Wells Hall
East lansing, Ml48824-1027 USA

AMSTERDAM BOSTON HEIDELBERG LONDON

NEW YORK OXFORD PARIS SAN DIEGO
SAN FRANCISCO SINGAPORE SYDNEY TOKYO

ELSEVIER Academic Press is an Imprint of Elsevier

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Contents

Preface vii

I OPTIMIZATION MODELS 1
1 ONE VARIABLE OPTIMIZATION 3
1.1 The five-step Method . . . . 3
1.2 Sensitivity Analysis . . . . . 9
1.3 Sensitivity and Robustness 14
1.4 Exercises . . . . . . . . . . 16

2 MULTIVARIABLE OPTIMIZATION 21
2.1 Unconstrained Optimization . . . . . . 21
2.2 Lagrange Multipliers . . . . . . . . . . 31
2.3 Sensitivity Analysis and Shadow Prices 41
2.4 Exercises . . . . . . . . . . . . . . . . . 50

3 COMPUTATIONAL METHODS FOR OPTIMIZATION 57

3.1 One Variable Optimization 57
3.2 Multivariable Optimization 66
3.3 Linear Programming . 74
3.4 Discrete Optimization 91
3.5 Exercises . . . . . . . 102

II DYNAMIC MODELS 113

4 INTRODUCTION TO DYNAMIC MODELS 115
4.1 Steady State Analysis . . . . . . . 115
4.2 Dynamical Systems . . . . . . . . . 120
4.3 Discrete Time Dynamical Systems 126
4.4 Exercises . . . . . . . . . . . . . . 132

5 ANALYSIS OF DYNAMIC MODELS 139

5.1 Eigenvalue Methods . . . . . . . . . . . 139
5.2 Eigenvalue Methods for Discrete Systems . 144
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5.3 Phase Portraits 150

5.4 Exercises . . . 164

6 SIMULATION OF DYNAMIC MODELS 171

6.1 Introduction to Simulation . 171
6.2 Continuous- Time Models 178
6.3 The Euler Method . 186
6.4 Chaos and Fractals . 191
6. 5 Exercises . . . . . . 206

III PROBABILITY MODELS 221

7 INTRODUCTION TO PROBABILITY MODELS 223
7.1 Discrete Probability Models .. 223
7.2 Continuous Probability Models 228
7.3 Introduction to Statistics 231
7.4 Diffusion . 236
7. 5 Exercises . . . . . . . . 241

8 STOCHASTIC MODELS 251

8.1 Markov Chains . . 251
8.2 Markov Processes . 261
8.3 Linear Regression . 271
8.4 Time Series 280
8.5 Exercises . . . .. 290

9 SIMULATION OF PROBABILITY MODELS 301

9.1 Monte Carlo Simulation 301
9.2 The Markov Property 308
9.3 Analytic Simulation 317
9.4 Particle Tracking .. 323
9.5 Fractional Diffusion 335
9. 6 Exercises 347

Afterword 359

Index 363