Sequential Stochastic Optimization / Edition 1

Sequential Stochastic Optimization / Edition 1

by R. Cairoli, Robert C. Dalang
     
 

ISBN-10: 0471577545

ISBN-13: 9780471577546

Pub. Date: 02/02/1996

Publisher: Wiley

Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of

Overview

Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved. Offering much material that is either new or has never before appeared in book form, it lucidly presents a unified theory of optimal stopping and optimal sequential control of stochastic processes. This book has been carefully organized so that little prior knowledge of the subject is assumed; its only prerequisites are a standard graduate course in probability theory and some familiarity with discrete-parameter martingales.

Major topics covered in Sequential Stochastic Optimization include:

• Fundamental notions, such as essential supremum, stopping points, accessibility, martingales and supermartingales indexed by INd

• Conditions which ensure the integrability of certain suprema of partial sums of arrays of independent random variables

• The general theory of optimal stopping for processes indexed by Ind

• Structural properties of information flows

• Sequential sampling and the theory of optimal sequential control

• Multi-armed bandits, Markov chains and optimal switching between random walks

Product Details

ISBN-13:
9780471577546
Publisher:
Wiley
Publication date:
02/02/1996
Series:
Wiley Series in Probability and Statistics Series , #238
Pages:
352
Product dimensions:
6.42(w) x 9.57(h) x 0.91(d)

Table of Contents

Preliminaries.

Sums of Independent Random Variables.

Optimal Stopping.

Reduction to a Single Dimension.

Accessibility and Filtration Structure.

Sequential Sampling.

Optimal Sequential Control.

Multiarmed Bandits.

The Markovian Case.

Optimal Switching Between Two Random Walks.

Bibliography.

Indexes.

Customer Reviews

Average Review:

Write a Review

and post it to your social network

     

Most Helpful Customer Reviews

See all customer reviews >