Sequential Stochastic Optimization / Edition 1

Sequential Stochastic Optimization / Edition 1

by R. Cairoli, Robert C. Dalang
     
 

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

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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

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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.

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