R. Cairoli, Robert C Dalang

Sequential Stochastic Optimization

• Gebundenes Buch

Produktbeschreibung

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

Produktdetails

• Verlag: Wiley
• Seitenzahl: 352
• Erscheinungstermin: 2. Februar 1996
• Englisch
• Abmessung: 240mm x 161mm x 23mm
• Gewicht: 686g
• ISBN-13: 9780471577546
• ISBN-10: 0471577545
• Artikelnr.: 22300541

Autorenporträt

R. Cairoli and Robert C. Dalang are the authors of Sequential Stochastic Optimization, published by Wiley.

Inhaltsangabe

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.