Cairoli, R.
Sequential Stochastic Optimization
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
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
Avainsanat: Probability & Mathematical Statistics
- Tekijä(t)
- Cairoli, R.
- Dalang, Robert C.
- Julkaisija
- John Wiley and Sons, Inc.
- Julkaisuvuosi
- 1996
- Kieli
- en
- Painos
- 1
- Sarja
- Wiley Series in Probability and Statistics
- Kategoria
- Eksaktit luonnontieteet
- Tiedostomuoto
- E-kirja
- eISBN (PDF)
- 9781118164402
- Painetun ISBN
- 9780471577546