9780471577546: Sequential Stochastic Optimization
Hardcover
ISBN 10: 0471577545 ISBN 13: 9780471577546
Publisher: Wiley-Interscience, 1996

Synopsis

Sequential Stochastic Optimization provides mathematicians andapplied researchers with a well-developed framework in whichstochastic optimization problems can be formulated and solved.Offering much material that is either new or has never beforeappeared in book form, it lucidly presents a unified theory ofoptimal stopping and optimal sequential control of stochasticprocesses. This book has been carefully organized so that littleprior knowledge of the subject is assumed; its only prerequisitesare a standard graduate course in probability theory and somefamiliarity 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 ofpartial sums of arrays of independent random variables
* The general theory of optimal stopping for processes indexed byInd
* Structural properties of information flows
* Sequential sampling and the theory of optimal sequential control
* Multi-armed bandits, Markov chains and optimal switching betweenrandom walks

"synopsis" may belong to another edition of this title.

About the Author

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

From the Back Cover

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

From the Inside Flap

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

"About this title" may belong to another edition of this title.

Publisher
Wiley-Interscience
Publication date
1996
Language
English
ISBN 10 
0471577545
ISBN 13 
9780471577546
Binding
Hardcover
Edition number
1
Number of pages
352