Sequential Stochastic Optimization by R. CairoliSequential Stochastic Optimization by R. Cairoli

Sequential Stochastic Optimization

byR. Cairoli, Robert C. Dalang

Hardcover | February 2, 1996

Pricing and Purchase Info

$270.91 online 
$272.40 list price
Earn 1,355 plum® points

Prices and offers may vary in store

Quantity:

In stock online

Ships free on orders over $25

Not available in stores

about

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
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 opti...
Loading
Title:Sequential Stochastic OptimizationFormat:HardcoverDimensions:352 pages, 9.57 × 6.42 × 0.91 inPublished:February 2, 1996Publisher:Wiley

The following ISBNs are associated with this title:

ISBN - 10:0471577545

ISBN - 13:9780471577546

Look for similar items by category:

Reviews

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.