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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.
From the Publisher
Presents a unified mathematical theory of optimal stopping and sequential control of stochastic processes along with several applications including sequential statistical tests involving several populations and multi-armed bandit problems. The material is accompanied by extensive problems, exercises and realistic examples which facilitate understanding. Contains a large amount of original information unavailable elsewhere.
About the Author
R. Cairoli and Robert C. Dalang are the authors of Sequential Stochastic Optimization, published by Wiley.
"About this title" may belong to another edition of this title.
- PublisherWiley-Interscience
- Publication date1996
- ISBN 10 0471577545
- ISBN 13 9780471577546
- BindingHardcover
- LanguageEnglish
- Edition number1
- Number of pages352
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Sequential Stochastic Optimization (Hardcover)
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John Wiley & Sons Inc, New York, 1996
ISBN 10: 0471577545
ISBN 13: 9780471577546
New
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First Edition
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Hardcover. Condition: new. Hardcover. 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 This book presents a unified mathematical theory of optimal stopping and control of stochastic processes in the presence of incomplete information. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9780471577546
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