R. Cairoli, Robert C. Dalang

Sequential Stochastic Optimization (eBook, PDF)

• Format: PDF

Produktbeschreibung

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

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 352
• Erscheinungstermin: 26. Juli 2011
• Englisch
• ISBN-13: 9781118164402
• Artikelnr.: 38234032

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.