9780471577546: Sequential Stochastic Optimization
Couverture rigide
ISBN 10 : 0471577545 ISBN 13 : 9780471577546
Editeur : 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

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Wiley-Interscience
Date d'édition
1996
Langue
anglais
ISBN 10 
0471577545
ISBN 13 
9780471577546
Reliure
Relié
Nombre de pages
352
Coordonnées du fabricant
non disponible
Personne responsable
non disponible