Sequential Stochastic Optimization - Couverture rigide

R. Cairoli

Couverture rigide

ISBN 10 : 0471577545 ISBN 13 : 9780471577546

Editeur : Parlux, 2005

Synopsis

Book by Cairoli R Dalang Robert C

A propos du livre

Quatrième de couverture :

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

À propos de cette édition

• Éditeur: Parlux
• Date d'édition: 2005
• ISBN 10: 0471577545
• ISBN 13: 9780471577546
• Reliure: Relié
• Nombre de pages: 327