Sequential Stochastic Optimization - Couverture rigide

Cairoli, R.; Dalang, Robert C.

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

A propos du livre

À propos de l?auteur

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

Détails de l'édition

• 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