Sequential Stochastic Optimization / Wiley Series in Probability and Statistics (PDF)
(Sprache: Englisch)
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...
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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
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
Autoren-Porträt von R. Cairoli, Robert C. Dalang
R. Cairoli and Robert C. Dalang are the authors of Sequential Stochastic Optimization, published by Wiley.
Bibliographische Angaben
- Autoren: R. Cairoli , Robert C. Dalang
- 2011, 1. Auflage, 352 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 1118164407
- ISBN-13: 9781118164402
- Erscheinungsdatum: 26.07.2011
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- Größe: 22 MB
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