Sequential stochastic optimization
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 prerequi…
Read More ↓Title Statements
- Full title :Sequential stochastic optimization / R. Cairoli, Robert C. Dalang.
Summary
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-paramet.
Read More ↓Edition Statements
- Publication Date:©1996.
Publication Statements
- Publisher(s):Wiley
- Place of Publication:New York
- Language:eng
- Publication Date:©1996.
The Physical Object
- Description:1 online resource (xi, 327 pages)
Edition Identifiers
- ISBN:9781118164402, 1118164407, 9781118164396, 1118164393, 1283227991, 9781283227995, 9786613227997, 6613227994
- oclc:ocn757394280
- LC Classification:QA279.7
- Dewey Decimal:519.2
Table of Contents
1. Preliminaries -- 2. Sums of Independent Random Variables -- 3. Optimal Stopping -- 4. Reduction to a Single Dimension -- 5. Accessibility and Filtration Structure -- 6. Sequential Sampling -- 7. Optimal Sequential Control -- 8. Multiarmed Bandits -- 9. The Markovian Case -- 10. Optimal Switching Between Two Random Walks.
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