Sequential Stochastic Optimization (Hardcover)

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

General

Imprint:	John Wiley & Sons
Country of origin:	United States
Release date:	February 1996
First published:	1996
Authors:	R. Cairoli
Dimensions:	239 x 163 x 26mm (L x W x T)
Format:	Hardcover
Pages:	352
ISBN-13:	978-0-471-57754-6
Categories:	Books > Science & Mathematics > Mathematics > Probability & statistics Books > Science & Mathematics > Mathematics > Applied mathematics > Stochastics Promotions
LSN:	0-471-57754-5
Barcode:	9780471577546

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