A01=R. Cairoli
A01=Robert C. Dalang
appeared
assumed
Author_R. Cairoli
Author_Robert C. Dalang
book
Category=PBT
Category=PBWL
control
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eq_nobargain
framework
knowledge
little
mathematicians
much material
new
optimal
optimization
prior
problems
processes
researchers
sequential
stochastic
subject
theory
unified
welldeveloped
Product details
- ISBN 9780471577546
- Weight: 680g
- Dimensions: 163 x 243mm
- Publication Date: 13 Feb 1996
- Publisher: John Wiley & Sons Inc
- Publication City/Country: US
- Product Form: Hardback
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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
R. Cairoli and Robert C. Dalang are the authors of Sequential Stochastic Optimization, published by Wiley.
