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Sequential Stochastic Optimization

  • Fester Einband
  • 346 Seiten
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Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stoch... Weiterlesen
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Beschreibung

Klappentext

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



Inhalt

Preliminaries; Sums of Independent Random Variables; Optimal Stopping; Reduction to a Single Dimension; Accessibility and Filtration Structure; Sequential Sampling; Optimal Sequential Control; Multiarmed Bandits; The Markovian Case; Optimal Switching Between Two Random Walks; Bibliography; Indexes.

Produktinformationen

Titel: Sequential Stochastic Optimization
Autor:
EAN: 9780471577546
ISBN: 0471577545
Format: Fester Einband
Genre: Mathematik
Anzahl Seiten: 346
Gewicht: 662g
Größe: H234mm x B156mm x T23mm
Jahr: 1996

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