Sequential Stochastic Optimization

Released on by R. Cairoli
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  • Sequential Stochastic Optimization Book Detail

  • Author : R. Cairoli
  • Release Date : 2011-07-26
  • Publisher : John Wiley & Sons
  • Genre : Mathematics
  • Pages : 348
  • ISBN 13 : 1118164407
  • File Size : 14,14 MB
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Sequential Stochastic Optimization by R. Cairoli PDF Summary

Book Description: 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

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