About this scholarly article
Sequential Stochastic Optimization || by Cairoli, R.; Dalang, Robert C. is a scholarly article available to read on EtoBox.
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
- Author
- Cairoli, R.; Dalang, Robert C.
- Publisher
- Wiley-Interscience
- Published
- 1996
- Language
- EN
- ISBN
- 9781118164396