Sequential Stochastic Optimization
Author | : R. Cairoli |
Publisher | : John Wiley & Sons |
Total Pages | : 348 |
Release | : 2011-07-26 |
ISBN-10 | : 9781118164402 |
ISBN-13 | : 1118164407 |
Rating | : 4/5 (02 Downloads) |
Download or read book Sequential Stochastic Optimization written by R. Cairoli and published by John Wiley & Sons. This book was released on 2011-07-26 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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