Sequential Stochastic Optimization: 238 (Wiley Series in Probability and Statistics) - Tapa dura

Libro 151 de 353: Wiley Series in Probability and Statistics

Cairoli; Dalang; DALANG

 
9780471577546: Sequential Stochastic Optimization: 238 (Wiley Series in Probability and Statistics)
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ISBN 10: 0471577545 ISBN 13: 9780471577546
Editorial: John Wiley & Sons, 1996

Sinopsis

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

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

R. Cairoli and Robert C. Dalang are the authors of Sequential Stochastic Optimization, published by Wiley.

De la contraportada

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

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
John Wiley & Sons
Año de publicación
1996
Idioma
Inglés
ISBN 10 
0471577545
ISBN 13 
9780471577546
Encuadernación
Tapa dura
Número de páginas
346
Contacto del fabricante
no disponible
Persona responsable
no disponible