Sequential Stochastic Optimization (Wiley Series in Probability and Statistics) [9780471577546]

Overview

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

The book, Sequential Stochastic Optimization (Wiley Series in Probability and Statistics) [Bulk, Wholesale, Quantity] ISBN#9780471577546 in Hardcover by R. Cairoli, Robert C. Dalang may be ordered in bulk quantities. Minimum starts at 25 copies. Availability based on publisher status and quantity being ordered.