Description

Book Synopsis
Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved.

Table of Contents
Preliminaries.

Sums of Independent Random Variables.

Optimal Stopping.

Reduction to a Single Dimension.

Accessibility and Filtration Structure.

Sequential Sampling.

Optimal Sequential Control.

Multiarmed Bandits.

The Markovian Case.

Optimal Switching Between Two Random Walks.

Bibliography.

Indexes.

Sequential Stochastic Optimization

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    A Hardback by R. Cairoli, Robert C. Dalang

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      Publisher: John Wiley & Sons Inc
      Publication Date: 13/02/1996
      ISBN13: 9780471577546, 978-0471577546
      ISBN10: 0471577545

      Description

      Book Synopsis
      Sequential Stochastic Optimization provides mathematicians and applied researchers with a well-developed framework in which stochastic optimization problems can be formulated and solved.

      Table of Contents
      Preliminaries.

      Sums of Independent Random Variables.

      Optimal Stopping.

      Reduction to a Single Dimension.

      Accessibility and Filtration Structure.

      Sequential Sampling.

      Optimal Sequential Control.

      Multiarmed Bandits.

      The Markovian Case.

      Optimal Switching Between Two Random Walks.

      Bibliography.

      Indexes.

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