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Sequential Stochastic Optimization |
| Wiley Series in Probability and Statistics |
| R. Cairoli (Ecole Polytechnique Fédérale, Lausanne, Switzerland); Robert C. Dalang (Tufts Univ., Medford, Massachusetts) |
| 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
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| Cloth Bound |
352 Pages, 6-1/8 x 9-1/4 in.
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Item #:
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0471577545
$150.00 |
John Wiley & Sons, Inc. | |
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