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Sequential Stochastic Optimization
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
* 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
Major topics covered in Sequential Stochastic Optimization
* 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
347 pages, ebook
First published July 26, 2011
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