Sequential stochastic optimization
R. Cairoli, Robert C. Dalang.
New York : Wiley, ©1996.
xi, 327 págs. ; 25 cm.
Serie: Wiley series in probability and mathematical statistics. Probability and statistics
ISBN: 0471577545
"A Wiley-Interscience publication."
Incluye referencias bibliográficas (p. 314-319) e índices.
Reseña: MathSciNet, 97d:60078
Contenido
- 1. Preliminaries
- 2. Sums of independent random variables
- 3. Optimal stopping
- 4. Reduction to a single dimension
- 5. Accessibility and filtration structure
- 6. Sequential sampling
- 7. Optimal sequential control
- 8. Multiarmed bandits
- . The Markovian case
- 10. Optimal switching between two random walks.
