Sequential Stochastic OptimizationISBN: 978-0-471-57754-6
Hardcover
352 pages
February 1996
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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.
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.
