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Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang
| Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang |
| Autore | Cairoli R (Renzo), <1931-1994.> |
| Pubbl/distr/stampa | New York, : J. Wiley & Sons, c1996 |
| Descrizione fisica | 1 online resource (348 p.) |
| Disciplina | 519.7 |
| Altri autori (Persone) | DalangRobert C. <1961-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Dynamic programming Stochastic control theory |
| ISBN |
1-283-22799-1
9786613227997 1-118-16439-3 1-118-16440-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Sequential Stochastic Optimization; Contents; Preface; Notation and Conventions; 1. Preliminaries; 1.1 Filtered Probability Spaces; 1.2 Random Variables; 1.3 Stopping Points; 1.4 Increasing Paths and Accessible Stopping Points; 1.5 Some Operations on Accessible Stopping Points; 1.6 Stochastic Processes and Martingales; Exercises; Historical Notes; 2. Sums of Independent Random Variables; 2.1 Maximal Inequalities; 2.2 Integrability Criteria for the Supremum; 2.3 The Strong Law of Large Numbers; 2.4 Case Where the Random Variables Are Identically Distributed; Exercises; Historical Notes
3. Optimal Stopping3.1 Stating the Problem; 3.2 Snell's Envelope; 3.3 Solving the Problem; 3.4 A Related Problem; 3.5 Maximal Accessible Stopping Points; 3.6 Case Where the Index Set is Finite; 3.7 An Application to Normalized Partial Sums; 3.8 Complements; Exercises; Historical Notes; 4. Reduction to a Single Dimension; 4.1 Linear Representation of Accessible Stopping Points; 4.2 Applications; 4.3 Linear Representation in the Setting of Inaccessible Stopping Points; Exercises; Historical Notes; 5. Accessibility and Filtration Structure; 5.1 Conditions for Accessibility 5.2 Consequences for the Structure of the Filtration5.3 The Bidimensional Case; 5.4 Predictability of Optional Increasing Paths; 5.5 The Combinatorial Structure of a Filtration; 5.6 The Combinatorial Structure of a Filtration Satisfying COl; 5.7 Optimal Stopping and Linear Optimization; Exercises; Historical Notes; 6. Sequential Sampling; 6.1 Stating the Problem; 6.2 Constructing the Model; 6.3 The Reward Process and Snell's Envelope; 6.4 Describing the Optimal Strategy; 6.5 The Likelihood-Ratio Test; 6.6 Applications; 6.7 Complement; Exercises; Historical Notes; 7. Optimal Sequential Control 7.1 An Example7.2 Preliminaries; 7.3 Controls; 7.4 Optimization; 7.5 Optimization Over Finite Controls; 7.6 Case Where the Index Set Is Finite; 7.7 Extension to General Index Sets; Exercises; Historical Notes; 8. Multiarmed Bandits; 8.1 Formulating the Problem; 8.2 Index Controls; 8.3 Gittins Indices; 8.4 Characterizing Optimal Controls; 8.5 Examples; Exercises; Historical Notes; 9. The Markovian Case; 9.1 Markov Chains and Superharmonic Functions; 9.2 Optimal Control of a Markov Chain; 9.3 The Special Case of a Random Walk 9.4 Control and Stopping at the Time of First Visit to a Set of States9.5 Markov Structures; Exercises; Historical Notes; 10. Optimal Switching Between Two Random Walks; 10.1 Formulating and Solving the Problem; 10.2 Some Properties of the Solution; 10.3 The Structure of the Solution; 10.4 Constructing the Switching Curves; 10.5 Characterizing the Type of the Solution; 10.6 Determining the Type of the Solution; Exercises; Historical Notes; Bibliography; Index of Notation; Index of Terms |
| Record Nr. | UNINA-9910831074003321 |
Cairoli R (Renzo), <1931-1994.>
|
||
| New York, : J. Wiley & Sons, c1996 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang
| Sequential stochastic optimization [[electronic resource] /] / R. Cairoli, Robert C. Dalang |
| Autore | Cairoli R (Renzo), <1931-1994.> |
| Pubbl/distr/stampa | New York, : J. Wiley & Sons, c1996 |
| Descrizione fisica | 1 online resource (348 p.) |
| Disciplina | 519.7 |
| Altri autori (Persone) | DalangRobert C. <1961-> |
| Collana | Wiley series in probability and mathematical statistics |
| Soggetto topico |
Optimal stopping (Mathematical statistics)
Dynamic programming Stochastic control theory |
| ISBN |
1-283-22799-1
9786613227997 1-118-16439-3 1-118-16440-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Sequential Stochastic Optimization; Contents; Preface; Notation and Conventions; 1. Preliminaries; 1.1 Filtered Probability Spaces; 1.2 Random Variables; 1.3 Stopping Points; 1.4 Increasing Paths and Accessible Stopping Points; 1.5 Some Operations on Accessible Stopping Points; 1.6 Stochastic Processes and Martingales; Exercises; Historical Notes; 2. Sums of Independent Random Variables; 2.1 Maximal Inequalities; 2.2 Integrability Criteria for the Supremum; 2.3 The Strong Law of Large Numbers; 2.4 Case Where the Random Variables Are Identically Distributed; Exercises; Historical Notes
3. Optimal Stopping3.1 Stating the Problem; 3.2 Snell's Envelope; 3.3 Solving the Problem; 3.4 A Related Problem; 3.5 Maximal Accessible Stopping Points; 3.6 Case Where the Index Set is Finite; 3.7 An Application to Normalized Partial Sums; 3.8 Complements; Exercises; Historical Notes; 4. Reduction to a Single Dimension; 4.1 Linear Representation of Accessible Stopping Points; 4.2 Applications; 4.3 Linear Representation in the Setting of Inaccessible Stopping Points; Exercises; Historical Notes; 5. Accessibility and Filtration Structure; 5.1 Conditions for Accessibility 5.2 Consequences for the Structure of the Filtration5.3 The Bidimensional Case; 5.4 Predictability of Optional Increasing Paths; 5.5 The Combinatorial Structure of a Filtration; 5.6 The Combinatorial Structure of a Filtration Satisfying COl; 5.7 Optimal Stopping and Linear Optimization; Exercises; Historical Notes; 6. Sequential Sampling; 6.1 Stating the Problem; 6.2 Constructing the Model; 6.3 The Reward Process and Snell's Envelope; 6.4 Describing the Optimal Strategy; 6.5 The Likelihood-Ratio Test; 6.6 Applications; 6.7 Complement; Exercises; Historical Notes; 7. Optimal Sequential Control 7.1 An Example7.2 Preliminaries; 7.3 Controls; 7.4 Optimization; 7.5 Optimization Over Finite Controls; 7.6 Case Where the Index Set Is Finite; 7.7 Extension to General Index Sets; Exercises; Historical Notes; 8. Multiarmed Bandits; 8.1 Formulating the Problem; 8.2 Index Controls; 8.3 Gittins Indices; 8.4 Characterizing Optimal Controls; 8.5 Examples; Exercises; Historical Notes; 9. The Markovian Case; 9.1 Markov Chains and Superharmonic Functions; 9.2 Optimal Control of a Markov Chain; 9.3 The Special Case of a Random Walk 9.4 Control and Stopping at the Time of First Visit to a Set of States9.5 Markov Structures; Exercises; Historical Notes; 10. Optimal Switching Between Two Random Walks; 10.1 Formulating and Solving the Problem; 10.2 Some Properties of the Solution; 10.3 The Structure of the Solution; 10.4 Constructing the Switching Curves; 10.5 Characterizing the Type of the Solution; 10.6 Determining the Type of the Solution; Exercises; Historical Notes; Bibliography; Index of Notation; Index of Terms |
| Record Nr. | UNINA-9910841332403321 |
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Cairoli R (Renzo), <1931-1994.>
|
||
| New York, : J. Wiley & Sons, c1996 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic Control / / edited by Chris Myers
| Stochastic Control / / edited by Chris Myers |
| Pubbl/distr/stampa | Croatia : , : Intech, , 2010 |
| Descrizione fisica | 1 online resource (664 pages) : illustrations |
| Disciplina | 629.8312 |
| Soggetto topico | Stochastic control theory |
| ISBN | 953-51-5938-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910137672603321 |
| Croatia : , : Intech, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto
| Stochastic control and mathematical modeling : applications in economics / Hiroaki Morimoto |
| Autore | Morimoto, Hiroaki |
| Pubbl/distr/stampa | Cambridge ; New York : Cambridge University Press, 2010 |
| Descrizione fisica | xiii, 325 p. ; 25 cm |
| Disciplina | 629.8312 |
| Collana | Encyclopedia of mathematics and its applications ; [131] |
| Soggetto topico |
Stochastic control theory
Optimal stopping (Mathematical statistics) Stochastic differential equations |
| ISBN | 9780521195034 |
| Classificazione |
AMS 93E
LC QA402.37.M67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000837909707536 |
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Morimoto, Hiroaki
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| Cambridge ; New York : Cambridge University Press, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Stochastic control by functional analysis methods / Alain Bensoussan
| Stochastic control by functional analysis methods / Alain Bensoussan |
| Autore | Bensoussan, Alain |
| Pubbl/distr/stampa | Amsterdam : North-Holland, 1982 |
| Descrizione fisica | xv, 410 p. : 23 cm |
| Disciplina | 629.8312 |
| Collana | Studies in mathematics and its applications, 0168-2024 ; 11 |
| Soggetto topico |
Martingales with continuous parameter
Stochastic analysis Stochastic control theory |
| ISBN | 044486329X |
| Classificazione |
AMS 60G44
AMS 60H AMS 93E |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991001376769707536 |
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Bensoussan, Alain
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| Amsterdam : North-Holland, 1982 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Stochastic differential inclusions and applications / / Michal Kisielewicz
| Stochastic differential inclusions and applications / / Michal Kisielewicz |
| Autore | Kisielewicz Michał |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York : , : Springer, , 2013 |
| Descrizione fisica | 1 online resource (xvi, 282 pages) |
| Disciplina | 519.2 |
| Collana | Springer Optimization and Its Applications |
| Soggetto topico |
Stochastic control theory
Stochastic processes Differential inclusions Mathematical optimization |
| ISBN | 1-4614-6756-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Preface -- List of Symbols -- 1. Stochastic Processes -- 2. Set-Valued Stochastic Processes -- 3. Set-Valued Stochastic Integrals -- 4. Stochastic Differential Inclusions -- 5.Viability Theory -- 6. Partial Differential Inclusions -- 7. Some Optimal Control Problems -- Bibliography -- Subject Index. |
| Record Nr. | UNINA-9910739432303321 |
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Kisielewicz Michał
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| New York : , : Springer, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic networked control systems : stabilization and optimization under information constraints / / Serdar Yuksel, Tamer Basar
| Stochastic networked control systems : stabilization and optimization under information constraints / / Serdar Yuksel, Tamer Basar |
| Autore | Yüksel Serdar |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | New York : , : Birkhauser, , 2013 |
| Descrizione fisica | 1 online resource (xviii, 482 pages) : illustrations |
| Disciplina | 004.650151 |
| Collana | Systems & Control: Foundations & Applications |
| Soggetto topico |
Stochastic control theory
Automatic control - Mathematical models |
| ISBN | 1-4614-7085-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Introduction -- Part I Information Structures in Networked Control -- Networked Control Systems as Stochastic Team Decision Problems: A General Introduction -- Characterization and Comparison of Information Structures -- Topological Properties of Information Structures: Comparison, Convergence and Optimization -- Part II Stabilization of Networked Control Systems -- Coding for Control and Connections with Information Theory -- Stochastic Stability and Drift Criteria for Markov Chains in Networked Control -- Stochastic Stabilization over Noiseless Channels -- Stochastic Stabilization over Noisy Channels -- Stabilization of Decentralized Systems over Communication Channels -- Part III Optimization in Networked Control: Design of Optimal Policies under Information Constraints -- Optimization of Real-Time Coding and Control Policies: Structural and Existence Results -- Optimal Coding and Control for Linear Gaussian Systems over Gaussian Channels under Quadratic Cost -- Agreement in Teams and the Dynamic Programming Approach under Information Constraints -- A Topological Notions and Optimization -- B Probability Theory and Stochastic Processes -- C Markov Chains, Martingales and Ergodic Processes -- D Markov Decision Theory and Optimality of Markov Policies -- References -- Index. |
| Record Nr. | UNINA-9910438142303321 |
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Yüksel Serdar
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| New York : , : Birkhauser, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Stochastic Optimization : Seeing the Optimal for the Uncertain / / edited by Ioannis Dritsas
| Stochastic Optimization : Seeing the Optimal for the Uncertain / / edited by Ioannis Dritsas |
| Pubbl/distr/stampa | Croatia : , : Intech, , 2011 |
| Descrizione fisica | 1 online resource (492 pages) : illustrations |
| Disciplina | 629.8312 |
| Soggetto topico | Stochastic control theory |
| ISBN | 953-51-5517-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Altri titoli varianti | Stochastic Optimization |
| Record Nr. | UNINA-9910137672403321 |
| Croatia : , : Intech, , 2011 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization in continuous time / / Fwu-Ranq Chang [[electronic resource]]
| Stochastic optimization in continuous time / / Fwu-Ranq Chang [[electronic resource]] |
| Autore | Chang Fwu-Ranq <1947-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xvi, 326 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/51923 |
| Soggetto topico |
Economics - Mathematical models
Stochastic control theory |
| ISBN |
1-107-14940-1
1-280-47792-X 0-511-19534-6 0-511-19600-8 0-511-19394-7 0-511-31435-3 0-511-61674-0 0-511-19468-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Title; Copyright; Dedication; Contents; List of Figures; Preface; 1 Probability Theory; 2 Wiener Processes; 3 Stochastic Calculus; 4 Stochastic Dynamic Programming; 5 How to Solve it; 6 Boundaries and Absorbing Barriers; APPENDIX A Miscellaneous Applications and Exercises; Bibliography; Index |
| Record Nr. | UNINA-9910457945203321 |
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Chang Fwu-Ranq <1947->
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| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Stochastic optimization in continuous time / / Fwu-Ranq Chang [[electronic resource]]
| Stochastic optimization in continuous time / / Fwu-Ranq Chang [[electronic resource]] |
| Autore | Chang Fwu-Ranq <1947-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2004 |
| Descrizione fisica | 1 online resource (xvi, 326 pages) : digital, PDF file(s) |
| Disciplina | 330/.01/51923 |
| Soggetto topico |
Economics - Mathematical models
Stochastic control theory |
| ISBN |
1-107-14940-1
1-280-47792-X 0-511-19534-6 0-511-19600-8 0-511-19394-7 0-511-31435-3 0-511-61674-0 0-511-19468-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover; Half-title; Title; Copyright; Dedication; Contents; List of Figures; Preface; 1 Probability Theory; 2 Wiener Processes; 3 Stochastic Calculus; 4 Stochastic Dynamic Programming; 5 How to Solve it; 6 Boundaries and Absorbing Barriers; APPENDIX A Miscellaneous Applications and Exercises; Bibliography; Index |
| Record Nr. | UNINA-9910784313203321 |
|
Chang Fwu-Ranq <1947->
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||
| Cambridge : , : Cambridge University Press, , 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
