Sequential Optimization Under Uncertainty

Tze Leung Lai
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Tze Leung Lai: Stanford University

Chapter Chapter 3 in Modeling Uncertainty, 2002, pp 35-55 from Springer

Abstract: Abstract Herein we review certain problems in sequential optimization when the underlying dynamical system is not fully specified but has to be learned during the operation of the system. A prototypical example is the multi-armed bandit problem, which was one of Yakowitz’s many research areas. Other problems under review include stochastic approximation and adaptive control of Markov chains.

Keywords: Adaptive Control; Switching Cost; Stochastic Approximation; Control Rule; Bandit Problem (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-0-306-48102-4_3

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DOI: 10.1007/0-306-48102-2_3

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