Optimal Stopping and Applications
by Thomas S. Ferguson
Publisher: UCLA 2008
From the table of contents: Stopping Rule Problems; Finite Horizon Problems; The Existence of Optimal Rules; Applications. Markov Models; Monotone Stopping Rule Problems; Maximizing the Rate of Return; Bandit Problems; Solutions to the Exercises.
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by C.T. Kelley - Society for Industrial Mathematics
This book presents a carefully selected group of methods for unconstrained and bound constrained optimization problems and analyzes them in depth both theoretically and algorithmically. It focuses on clarity in algorithmic description and analysis.
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A comprehensive introduction to the subject for students and practitioners in engineering, computer science, mathematics, statistics, finance, etc. The book shows in detail how optimization problems can be solved numerically with great efficiency.
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