Peter Whittle (born 27 February 1927, in Wellington, New Zealand) is a mathematician and statistician, working in the fields of stochastic nets, optimal control, time series analysis, stochastic optimisation and stochastic dynamics. From 1967 to 1994, he was the Churchill Professor of Mathematics for Operational Research at the University of Cambridge.
He then moved to Uppsala, Sweden in 1950 to study for his PhD with Herman Wold (at the University of Uppsala). His thesis, Hypothesis Testing in Time Series, generalised Wold's autoregressive representation theorem for univariate stationary processes to multivariate processes. Whittle's thesis was published in 1951. A synopsis of Whittle's thesis also appeared as an appendix to the second edition of Wold's book on time-series analysis. He remained in Uppsala at the Statistics Institute as a docent until 1953, when Whittle returned to New Zealand.
In New Zealand, Whittle worked at the Department of Industrial and Scientific Research (DSIR) in the Applied Mathematics Laboratory (later named the Applied Mathematics Division).
In 1959 Whittle was appointed to a lectureship in Cambridge University. Whittle was appointed Professor of Mathematical statistics at the University of Manchester in 1961. After 6 years in Manchester, Whittle returned to Cambridge as the Churchill Professor of Mathematics for Operational Research, a post he held until his retirement in 1994. From 1973, he was also Director of the Statistical Laboratory, University of Cambridge. He is a fellow of Churchill College, Cambridge.
Whittle was elected a Fellow of the Royal Society in 1978, and an Honorary Fellow of the Royal Society of New Zealand in 1981. The Royal Society awarded him their Sylvester Medal in 1994 in recognition of his "major distinctive contributions to time series analysis, to optimisation theory, and to a wide range of topics in applied probability theory and the mathematics of operational research". In 1986, the Institute for Operations Research and the Management Sciences awarded Whittle the Lanchester Prize for his book Systems in Stochastic Equilibrium (ISBN 0-471-90887-8) and the John von Neumann Theory Prize in 1997 for his "outstanding contributions to the theory of operations research and management science".
In 1951 Whittle married a Finnish woman, Käthe Blomquist, whom he had met in Sweden. The Whittle family has six children.
- Whittle, P. (1951). Hypothesis testing in times series analysis. Uppsala: Almqvist & Wiksells Boktryckeri AB.
- Whittle, P. (1963). Prediction and Regulation. English Universities Press. ISBN 0-8166-1147-5.
- Whittle, P. (1970). Probability (Library of university mathematics). Penguin. ISBN 0-14-080085-9.
- Whittle, P. (28 July 1971). Optimization Under Constraints. John Wiley and Sons Ltd. ISBN 0-471-94130-1.
- Whittle, P. (4 August 1982). Optimization Over Time. John Wiley and Sons Ltd. ISBN 0-471-10120-6.
- Whittle, P. (April 1983). Optimization Over Time: Dynamic Programming and Stochastic Control. John Wiley and Sons Ltd. ISBN 0-471-10496-5.
- Whittle, P. (4 June 1986). Systems in Stochastic Equilibrium. John Wiley and Sons Ltd. ISBN 0-471-90887-8.
- Whittle, P. (April 1990). Risk-Sensitive Optimal Control. John Wiley and Sons Ltd. ISBN 0-471-92622-1.
- Whittle, P. (14 May 1992). Probability Via Expectation (3rd ed.). Springer Verlag. ISBN 0-387-97758-9.
- Whittle, P. (18 July 1996). Optimal Control: Basics and Beyond. John Wiley and Sons Ltd. ISBN 0-471-95679-1.
- Whittle, P. (8 December 1998). Neural Nets and Chaotic Carriers. John Wiley and Sons Ltd. ISBN 0-471-98541-4.
- Whittle, P. (31 May 2007). Networks: Optimisation and Evolution. Cambridge University Press. ISBN 9780521871006.
- Whittle, P. (1953). "The analysis of multiple stationary time series". Journal of the Royal Statistical Society, Series B 15 (1): 125–139. JSTOR 2983728.
- Reprinted with an introduction by Matthew Calder and Richard A. Davis as Whittle, P. (1997). "The analysis of multiple stationary time series". In Samuel Kotz and Norman L. Johnson. Breakthroughs in statistics, Volume III. Springer Series in Statistics: Perspectives in Statistics. New York: Springer-Verlag. pp. 141–169. ISBN 0-387-94988-7.
- Whittle, Peter (1954). "On stationary processes in the plane". Biometrika 41: 434–449. doi:10.1093/biomet/41.3-4.434.
- Whittle, P. (May 1954). "Optimum preventative sampling". Journal of the Operations Research Society of America 2 (2): 197–203. doi:10.1287/opre.2.2.197. JSTOR 166605.
- Whittle, P. (1973). "Some general points in the theory of optimal experimental design". Journal of the Royal Statistical Society, Series B 35: 123–130.
- Whittle, Peter (1980). "Multi-armed bandits and the Gittins index". Journal of the Royal Statistical Society Ser. B (Methodology) 42 (2): 143–149.
- Whittle, Peter (1981). "Arm-acquiring bandits". Annals of Probability 9: 284–292. doi:10.1214/aop/1176994469. (Available online)
- Whittle, Peter (1988). "Restless bandits: Activity allocation in a changing world". Journal of Applied Probability 25A (Special volume: A celebration of applied probability (A festschrift for Joe Gani)): 287–298. MR 974588.
- Whittle, P. (1991). "Likelihood and cost as path integrals (With discussion and a reply by the author)". Journal of the Royal Statistical Society, Series B 53 (3): 505–538.
- Whittle, Peter (2002). "Applied probability in Great Britain (50th anniversary issue of Operations Research)". Oper. Res. 50 (1): 227–239. doi:10.1287/opre.22.214.171.12492.
- Kelly, F. P. (1994). Probability, statistics and optimisation: A Tribute to Peter Whittle. Chicheter: John Wiley & Sons. ISBN 0-471-94829-2.
- Peter Whittle. 1994. "Almost Home". pages 1–28.
- Anonymous. "Publications of Peter Whittle". pages xxi–xxvi. (A list of 129 publications.)
- Anonymous. Biographical sketch (untitled). page xxvii.
- Whittle learned Swedish in six months "by translating Matérn's 1947 work on sampling surveys in forestry." (Page 5 in ) Matérn's essay also stimulated Whittle's work on spatial stochastic processes. (Page 299 in )
- "My gratitude is also extended to Professor Peter Whittle, University of Manchester. When [Professor Whittle was] visiting Uppsala in October 1960, we had fruitful discussions, which led me to consider an important technique used in this monograph." 
- Whittle, Peter (1994). "Almost home". In Kelly, F. P. Probability, statistics and optimisation: A Tribute to Peter Whittle. Chichester: John Wiley & Sons. pp. 1–28. ISBN 0-471-94829-2.
- Peter Whittle (1982). "Semi-spatial models of socio-economic transition". In Bo Ranneby. Statistics in theory and practice: Essays in honour of Bertil Matérn. Umeå: Swedish University of Agricultural Sciences. pp. 299–304. ISBN 91-576-1175-0. MR 688997.
- Jöreskog, K. G. (1963). Statistical estimation in factor analysis: A new technique and its foundation. Almqvist & Wiksell. p. 5.
- Anonymous. Biographical sketch. In Kelly.
- ^ a b c d e J.H. Darwin. "NZMS Newsletter 22 Centrefold, December 1981". Retrieved 3 January 2006.
- ^ a Cambridge Statistical Laboratory. "The History of the Statistical Laboratory, section 6". Retrieved 3 January 2006.
- ^ Cambridge Statistical Laboratory. "The History of the Statistical Laboratory, section 4". Retrieved 3 January 2006.
- ^ a Institute for Operations Research and the Management Sciences. "John von Neumann Theory Prize Winners, 1997 section". Retrieved 3 January 2006.
- ^ Cambridge Statistical Laboratory. "The History of the Statistical Laboratory, section 7". Retrieved 3 January 2006.
- ^ Royal Society. "Directory of Fellows of the Royal Society". Retrieved 14 July 2011.
- ^ Royal Society of New Zealand. "List of Honorary Fellow of the Royal Society of New Zealand, 1870–2000". Retrieved 3 January 2006.
- ^ The Royal Society. "Sylvester recent winners". Retrieved 3 January 2006.
- ^ Institute for Operations Research and the Management Sciences. "Frederik W. Lanchester Prize". Retrieved 3 January 2006.