Duan Li ist aktuell Chair Professor of Operations Research der City University of Hong Kong und fungiert als Associate Provost (Strategic Planning) für die Universität und ist zudem stellvertretender Dekan für die neu gegründete School of Data Science. Sein Vortrag am 19. Juni 2019 trägt den Titel „A Revised Progressive Hedging Algorithm Based Two-layer Solution Scheme for Bayesian Reinforcement“.
Abstract
Stochastic control with both inherent random system noise and lack of knowledge on system parameters constitutes a fundamental challenge in reinforcement learning, especially under non-episodic setting. We propose a novel two-layer solution scheme to separate reducible system uncertainty from irreducible one at two layers (adopting time-composition based DP at the lower layer and the scenario-decomposition based progressive hedging algorithm at the upper layer) and to approximate the optimal policy directly. Applications in dynamic portfolio selection will be discussed.
Vortrag von Prof. Duan Li
19.06.2019, 15:00
Seminarraum 14, Oskar-Morgenstern-Platz 1, 1090 Wien