Duan Li is currently Chair Professor of Operations Research at City University of Hong Kong, serving also as Associate Provost (Strategic Planning) for the university and Acting Dean for the newly established School of Data Science.
When: June 19th, 3.00 pm
Where: Seminarraum 14, Oskar-Morgenstern-Platz 1, 1090 Wien
Title: 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.
