[Amath-seminars] Thaleia Zariphopoulou -- Boeing Colloquium on
April, 12 at 4pm
bahmang at uw.edu
Fri Apr 6 10:37:15 PDT 2018
Our next Boeing speaker is Thaleia Zariphopoulou. She holds the
Presidential Chair Professorship at the department of Mathematics, and
the V.F. Neuhaus Centennial Professorship at McCombs School of Business,
University of Texas at Austin. Her area of expertise is financial
mathematics and stochastic optimization, where she has numerous
publications. She is a SIAM fellow, and gave an invited talk at the
2014 International Congress of Mathematicians.
The speaker's schedule is at the following link, where you can sing up for
meeting and/or dinner.
Thaleia Zariphopoulou, Boeing Distinguished Colloquium
Time: Thursday, April 12 at 4pm
Location: Smith Hall 205
The talk will be followed by a reception in the Lewis hall lounge.
The title and abstract are given below.
Learning and stochastic optimization
Classical stochastic optimization models require an a priori choice of a
criterion, a horizon and a model (or a family of models) for the dynamics
of the controlled and uncontrolled processes. The solution and the optimal
policies are then specified backwards in time, through the dynamic
programming principle. This setting, however, precludes the incorporation
of realistic “forward-in-time” elements, like learning, model and
preferences revision, rolling horizons, and others. In this talk, I will
introduce a new approach, the forward stochastic optimization, and focus on
how learning can be incorporated in model revision, optimality and
time-consistency. I will discuss the associated stochastic partial
differential equation, and present applications in asset allocation and
resource management, with and without competition among agents.
University of Washington, Department of Applied Mathematics
+1 (206) 543-4065
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