Σεμινάριο Στατιστικής και Επιχειρησιακής Έρευνας

Ημερομηνία :  Τρίτη 17 Δεκεμβρίου 2019, ώρα 11 πμ. Αίθουσα Α32
Τίτλος:              Exact and approximate solutions for decision making under uncertainty
Ομιλήτρια:       Στέλλα Καποδίστρια, Τμήμα Μαθηματικών, Eindhoven University of Technology

Περίληψη

Consider a class of stochastic dynamic programming (SDP) problems arising in the context of simple decision making (e.g., under which conditions to choose action A versus action B). Such SDP problems aim at deriving optimal policies. From a fundamental perspective, the difficulty of such SDP problems lies in deriving the optimal policy. From a numerical perspective, the difficulty lies in computing the policy (the curse of dimensionality). While, from a practical perspective, the difficulty lies in the stochastic modelling of all the relevant information (big data).
In this presentation, I will give an overview of results covering all three perspectives. Furthermore, I will elaborate on how to build exact and approximate solutions using some stylised examples as vehicles of illustration.