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Prof. Li Duan's Lecture Notice

Publish Date: 2019/09/25 09:30:19    Hits:

Title:Revised rogressive-Hedging-Algorithm Based Two-layer Solution Scheme for Bayesian Reinforcement Learning

Presenter: Prof. Li Duan

Hosted by: Prof.Li Ping

Time:2019.9.26 16:00-18:00


Abstract:Stochasticcontrol 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.