Events for 04/11/2024 from all calendars

Stochastic Processes Seminar

Time: 10:00AM - 11:00AM

Location: ZOOM

Speaker: Sören Christensen, Christian-Albrechts University Kiel

Title: How to Learn from Data in Stochastic Control Problems - An Approach Based on Statistics

Abstract: While theoretical solutions to many stochastic control problems are well understood, their practicality often suffers from the assumption of known dynamics of the underlying stochastic process, which raises the statistical challenge of developing purely data-driven controls in a nonparametric framework. In this talk, we discuss how to bring together stochastic control and statistics, which we explore for ergodic singular control problems and underlying one- and multi-dimensional diffusions. Among others, they include classic models for optimal resource management. The exploration vs. exploitation dilemma plays an essential role in the considerations. We find exact rates of convergence of sublinear order for the regret and compare the results with those of deep Q-learning algorithms.