日期：7月20日（星期四）
时间：10:00 – 12:00
主题：Ambiguity learning in sequential decision-making
主讲人：Yisha Xiang
主持人：王凯波、梁正霖
语言：English
参加方式（一）：舜德楼412教室
参加方式（二）：腾讯会议ID：702 549 072，密码：230720
讲座介绍：To mitigate the effects of parameter uncertainty due to statistical estimation errors, many studies use data-driven methods to construct an ambiguity set that contains the true parameters with high confidence and formulate the problem of interest as a robust Markov decision process that helps decision-makers hedge against worst-case parameters. An inherent drawback associated with this approach is the difficulty in incorporating priori probabilistic information of unknown parameters, which can potentially be leveraged to find a robust yet not too conservative policy. In this study, we model the uncertainty in transition probabilities using a multiple-priors model and propose a distributionally robust Markov decision process (DRMDP) with a multiple-priors-based uncertainty set. We investigate the asymptotic convergence of the posterior set and provide a rate of posterior convergence. Based on the asymptotic properties, we further examine the asymptotic convergence and rate of convergence of the optimal value and optimal policy of the proposed DRMDP model. Numerical experiments on a machine replacement problem show the benefit of the proposed decision-making framework in providing good out-of-sample performance.
主讲人介绍：Dr. Yisha Xiang is an associate professor of Industrial Engineering at the University of Houston. Her current research and teaching interests involve data-driven decision-making under uncertainty and statistical machine learning. National Science Foundation, including a CAREER grant, and industry have funded her research. She has published articles in refereed journals, such as INFORMS Journal on Computing, IISE Transactions, European Journal of Operational Research, and Naval Research Logistics. She was the recipient of the P.K. McElroy Award, Stan Oftshun Award, and Doug Ogden Award for best papers at the Reliability and Maintainability Symposium. Dr. Xiang received her B.S. in Industrial Engineering from the Nanjing University of Aero. & Astro., China, and M.S. and Ph.D. in Industrial Engineering from the University of Arkansas. She serves as an Associate Editor for IISE Transactions and IEEE Transactions Automation Science and Engineering. She is also the Chair-elect of the INFORMS Quality, Statistics, and Reliability Sector, and President of the IISE Quality Control and Reliability Engineering Division. She is a member of IISE and INFORMS.
