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X-WR-CALNAME:Continuous-in-time Limit for Multi-armed Bandit
X-WR-TIMEZONE:America/Los_Angeles
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DTSTART:20070311T020000
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UID:2023-11-20-yuhua-zhu@cml.ics.uci.edu
DTSTAMP:20231120T000000Z
SEQUENCE:57690
DTSTART;TZID=America/Los_Angeles:20231120T130000
DTEND;TZID=America/Los_Angeles:20231120T140000
SUMMARY:[CML Seminar] Yuhua Zhu: Continuous-in-time Limit for Multi-armed B
andit
LOCATION:Donald Bren Hall 4011
DESCRIPTION:Yuhua Zhu\, Assistant Professor\, Halicioglu Data Science Insti
tute and Department of Mathematics\, University of California\, San Diego\
n\nTitle: Continuous-in-time Limit for Multi-armed Bandit\n\nAbstract: In
this talk\, I will build the connection between Hamilton-Jacobi-Bellman eq
uations (HJB) and the multi-armed bandit (MAB) problems. HJB is an importa
nt equation in solving stochastic optimal control problems. MAB is a widel
y used paradigm for studying the exploration-exploitation trade-off in seq
uential decision making under uncertainty. This is the first work that est
ablishes this connection in a general setting. I will present an efficient
algorithm for solving MAB problems based on this connection and demonstra
te its practical applications.\n\nhttps://cml.ics.uci.edu/seminars/2023-11
-20-yuhua-zhu
X-ALT-DESC;FMTTYPE=text/html:Yuhua Zhu\, Assistant Profe
ssor\, Halicioglu Data Science Institute and Department of Mathematics\, U
niversity of California\, San Diego
Title: Continuous-in-tim
e Limit for Multi-armed Bandit
Abstract: In this talk\, I wi
ll build the connection between Hamilton-Jacobi-Bellman equations (HJB) an
d the multi-armed bandit (MAB) problems. HJB is an important equation in s
olving stochastic optimal control problems. MAB is a widely used paradigm
for studying the exploration-exploitation trade-off in sequential decision
making under uncertainty. This is the first work that establishes this co
nnection in a general setting. I will present an efficient algorithm for s
olving MAB problems based on this connection and demonstrate its practical
applications.
https://cml.ics.uci.edu/seminars/2023-11-20-yuhua-zhu
URL:https://cml.ics.uci.edu/seminars/2023-11-20-yuhua-zhu
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