Assistant Professor, Halicioglu Data Science Institute and Department of Mathematics, University of California, San Diego
- Date & time
- Monday, November 20, 2023 · 1:00 PM
- Location
- Donald Bren Hall 4011
Abstract
In this talk, I will build the connection between Hamilton-Jacobi-Bellman equations (HJB) and the multi-armed bandit (MAB) problems. HJB is an important equation in solving 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 connection in a general setting. I will present an efficient algorithm for solving MAB problems based on this connection and demonstrate its practical applications.
About the speaker
Yuhua Zhu is an assistant professor at UC San Diego, with a joint appointment in the Halicioğlu Data Science Institute (HDSI) and the Department of Mathematics. Previously, she was a Postdoctoral Fellow at Stanford University. She earned her Ph.D. from UW-Madison in 2019. Her work builds the bridge between differential equations and machine learning.