Si avvisa che il giorno martedì 1 ottobre alle ore 16 presso l’Università di Milano- Bicocca (via degli Arcimboldi 8 - edificio U7, quarto piano- aula 4026) si terrà il seguente seminario:
Speaker: Samuel Cohen (University of Oxford)
Titolo: “Learning and filtering in an uncertain setting”
Abstract: Optimal filtering is a classical method for inferring the distribution of a hidden process from data. As an input it requires a probability model, which needs to be separately estimated. In this talk, we will look at what happens when we include the uncertainty of this estimation into our filtering problem, using a nonlinear expectation approach. A key difficulty is that one obtains a pathwise optimal control problem, which requires some care in analysis. We will see how we can ensure this problem remains well posed, and demonstrate the gains in performance from using this approach.
Tutti gli interessati sono invitati a partecipare.
Un saluto cordiale,
Emanuela
******************************************************************************************* Emanuela Rosazza Gianin Dipartimento di Statistica e Metodi Quantitativi Università di Milano-Bicocca Edificio U7 – 4° Piano Via Bicocca degli Arcimboldi, 8 20126 Milano
Tel. 02 64483208 e-mail: emanuela.rosazza1@unimib.it
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