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
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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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