On behalf of the Scientific Committee of the de Finetti
Risk Seminars, we are glad to invite you to participate at the following
Lecture
Samuel Cohen
University of Oxford
Title: Multi-armed bandits with uncertainty
Abstract:
Making good decisions based on estimates is difficult, but of clear
importance in many applications. This is particularly the case when
the
decisions made will affect the information available in the future.
Formally, this
means that the filtration of our problem is not fixed in advance, but
depends on
the control used.
We will consider the 'simplest' problem of this type, a multi-armed
bandit
problem, while taking account of uncertainty aversion. We will see that
an
extension of the classical Gittins' index approach is possible in this
framework,
despite many dynamic consistency issues.
LOCATION:
The seminar will be held on Wednesday, May 28, at
18.00, Aula di Rappresentanza, Dept. of Mathematics, Milano University, Via C.
Saldini 50, Milano. A light reception will take place at 17.45.
Scientific Committee
Prof. Simone Cerreia-Voglio (Univ.
Bocconi)
Prof. Marco Frittelli (Univ.
degli Studi di Milano)
Prof. Fabio
Maccheroni (Univ. Bocconi)
Prof. Marco Maggis (Univ. degli Studi di Milano)
Prof. Massimo Marinacci (Univ. Bocconi)
Prof. Emanuela Rosazza Gianin (Univ.
Milano-Bicocca)
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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
Fax. 02
64483105
e-mail:
emanuela.rosazza1@unimib.it
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