The next Research Seminar of Economics and Finance Dept. is scheduled for Wednesday, October 28th , from 2.30 p.m. to 4.00 p.m., room 205/a, viale Romania.
Our guest speaker will be Prof. Alessandro Arlotto (Duke University), who will held a lecture titled “Markov Decision Problems Where Means Bound Variances”
Abstract We identify a rich class of finite-horizon Markov decision problems (MDPs) for which the variance of the optimal total reward can be bounded by a simple linear function of its expected value. The class is characterized by three natural properties: reward nonnegativity and boundedness, existence of a do-nothing action, and optimal action monotonicity. These properties are commonly present and typically easy to check. Implications of the class properties and of the variance bound are illustrated by examples of MDPs from operations research, operations management, financial engineering, and combinatorial optimization.
Best regards,
Dipartimento di Economia e Finanza
Viale Romania, 32 - 00197 Roma economiaefinanza@luiss.it t +39 06 85225550 f +39 06 85225985