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UID:www.tcs.tifr.res.in/event/316
DTSTAMP:20230914T125919Z
SUMMARY:Optimizing Pathwise
DESCRIPTION:Speaker: Ankush  Agarwal\n\nAbstract: \nIn this talk\, I'll dis
 cuss the pathwise optimization (PO) method for stochastic control problem.
  We will first see how the method produces upper and lower bounds on the o
 ptimal value of a high-dimensional optimal stopping problem. The PO method
 s builds on a dual characterization of optimal stopping problems as optimi
 zation problems over the space of martingales. In the second part of the t
 alk\, I'll discuss how we can extend the PO method to solve general stocha
 stic control problem.\n\nReference: Pathwise optimization for optimal stop
 ping problems by V. Desai\, V. Farias\, C. Moallemi\n
URL:https://www.tcs.tifr.res.in/web/events/316
DTSTART;TZID=Asia/Kolkata:20121102T150000
DTEND;TZID=Asia/Kolkata:20121102T163000
LOCATION:A-212 (STCS Seminar Room)
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