|Date: Friday, April 05, 2019
Location: 1084 East Hall (3:00 PM to 4:00 PM)
Title: PDE approaches to two problems from prediction with expert advice
Abstract: This talk involves two problems from online machine learning, specifically 'prediction with expert advice'. The two problems are a deterministic and a probabilistic instance of repeated two-person games; in both cases an agent uses 'expert advice' to invest optimally, in a worst case setting, against an adversarial market. The methods used are from viscosity solutions of PDEs and Optimal Control Theory.
This is work in collaboration with Robert Kohn (NYU Courant) and with Jeffrey Calder (University of Minnesota).
Speaker: Nadia Drenska
Institution: University of Minnesota
Event Organizer: Ian Tobasco and Selim Esedoglu