TITLE: Information Relaxations and Duality in Stochastic Dynamic Programs


SPEAKER: David B. Brown Assistant Professor in Decision Sciences
Fuqua School of Business, Duke University.


DATE / TIME: Friday, February 8, 2008 / 2:30 - 3:45 p.m.


LOCATION: Room 453 Mohler Lab, 200 W. Packer Avenue


ABSTRACT: We describe a dual approach to stochastic dynamic programming: we relax the constraint that the chosen policy must be temporally feasible and impose a penalty that punishes violations of temporal feasibility. We describe the theory underlying this dual approach and demonstrate its use in inventory models, options pricing models, and sequential exploration.

Joint work with Jim Smith and Peng Sun (Fuqua).


BIOGRAPHY: David B. Brown is an assistant professor in decision sciences at the Fuqua School of Business at Duke University. His research interests include optimization under uncertainty, models of risk, statistical learning, and applications in finance.