Science, Engineering and Food Science
School of Mathematical Sciences Colloquium
Prof Juri Hinz (University of Technology) gives a lecture on stochastic switching problems as they regularly arise in a wide range of applications, for instance in decision making, engineering, finances, manufacturing, and power industry.
Title: Solving Stochastic Switching Problems -- Novel Methods in Applications Speaker: Prof. Juri Hinz (University of Technology Sydney) Abstract: My lecture introduces stochastic switching problems as they regularly arise in a wide range of applications, for instance in decision making, engineering, finances, manufacturing, and power industry. These problems are usually formulated within the mathematical framework of Markov decision theory and focus on the optimal control of random systems whose operation mode must be dynamically adjusted. Solving optimal control problems of such type is frequently required in practice but is usually notoriously challenging from the computational viewpoint. An aim of this talk is to present a family of novel methods for efficient numerical solutions of switching problems whose state process follows linear dynamics. Furthermore, I discuss modern duality techniques to assess the quality of the obtained approximate solutions. Based on the recent implementation of these concepts within a package in the statistical language R, I illustrate these techniques on diverse applications, such as optimal order liquidation, dynamic asset allocation, decision-making in mining operations, and optimal control of electrical battery storage. About the Speaker: Juri Hinz's research interests are in the areas of stochastic modelling, financial mathematics, optimal control and time series analysis. In 2007 he received, together with his research group, the Prize for Excellence in Practice, which is the highest award of the Association of the European Operations Research Societies. After completing his PhD in Mathematics in 1997 at the University of Tübingen, Juri Hinz remained there from 1997 to 2003 as an Assistant Professor. From 2003 to 2007 he was a Senior Scientist at the ETH Zürich, from where he moved on to Associate Professorships, first at the National University of Singapore (2007-2012), and since 2012 at the University of Technology Sydney. Moreover he served as Head of the Center for Integral Logistics at the Zurich University of Applied Science between 2010 and 2011. He has published more than 30 papers in top-ranked peer-reviewed journals including Bernoulli, SIAM Review and Management Science. Moreover he was the project leader and principal investigator of more than 10 funded research projects.
|Category:||Public Lectures and Seminars: Science Engineering and Food Science|
|Time:||4pm - 5pm|
|Location:||UCC, Western Gateway Building, Room G.09|
|Target Audience:||This lecture is directed to a general mathematical audience and all are welcome to attend.|
|Admission Price: €||Free|
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