Colloquium/Seminar

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Event(s) on March 2016


  • Tuesday, 8th March, 2016

    Title: Dynamic Programming for Stochastic Control Problems with Expectation Constraints
    Speaker: Dr. ZHOU Chao, Department of Mathematics, National University of Singapore, Singapore
    Time/Place: 17:00  -  18:00
    FSC1015, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: We prove a dynamic programming principle for stochastic optimal control problems with expectation constraints by measurable selection approach. Since state constraints problems, quantile hedging and efficient hedging can all be reformulated into expectation constraints, we apply our results to prove the corresponding dynamic programming principle for these three classes of stochastic control problems in a continuous but non-Markovian setting. This is a joint work with Yulong ZHOU.


  • Wednesday, 9th March, 2016

    Title: Imitative Dynamics for Games with Continuous Strategy Space
    Speaker: Dr. CHEUNG Man Wah, School of Economics, Shanghai University of Finance and Economics, China
    Time/Place: 11:30  -  12:30
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: This paper studies imitative dynamics for population games with continuous strategy space. We define imitative dynamics---which include the replicator dynamic as a special case---as evolutionary dynamics that satisfy the imitative property and payoff monotonicity. Our definition of payoff monotonicity is different from the one defined in Oechssler and Riedel (2002). We find that our definition is better at capturing the notion of payoff monotonicity for the finite strategy case (cf. Weibull (1995)), and Oechssler and Riedel (2002)'s definition is closer to aggregate monotonicity in the sense of Samuelson and Zhang (1992). We provide sufficient conditions for imitative dynamics and general evolutionary dynamics to be well-defined. Finally, we extend general properties of imitative dynamics as well as global convergence and local stability results in potential games from finite strategy settings to continuous strategy settings.


  • Tuesday, 15th March, 2016

    Title: IoC Chair Professor Inaugural Lecture: The Mathematics of Networks
    Speaker: Prof. Michael Ng, Department of Mathematics, Hong Kong Baptist University, Hong Kong
    Time/Place: 16:30  -  17:30 (Preceded by Reception at 4:00pm)
    AAB201, Academic and Administration Buildng, Baptist University Road Campus, Hong Kong Baptist University


  • Monday, 21st March, 2016

    Title: Model Reduction for Edge-Weighted Personalized PageRank
    Speaker: Prof. David Bindel, Cornell University, USA
    Time/Place: 16:30  -  17:30
    FSC1217, Fong Shu Chuen Library, HSH Campus, Hong Kong Baptist University
    Abstract: I describe work on model reduction for fast computation of PageRank for graphs in which the edge weights depend on parameters. For an example learning-to-rank application, our approach is nearly five orders of magnitude faster than the standard approach. This speed improvement enables interactive computation of a class of ranking results that previously could only be computed offline. While our approach draws on ideas common in model reduction for large physical simulations, the cost and accuracy tradeoffs for the edge-weighted PageRank problem are different, as we will describe. This is joint work with Wenlei Xie, Johannes Gehrke, and Al Demers.