Broad Area Colloquium For AI-Geometry-Graphics-Robotics-Vision
(CS 528)

Approximate Dynamic Programming and Applications

Ben Van Roy, Stanford Management Science and Engineering
January 31, 2005, 4:15PM
TCSeq 200
http://graphics.stanford.edu/ba-colloquium/

Abstract

I will present recent work involving a linear programming approach to approximate dynamic programming and discuss the use of this approach in studying two problems. The first involves scheduling in an Internet crossbar switch. The second involves portfolio risk management.

About the Speaker

Benjamin Van Roy has been at Stanford University since 1998. He is currently an Assistant Professor of Management Science and Engineering, Electrical Engineering, and, by courtesy, Computer Science. His recent research interests include stochastic control, machine learning, economics, finance, and information technology. In 2000, he co-founded Enuvis, a provider of high-sensitivity GPS receiver technology, which is now part of SiRF Technology. He served as Enuvis' Vice President of Research and Development until 2002. In 1997, he worked as an Associate in the Equity Derivatives Group at Morgan Stanley. From 1993 through 1997, he was a Research Scientist at the Unica Corporation, a provider of enterprise marketing management solutions. He received the SB (1993) in Computer Science and Engineering and the SM (1995) and PhD (1998) in Electrical Engineering and Computer Science, all from MIT. He is a member of INFORMS and IEEE. He serves on the editorial boards of Machine Learning and Mathematics of Operations Research. He has been a recipient of the MIT George C. Newton Undergraduate Laboratory Project Award, the MIT Morris J. Levin Master's Thesis Award, the MIT George M. Sprowls PhD Thesis Award, the NSF CAREER Award, and the Stanford Tau Beta Pi Award for Excellence in Undergraduate Teaching.

Contact: bac-coordinators@cs.stanford.edu

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