Structural Results in Partially Observed Markov Decision Processes

Vikram Krishnamurthy
University of British Columbia, Vancouver, Canada

Wednesday, November 10, 2010 at 2pm
Engr IV Maxwell Room 57-124

Abstract

This talk focuses on structural results in stochastic control -- such results aim to sufficient conditions on the model parameters so that the optimal policy is monotone in the underlying state of the dynamical sstem. This talk starts with illustrating structural results for fully observed Markov decision processes. Then we consider partially observed Markov decision processes with applications to stopping time problems. The structure of the stopping set is characterized using stochastic orders on the space of Bayesian distributions. An example in social learning is also given. The nature of this talk is technical -- in the sense that most of the talk will focus on the proof of structural results rather than applications.

Biography

Vikram Krishnamurthy received his bachelor's degree in Electrical Engineering from the University of Auckland, New Zealand in 1988 (with Honors I), and doctoral degree from the Australian National University, Canberra in 1992. Vikram Krishnamurthy is currently a Professor and Canada Research Chair in Signal Processing at the Department of Electrical and Computer Engineering, University of British Columbia, Vancouver, Canada. He also holds a BC Advanced Systems Institute Fellowship. His research interests are in Bayesian signal processing, game theory and stochastic control -- and their applications in sensor networks, wireless communications, and large scale biomolecular simulation.

Until 2002, Vikram was a chaired professor at the Department of Electrical and Electronic Engineering, University of Melbourne , Australia where he also served as deputy head of department. Dr Krishnamurthy has been elected Fellow of the IEEE , awarded the Tier 1 Canada Research Chair awarded the Australian Research Council Professorial Fellowship in 2001, the Australian Telecommunications Research Board Outstanding Young Investigator Medal in 1996 and the Queen Elizabeth II Fellowship in 1994 from the Australian Research Council.