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SUMMARY:Numerically Solving Diffusion Control and Queueing Control Problem
 s Based on Neural Networks - Nian Si (Hong Kong University of Science and 
 Technology)
DTSTART:20240806T090000Z
DTEND:20240806T100000Z
UID:TALK215662@talks.cam.ac.uk
DESCRIPTION:Motivated by applications in queueing theory\, we consider a c
 lass of singular stochastic control problems whose state space is the d-di
 mensional positive orthant. The original problem is approximated by a drif
 t control problem\, to which we develop and illustrate a simulation-based 
 computational method that relies heavily on deep neural network technology
 . Furthermore\, we develop and implement continuous-review polices that ef
 fectively solve the pre-limit queueing control problems. To show that near
 ly optimal solutions are obtainable using those methods\, we present compu
 tational results for a variety of queueing network examples that have appe
 ared previously in the literature. This talk is based on joint works with 
 Michael Harrison from Stanford university\, and Baris Ata from the Univers
 ity of Chicago.
LOCATION:External
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