Document Type

Seminar

Date

5-16-2012

Venue

SEK107, 1/F , Simon & Eleanor Kwok Building

Time

10:30 – 12:00

Lanuage

English

About the Seminar

We introduce the concept of multimodularity into the class of stochastic dynamic programs in which state and decision variables are economic substitutes. We discuss its properties and its relationships with supermodularity, converxity, and L# convexity in real space. We show that multimodularity is preserved under minimization and multimodularity leads to monotone optimal policies with bounded sensitivity. Several examples from inventory management are used to illustrate its applications in stochastic dynamic programs.

Speaker Biography

Prof Li is an Associate Professor at the HKUST Business School. His current research focuses on a) stochastic and dynamic inventory problems, especially those involving

Large state space; b) intertemporal choice when decision makers are inconsistent over time. He received his degrees from University of British Columbia Fudan, and Tsinghua.

Recommended Citation

Li, Q. (2012, May). Multimodularity and structural properties of stochastic dynamic programs. Academic seminar presented at Lingnan University, Hong Kong.

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