Dr. Nian Si | Numerically Solving Diffusion Control and Queueing Control Problems

Speaker: Dr Nian Si (Hong Kong University of Science and Technology)
Date: 6th Aug 2024 - 10:00 to 11:00
Venue: External
Title: Numerically Solving Diffusion Control and Queueing Control Problems Based on Neural Networks
Event: (SSDW02) Stochastic reflection
Abstract: Motivated by applications in queueing theory, we consider a class of singular stochastic control problems whose state space is the d-dimensional positive orthant. The original problem is approximated by a drift 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 effectively solve the pre-limit queueing control problems. To show that nearly optimal solutions are obtainable using those methods, we present computational results for a variety of queueing network examples that have appeared previously in the literature. This talk is based on joint works with Michael Harrison from Stanford university, and Baris Ata from the University of Chicago.

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The Isaac Newton Institute is a national and international visitor research institute. It runs research programmes on selected themes in mathematics and the mathematical sciences with applications over a wide range of science and technology. It attracts leading mathematical scientists from the UK and overseas to interact in research over an extended period.