大阪大学　数理・データ科学教育研究センター
Center for Mathematical Modeling and Data Science,Osaka University

The Curse of Optimality, and How to Break it?

Xunyu Zhou（Columbia University）

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4. The Curse of Optimality, and How to Break it?

大阪大学 数理・データ科学セミナー 金融・保険セミナーシリーズ 第135回

The Curse of Optimality, and How to Break it?

Xunyu Zhou（Columbia University）

We strive to seek optimality, but often find ourselves trapped in bad “optimal” solutions that are either local optimizers, or are too rigid to leave any room for errors, or are simply based on wrong models or erroneously estimated parameters. A way to break this “curse of optimality” is to engage exploration through randomization. Exploration broadens search space, provides flexibility, and facilitates learning via trial and error. We review some of the latest development in this exploratory approach in the stochastic control setting with continuous time and spaces.