<北京大学数量经济与数理金融教育部重点实验室>学术报告——Two Game Theoretic Approaches to Single- and Multi-Agent Reinforcement Learning
Abstract:
Reinforcement learning (RL) is an active research area of machine learning in which intelligent agents learn optimal sequential decisions through the interactions with the stochastic environment and among themselves to maximize their cumulative rewards. This talk consists of two subtopics in this area. Leveraging on the duality theory of stochastic control, we propose in the first part to formulate the single-agent RL problem into a zero-sum game. An adversarial RL algorithm can thereby be constructed in which one fictitious adversary is introduce to penalize the overestimation in policy learning. Our investigation shows that the new approach demonstrates a great potential in obtaining robust policies for RL problems. The second part focuses on multi-agent RL. Inspired by the population game literature from economics, we propose a two time-scaled evolutionary game theoretic approach to solving the Nash equilibria for MARL problems. The new approach is easy to implement and numerically efficient. It can greatly relax the demanding technical conditions imposed by the other approaches.
Bio:
Nan Chen is Professor of Systems Engineering and Engineering Management at the Chinese University of Hong Kong. His research interests are quantitative finance, Monte Carlo simulation, and applied probability. Prof. Chen received his Ph.D. in operations research from Columbia University in 2006, and M.S. and B.S. in probability and statistics from Peking University, Beijing, China in 2001 and 1998, respectively. He is now an associate editor of Mathematical Finance, International Review of Finance, Digital Finance and has chaired/been a member of the program committees of several international conferences on quantitative finance and Monte Carlo simulation.
Prof. Chen now serves as director of the Bachelor of Engineering Program in Financial Technology at CUHK. The program is the first of its kind in Hong Kong to offer comprehensive undergraduate education in FinTech. He is also director of Master of Science Program in Financial Engineering at CUHK Shenzhen. For public service, Prof. Chen is now a member of the Payment Systems and Stored Value Facilities Appeals Tribunal in Hong Kong. He is also a member of Engineering Panel of the Research Grants Council (RGC), Hong Kong.
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