Course manual 2020/2021

Course content

Course goal: The goal of this course is to gain working knowledge of standard concepts and techniques in multi-armed bandit theory and to be familiar with typical applications in operations research.

Description: In this course we will study data-driven decision problems: optimization problems for which the objective function (i.e. the relation between decision and outcome) is unknown upfront, and has to be learned from accumulating data. These problems have an intrinsic tension between statistical goals and optimization goals: learning how the system behaves (the statistical goal) is accelerated by experimenting with different actions, while for taking good decisions (the optimization goal), one would like to limit experimentation and use estimated optimal decisions. We will study this `exploration-exploitation' trade-off for so-called `multi-armed bandit problems', the paradigmatic framework for dynamic optimization problems with incomplete information. We will discuss standard building blocks of the state-of-the-art theory, and we will discuss applications such as dynamic pricing and assortment optimization problems.

Objectives

The goal of this course is to gain working knowledge of all the standard concepts and techniques in multi-armed bandit theory, and to be familiar with typical applications.

Learning activities

Activity	Hours
Hoorcollege	28
Tentamen	3
Self study	137
Total	168	(6 EC x 28 uur)

Attendance

This programme does not have requirements concerning attendance (TER-B).

Assessment

Item and weight	Details
Final grade
1 (100%) Tentamen

Assignments

The final grade is determined based on home work assignments and an exam (oral or written, depending on # students)

More details will be communicated via Canvas

Fraud and plagiarism

The 'Regulations governing fraud and plagiarism for UvA students' applies to this course. This will be monitored carefully. Upon suspicion of fraud or plagiarism the Examinations Board of the programme will be informed. For the 'Regulations governing fraud and plagiarism for UvA students' see: www.student.uva.nl

Course structure

Weeknummer	Onderwerpen	Studiestof
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Owner	Master Mathematics
Coordinator	dr. A.V. den Boer
Part of	Master Mathematics, Master Stochastics and Financial Mathematics, Master Stochastics and Financial Mathematics, specialization (Applied) Probability and Decision Making, year 1 Master Mathematics, specialization Stochastics , year 1 Master Mathematics, specialization Algebra and Geometry, year 1 Master Mathematics, specialization Analysis and Dynamical Systems, year 1 Master Mathematics, specialization Mathematical Physics, year 1 Master Stochastics and Financial Mathematics, specialization Data Analysis and Statistics, year 1 Master Stochastics and Financial Mathematics, specialization Financial Mathematics, year 1

Data-driven Decision Making in Operations Research