The 326th Lecture on Management and Economics of Our Business School given by Associate Professor Chen Nan from The Chinese University of Hong Kong

On the afternoon of May 21st, 2018, the 326th Lecture on Management and Economics of Our Business School –“A Learning Method based on Interval Estimation for Stochastic Dynamic Programming Problem and its Application” was successfully held at N122. This lecture was presided over by Professor Li Zhongfei from our school and given by Associate Professor Chen Nan from Chinese University of Hong Kong. Associate Professor Chen Nan also had presented his latest research results for the teachers and students of our school.

 Photo 1 Professor Li Zhongfei was introducing the lecture guest to the teachers and students 

Stochastic dynamic problem had been widely used in Economics, Finance and Management, but in the high dimensional case, the solution to this problem was generally faced with “Dimensional Curse”. To solve this problem, scholars generally tended to look for some approximate heuristic algorithms to get the efficiency in numerical computation. 

This naturally produced the following two common problems: 1. How to evaluate the accuracy of an approximate heuristic algorithm? 2. If we realized that the algorithm didn’t perform well, was there a widely applicable way to improve its performance? To answer these two questions, Professor Chen Nan and his research team put forward a value function iteration method based on information relaxation technology to solve stochastic dynamic programming problem in this academic report. The advantage of this method was that it could evaluate the performance of a given heuristic algorithm and improve the performance of this algorithm through iterative steps. He also mentioned the possible practical application of the scientific research results in the reporting process.

At the end of the lecture, Associate Professor Chen Nan answered the questions of the teachers and students attending the conference, interacted with students, and shared his own research experiences in this field.

 Photo 2 Associate Professor Chen Nan was presenting the research thinking of stochastic dynamic programming for teachers and students 

Lecture guest profile:

Dr. Chen Nan is the associate professor and doctoral supervisor of the Department of Systems Engineering and Engineering Management, Chinese University of Hong Kong, the doctor of the Department of Industrial Engineering & Operations Research, Columbia University, America, and the master and bachelor of the School of Mathematical Sciences, Peking University. His research field is financial technology and financial engineering. His research results are published in international top journals in the field of Finance and Financial Engineering, including Review of Financial Studies, Operations Research, Mathematical Finance, Mathematics of Operations Research, Finance and Stochastics, and Journal of Economic Dynamics and Control, etc. Associate Professor Chen Nan is also the director of the Engineering Bachelor Degree Program of Financial Technology, Chinese University of Hong Kong (This is the first and only program in Hong Kong that provides comprehensive undergraduate education in the field of financial technology), the director of the Master Program of Financial Engineering, Chinese University of Hong Kong (Shenzhen), and the director of the Laboratory for Financial Engineering, Chinese University of Hong Kong.