MIT-Harvard CINCS (Communications Information Networks Circuits and Signals) / Hamilton Institute Seminar
Speaker: Professor Sean Meyn, University of Florida
Title: "Accelerating Optimization and Reinforcement Learning with Quasi-Stochastic Approximation"
Abstract: The ODE method has been a workhorse for algorithm design and analysis since the introduction of the stochastic approximation. It is now understood that convergence theory amounts to establishing robustness of Euler approximations for ODEs, while theory of rates of convergence requires finer analysis. This talk concerns a parallel theory for quasi-stochastic approximation, based on algorithms in which the "noise" is based on deterministic signals. Part of the motivation is pedagogical: theory for convergence and convergence rates is greatly simplified. The other major motivation is practical: the speed of convergence is remarkably fast in applications to gradient-free optimization and to reinforcement learning. The talk will survey recent theory and applications.
Bio: Sean Meyn received the B.A. degree in mathematics from the University of California, Los Angeles (UCLA), in 1982 and the Ph.D. degree in electrical engineering from McGill University, Canada, in 1987 (with Prof. P. Caines, McGill University). He is now Professor and Robert C. Pittman Eminent Scholar Chair in the Department of Electrical and Computer Engineering at the University of Florida, the director of the Laboratory for Cognition & Control, and director of the Florida Institute for Sustainable Energy. His academic research interests include theory and applications of decision and control, stochastic processes, and optimization. He has received many awards for his research on these topics, and is a fellow of the IEEE.
He has held visiting positions at universities all over the world, including the Indian Institute of Science, Bangalore during 1997-1998 where he was a Fulbright Research Scholar. During his latest sabbatical during the 2006-2007 academic year he was a visiting professor at MIT and United Technologies Research Center (UTRC).
His award-winning 1993 monograph with Richard Tweedie, Markov Chains and Stochastic Stability, has been cited thousands of times in journals from a range of fields. The latest version is published in the Cambridge Mathematical Library.
For the past ten years his applied research has focused on engineering, markets, and policy in energy systems. He regularly engages in industry, government, and academic panels on these topics, and hosts an annual workshop at the University of Florida.