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Title: Model-free and Risk-aware Sequential Decision Making
Speaker: Dr. Wenjie Huang, Research Assistant Professor, IDS & Department of Industrial and Manufacturing Systems Engineering, HKU
Date: Mar 6, 2023
Time: 11:00am – 12:00pm

Mode: Hybrid. Seats for on-site participants are limited. A confirmation email will be sent to participants who have successfully registered.

Seminar recording:


“Uncertainties” are ubiquitous in many operation management problems e.g., (multi-stage) inventory control where uncertain demand may lead to extremely high inventory cost. Risk-aware ordering policy thus offers strong reliability guarantee against extremely high cost. We develop a “model-free” method with simple but ingenious structure that could simultaneously estimate decision maker’s risk preference and update the optimal policy. The almost sure convergence and time complexity analysis are derived by revisiting stochastic approximation theory. Numerical studies on inventory control problem valid our theoretical findings. We also introduce several extensions from the basic method and finally point out several future research directions.

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Dr. Wenjie Huang
Research Assistant Professor @ HKU IDS & Dept of IMSE
Dr. Wenjie Huang is Research Assistant Professor in HKU-IDS, co-hosted by Department of Industrial and Manufacturing Systems Engineering, The University of Hong Kong. He received Ph.D. degree from the Department of Industrial Systems Engineering and Management, National University of Singapore (NUS) in 2019 and B.S. degree in the Department of Industrial Engineering from Shanghai Jiao Tong University, China in 2014. Prior to joining HKU, he held joint postdoc positions at School of Data Science, The Chinese University of Hong Kong, Shenzhen and Group for Research in Decision Analysis (GERAD), Quebec, Canada. His research interests focus on theory and applications of decision-making under uncertainty, data-driven decision-making, and sequential decision-making. His research has been published in flagship journals and conferences including: SIAM Journal on Optimization, IEEE Transactions on Automatic Control, IISE Transactions, Energy, AAAI and IEEE CDC. His research projects have been supported by NSFC research funds (Young Scientist Fund, General Program and Original Exploration Program), NRF Singapore and NUS Young Investigator Award.

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