Monte Carlo Planning and Applications - Oleg Szehr
10 December 2020 - 10 December 2020
Multi-period planning problems have experienced an increasing industry interest reflected within IDSIA's project pipeline. On the research side, this demand is complemented by the emergence of strong Monte Carlo search techniques over the recent years. The resulting decision-making agents have demonstrated super-human performance in complicated toy scenarios, such as game-play of Hex, Go, Chess, StarCraft, ... This talk introduces Monte Carlo planning theory and applies it to two planning problems to serve industry demand: The hedging of financial derivative contracts (with UBS) and military decision making (with ArmaSuisse).

The speaker

Oleg Szehr studied at ETH Zurich and followed a scholarship of the Bavarian academy of sciences to conduct a PhD in Mathematics at the MPQ Garching.
After a PostDoc as a Mathematician at the University of Cambridge, OS was working for several years as an Investment Banking Quant. In this role he was responsible for the deployment and risk-monitoring of statistical models for investment firms like Aareal, Allianz GI, Credit Suisse, SEB,... OS has also supervised a Quant Developer/ Programmer team at Credit Suisse. OS joined IDSIA as a researcher in 2019.