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Robust Sequential Decision-Making in Modern Data-Driven Systems

Speaker Name: 
Thodoris Lykouris
Speaker Title: 
Postdoctoral Researcher
Speaker Organization: 
Microsoft Research, NYC
Start Time: 
Monday, March 8, 2021 - 11:00am
End Time: 
Monday, March 8, 2021 - 12:15pm
Via Zoom Link
John Musacchio


Modern online marketplaces require decisions to be made sequentially. These decisions do not only affect the system's performance on the current customer but may also have long-lasting effects, giving rise to a sequence of novel challenges. 
In this talk, I will focus on one example of such challenges: the need for robustness to data corruption and other model misspecifications. Classical machine learning approaches rely on collecting a batch of data and fitting a model to it -- this assumes that customers' behavior is identically and independently distributed. However, in practice, the behavioral models assumed are often slightly misspecified, e.g., due to the strategic behavior of participating entities. Motivated by this practical concern, I will focus on two canonical revenue management settings (online advertising and contextual pricing) and will introduce an algorithmic framework for achieving robustness to such model misspecifications. 
I will end the talk by discussing my broader research agenda on dealing with other practical and societal challenges that arise in sequential decision-making settings where data and decisions are inherently intertwined.


Thodoris Lykouris is a postdoctoral researcher in the machine learning group of Microsoft Research NYC. His research focus is on data-driven sequential decision-making and spans across the disciplines of theoretical computer science, machine learning, operations research, and economics. He completed his Ph.D. in 2019 from Cornell University where he was advised by Éva Tardos. His dissertation was selected as a finalist in the Dantzig dissertation award competition. He was also a finalist in the INFORMS Nicholson and Applied Probability Society best student paper competitions. Thodoris is the recipient of a Google Ph.D. Fellowship and a Cornell University Fellowship.


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