Diversified Learning: Bayesian Control with Multiple Biased Information Sources



    Department of Systems Engineering and Engineering Management

                       The Chinese University of Hong Kong


Date: Wednesday, March 20, 1:30 pm

Venue: Science Centre LG23, The Chinese University of Hong Kong

Title: Diversified Learning: Bayesian Control with Multiple Biased Information Sources

Speaker: Prof. Jussi Keppo, National University of Singapore, NUS Business School



We consider a decision-maker (DM) who can acquire signals from multiple biased information sources to learn about a hidden state prior to making an earning decision. Unbiased signals are also available, but the acquisition cost is high. The DM jointly optimizes his learning (acquisition) and earning decisions to maximize the expected payoffs. This is particularly relevant in healthcare and revenue management, where decisions rely on data from different sources (e.g., combining diagnosis results, aggregating demand forecasts). We develop a Bayesian control framework for such problems, where multi-source learning is modelled by a hierarchical Bayesian network. We identify an optimal acquisition policy that promotes diversification across biased sources to mitigate misinformation risks. We also perform empirical studies using disease prevalence and consumer demand datasets. These studies underscore the vital importance of a diversified information acquisition strategy in complex decision-making scenarios.


Professor Keppo teaches risk management and analytics courses, and directs analytics executive education programs at NUS Business School. He is also the Head of the Department of Analytics & Operations at NUS Business School and Research Director of the Institute of Operations Research and Analytics at NUS. Previously, he taught at the University of Michigan. He has several publications in the top-tier journals such as Journal of Economic Theory, Review of Economic Studies, Management Science, Operations Research, and Journal of Business on topics such as investment analysis, banking regulation, learning, and strategic incentives. His research has been featured also in numerous business and popular publications, including the Wall Street Journal and Fortune. Professor Keppo’s research has been supported by several Asian, European, and US agencies such as the National Science Foundation. He serves on the editorial boards of Management Science, Operations Research, and Journal of Risk. He has consulted several startups, Fortune 100 companies, and financial institutions.

Everyone is welcome to attend the talk!

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Wednesday, March 20, 2024 - 13:30