I am working on two closely related topics with professor Archis Ghate.

1. Model online auctions such as sequential auctions and continuous-time auctions on Priceline, which are important selling channels and revenue management tools for firms in nowadays E-business environment. We build dynamic stochastic programs and study the structure of optimal policies and values both analytically and computationally.

2. Develop a game heuristic algorithm to solve Markov decision problems such as dynamic resource allocation and production planning and dynamic portfolio optimization, which when solved using traditional methods suffer from the "curse of dimensionality". We reduce the action space and therefore computation burden using a fictitious play procedure and achieve an approximated solution.