Ph.D., UC Berkeley IEOR
Hi, I’m Alberto. I’m about to join J.P. Morgan’s ML Centre of Excellence in New York as a Senior Associate in Machine Learning, on the Time Series and Reinforcement Learning team.
Before that, I did my Ph.D. at UC Berkeley IEOR, advised by Prof. Thibaut Mastrolia. My research focused on stochastic optimal control under time and model uncertainty, with applications in financial engineering.
Earlier I did my Bachelor’s and M.Sc. in Mathematical Engineering at Politecnico di Torino, alongside a second M.Sc. in Statistics and Applied Math at Collegio Carlo Alberto. My thesis was advised by Prof. Brandimarte and Prof. Fadda, on tractable approximations of large-scale multi-stage stochastic programs via linear decision rules.
Outside of work you’ll find me on a tennis court or a golf course, or trying to learn something new. If you work in RL or time series, I’d love to hear from you at alberto (dot) gennaro (at) berkeley (dot) edu.
News
Recent activityResearch focus
All projectsWhat I work on
Sequential decision-making under uncertainty: time-series forecasting, reinforcement learning, stochastic control with uncertain horizon, and the numerical methods that make them computable.
- Time-series forecasting and policy learning from sequential data.
- Reinforcement learning for control — including signature-based methods.
- Stochastic control with uncertain horizons; PINN solvers for HJB-type PDEs.
Selected papers
Highlights
Best Paper Finalist (top 6) — SIAM Conference on Financial Mathematics
INFORMS RAS Problem Solving Competition — 2nd place
Outstanding Graduate Student Instructor Award — UC Berkeley
Get in touch
(my name) dot (my last name) (at) (berkeley dot edu)
Best for collaboration, research questions, and CV requests.