孙景瑞博士学术报告

发布时间:2018年11月22日 作者:杨东辉   消息来源:    阅读次数:[]
报告题目:  An Introduction to Stochastic Linear-Quadratic Optimal Control Problems
报告时间: 2018年11月23日上午 10:30-11:30
报告地点: 数理楼数学楼145室 (小报告厅)
报告人: 孙景瑞博士
报告摘要: Stochastic linear-quadratic (LQ) control is one of the most fundamental and useful tools in modern engineering and finance and has developed into a major research area in control theory. It concerns linear systems driven by Brownian motions and aims to determine a control process that is optimal in the sense of minimizing the expected value of a quadratic cost criterion. In this talk, I will introduce two basic types of controls: open-loop control and state-feedback control generated by closed-loop strategy. I will discuss their advantages and disadvantages and present characterizations for both open-loop optimal controls and closed-loop optimal strategies. Then I will talk about the connections between open-loop and closed-loop solvabilities and further develop a scheme for finding near optimal state-feedback controls. This is a joint work with Professor Jiongmin Yong.
报告人简介: 孙景瑞博士毕业于中国科学技术大学,师从中科大统计金融系张曙光教授和国际著名数学家雍炯敏教授,其研究方向为随机最优控制理论及其在金融中的应用。孙博士曾先后在美国中佛罗里达大学、香港理工大学、新加坡国立大学学习工作近6年之久,现就职于美国中佛罗里达大学,任访问助理教授至今。自2014年首次发表论文至今,孙景瑞博士已在国际一流期刊,如Siam Journal on Control and Optimization, ESAIM: Control, Optimisation and Calculus of Variations, Stochastic Processes and their Applications,Discrete and Continuous Dynamic Systems A, Applied Mathematics and Optimization,发表10余篇高水平、高质量的学术论文,并与雍炯敏教授合写一部专著《Stochastic Linear-Quadratic Optimal Control Theory》(即将在SpringerBriefs系列发表)。孙景瑞博士目前的科研兴趣涉及随机控制理论 (stochastic optimal control theory),微分对策(differential game),金融数学(mathematical finance)以及正倒向随机微分方程(forward-backward stochastic differential eqaution)等多个领域.



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