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Switching Diffusions and Applications
澳门新葡8455最新网站:2016年07月07日 00:00 点击数:

报告人:殷刚

报告地点:澳门新葡8455最新网站615室

报告澳门新葡8455最新网站:2016年07月21日星期四16:20-17:20

邀请人:

报告摘要:

Many problems in control and optimization require the treatment of systems in which continuous dynamics and discrete events coexist, which is the focus of this talk. We present a survey of some of our recent work on such systems. In the setup, the discrete event is given by a random process with a finite state space, and the continuous component is the solution of a stochastic differential equation. Seemingly similar to diffusions, the processes have a number of salient features distinctly different from diffusion processes. After providing motivational examples arising from wireless communications, identification, finance, singular perturbed Markovian systems, manufacturing, and consensus controls, we present necessary and sufficient conditions for the existence of unique invariant measure, stability, stabilization, and numerical solutions of control and game problems.

主讲人概况:

殷刚教授是随机优化和随机控制的专家,Wayne州立大学数学系教授。2015年当选SIAM Fellow, 2002年当选IEEE Fellow,2001年获得Charles H. Gershenson Distinguished Faculty Fellowships。自1989年至今,连续获得美国国家科学基金会基金资助。任2011年SIAM举办的控制论及其应用组织委员会主席。在随机控制、应用概率和随机过程、随机近似与优化、奇异摄动、随机系统的理论和数值解等领域都有丰富的研究成果。发表论文300余篇,出版6本专著,现任SIAM Journal on Control and Optimization等多个杂志副主编和编委。曾任IEEE Transactions on Automatic Control等杂志副主编。曾在多个国际学术会议上做邀请报告。

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