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Indefinite Stochastic Linear-Quadratic Optimal Control Problem: an Equivalent Cost Functionals Approach
澳门新葡8455最新网站:2016年12月05日 08:18 点击数:

报告人:于志勇

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12月10日星期六14:30-15:15

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报告摘要:

A new approach to study the indefinite stochastic linear-quadratic (LQ) optimal control problems called the “equivalent cost functional method” is introduced. Our analysis is featured by the introduction of some equivalent cost functionals which enable us to establish a bridge between the indefinite and positive-definite stochastic LQ problems. With such bridge, the solvability of the indefinite Hamiltonian system and Riccati equation are obtained. Consequently, the unique optimal control of the corresponding indefinite LQ problem is derived in the open-loop form via the solution of the Hamiltonian system, and also in terms of state feedback via the solution of the Riccati equation.


主讲人概况:

山东大学教授, 2008年于山东大学获得博士学位,师从彭实戈院士。2008-2009年于法国Evry大学做博士后研究, 2015-2016在美国中佛罗里达大学做访问学者。 主要从事随机方程控制与金融数学的研究工作。主持国家自然科学基金面上项目。在SIAM J. Control Optim., Automatica等杂志发表论文若干篇。

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