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Pointwise second-order necessary conditions for stochastic optimal controls
澳门新葡8455最新网站:2014年11月03日 00:00 点击数:

报告人:张旭

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:2014年11月06日星期四10:00-11:00

邀请人:

报告摘要:

In this talk, I will present my joint-work (with Haisen Zhang) on second-order necessary conditions for the stochastic optimal control problem, in the case that the control variable enters into both the drift and the diffusion terms. When the control region is convex, a pointwise second-order necessary condition for stochastic singular optimal controls in the classical sense is established; while for the general case, we derive a pointwise second-order necessary condition for stochastic singular optimal controls in the sense of Pontryagin-type maximum principle. Unlike the classical first-order necessary optimality condition, it is found that the corrected term of the second-order adjoint equation plays a crucial role in the formulation of the second-order necessary optimality conditions for both the convex and non-convex setting.

主讲人概况:

张旭,四川大学教授,国家杰出青年科学基金获得者,教育部长江学者特聘教授。曾获教育部自然科学一等奖,中国自动化学会“关肇直奖”,国家自然科学二等奖。曾应邀在国际数学家大会作45分钟学术报告

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