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X-WR-CALDESC:FAU DCN-AvH. Chair for Dynamics, Control, Machine Learning and Numerics -Alexander von Humboldt Professorship
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DTSTART;TZID=Europe/Berlin:20220711T110000
DTEND;TZID=Europe/Berlin:20220711T114500
DTSTAMP:20220706T142437Z
CREATED:20220706
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SUMMARY:Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
DESCRIPTION:Next Monday, July 11st, 2022 we have a talk by Prof. Dr. Jiongmin Yong, visiting scientist from the University of Central Florida:\nEvent: Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems\nOrganized by: FAU DCN-AvH, Chair for Dynamics, Control and Numerics – Alexander von Humboldt Professorship at FAU, Friedrich-Alexander-Universität Erlangen-Nürnberg (Germany)\nSpeaker: Prof. Dr. Jiongmin Yong\nAffiliation: Department of Mathematics, University of Central Florida (USA)\nWHERE?\nRoom 01.255-128 – Besprechungsraum\nFriedrich-Alexander-Universität Erlangen-Nürnberg\nDepartment Informatik (next to Übungraum 01.254 of Department Mathematik.)\nCauerstraße 11, 91058 Erlangen\nGPS-Koord. Raum:    49.573535N, 11.030330E\nAbstract. For deterministic optimal control problems in very large time horizons (either finite dimensional or infinite dimensional), under proper conditions, the optimal pair will stay near a solution of a proper static optimization problem. Such a phenomenon is called the “turnpike” property. The proper static optimization problem usually is the one with the objective function being the running cost rate function and with the constraint being the equilibria of the vector field of the state equation. However, for stochastic problems, mimicking the idea of the deterministic problems will lead to some incorrect conclusions. In this talk, we will look at stochastic linear-quadratic optimal control problem in large duration. We will correctly formulate the proper static optimization problem and establish the turnpike properties of the corresponding stochastic linear-quadratic problem.\n|| Photo credits: University of Central Florida\n
URL:https://dcn.nat.fau.eu/events/turnpike-properties-for-stochastic-linear-quadratic-optimal-control-problems/
ORGANIZER;CN=FAU DCN-AvH:MAILTO:
CATEGORIES:FAU DCN-AvH Seminar,Seminar/Talk
LOCATION:Friedrich-Alexander-Universität Erlangen-Nürnberg
ATTACH;FMTTYPE=image/png:https://dcn.nat.fau.eu/wp-content/uploads/FAUDCNAvHseminarVisitor-jYong-11jul2022.png
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