![]() |
![]() |
University of Birmingham > Talks@bham > Data Science and Computational Statistics Seminar > On some explicitly solvable optimal stochastic control problems
On some explicitly solvable optimal stochastic control problemsAdd to your list(s) Download to your calendar using vCal
If you have a question about this talk, please contact Hong Duong. Three well-known optimal control problems for linear stochastic systems driven by a Brownian motion are: the linear-quadratic control, the risk-sensitive control, and the Merton problem. Although the optimality criteria of these problems are different (being quadratic, exponential, and power/logarithmic, respectively), a common characteristic is that they all have unique explicit solutions in a closed-form as a linear state-feedback control. In this talk, we give a summary of some recent generalisations of these problems that retain the explicit closed-form solvability. This will include: the generalised stochastic regulator that has state-dependent weights and a risk-sensitive version of it, the optimal control of a class of systems with square-root nonlinearities, and the indefinite risk-sensitive control. The optimal controls for some of these problems, although obtained in an explicit closed-form, are non-unique, of affine state-feedback form, or of a non-linear state-feedback form. The applications of these results to the optimal investment problem will also be included. This talk is part of the Data Science and Computational Statistics Seminar series. This talk is included in these lists:
Note that ex-directory lists are not shown. |
Other listsSpeech Recognition by Synthesis Seminars Condensed Matter Physics Seminars ddddOther talksLife : it’s out there, but what and why ? Bases for permutation groups TBA Topological interfaces, phase transitions, and point-group symmetries – spinor Bose-Einstein condensates as topological-defect laboratories TBA Counting cycles in planar graphs |