勷勤数学•专家报告

题      目：Long-Time Behavior of Optimal Control for Stochastic LQ Problems

报  告  人： 孙景瑞 副教授  (邀请人：杨舟)

                                          南方科技大学

时      间： 3月15日  15：30-16:30

地     点：数科院西楼二楼会议室

报告人简介:

       孙景瑞，男，南方科技大学数学系长聘副教授、博士生导师，国家优秀青年科学基金获得者。博士毕业于中国科学技术大学，先后在香港理工大学、新加坡国立大学及美国中佛罗里达大学从事科研与教学工作。

       主要研究方向为随机控制及其应用。近年来在《SIAM Journal on Control and Optimization》《Annals of Applied Probability》《Journal of Differential Equations》《Stochastic Processes and their Applications》等国际主流期刊发表论文30余篇，并在Springer出版社出版英文专著2部。主持多项国家级和省市级科研项目。曾独立荣获 SIAM 最佳 SICON 论文奖。

摘      要：

       The turnpike property refers to the phenomenon that in many optimal control problems over finite but long-time horizon, optimal trajectories approach to a steady state of the system and stay close to it for the major part of the time horizon. In the past several decades, the turnpike properties have attracted extensive attentions in control theory. Numerous results have been established for deterministic optimal control problems of both finite and infinite dimensions. However, the study of turnpike phenomena for stochastic optimal control is quite lacking in literature. In this talk, we discuss the turnpike properties for stochastic linear-quadratic optimal control problems. Under suitable conditions, we establish the strong exponential, the strong integral, and the mean-square turnpike properties for stochastic LQ problems. The crucial issues are to correctly formulate the corresponding static optimization problem and find the correction processes, which illustrate the essential differences between stochastic and deterministic cases.

          欢迎老师、同学们参加、交流！