Turnpike Properties for Stochastic Linear-Quadratic Optimal Control Problems
报告专家：孙景瑞（南方科技大学）
报告时间：2022/09/28 16:00-17:00
报告地点：908-624-610（无密码）
Abstract: 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, much progress has been made in the turnpike theory for deterministic optimal control problems of finite and infinite dimensions, while little attention has been paid to the case of stochastic optimal control, which is commonly encountered in practice. The presence of the diffusion term brings essential difficulty for studying the turnpike property of stochastic optimal control. Intuitively mimicking the idea of deterministic situations will most likely lead us to a wrong direction, in particular, an incorrect formulation of the corresponding static optimization problem. In this talk we will report some recently obtained results on the turnpike properties of stochastic linear-quadratic optimal control problems.
Bio: 孙景瑞，2015 年在中国科学技术大学取得博士学位，2015.4 至 2019.2 先后在香港理工大学、新加坡国立大学、中佛罗里达大学从事科研工作，2019 年 2 月入职南方科技大学数学系，任副研究员。
2019 年获得深圳市海外高层次人才“孔雀计划”C 类称号，现主持国自然面上项目、国自然青年科学基金项目、广东省自然科学基金面上项目各 1 项，是深圳市未来工业互联网安全保障重点实验室核心成员。
研究领域为随机控制及其应用。在 Springer 出版专著 2 部，在 SIAM Journal on Control and Optimization, Annals of Applied Probability, ESAIM-Control, Optimisation and Calculus of Variations, Stochastic Processes and their Applications, Journal of Differential Equations, Applied Mathematics and Optimization, Discrete and Continuous Dynamical Systems-A 等国际期刊发表学术论文 20 余篇。
