讲座主题：部分可观测平均场随机系统的最优控制问题
专家姓名：王光臣
工作单位：山东大学
讲座时间：2017年12月14日（周四）8:30
讲座地点：数学院大会议室
主办单位：bob体育在线app数学与信息科学学院
内容摘要：
主要研究部分可观测信息下由平均场随机系统驱动的最优控制问题，获得了最优控制满足的最大值原理，并用于显式求解一类现金管理问题。
主讲人介绍：
山东大学控制学院教授、博导，首批青年长江学者，国家优青基金获得者，《系统科学与数学》、《控制与决策》、《控制工程》编委。
一直从事随机控制理论及其金融应用的研究，特别是在正倒向随机系统最优控制与滤波估计方面，取得了一些创新成果。迄今，在控制理论和精算科学国际知名期刊SIAM Journal on Control and Optimization、IEEE Transactions on Automatic Control、Automatica、Insurance: Mathematics & Economics发表学术论文多篇，部分成果受到同行专家关注与认可，并获第十届山东省青年科技奖一项。
讲座主题：Delayed optimal control of stochastic LQ problem
专家姓名：倪元华
工作单位：南开大学
讲座时间：2017年12月14日（周四）9:50
讲座地点：数学院大会议室
主办单位：bob体育在线app数学与信息科学学院
内容摘要：
A discrete-time stochastic linear-quadratic (LQ) problem with multiplicative noises and transmission delay is studied in this paper; this LQ problem does not require any de_niteness constraint on the cost weighting matrices. From some abstract representations of the system and cost functional, the solvability of this LQ problem is characterized by some conditions with operator form. Based on these, necessary and su_cient conditions are derived for the case with a _xed time-state initial pair and the general case with all the time-state initial pairs. For both cases, a set of coupled discrete-time Riccati-like equations can be derived to characterize the existence and the form of the delayed optimal control. In particular, for the general case with all the initial pairs, the existence of delayed optimal control is equivalent to the solvability of the Riccati-like equations with some algebraic constraints, and both of them are also equivalent to the solvability of a set of coupled linear matrix equality-inequalities. Note that both the constrained Riccati-like equations and the linear matrix equality-inequalities are introduced for the _rst time in the literature for the proposed LQ problem. Furthermore, the convexity and the uniform convexity of the cost functional are fully characterized via certain properties of the solution of the Riccati-like equations.
主讲人介绍：
倪元华，南开大学计算机与控制工程学院副教授，研究方向为随机控制、最优控制、多自主体系统、金融数学等。获22界关肇直奖（2016年度）。
