数学科学学院学术报告[2023]069号

(高水平大学建设系列报告840号)

报告题目:Long-Time Behavior of Optimal Control for Stochastic LQ Problems

报告人：孙景瑞，助理教授，南方科技大学

报告时间：2023.10.19 15:00-16:00pm

讲座地点：汇星楼（科技楼）501

报告内容：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.

报告人简历：孙景瑞，南方科技大学助理教授。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 等世界一流学术期刊发表学术论文 20 余篇。2023 年独立获得由 SIAM (美国工业与应用数学学会) 颁发的 "SIAG/CST Best SICON Paper Prize"。主持国自然优秀青年科学基金项目、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、深圳市自然科学基金面上项目各 1 项，参与国家重点研发计划项目 1 项，深圳市未来工业互联网安全保障重点实验室核心成员。

欢迎师生参加！

邀请人：李婧超

数学科学学院

2023年10月17日