Type: Seminar

Distribution: World

Expiry: 29 Jun 2019

CalTitle1: Duality-based approach to stochastic control

Auth: erich@10.83.64.54 (ehes5653) in SMS-WASM

Hello all, The next MaPSS talk of this semester will be at 17:00 on Mon 1st April in Carslaw 535. It’s a great opportunity to meet fellow postgrads, listen to an interesting talk, and of course get some free pizza! ************************************************************************************** Speaker: Claire Jiao Title: Duality-based approach to stochastic control Abstract: We apply the Lasserre hierarchy of relaxations to stochastic optimal control problems to obtain tight pointwise bounds and global bounding functions for the value function. The primal minimization corresponds to the well studied moment problem based upon a set of necessary equality constraints on the occupation and boundary measures, whereas the dual maximization is built on a set of sufficient inequality constraints on the test polynomial function with a flexible choice of optimality criteria. The dual maximization is particularly effective in two senses: it only requires a single implementation to yield a tight global bound in the form of a polynomial function over the whole problem domain; an optimal solution to a dual problem can sometimes be reused directly as a feasible solution to different dual problems. We provide some numerical results to illustrate the effectiveness of this framework in a variety of stochastic control problems built on different Markov processes. ************************************************************************************** See you there! Details can also be found on the school’s new Postgraduate Society website: http://www.maths.usyd.edu.au/u/MaPS/mapss.2019.html Cheers, Eric