地点：行健楼学术活动室665
邀请人：米辉副教授
摘要：Stochastic linear-quadratic (LQ) control is one of the most fundamental and useful tools in modern engineering and finance and has developed into a major research area in control theory. It concerns linear systems driven by Brownian motions and aims to determine a control process that is optimal in the sense of minimizing the expected value of a quadratic cost criterion. In this talk, I will introduce two basic types of controls: open-loop control and state-feedback control generated by closed-loop strategy. I will discuss their advantages and disadvantages and present characterizations for both open-loop optimal controls and closed-loop optimal strategies. Then I will talk about the connections between open-loop and closed-loop solvabilities and further develop a scheme for finding near optimal state-feedback controls. This is a joint work with Professor Jiongmin Yong.
个人简介：孙景瑞博士毕业于中国科学技术大学，其研究兴趣涉及随机控制理论 (stochastic optimal control theory)，微分对策(differential game)，金融数学(mathematical finance)以及正倒向随机微分方程(forward-backward stochastic differential eqaution)等多个领域。孙博士曾先后在美国中佛罗里达大学、香港理工大学、新加坡国立大学学习工作近6年之久，现就职于美国中佛罗里达大学，任访问助理教授。自2014年首次发表论文至今，孙博士已在国际一流期刊，如SIAM Journal on Control and Optimization, ESAIM: Control, Optimisation and Calculus of Variations, Stochastic Processes and their Applications，Discrete and Continuous Dynamic Systems A, Applied Mathematics and Optimization，发表10余篇高水平、高质量的学术论文，并与雍炯敏教授合写一部专著《Stochastic Linear-Quadratic Optimal Control Theory》（即将在SpringerBriefs系列发表）。