青年学术论坛

《青年学术论坛》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、青年学术论坛讲座题目：TimeInconsistencyandStochasticOptimalControl主讲人：倪元华（南开大学）副教授主持人：李韬教授开始时间：2018-10-1810:00-11:30讲座地址：闵行数学楼129报告厅报告内容摘要：Forclassicaloptimalcontrolproblem,anoptimalcontrol(correspondingtoagiventime-stateinitialpair)willstayoptimalalongtheoptimaltrajectory,namely,therestrictiono

2、fthatoptimalcontrolonthetailtimehorizonwillalsobeoptimalfortheintertemporaltime-stateinitialpairs.Thisistermedasthetimeconsistencyofoptimalcontrol,whichisderivedbyBellman'sprincipleofoptimality.Thoughnotmentionedfrequently,timeconsistencyisindeedanessentialnotionofclassicaloptimalcont

3、roltheory,andBellman'sdynamicprogrammingdependsmostlyonthistimeconsistency.Inrealworld,however,thetimeconsistencyfailsquiteofteninmanysituations.ThebestdocumentedanomaliestoruinBellman'sprincipleofoptimalityandthetimeconsistencyofoptimalcontrolareasfollows.Thefirstoneisthatthediscount

4、ingfunctionincostfunctionalisnotexponential,andthenonlinearappearanceofconditionalexpectationincostfunctionalisanotherfactor.Thethirdcaseiswithrespecttothestate-dependent(orrank-dependent)utility.Suchthreeanomaliescanfindtheirstrongrootsintheareasofeconomicsandfinance;andseveralnotabl

5、epracticalexamplesarethehyperbolicdiscounting,quasi-geometricdiscounting,andmean-varianceutility.Inthistalk,thestoryabouttimeinconsistencyisshedlightonincludingitsbuddingandqualitativeanalysissinceAdamSmith,itsquantitativeformulationandsuccessfulapplicationsinfinanceandeconomics,andit

6、sgrowingstudyinsystemandcontrolcommunity.Specifically,thenecessityishighlightedtostudythetimeinconsistencywithintherealmofstochasticoptimalcontrol.报告人简介：倪元华，南开大学人工智能学院副教授，2010年毕业于中国科学院数学与系统科学研究院，获理学博士学位。2013.6至2017.1在中国科学院数学与系统科学研究院做博士后，并于2014年5月至2015年5月访问美国加州大学圣地亚哥分校。研究方向为随机控制、最优控制与多

7、个体系统，在SICON,IEEETAC,Automatica发表长文7篇，并获2016年度关肇直奖。