MaPSS: Maths Postgraduate Seminar Series: Claire Jiao -- Duality-based approach to stochastic control

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! 

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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.  

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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