Stochastic Control, Computational Methods, and Applications

May 07 - 11, 2018

Modeling, Stochastic Control, Optimization, and Related Applications

Program Application

Content

Overview

Poster:

W5.7-11.18_poster.pdf

Organizers:

George Yin	Wayne State University
Qing Zhang	University of Georgia

In recent years, significant progress has been made in stochastic control and related fields. As work continues on forward-backward stochastic differential equations, new issues on time inconsistency raising in stochastic control have been found. Both the mathematical community and the control engineering community have shown interest in treating mean-field games and mean-field type controls. Computational aspects of stochastic and deterministic controls remain a challenging issue. The idea of the max-plus approach has been much exploited. New computational methods for solving the associated Hamilton-Jacobi-Bellman (HJB) partial differential equations (including solutions for deterministic controls) have also been investigated.

Schedule

Subscribe to this event's calendar

U of Minnesota App

Monday, May 07, 2018

8:00 am - 8:45 am	Coffee and registration	Keller 3-176
8:45 am - 9:00 am	Welcome and introduction	Keller 3-180
9:00 am - 9:50 am	Zero-sum stochastic differential games without the Isaacs condition: random rules of priority and intermediate Hamiltonians Daniel Hernandez-Hernandez (Center of Investigations in Mathematics (CIMAT))	Keller 3-180
10:00 am - 10:50 am	Differential Games Wendell Fleming (Brown University)	Keller 3-180
11:00 am - 11:50 am	Large deviation control and an optimal investment model Hideo Nagai (Kansai University)	Keller 3-180
12:00 pm - 2:00 pm	Lunch
2:00 pm - 2:50 pm	On Merton Portfolio Optimization Problems Shuenn-jyi Sheu (National Central University)	Keller 3-180
3:00 pm - 3:30 pm	A Weak Convergence Approach to Inventory Control Using a Long-term Average Criterion Chao Zhu (University of Wisconsin, Milwaukee)	Keller 3-180
3:30 pm - 4:00 pm	Partially observed risk-sensitive control of path-dependent discrete-time systems Hidehiro Kaise (Osaka University)	Keller 3-180
5:30 pm - 7:30 pm	Social Hour at Republic

Tuesday, May 08, 2018

8:30 am - 9:00 am	Coffee	Keller 3-176
9:00 am - 9:50 am	Subsolutions of a Hamilton-Jacobi- Bellman Equation and the Design of Rare Event Simulation Methods Paul Dupuis (Brown University)	Keller 3-180
10:00 am - 10:50 am	Hedging with friction H. Mete Soner (ETH Zürich)	Keller 3-180
11:00 am - 11:50 am	Time-Inconsistent Optimal Control Problems Jiongmin Yong (University of Central Florida)	Keller 3-180
11:50 am - 12:00 pm	Group Photo	Keller 3-180
12:00 pm - 2:00 pm	Lunch
2:00 pm - 2:50 pm	Control of discrete-time Markov jump linear systems with partial information Oswaldo Costa (University of São Paulo (USP))	Keller 3-180
3:00 pm - 3:50 pm	Numerical approximation of average Markov decision processes in continuous-time Francois Dufour (Université de Bordeaux I)	Keller 3-180
4:00 pm - 4:30 pm	Equilibrium Strategies for Time-Inconsistent Stochastic Switching Systems Hongwei Mei (University of Kansas)	Keller 3-180
4:30 pm - 6:00 pm	Poster session and reception	Lind 400

Wednesday, May 09, 2018

8:30 am - 9:00 am	Coffee	Keller 3-176
9:00 am - 9:50 am	A variational formula for risk-sensitive control. Vivek Borkar (Indian Institute of Technology)	Keller 3-180
10:00 am - 10:50 am	On Stopping Times and Impulse Control with Constraint Jose Menaldi (Wayne State University)	Keller 3-180
11:00 am - 11:50 am	On ergodic impulse control with constraint Maurice Robin (École Polytechnique)	Keller 3-180
12:00 pm - 2:00 pm	Lunch
2:00 pm - 2:50 pm	Average cost per unit time control problem of Markov processes with degenerate observation Lukasz Stettner (Polish Academy of Sciences)	Keller 3-180
3:00 pm - 3:30 pm	Numerical Approximatios for Minimax Markov Control Problems Tomás Prieto Rumeau (Universidad Nacional de Educación a Distancia (UNED))	Keller 3-180
3:30 pm - 4:00 pm	Discrete-Time Hybrid Control Models Hector Jasso-Fuentes (CINVESTAV)	Keller 3-180
4:00 pm - 4:30 pm	Deep Learning-Based Numerical Methods for High-Dimensional Stochastic Control Problems and Parabolic PDEs Jiequn Han (Princeton University)	Keller 3-180

Thursday, May 10, 2018

8:30 am - 9:00 am	Coffee	Keller 3-176
9:00 am - 9:50 am	Minimum Energy Estimation Applied to the Lorenz Attractor Arthur Krener (Naval Postgraduate School)	Keller 3-180
10:00 am - 10:50 am	Stationary-Action for Conservative Systems and Diffusion-Based Representations for the Schrödinger Equation William McEneaney (University of California, San Diego)	Keller 3-180
11:00 am - 11:50 am	On the independence of the value function for stochastic differential games of the probability space Nicolai Krylov (University of Minnesota, Twin Cities)	Keller 3-180
12:00 pm - 2:00 pm	Lunch
2:00 pm - 2:50 pm	Data Assimilation for High Dimensional Systems – Challenges, algorithms and opportunities Wei Kang (Naval Postgraduate School)	Keller 3-180
3:00 pm - 3:30 pm	Lecture Jianhai Bao (Central South University)	Keller 3-180
3:30 pm - 4:00 pm	Stabilization of Regime-Switching processes based on discrete time observations Jinghai Shao (Tianjin University)	Keller 3-180
4:00 pm - 4:30 pm	Optimal Harvesting Strategies for a Predator-Prey System in Fluctuating Environments. Dang Hai Nguyen (Wayne State University)	Keller 3-180

Friday, May 11, 2018

8:30 am - 9:00 am	Coffee	Keller 3-176
9:00 am - 9:50 am	Some Explicitly Solvable Stochastic Differential Games Tyrone Duncan (University of Kansas)	Keller 3-180
10:00 am - 10:50 am	Linear-quadratic control for bilinear evolution equations with Gauss-Volterra processes Bozenna Pasik-Duncan (University of Kansas)	Keller 3-180
11:00 am - 11:50 am	Mean Field Games on Infinite Networks and the Graphon-MFG Equations Peter Caines (McGill University)	Keller 3-180
12:00 pm - 12:30 pm	Linear Quadratic Mean Field Games: Asymptotic solvability and the fixed point approach Minyi Huang (Carleton University)	Keller 3-180

Participants

Name	Department	Affiliation
Jianhai Bao		Central South University
Vivek Borkar	Department of Electrical Engineering	Indian Institute of Technology
Trang Bui	Department of Mathematics	Wayne State University
Peter Caines	Department of Electrical and Computer Engineering	McGill University
Cheng Cheng	Department of Applied Mathematics and Statistics	Duke University
Oswaldo Costa	Departamento de Engenharia de Telecomunicações e Controle	University of São Paulo (USP)
Francois Dufour	INRIA Bordeaux Sud-Ouest	Université de Bordeaux I
Tyrone Duncan	Department of Mathematics	University of Kansas
Paul Dupuis	Division of Applied Mathematics	Brown University
Mohamed Elgindi	Mathematics-Science Program	Texas A & M University at Qatar (Qatar)
Wendell Fleming	Division of Applied Mathematics	Brown University
Jiequn Han	Department of Applied & Computational Mathematics	Princeton University
Qie He	Department of Industrial and Systems Engineering	University of Minnesota, Twin Cities
Daniel Hernandez-Hernandez	Department of Mathematics	Center of Investigations in Mathematics (CIMAT)
Weiwei Hu	Department of Mathematics	Oklahoma State University
Minyi Huang	School of Mathematics and Statistics	Carleton University
Zhishen Huang	Department of Applied Mathematics	University of Colorado
Hector Jasso-Fuentes	Departamento de Matemáticas	CINVESTAV
Hidehiro Kaise	Department of Systems Innovation	Osaka University
Wei Kang	Department of Applied Mathematics	Naval Postgraduate School
Arthur Krener	Department of Applied Mathematics	Naval Postgraduate School
Nicolai Krylov	School of Mathematics	University of Minnesota, Twin Cities
Chang Li	Department of Mathematics	University of Central Florida
Jun Liu	Department of Mathematics and Statistics	Southern Illinois University
William McEneaney	Department of Mechanical and Aerospace Engineering	University of California, San Diego
Hongwei Mei	Department of Mathematics	University of Kansas
Jose Menaldi	Department of Mathematics	Wayne State University
Hideo Nagai	Department of Mathematics	Kansai University
Dang Hai Nguyen	Department of Mathematics	Wayne State University
Thu Nguyen	Department of Mathematics	Wayne State University
Guodong Pang	Department of Industrial and Manufacturing Engineering	The Pennsylvania State University
Bozenna Pasik-Duncan	Department of Mathematics	University of Kansas
Tomás Prieto Rumeau	Departamento de Estadística	Universidad Nacional de Educación a Distancia (UNED)
Maurice Robin	Department of Mathematics	École Polytechnique
Iman Samani	Department of Mechanical Engineering	University of Toledo
Shuenn-jyi Sheu	Department of Mathematics	National Central University
Mohamad Kazem Shirani Faradonbeh	Department of Computer and Information Science	University of Florida
H. Mete Soner	Department of Mathematics	ETH Zürich
Lukasz Stettner	Institute of Mathematics	Polish Academy of Sciences
Stephan Sturm	Department of Mathematical Sciences	Worcester Polytechnic Institute
Alena Talkachova	Department of Biomedical Engineering	University of Minnesota, Twin Cities
Adama Tandia	Department of Modeling and Simulation	Corning Incorporated
Mahnazalsadat Vahdat	Department of Mathematics and Statistics	University of Toledo
Divine Wanduku	Department of Mathematical Sciences	Georgia Southern University
Fuke Wu	Center for Mathematical Sciences	Huazhong University of Science and Technology
Fubao Xi	Department of Mathematics	Beijing Institute of Technology
Wei Yan	Department of Mathematics	University of Central Florida
Jiaxuan Ye	Department of Mathematical Sciences	Worcester Polytechnic Institute
George Yin	Department of Mathematics	Wayne State University
Jiongmin Yong	Department of Mathematics	University of Central Florida
Gabriel Zayas-Caban	Industrial and Operations Engineering	University of Michigan
Qing Zhang	Department of Mathematics	University of Georgia
Yangwen Zhang	Department of Mathematics and Statistics	Missouri University of Science and Technology
Chao Zhu	Department of Mathematical Sciences	University of Wisconsin, Milwaukee