Date:  18th June (Tue) 16:00-17:00
Place: #235,  Engineering Bldg.6
Speaker:  Reiichiro Kawai (The University of Sydney)
https://sydney.edu.au/science/people/reiichiro.kawai.php

Title: Computable primal and dual bounds for stochastic control
Abstract:
We discuss the linear programming framework for stochastic
optimal control problems collectively via its duality
principle. 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:
Its single implementation yields a remarkably tight global
bound at once in the form of polynomial functions over the
whole problem domain; an optimal solution to a dual problem
can be reused directly as a feasible solution to different
dual problems, such as with different initial conditions,
objective functions and terminal times. The proposed
approach is capable of tackling extremely complex problems,
such as a combined optimal stopping and stochastic control
problem under a multivariate degenerate dynamics with jumps.
This talk is based on joint work with Chunxi Jiao.