Date:  18th June (Tue) 16:00-17:00
Place: #235,  Engineering Bldg.6
Speaker:  Reiichiro Kawai (The University of Sydney)

Title: Computable primal and dual bounds for stochastic control
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.