講座主題：部分可觀測平均場隨機系統的最優控制問題
專家姓名：王光臣
工作單位：山東大學
講座時間：2017年12月14日（周四）8:30
講座地點：數學院大會議室
主辦單位：煙臺大學數學與信息科學學院
內容摘要：
主要研究部分可觀測信息下由平均場隨機系統驅動的最優控制問題，獲得了最優控制滿足的最大值原理，并用于顯式求解一類現金管理問題。
主講人介紹：
山東大學控制學院教授、博導，首批青年長江學者，國家優青基金獲得者，《系統科學與數學》、《控制與決策》、《控制工程》編委。
一直從事隨機控制理論及其金融應用的研究，特別是在正倒向隨機系統最優控制與濾波估計方面，取得了一些創新成果。迄今，在控制理論和精算科學國際知名期刊SIAM Journal on Control and Optimization、IEEE Transactions on Automatic Control、Automatica、Insurance: Mathematics & Economics發表學術論文多篇，部分成果受到同行專家關注與認可，并獲第十屆山東省青年科技獎一項。
講座主題：Delayed optimal control of stochastic LQ problem
專家姓名：倪元華
工作單位：南開大學
講座時間：2017年12月14日（周四）9:50
講座地點：數學院大會議室
主辦單位：煙臺大學數學與信息科學學院
內容摘要：
A discrete-time stochastic linear-quadratic (LQ) problem with multiplicative noises and transmission delay is studied in this paper; this LQ problem does not require any de_niteness constraint on the cost weighting matrices. From some abstract representations of the system and cost functional, the solvability of this LQ problem is characterized by some conditions with operator form. Based on these, necessary and su_cient conditions are derived for the case with a _xed time-state initial pair and the general case with all the time-state initial pairs. For both cases, a set of coupled discrete-time Riccati-like equations can be derived to characterize the existence and the form of the delayed optimal control. In particular, for the general case with all the initial pairs, the existence of delayed optimal control is equivalent to the solvability of the Riccati-like equations with some algebraic constraints, and both of them are also equivalent to the solvability of a set of coupled linear matrix equality-inequalities. Note that both the constrained Riccati-like equations and the linear matrix equality-inequalities are introduced for the _rst time in the literature for the proposed LQ problem. Furthermore, the convexity and the uniform convexity of the cost functional are fully characterized via certain properties of the solution of the Riccati-like equations.
主講人介紹：
倪元華，南開大學計算機與控制工程學院副教授，研究方向為隨機控制、最優控制、多自主體系統、金融數學等。獲22界關肇直獎（2016年度）。
