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Deterministic stochastic optimal control
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When
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2.00pm on Friday 21st October
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Where
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B617, Leverhulme Library, Columbia House
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Presentations
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Speaker
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Chris Rogers
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From
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University of Cambridge
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Abstract
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This paper approaches optimal control problems for discrete-time controlled Markov processes by representing > the value of the problem in a dual Lagrangian form. This representation opens up the possibility of numerical methods based on Monte Carlo simulation which may be advantageous in high-dimensional problems, or in problems with complicated constraints.
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For further information
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Ulla Jakobsen (Administrative Assistant) Ext. 6879
Department of Statistics, Columbia House
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