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Solvability for Stochastic Control Problems with an Arbitrary Noise Process ABSTRACT: Some stochastic control problems for continuous time systems are described where optimal controls and optimal costs can be explicitly determined by a direct method. The applicability of this method is demonstrated for the linear quadratic control problem with the system driven by an arbitrary noise process with continuous sample paths, a controlled Brownian motion in a symmetric space and the linear exponential quadratic Gaussian control problem. The problems for linear systems can be modified to allow for considering equations in an infinite dimensional Hilbert space that describe stochastic partial differential equations. Bio: Dr. Pasik-Duncan is an IFAC Fellow, an IEEE Fellow, Distinguished Member of the CSS, and a recipient of the IEEE Third Millennium Medal. She has received many awards, including the Kemper Award, H.O.P.E Award, L. Hay Award, Steeples Service to Kansas Award and is a member of the KU Women's Hall of Fame. She served on the Friends of the Lied Center Board and currently serves on the SMA Academic Program Advisory Board. She is Founder and Faculty Advisor to the AWM Student Chapter at KU, Founder and Coordinator of the MAM / Outreach Program, and faculty advisor for the NSF GK-12 Program at KU. Professor Bozenna PasikDuncan Mathematics Department University of Kansas Friday, October 25, 2013 3:30 – 4:30 pm • 1500 EECS Sponsored by: Bosch, Eaton, Ford, The MathWorks, Toyota, and Whirlpool

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Page 1: SolvabilityforStochasticControlProblems ...vhosts.eecs.umich.edu/control_seminar/fall13/Pasik-Duncan.pdfBio: Dr. Pasik-Duncan is an IFAC Fellow, an IEEE Fellow, Distinguished Member

Solvability for Stochastic Control Problems with an Arbitrary Noise Process

ABSTRACT: Some stochastic control problems for continuous time systems are described where optimal controls and optimal costs can be explicitly determined by a direct method. The applicability of this method is demonstrated for the linear quadratic control problem with the system driven by an arbitrary noise process with continuous sample paths, a controlled Brownian motion in a symmetric space and the linear exponential quadratic Gaussian control problem. The problems for linear systems can be modified to allow for considering equations in an infinite dimensional Hilbert space that describe stochastic partial differential equations.

Bio: Dr. Pasik-Duncan is an IFAC Fellow, an IEEE Fellow, Distinguished Member of the CSS, and a recipient of the IEEE Third Millennium Medal. She has received many awards, including the Kemper Award, H.O.P.E Award, L. Hay Award, Steeples Service to Kansas Award and is a member of the KU Women's Hall of Fame. She served on the Friends of the Lied Center Board and currently serves on the SMA Academic Program Advisory Board. She is Founder and Faculty Advisor to the AWM Student Chapter at KU, Founder and Coordinator of the MAM / Outreach Program, and faculty advisor for the NSF GK-12 Program at KU.

Professor Bozenna Pasik-‐Duncan

Mathematics Department

University of Kansas

Friday, October 25, 2013

3:30 – 4:30 pm • 1500 EECS

Sponsored by: Bosch, Eaton, Ford, The MathWorks, Toyota, and Whirlpool

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