[Probabilidad-Estadistica-Seminario] Seminario de Probabilidad y Estadística - Raul Tempone (Alexander von Humboldt Professor RWTH-Aachen & KAUST)

[seminarios en cmat.edu.uy]

Seminario de Probabilidad y Estadística
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Título: "Optimal Control of Stochastic Systems with Partial Information"

Expositor: Raul Tempone (Alexander von Humboldt Professor RWTH-Aachen & KAUST)

Resumen:
 
This work presents a control framework for continuous-time stochastic optimal
control problems with   discrete-time, partial, noisy, and potentially
controllable measurements. The approach uses a probability   measure-valued
state and Bayesian updates to incorporate noisy data into control decisions.
Control   optimality is characterized by interlaced Hamilton-Jacobi-Bellman
(HJB) equations with controlled   impulse steps at measurement times. For
Gaussian-controlled processes, an equivalent finite-dimensional   HJB equation
based on the state’s mean and covariance is derived. Numerical examples
demonstrate the   method’s effectiveness under perfect, none, and noisy
(possibly controllable) observations, highlighting the   impact of observation
uncertainty on control strategies and performance.
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Viernes 4/7 a las 10:30, salón 703 de FING.

Contacto: Alejandro Cholaquidis - acholaquidis en hotmail.com
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https://salavirtual-
udelar.zoom.us/j/87951133501?pwd=aUZGIzluqNSQNDCYQFRT5rESb9aItr.1
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