报告题目：Entropy Regularized Backward Stochastic Control System with Partial Information: Optimality and Algorithm Implementation

报告人: 张奇 教授 复旦大学

报告时间：2025年6月23日 10：00-11：00

报告地点：腾讯会议 800-236-668

校内联系人：韩月才 [email protected]

报告摘要：In this talk, I introduce a recent work on the optimal exploratory control for entropy regularized backward stochastic control system with partial information. The stochastic maximum principle is given for the concerned nonlinear system. Then the existence and uniqueness of optimal control for the entropy regularized linear quadratic control problem with partial information is proved. Based on theoretical results, we design an efficient iterative algorithm for optimal control of linear-convex stochastic systems with partial information in the case that the state variable and the control variable are separated in cost functional, and moreover, we prove that the algorithm has an 1/n-order convergence rate. Finally, a numerical example is given to demonstrate the effectiveness of our proposed algorithm.

报告人简介：张奇，理学博士，复旦大学数学科学娱乐城教授，博士生导师，金融数学与控制科学系主任。2007年毕业于山东大学娱乐城 （与英国拉夫堡大学联合培养），2008年在拉夫堡大学从事博士后研究工作，同年入职复旦大学数学科学娱乐城。主要研究领域为倒向随机微分方程、随机偏微分方程、随机控制理论。