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UID:www.tcs.tifr.res.in/event/282
DTSTAMP:20230914T125917Z
SUMMARY:Can We Optimize Path By Path?
DESCRIPTION:Speaker: Karthyek Rajhaa A M\n\nAbstract: \nStochastic optimal
control problems are usually solved by writing the dynamic programming equ
ation and subsequent evaluation of the associated value function using var
ious tools\, depending on the context. In this talk\, we discuss the possi
bility of arriving at the value function by solving a deterministic contro
l problem on individual sample paths. We base our discussion on Rogers[2
008]^\, in which the means of doing deterministic optimization independe
ntly on every sample path for solving a general stochastic control problem
\, was first established. This amazing connection between stochastic and d
eterministic optimal control by means of writing out a dual for value func
tion can lead to new computational techniques.\n\nIn this talk\, we consid
er a discrete-time Markov process that can be controlled\; we introduce th
e optimization problem involved and discuss the usual terminologies associ
ated with the control of such a process. Then\, we proceed to represent th
e objective function\, in a dual form\, very similar to how we do in Lagra
nge multipliers way of solving constrained-optimization problem. We also d
iscuss the implications of this dual representation on arriving at new com
putational procedures.\n\n*Nothing more than familiarity with discrete-tim
e Markov processes is assumed.*\n\nRogers\, L. C. G. Pathwise stochastic o
ptimal control. SIAM J. Control Optim. 46 (2007)\n
URL:https://www.tcs.tifr.res.in/web/events/282
DTSTART;TZID=Asia/Kolkata:20120608T150000
DTEND;TZID=Asia/Kolkata:20120608T163000
LOCATION:A-212 (STCS Seminar Room)
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