报告题目： Solving A Class of Mean-Field LQG Problems
报 告 人： Qingshuo Song，Worcester Polytechnic Institute
报告时间： 2020年8月11日上午 9：00-10：00
报告地点： Tencent会议 ID：343 248 143
In this talk, we study a class of mean-field linear quadratic Gaussian (LQG) problems. Under suitable conditions, explicit solutions of the distribution-dependent optimal control problems are obtained. Riccati systems are derived by directly solving the associated master equations. Some extensions on controls with partial observations may be considered if the time is permitted.
Qingshuo Song, an associate professor of department of mathematical science atS Worcester Polytechnic Institute. Dr. Song received his BSc from Nankai University, and PhD from Wayne State University in 2006. Qingshuo Song's research interests include stochastic control theory, and its applications to mathematical finance and various engineering problems. Prior to joining Worcester Polytechnic Institute, he had been working with City University of Hong Kong (Associate Professor 2010-2018), University of Michigan (PostDoc 2009) and University of Southern California (PostDoc 2006-2009).