演講訊息 TALKS

Recently max-plus or min-plus (more generally idempotent) methods are effectively used for deterministic control problems. As a notable advantage of these methods, we can obtain curse-of-dimensionality-free numerical methods for dynamic programming PDEs in deterministic controls. In this talk, we present our attempt to use idempotent methods for continuous-time stochastic control problems. Starting with basic and dynamic programming ideas in stochastic control, we give a new algorithm to compute time-discretized value functions of the stochastic control, which we call idempotent distributed dynamic programming principle (IDDPP). The material of this talk is based on collaboration with W.M. McEneaney (UC San Diego).