Thursday, July 13, 2023 - 12:00 in ZiF
Numerical Analysis for Optimal Control problems with SPDE constraints
A talk in the SPDEs, optimal control and mean field games series by
Andreas Prohl from Tübingen
| Abstract: |
I compare two main numerical strategies, which are based on Pontryagin's maximum
principle or - for linear quadratic problems - the Riccati equation. I explain
why numerical schemes which base on the 2nd strategy are far less complex, and
detail derivation of optimal rates of convergence for it. This is joint work
with Yanqing Wang (Southwest University, Chongqing).
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