SWM Colloquium: Dr. Tijana Levajković, TU Wien

The stochastic linear quadratic regulator problem.

• Speaker: Dr. Tijana Levajković, TU Wien
• Date & Time: Wednesday, 5 December 2018, 5:00pm
• Place: Freihaus, Seminar room DA06green

Abstract: We consider the stochastic linear quadratic regulator (SLQR) problem in infinite dimensions. This is an optimal control problem governed by a linear stochastic equation subject to a quadratic functional that has to be minimized. These problems arise naturally in science and engineering. We show that the optimal control is given in feedback form in terms of a Riccati equation. We also present a detailed study of the numerical approximation of this problem, in particular, the convergence of Riccati operators. In addition, we provide a novel framework for solving this problem using a polynomial chaos expansion approach in the framework of white noise analysis. Finally, we present some numerical experiments.

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