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CATEGORIES:CUED Control Group Seminars
SUMMARY:Optimal Control with Noisy Time - Andrew Lamperski
\, University of Cambridge
DTSTART;TZID=Europe/London:20131114T140000
DTEND;TZID=Europe/London:20131114T151500
UID:TALK47964AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/47964
DESCRIPTION:Many control methods implicitly depend on the assu
mption that time is accurately known. For example\
, the finite-horizon linear quadratic regulator is
a linear policy with time-varying gains. Such pol
icies may be infeasible for controllers without ac
curate clocks\, such as the motor systems in human
s and other animals\, since gains would be applied
at incorrect times. Little appears to be known\,
however\, about control with imperfect timing. T
his talk will present a solution to the linear qua
dratic regulator problem in which the state is per
fectly known\, but the controller's measure of tim
e is a stochastic process derived from a strictly
increasing Levy process. The optimal controller is
linear and can be computed from generalization of
the classical Riccati differential equation. The
extension to nonlinear stochastic control problems
and applications to portfolio optimization will b
e sketched.
LOCATION:Cambridge University Engineering Department\, LR5
CONTACT:Tim Hughes
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