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The Separation Principle in Stochastic Control revisited

Venerdi' 15 Giugno 2012 - Tryphon T. Georgiou

ARGOMENTI: Seminari

SEMINARI DI CALCOLO DELLE PROBABILITA`
Venerdi' 15 Giugno 2012, alle ore 10:00 in aula 1BC45, il prof. Tryphon T. Georgiou (Department of Electrical and Computer Engineering, University of Minnesota) terra' un seminario dal titolo "The Separation Principle in Stochastic Control revisited".

-Abstract
Over the last 50 years a steady stream of accounts have been written on the separation principle of stochastic control. Even in the context of the linear-quadratic regulator in continuous time with Gaussian white noise, subtle difficulties arise, unexpected by many, that are often overlooked. We propose a new framework for establishing the separation principle. This approach takes the viewpoint that stochastic systems are well-defined maps between sample paths rather than stochastic processes per se and allows us to extend the separation principle to systems driven by martingales with possible jumps. While the approach is more in line with “real-life” engineering thinking where signals travel around the feedback loop, it is unconventional from a probabilistic point of view in that control laws for which the feedback equations are satisfied almost surely, and not deterministically for every sample path, are excluded.

Rif. int. P. Dai Pra

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