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Stochastic control systems with long-run average criteria

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Abstract:
Stochastic control problems with long–run average criteria (also known as ergodic criteria) were introduced by Richard Bellman (1957) in the context of a manufacturing process, and nowadays play a predominant role in control applications to queueing systems, telecommunication networks, and economic and financial problems, to name a few. This talk presents some recent advances on discrete and continuous time stochastic control systems with long–run average criteria, including overtaking (or catching–up) optimality, bias optimality, discount–sensitive criteria, and the existence of average optimal strategies with minimum variance

http://www.math.cinvestav.mx/~ohernand/
Type of Seminar:
Public Seminar
Speaker:
Prof. Onésimo Hernandez–Lerma
Mathematics Department , CINVESTAV–IPN, Mexico City
Date/Time:
May 04, 2009   CANCELLED
Location:

ETH Zentrum, Main Building, Room HG G 19.1
Contact Person:

Prof. John Lygeros
No downloadable files available.
Biographical Sketch:
Onésimo Hernández–Lerma Obtained the “licenciatura” degree from the National Polytechnic Institute (IPN) in Mexico City, and the M.Sc. and Ph.D. degrees from Brown University, Providence, R.I., USA. Since 1978 he has been with the Mathematics Department of CINVESTAV (Center for Research and Advanced Studies), IPN. His research interests include stochastic control, dynamic games, Markov processes, and infinite– dimensional linear programming. In these areas and related subjects, he has published over 100 research papers in international journals and 10 books, the last one, Continuous–Time Markov Decision Processes (Springer), will appear this year. He has supervised 15 Ph.D. theses. Among other honors, he received the Sciences National Award from the Government of Mexico (2001), a doctorate honoris causa by the University of Sonora (2003), the Lazaro Cardenas Medal from the IPN (2008), and the Scopus Prize by Elsevier(2008).