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Stochastic Control as a Non-Equilibrium Statistical Physics: Gauge Invariant Bellman EquationStochastic Control as a Non-Equilibrium Statistical Physics: Gauge Invariant Bellman Equation |
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| 课程网址: | http://videolectures.net/cyberstat2012_chernyak_stochastic_contro... |
| 主讲教师: | Vladimir Chernyak |
| 开课单位: | 韦恩州立大学 |
| 开课时间: | 2012-10-16 |
| 课程语种: | 英语 |
| 中文简介: |  |
| 课程简介: | In Stochastic Control (SC) one minimizes average cost-to-go, consisting of the cost-of-control (amount of efforts), the cost-of-space (where one wants the system to be) and the target cost (where one wants the system to finish), for the system obeying a forced and controlled Langevien dynamics. We generalize the SC problem adding to the cost-to-go a term accounting for the cost-of dynamics, characterized by a vector potential. We provide variational derivation of the generalized gauge-invariant Bellman-Hamilton-Jacobi equation for the optimal average cost-to-go, where the control is expressed in terms of current and density functionals, and discuss examples, e.g.ergodic control of particle-on-a-circle illustrating non-equilibrium space-time complexity over current/flux. The talk is based on a joint work with M. Chertkov, J. Bierkens and H.J. Kappen. |
| 关 键 词: | 随机控制; 计算动态成本 |
| 课程来源: | 视频讲座网 |
| 最后编审: | 2019-03-13：lxf |
| 阅读次数: | 63 |