Stochastic control of connected Markov chains. Theory and applications

Host Institution:

La Trobe University

Title of Seminar:

Stochastic control of connected Markov chains. Theory and applications

Speaker's Name:

Dr Boris Miller

Speaker's Institution:

Monash University

Time and Date:

Friday 19 October, 11.00 AM (EST)

Seminar Abstract:

The talk considers the specific features of controlled Markov chains as a subject of stochastic control theory. Some properties such as the existence of the optimal control, dynamic programming equation and its solution will be discussed as well as the class of problems with various constraints. We will describe an approach to the numerical solution of these problems and will give examples of successfully solved problems with application to the internet congestion control and to the dams' management.

 

Seminar Convenor:

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AGR IT support: