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Seminar
Department of Systems Engineering and Engineering Management
The Chinese
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Title |
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Dynamic Programming or
Direct Comparison |
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Speaker |
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Prof. Xi-Ren Cao |
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Institute for Advanced Study, Hong
University of Science and technology |
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Date |
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Jan 20th, 2011 (Thursday) |
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Time |
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4:30 p.m. - 5:30 p.m. |
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Venue |
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Room 513 |
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William M.W. Mong Engineering
Building |
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(Engineering Building Complex Phase 2) |
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CUHK |
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Abstract:
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The standard approach to control and optimization of stochastic systems is based on dynamic programming. Recently, an alternative approach to stochastic learning and optimization has been developed. The approach is based on sensitivity; it was first developed for discrete event dynamic systems and is being extended to continuous-time and continuous state systems. The basic idea is as follows: fundamentally, one can only compare the performance of two policies at a time; and therefore, when developing optimization theories and methodologies, one has to first study the difference of the performance of any two polices. It turns out that many results in optimization can be obtained by a direct comparison of the performance of any two policies based on this performance difference formula. We found that this “direct comparison” method is essential for optimization. This approach has some advantages over the dynamic programming approach: It is simple and intuitive clear because it is based on a direct comparison of any two policies. The approach applies in the same way to different performance criteria, including finite and infinite-horizon problems, impulse control and singular control. Furthermore, the approach brings some new insights that leads to new methods and results in control and optimization; for example, it may be applied to non-smooth functions and lead to a solution without using viscocity solution. We may also develop event-based optimization and gradient-based learning, etc. |
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Biography:
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Xi-Ren Cao received the M.S. and Ph.D.
degrees from Dr. Cao owns three patents in data- and tele- communications and published three books in the area of performance optimization and discrete event dynamic systems. He received the Outstanding Transactions Paper Award from the IEEE Control System Society in 1987, the Outstanding Publication Award from the Institution of Management Science in 1990, Outstanding Service Award from IFAC in 2008., and the National Natural Science Award (2nd class), China, in 2009. He is a Fellow of IEEE (1996), a Fellow of IFAC (2008), and is/was the Chairman of IEEE Fellow Evaluation Committee of IEEE Control System Society, Editor-in-Chief of Discrete Event Dynamic Systems: Theory and Applications, Associate Editor at Large of IEEE Transactions of Automatic Control, and Board of Governors of IEEE Control Systems Society and on the Technical Board of IFAC. His current research areas include and financial engineering, stochastic learning and optimisation, performance analysis of economic systems, and discrete event dynamic systems. |
************************* ALL ARE WELCOME ************************
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Host |
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Prof. Chen Nan |
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Tel |
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(852)2609 8237 |
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Enquiries |
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Prof. Nan Chen or Prof. Sean X. Zhou |
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Department of Systems Engineering and Engineering
Management |
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CUHK |
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