【数学学院】On a Class of Stochastic Impulsive Optimal Parameter Selection Problems

题目：Ona Class of Stochastic Impulsive Optimal Parameter Selection Problems

报告人：Kok Lay Teo， Curtin University

时间：10月19日（周五）下午4:00-5:00

地点：四川大学数学研究所报告厅

摘要：In this talk, we consider a class of stochastic optimal parameter selection problems, where its dynamics are 

described by a system of linear Ito stochastic differential equations with state jumps. The times at which the jumps

occurred as well as their heights are decision variables. This stochastic impulsive optimal parameter selection 

problem is subject to probabilistic constraints on the state. We show that this constrained stochastic impulsive 

optimal parameter selection problem is equivalent to a deterministic impulsive optimal parameter selection problem 

with its dynamics described by deterministic impulsive differential equations subject to continuous state inequality

constraints, where the times at which the jumps occurred as well as their heights remain as decision variables. 

Then, by introducing a time scaling transform, we show that this constrained deterministic impulsive optimal 

parameter selection problem is transformed into an equivalent constrained deterministic impulsive optimal parameter

selection problem with the jump times being fixed. A constraint transcription technique is then used to approximate

the continuous state inequality constraints by a sequence of canonical inequality constraints. This leads to a 

sequence of approximate deterministic impulsive optimal parameter selection problems subject to canonical inequality

constraints. For each of these approximate problems, we derive the gradient formulas of the cost function and the 

constraint functions. On this basis, an efficient computational method is developed.

来源链接：http://math.scu.edu.cn/info/1062/3998.htm