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SUMMARY:Optimal Control with Noisy Time - Andrew Lamperski\, University of
  Cambridge
DTSTART:20131114T140000Z
DTEND:20131114T151500Z
UID:TALK47964@talks.cam.ac.uk
CONTACT:Tim Hughes
DESCRIPTION:Many control methods implicitly depend on the assumption that 
 time is accurately known. For example\, the finite-horizon linear quadrati
 c regulator is a linear policy with time-varying gains. Such policies may 
 be infeasible for controllers without accurate clocks\, such as the motor 
 systems in humans and other animals\, since gains would be applied at inco
 rrect times.  Little appears to be known\, however\, about control with im
 perfect timing.  This talk will present a solution to the linear quadratic
  regulator problem in which the state is perfectly known\, but the control
 ler's measure of time is a stochastic process derived from a strictly incr
 easing Levy process. The optimal controller is linear and can be computed 
 from generalization of the classical Riccati differential equation. The ex
 tension to nonlinear stochastic control problems and applications to portf
 olio optimization will be sketched.
LOCATION:Cambridge University Engineering Department\, LR5
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