
Ming Hsieh Institute Communications, Networks & Systems (CommNetS) Seminar
Wed, Nov 09, 2016 @ 02:00 PM  03:00 PM
Ming Hsieh Department of Electrical and Computer Engineering
Conferences, Lectures, & Seminars
Speaker: Christopher Miller, UC Berkeley
Talk Title: Optimal precommitment strategies in some timeinconsistent control problems
Series: CommNetS
Abstract: Timeinconsistency is a feature of a dynamic optimization problem which causes the Dynamic Programming Principle to fail. This arises in many applications including dynamic optimization of certain risk measures (e.g., conditional valueatrisk, meanvariance, etc.) and problems whose objective function depends nonlinearly on an expected value. There are various interpretations and notions of solution to a timeinconsistent problem. In this talk, we focus on optimal precommitment strategies in continuoustime and demonstrate cases where the timeinconsistent problem may be rewritten as an optimization problem over the value function of an auxiliary timeconsistent optimization problem. While the auxiliary value function typically has a higher dimensional state space, we discuss instances where structure of the problem allows a dimensionality reduction.
Biography: Christopher W. Miller is a Ph.D. candidate in Applied Mathematics at the University of California, Berkeley. Previously, he received a B.S. in Mathematics and Biomedical Engineering with a minor in Economics from the University of Texas at Austin. His research focuses on applications of partial differential equations and optimal stochastic control, particularly in mathematical finance.
Host: Prof. Insoon Yang
Location: Hughes Aircraft Electrical Engineering Center (EEB)  248
Audiences: Everyone Is Invited
Contact: Annie Yu