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CATEGORIES:Lecture / Talk / Workshop
DESCRIPTION:Yumin Zhang\, Auburn University\n[in-person]\n\nor\n\nJoin Zoom
Meeting:\nhttps://usc.zoom.us/j/94973619069?pwd=VnU5bVlMc1pzVTlEYUVaZUYyNS
t6UT09\nMeeting ID: 949 7361 9069\nPasscode: 925028\n\nAbstract: We study t
he convergence of policy iteration for (deterministic) optimal control prob
lems. To overcome the problem of ill-posedness due to lack of regularity\,
we consider both discrete and semi-discrete schemes by adding a viscosity t
erm via finite differences in space. We prove that PI for the schemes conve
rges exponentially fast\, and provide a bound on the error induced by the s
chemes. If time permits\, I will also discuss the convergence of explorator
y Hamilton--Jacobi--Bellman (HJB) equations arising from the entropy-regula
rized exploratory control problem. These are joint works with Wenpin Tang\,
Hung Tran and Xunyu Zhou.
DTEND:20231120T230000Z
DTSTAMP:20240221T081129Z
DTSTART:20231120T220000Z
GEO:34.022409;-118.291027
LOCATION:Kaprielian Hall (KAP)\, 414
SEQUENCE:0
SUMMARY:Mathematical Finance Colloquium: Convergence of Policy Iteration fo
r Deterministic Control
UID:tag:localist.com\,2008:EventInstance_44827984953377
URL:https://calendar.usc.edu/event/mathematical_finance_colloquium_converge
nce_of_policy_iteration_for_deterministic_control
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