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X Summer School

Achievements and Applications
of Contemporary Informatics, Mathematics and Physics
August 4-18, 2015, Kyiv (Ukraine)

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Optimal Control of Stochastic Heat Equation with Symplectic-Partitioned Runge-Kutta Schemes

Abstract:

SPRK methods for the optimal control problems of stochastic pertial differential equations. The efficiency in the time consumption.
Stochastic control instead of a deterministic one.
Order conditions of the SPRK scheme for the stochastic optimal control problems.
Malliavin theory based Monte-Carlo approach for stochastic control problems with stochastic PDEs.
Nonlinear stochastic control problems.

Keywords:

  • Stochastic optimal Control Problem
  • Solution of Optimization Problem
  • Discretization
  • Continuous Optimality System
  • Discrete Optimal Control Problem
  • Computation of Conditional Expectation

Courses materials

About lecturer:

Prof. Gerhard-Wilhelm Weber ,
Department of Financial Mathematics and Department of Scientific Computing, Institute of Applied Mathematics, Middle East Technical University, Ankara, Turkey; Guest Professor at the Faculty of Economics, Management and Law of University of Siegen, Germany; Collaborator at Center for Research on Optimization and Control (CEOC), University of Aveiro, Portugal.


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  • About us
    • What is AACIMP?
    • Organizers
    • Contact us
    • Kyiv
  • Partners
    • How to get involved
    • Financial
    • Media
    • Corporate Sponsorship
    • Travel
    • In kind
  • Program
    • Smart Cities
    • 3D Printing
    • Computational Neuroscience
    • Applied Computer Science
    • Poster Session
    • Plenary Session
    • Student Projects
    • AACIMP 2013
    • AACIMP 2014
  • Participation
    • General schedule
    • How to apply?
    • Eligible students
    • Student responsibilities
  • Tuition
    • Registration fees
    • How to pay?
    • Discounts & scholarships
  • Housing
    • Accommodation
    • Dining services
    • Travel information
    • Visa information
  • Impressions
    • Photo memories
    • Video memories
    • Organizers impressions
    • Alumni opinions
  • Promotion
  • FAQ