Stochastic Optimal Control & Optimization under Uncertainty


Tao Zhou, Academy of Mathematics and System Sciences, Chinese Academy of Sciences


2018.05.08 14:00-15:00


601, Pao Yue-Kong Library


This talk is basically an introduction to two related research topics. (i) Stochastic Optimal Control (SOT). SOT has wide applications in computational finance, game theory, ect. A related topic of SOT is the backward stochastic differential equations (BSEDs). We shall highlight Chinese researchers’ contributions to BSDEs. Recent progresses on numerical methods for BSDEs and SOT will also be discussed. (ii) Optimization Under Uncertainty (OUU). OUU is mainly motivated by uncertainty quantification, and its application area includes shape optimization, heat transfer in thermal conduction problems, etc. We shall introduce some basic framework of OUU and discuss some numerical challenges.


Dr. Tao Zhou is currently an associate professor in Academy of Mathematics and System Sciences, Chinese Academy of Sciences. He was a postdoc fellow in EPFL in Switzerland during 2011-2012. Dr. Zhou’s research effort has been focused mainly on uncertainty quantification. In particular, he is interested in stochastic collocation methods, dynamically orthogonal field approach, hyperbolic type equations with random input, high order numerical methods for FBSDEs, parallel-in-time algorithms. In 2016, Dr. Zhou was awarded the Outstanding Young Scholar Award by CSIAM. He was also elected as the Chen Jingrun Future Star by AMSS in 2017. In 2018, he was elected as a member of the Youth Innovation Promotion Association by Chinese Academy of Sciences. Dr. Zhou serves as associate editor for many international journals such as International Journal for Uncertainty quantification (IJ4UQ) and Communications in Computational Physics (CiCP). Since Jan. 2018, he has been the Managing Editor of East Asian Journal on Applied Mathematics.