Yongxin Chen: Schroedinger bridges and the steering of stochastic and deterministic systems
We present an overview of our recent work on implementable solutions to
the Schroedinger bridge problem and their potential application to
stochastic optimal control, optimal transport, and various
generalizations. In particular, we discuss the case of degenerate
constant diffusion coefficients and the steering of linear dynamical
systems between two one-time state-distributions using state feedback,
the limiting case of Optimal Mass transport with nontrivial prior
dynamics. For the special case of Gaussian marginals, closed-form
solutions will be presented. [The presentation is based on joint work
with Tryphon T. Georgiou and Michele Pavon.]
Time: Tue 2015-06-16 13.15 - 14.15
Location: Seminar room 3721, Lindstedtsvägen 25
Participating: Yongxin Chen
Bio
Yongxin Chen was born in Ganzhou, Jiangxi, China. He received his BSc in
Mechanical Engineering from Shanghai Jiao Tong University, China, in
2011. He is now a fourth-year Ph.D. student in Mechanical Engineering
under the supervision of Tryphon Georgiou. Meanwhile he is pursuing a
Ph.D. minor in Mathematics. He is interested in the application of
mathematics in engineering and theoretical physics. His current research
focuses on linear dynamical systems, stochastic processes and optimal
mass transport theory. He has worked on state covariance completion
problems in connection to problems in fluid dynamics, the reversibility
and manifestations of the time-direction in second-order stochastic
processes, position control for pinned and Schrodinger bridges.