Event
Advanced Networks Colloquium: Alain Bensoussan, "Extended Mean Field Type Control"
Friday, November 16, 2018
11:00 a.m.
1146 A.V. Williams Building
Kim Edwards
kedwards@umd.edu
Advanced Networks Colloquium
Extended Mean Field Type Control and Applications to Energy Markets
Alain Bensoussan
Lars Magnus Ericsson Chair
Director of ICDRiA (International Center for Decision and Risk Analysis)
University of Texas at Dallas
Abstract
We present an extension of the standard theory of Mean Field Type Control, to handle the dependence on the probability of the control in the McKean Vlasov equation and the functional to optimize. We focus on the Master equation.
We develop an application to energy markets, which has appeared in the literature recently.
However, we will also explain the general concepts of Mean Field theory. Therefore, the lecture does not require a background in the theory.
Biography
Alain Bensoussan is Lars Magnus Ericsson Chair and the Director of ICDRiA (International Center for Decision and Risk Analysis) at the University of Texas at Dallas. He is also Chair Professor of Risk and Decision Analysis at the City University Hong Kong, He has been for 4 years World Class University Distinguished Professor at Ajou University, Korea. He is Professor Emeritus at the University Paris Dauphine. Professor Bensoussan served as President of National Institute for Research in Computer Science and Control (INRIA) from 1984 to 1996; President of the French Space Agency (CNES) from 1996 to 2003; and Chairman of the European Space Agency (ESA) Council from 1999 to 2002. He is a member of the French Academy of Sciences, French Academy of Technology, Academia Europae, and International Academy of Astronautics. His distinctions include AMS Fellow, IEEE Fellow, SIAM Fellow, Von Humboldt award, and the NASA public service medal. Professor Bensoussan is a decorated Officer of Legion d’Honneur, Commandeur Ordre National du Merite from France and Officer Bundes Verdienst Kreuz from Germany. He has received the W.T. and Idalia Reid Prize from SIAM in 2014.
He has an extensive research background in stochastic control, risk analysis and decision making. He has published 13 books and more than 400 papers and proceedings. He develops a comprehensive approach to Risk Analysis, to apprehend technical and socio-economic risks simultaneously. He has experience in aerospace and information technology industries. His main focus is presently in the energy sector.
