Graduate School Lectures
Introduction to optimal control of stochastic processes through the Fokker-Planck equation: theory and numerical methods
Prof. Mario Annunziato
University of Salerno
Calendar
| 7/5/26 - 16:00/18:00 | Room S3-I piano St.9 |
| 8/5/26 - 14:30/16:30 | Room S3-I piano St.9 |
| 13/5/26 - 14:30/16:30 | Room S3-I piano St.9 |
| 14/5/26 - 14:30/16:30 | Room S3-I piano St.9 |
| 15/5/26 - 10:00/12:00 | Room S3-I piano St.9 |
The course provides the formulation of the optimal control problem for continuous markovian stochastic processes through the Fokker-Planck eqaution, the description of a method for the numerical solution, with hints of mathematical analysis.
As a basic example for the optimal control problem, the “brownian” motion with a control function and cost function is examined. The probability distribution function, or its density, representing the statistical state of this random system allows the formulation of the optimal control problem with the Fokker-Planck equation. Some hints for the existence and uniqueness for the equation solution are given, as well as methods for the numerical solution. Further, Monte Carlo numerical tests validate the ability of the illustrated technique of optimal control for stochastic processes.