报告题目：Optimal Drift Rate Control and Two-Sided Impulse Control for A Brownian System
报 告 人：姚大成 教授
工作单位：中国科学院
报告时间：2025年10月11日 14:00-15:30
会议地点：数信学院二楼会议室
报告摘要：
We consider a joint drift rate control and two-sided impulse control problem in which the system manager adjusts the drift rate as well as the instantaneous relocation for a Brownian motion, with the objective of minimizing the total average state-related cost and control cost. Assuming that instantaneous upward and downward relocations take a different cost structure, which consists of both a setup cost and a variable cost, we prove that the optimal control policy takes an {(𝑠∗,𝑞∗,𝑄∗,𝑆∗ ),{𝜇∗ (𝑥):𝑥∈[𝑠∗,𝑆∗]}} form. Specifically, the optimal impulse control policy is characterized by a quadruple (𝑠∗,𝑞∗,𝑄∗,𝑆∗ ) under which the system state will be immediately relocated upwardly to 𝑞∗ once it drops to 𝑠∗ and be immediately relocated downwardly to 𝑄∗ once it rises to 𝑆∗∗; the optimal drift rate control policy will depend solely on the current system state, which is characterized by a function 𝜇∗ (∙) for the system state staying in [𝑠∗,𝑆∗].
报告人简介：
姚大成，中国科学院数学与系统科学研究院研究员，博士生导师，应用数学所所长助理。研究兴趣主要集中在库存管理、排队论、随机最优控制等领域，研究成果发表于《Operations Research》，《Mathematics of Operations Research》，《Production and Operations Management》，《IEEE Transactions on Automatic Control》，《SIAM Journal on Control and Optimization》，《SIAM Journal on Matrix Analysis and Applications》等国际顶级或权威期刊。获得中国运筹学会青年科技奖（2020）和北京市运筹学会青年优秀论文奖（2018）。
