Workshop: modern trends in controlled stochastic processes: theory and applications
Lead Research Organisation:
University of Liverpool
Department Name: Mathematical Sciences
Abstract
After preliminary contacts, we have 28 overseas participants and 7 prospective British participants from outside Liverpool. If we add 5 members of staff and research students of the Division of Statistics and Probability (Uni. of Liverpool) we obtain the full preliminary list which can be enlarged by other members of staff of the Dept. of Mathematical Sciences (Uni. of Liverpool). According to the title, there will be a good balance between purely mathematical issues like construction of the controlled models, their properties, approximations etc, and practical applications based on the developed theory, like congestion management in Internet, risk management in economics and insurance, inventory control and optimal interventions in epidemics. At the moment, we have the draft schedule of the workshop, described in the Timetable. The participants will be allowed to give 30-35-minute long official presentations. Besides they will have plenty of time to communicate informally, to create and develop research links. As can be seen from the Case for Support, the workshop will involve several world leading scientists, along with talented young researchers and PhD students.
Planned Impact
The participants of the workshop and other academic researchers in the theory and applications of (controlled) Random Processes will be the main beneficiaries of the workshop, because personal contacts will result in new views on modern important problems, new theorems, high quality joint papers. Since the participants are interested in applications to Finance, Queues, Reliability, Teletraffic, Biology etc, the prospective joint research will be useful for applied mathematicians and engineers working in the corresponding areas. The prospective participants collaborate with France Telecom, Alcatel-Lucent, Russian Inst. of Control Sciences, THALES, DCNS, Airbus (and Defence), US EPA, and so on, meaning that British, European and American industry will also be the beneficiary of the workshop. In a nutshell, practical applications of the developed theory, discussed on the current workshop, will help to solve many real-life problems like congestion management in Internet, power control in wireless networks, water management, portfolio optimisation, risk management, optimal interventions in epidemics, and so on. Several scientific results presented and discussed at the workshop, will be incorporated into lectures/tutorials at the Universities of Liverpool, Pau, Bordeaux, Basque Country, Wisconsin, Moscow, Bern, Jerusalem, Karlsruhe etc, so that undergraduate students can also be the beneficiaries. Information about the workshop will be distributed to the academic community by e-mail, using the personal links of the participants; we also plan to provide the links on our personal webpages. All the participants will share the results of the workshop with their colleagues at their universities and research institutes. The results of collaboration will be, as usual, presented at regular international meetings and published in high quality journals. The extended reports will be published as a scientific monograph at LUNIVER Press by the end of 2015, or at the beginning of 2016.
Organisations
- University of Liverpool (Lead Research Organisation)
- London School of Economics and Political Science (University of London) (Collaboration)
- Kanagawa University (Collaboration)
- National Autonomous University of Mexico (Collaboration)
- The National Institute for Research in Computer Science and Control (INRIA) (Collaboration)
People |
ORCID iD |
A Piunovskiy (Principal Investigator) |
Publications
Dufour Francois
(2015)
IMPULSIVE CONTROL FOR CONTINUOUS-TIME MARKOV DECISION PROCESSES
in ADVANCES IN APPLIED PROBABILITY
Dufour F
(2015)
Impulsive Control for Continuous-Time Markov Decision Processes: A Linear Programming Approach
in Applied Mathematics & Optimization
Avrachenkov K
(2014)
Infinite horizon optimal impulsive control with applications to Internet congestion control
in International Journal of Control
Avrachenkov K
(2017)
Hitting Times in Markov Chains with Restart and their Application to Network Centrality
in Methodology and Computing in Applied Probability
Costa O
(2016)
Constrained and Unconstrained Optimal Discounted Control of Piecewise Deterministic Markov Processes
in SIAM Journal on Control and Optimization
Piunovskiy A
(2015)
Randomized and Relaxed Strategies in Continuous-Time Markov Decision Processes
in SIAM Journal on Control and Optimization
Dufour F
(2016)
Optimal impulsive control of piecewise deterministic Markov processes
in Stochastics
F.Dufour
(2016)
Optimal impulsive control of piece-wise deterministic Markov process
in Stochastics
Description | This grant supported one-week workshop in Liverpool with over 35 participants from about 15 different countries including UK, USA, Japan, China, France, Germany etc. That was an excellent opportunity for world leading researchers to meet together and discuss the current state of the stochastic control theory and applications (to Queueing Theory, Financial Mathematics, water resources, pollution, quality control, power management and so on). The feedback from the participants was very positive, all the presentations were published in the form of the monograph "Modern trends in controlled stochastic processes (Vol.II)" ISBN-10: I-905986-45-9 which received a good review in Amazon. After this workshop, several participants established strong research links, started new jont projects funded by their national research foundation and published joint papers. Note, there was a number of very young researchers at the beginning of their career. |
Exploitation Route | New projects following this workshop, new publications of the participants, incorporation of the new ideas discussed during the workhop in the lectures for undergraduates and postgraduate students, new projects for PhD students. |
Sectors | Digital/Communication/Information Technologies (including Software),Education,Environment,Financial Services, and Management Consultancy,Manufacturing, including Industrial Biotechology |
URL | https://www.amazon.co.uk/Modern-Trends-Controlled-Stochastic-Processes/dp/1905986300/ref=sr_1_2?keywords=piunovskiy&qid=1552070519&s=books&sr=1-2-catcorr |
Description | Internationa exchange scheme |
Amount | £10,200 (GBP) |
Funding ID | IE160503 |
Organisation | The Royal Society |
Sector | Charity/Non Profit |
Country | United Kingdom |
Start | 12/2016 |
End | 11/2018 |
Description | Joint research with Prof. F.Dufour, INRIA, Bordeaux-France |
Organisation | The National Institute for Research in Computer Science and Control (INRIA) |
Department | Bordeaux |
Country | France |
Sector | Public |
PI Contribution | No contribution from my university. |
Collaborator Contribution | INRIA supported my multiple research visits to Bordeaux and visits of Prof.F.Dufour to Liverpool in 2009-2019. |
Impact | Multiple joint articles with prof. F.Dufour on stochastic optimal control, sometimes involving also other researchers (e.g., O.Costa-Brazil, M.Horiguchi-Japan). For example: Impulsive control for continuous-time Markov decision processes: a linear programming approach (F.Dufour and A.Piunovskiy - co-authors) // Appl. Math. Optim., 2016, V.74, N.1, p.129-161. Constrained and unconstrained optimal discounted control of piecewise deterministic Markov processes (O.Costa, F.Dufour and A.Piunovskiy - co-authors) // SIAM J. Control Optim, 2016, V.54, N.3, p.1444-1474. Optimal impulsive control of piecewise deterministic Markov processes (F.Dufour, M.Horiguchi and A.Piunovskiy - co-authors) // Stochastics, 2016, V.88, N.7, p.1073-1098. On the equivalence of the integral and differential Bellman equations in impulse control problems (F.Dufour, A.Piunovskiy and A.Plakhov - co-authors) // Int. J. of Control, 2020. DOI: 10.1080/00207179.2020.1786766 At the end of 2021, together with Dr.Y.Zhang and Prof.F.Dufour, we started working on the new monograph on the optimal impulsive control. |
Start Year | 2009 |
Description | Joint research with Prof. M.Horiguchi |
Organisation | Kanagawa University |
Department | Department of Mathematics and Physics |
Country | Japan |
Sector | Academic/University |
PI Contribution | Research: Optimal impulsive control of piece-wise deterministic Markov processes: preliminary study. |
Collaborator Contribution | Prof. M.Horiguchi and Kanagawa University invited me to Japan in Sept. 2015 where we completed the article and submitted to "Stochastics". |
Impact | "Optimal impulsive control of piece-wise deterministic Markov processes: preliminary study." - submitted to "Stochastics". |
Start Year | 2015 |
Description | New research links. |
Organisation | Kanagawa University |
Country | Japan |
Sector | Academic/University |
PI Contribution | The workshop held in Liverpool brought together over 30 world experts in the field who intensively collaborated and established permanent research links. I mentioned only three collaborators, just to save space. |
Collaborator Contribution | All the participants of the workshop made presentations. 19 extended reports were published as a scientific monograph: Modern Trends in Controlled Stochastic Processes, Vol. II; (Luniver, 2015). Let me also underline that we had a number of young researchers at the beginning of their career, including PhD students: K.Chernysh, M.Veretennikova etc. Women representation: about 20 percent. |
Impact | Monograph: Modern Trends in Controlled Stochastic Processes, Vol. II (Luniver, 2015), ISBN-10: 1-905986-45-9 |
Start Year | 2015 |
Description | New research links. |
Organisation | London School of Economics and Political Science (University of London) |
Country | United Kingdom |
Sector | Academic/University |
PI Contribution | The workshop held in Liverpool brought together over 30 world experts in the field who intensively collaborated and established permanent research links. I mentioned only three collaborators, just to save space. |
Collaborator Contribution | All the participants of the workshop made presentations. 19 extended reports were published as a scientific monograph: Modern Trends in Controlled Stochastic Processes, Vol. II; (Luniver, 2015). Let me also underline that we had a number of young researchers at the beginning of their career, including PhD students: K.Chernysh, M.Veretennikova etc. Women representation: about 20 percent. |
Impact | Monograph: Modern Trends in Controlled Stochastic Processes, Vol. II (Luniver, 2015), ISBN-10: 1-905986-45-9 |
Start Year | 2015 |
Description | New research links. |
Organisation | National Autonomous University of Mexico |
Country | Mexico |
Sector | Academic/University |
PI Contribution | The workshop held in Liverpool brought together over 30 world experts in the field who intensively collaborated and established permanent research links. I mentioned only three collaborators, just to save space. |
Collaborator Contribution | All the participants of the workshop made presentations. 19 extended reports were published as a scientific monograph: Modern Trends in Controlled Stochastic Processes, Vol. II; (Luniver, 2015). Let me also underline that we had a number of young researchers at the beginning of their career, including PhD students: K.Chernysh, M.Veretennikova etc. Women representation: about 20 percent. |
Impact | Monograph: Modern Trends in Controlled Stochastic Processes, Vol. II (Luniver, 2015), ISBN-10: 1-905986-45-9 |
Start Year | 2015 |
Description | Research visit to the Kanagawa University |
Form Of Engagement Activity | A formal working group, expert panel or dialogue |
Part Of Official Scheme? | No |
Geographic Reach | International |
Primary Audience | Professional Practitioners |
Results and Impact | That was a brief joint research trip with Prof. F.Dufour (France) to the Kanagawa Uni in Japan, organised by Prof. M.Horiguchi. We gave presentations to the academic audience and UG students. We prepared a draft of research paper submitted later to "Stochastics". |
Year(s) Of Engagement Activity | 2015 |