Time-Inconsistent Optimal Control Problems

Prof. Jiongmin Yong
University of Central Florida
Professor of Mathematics

“Do you regret your decisions made in the past? If your answer is “yes”, you are a normal person. If your answer is “no”, you are a very “rational” person. You may also ask yourself: Will you regret about the decision you make today?
If an optimal decision made today will stay optimal in the future, the problem under consideration is said to be time-consistent. Otherwise, the problem is said to be time-inconsistent. In reality, most (if not all) problems are time-inconsistent. There are two main reasons leading to the time-inconsistency: people’s subjective time-preferences and risk-preferences. In this talk, we will explain these in mathematical terms, and will present some results of time-consistent solutions to some interesting cases.”

Light refreshments will be served @ 1:30 pm in EMS E424A.