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inControl

著者： Alberto Padoan
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The first podcast on control theory.
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© 2026 inControl 科学
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  • ep46 - The fall of LTCM: Bachelier, Merton, and Black–Scholes ... when stochastic control met Wall Street

    ep46 - The fall of LTCM: Bachelier, Merton, and Black–Scholes ... when stochastic control met Wall Street
    2026/07/15
    Outline00:00 - Intro02:25 - Bachelier and the Théorie de la Spéculation03:05 - Stochastic processes, Brownian motion, and the heat equation09:45 - Poincaré's verdict, obscurity, and rediscovery13:50 - Robert C. Merton: from hot rods to MIT19:25 - Dynamic programming and Itô calculus24:35 - Merton's portfolio problem as stochastic optimal control31:10 - Options, dynamic hedging, and the Black–Scholes–Merton equation39:50 - LTCM: the dream team46:30 - August 1998: the crash49:00 - Fat tails and the ten-sigma defense51:40 - The ghosts of 2008 and echoes in the AI boom54:00 - Robustness embraced at last: Hansen and Sargent57:45 - OutroLinksBachelier's thesis, "Théorie de la Spéculation" (1900): https://www.numdam.org/item/10.24033/asens.476.pdfCourtault et al., "Louis Bachelier on the Centenary of Théorie de la Spéculation": https://doi.org/10.1111/1467-9965.00098Merton's Nobel autobiography: https://www.nobelprize.org/prizes/economic-sciences/1997/merton/biographical/Merton's MIT "Infinite History" interview: https://infinite.mit.edu/video/robert-c-merton-phd-%E2%80%9970/Mandelbrot, "The Variation of Certain Speculative Prices": https://doi.org/10.1086/294632Merton, "Optimum Consumption and Portfolio Rules in a Continuous-Time Model": https://doi.org/10.1016/0022-0531(71)90038-XMoehle & Boyd, "A Certainty Equivalent Merton Problem": https://doi.org/10.1109/LCSYS.2021.3111534Brigo & Mercurio, "Interest Rate Models: Theory and Practice": https://doi.org/10.1007/978-3-540-34604-3Armstrong, Brigo & Hanzon, "Optimal Projection Filters with Information Geometry": https://doi.org/10.1007/s41884-023-00108-xHu & Zhou, "Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection": https://doi.org/10.1137/S0363012904441969Black & Scholes, "The Pricing of Options and Corporate Liabilities": https://doi.org/10.1086/260062Merton, "Theory of Rational Option Pricing": https://doi.org/10.2307/3003143Merton, "Option Pricing When Underlying Stock Returns Are Discontinuous": https://doi.org/10.1016/0304-405X(76)90022-2Scholes' Nobel lecture: https://www.nobelprize.org/prizes/economic-sciences/1997/scholes/lecture/Merton's Nobel lecture: https://www.nobelprize.org/prizes/economic-sciences/1997/merton/lecture/Markowitz, "Portfolio Selection": https://doi.org/10.2307/2975974Michael Lewis, "Liar's Poker": https://en.wikipedia.org/wiki/Liar%27s_PokerEdwards, "Hedge Funds and the Collapse of Long-Term Capital Management": https://doi.org/10.1257/jep.13.2.189Lowenstein, "When Genius Failed": https://en.wikipedia.org/wiki/When_Genius_FailedTaleb, "Statistical Consequences of Fat Tails": https://arxiv.org/abs/2001.10488Taleb & West, "Working with Convex Responses: Antifragility from Finance to Oncology": https://doi.org/10.3390/e25020343Taleb, "The Black Swan": https://en.wikipedia.org/wiki/The_Black_Swan:_The_Impact_of_the_Highly_ImprobableTaleb, "Fooled by Randomness": https://en.wikipedia.org/wiki/Fooled_by_RandomnessMan Group, "The AI Bubble: Hidden Risks and Opportunities": https://www.man.com/insights/the-ai-bubbleSen. Warren's remarks at the Vanderbilt Policy Accelerator: https://www.banking.senate.gov/newsroom/minority/warren-remarks-at-vanderbilt-policy-accelerator-event-highlighting-economic-and-financial-risks-of-potential-ai-crashMeng & Chen, "Artificial Intelligence and Systemic Risk": https://arxiv.org/abs/2604.03272Doyle, "Guaranteed Margins for LQG Regulators": https://doi.org/10.1109/TAC.1978.1101791Safonov & Athans, "Gain and Phase Margin for Multiloop LQG Regulators": https://doi.org/10.1109/TAC.1977.1101470Hansen & Sargent, "Robust Control and Model Uncertainty": https://doi.org/10.1257/aer.91.2.60Hansen & Sargent, "Wanting Robustness in Macroeconomics": http://www.tomsargent.com/research/wanting.pdfSupport the showPodcast infoPodcast website: https://www.incontrolpodcast.com/Apple Podcasts: https://tinyurl.com/5n84j85jSpotify: https://tinyurl.com/4rwztj3cRSS: https://tinyurl.com/yc2fcv4yYoutube: https://tinyurl.com/bdbvhsj6Facebook: https://tinyurl.com/3z24yr43Twitter: https://twitter.com/IncontrolPInstagram: https://tinyurl.com/35cu4kr4Acknowledgments and sponsorsThis episode was supported by the National Centre of Competence in Research on «Dependable, ubiquitous automation» and the IFAC Activity fund. The podcast benefits from the help of an incredibly talented and passionate team. Special thanks to L. Seward, E. Cahard, F. Banis, F. Dörfler, J. Lygeros, ETH studio and mirrorlake . Music was composed by A New Element.
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    1 時間 1 分
  • ep45 - Peter Caines: from stochastic and adaptive control to mean field games, graphons, and beyond!

    ep45 - Peter Caines: from stochastic and adaptive control to mean field games, graphons, and beyond!
    2026/06/15
    Outline 00:00 - Intro 02:10 - London in the 1960s12:40 - From Oxford to Imperial College: David Mayne and the discrete-time Riccati equation 18:05 - The "global tour": Montenegro roads, hitch-hiking to Istanbul, and the San Francisco waterfront 22:30 - Feedback and causality between stochastic processes 31:15 - The system identification years 40:50 - Model complexity, the bias–variance trade-off, and concentration inequalities 52:05 - Adaptive control: living through a golden era 1:00:30 - McGill, George Zames, and CIFAR's "institute without walls," and COCOLOG 1:09:45 - Mean field games: the China connection, the cell-phone problem, and Nash Certainty Equivalence 1:20:15 - The Lasry–Lions simultaneous discovery 1:24:40 - From graphons to graphexons: sparse networks, Laplexions, and geometry 1:31:00 - Linear Stochastic Systems, Popper, and falsifiability 1:35:20 - Advice to young researchers 1:38:00 - OutroLinks Peter Caines' website: https://www.mcgill.ca/cim/caines Linear Stochastic Systems: https://epubs.siam.org/doi/book/10.1137/1.9781611974713 On the discrete-time matrix Riccati equation of optimal control: https://doi.org/10.1080/00207177008931892 Feedback between stationary stochastic processes: https://doi.org/10.1109/TAC.1975.1101008 Prediction-error identification methods for stationary stochastic processes: https://doi.org/10.1109/TAC.1976.1101304 Asymptotic normality of prediction-error estimators for approximate system models: https://doi.org/10.1109/CDC.1978.268066 Discrete-time multivariable adaptive control (Axelby Award): https://doi.org/10.1109/TAC.1980.1102363 Discrete-time stochastic adaptive control: https://doi.org/10.1137/0319052 25 seminal control papers of the 20th century: https://books.google.ca/books/about/Control_Theory.html?id=eVhGAAAAYAAJ COCOLOG: A conditional observer and controller logic for finite machines: https://epubs.siam.org/doi/10.1137/S0363012992226636 Hierarchical hybrid control systems: https://doi.org/10.1109/9.664153 On the hybrid optimal control problem: https://ieeexplore.ieee.org/document/4303244Bode Lecture: https://ieeecss.org/presentation/bode-lecture/mean-field-stochastic-control The cell-phone problem - Large population stochastic wireless power control: https://doi.org/10.1109/CDC.2003.1272542 Large-population stochastic dynamic games - McKean-Vlasov and the Nash Certainty Equivalence principle: https://projecteuclid.org/journals/communications-in-information-and-systems/volume-6/issue-3/Large-population-stochastic-dynamic-games--closed-loop-McKean-Vlasov/cis/1183728987.full Large-population cost-coupled LQG with nonuniform agents and decentralized ε-Nash equilibria: https://doi.org/10.1109/TAC.2007.904450 Social optima in mean field LQG control: https://doi.org/10.1109/TAC.2012.2183439 ε-Nash mean field games with major and minor agents: https://arxiv.org/abs/1209.5684 Graphon mean field games and their equations: https://doi.org/10.1137/20M136373X Mean field games on large sparse network limits - Laplexion dynamics on graphexons: https://www.sciencedirect.com/science/article/pii/S240589632500388X Murray Wonham oral history: https://www.youtube.com/watch?v=8IBZyRo0vDkSupport the showPodcast infoPodcast website: https://www.incontrolpodcast.com/Apple Podcasts: https://tinyurl.com/5n84j85jSpotify: https://tinyurl.com/4rwztj3cRSS: https://tinyurl.com/yc2fcv4yYoutube: https://tinyurl.com/bdbvhsj6Facebook: https://tinyurl.com/3z24yr43Twitter: https://twitter.com/IncontrolPInstagram: https://tinyurl.com/35cu4kr4Acknowledgments and sponsorsThis episode was supported by the National Centre of Competence in Research on «Dependable, ubiquitous automation» and the IFAC Activity fund. The podcast benefits from the help of an incredibly talented and passionate team. Special thanks to L. Seward, E. Cahard, F. Banis, F. Dörfler, J. Lygeros, ETH studio and mirrorlake . Music was composed by A New Element.
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    1 時間 32 分
  • ep44 - Mario di Bernardo: From Circuits to Cells and Swarms — Control meets Complexity

    ep44 - Mario di Bernardo: From Circuits to Cells and Swarms — Control meets Complexity
    2026/05/15

    Outline
    00:00 - Intro
    01:30 - Origin story: Naples, electrical engineering, and the fascination with chaos
    08:00 - What is chaos?
    15:00 - DC-DC converters and discontinuity-induced bifurcations
    22:00 - Piecewise-smooth dynamical systems
    26:55 - Complex networks, synchronization, and pinning control
    40:30- Synthetic biology: from gene regulatory networks to multicellular control
    58:00 - COVID-19: a network epidemic model for Italy
    1:02:00 - Multiscale control, statistical mechanics, and physics-informed control
    1:19:10 - State of the field and the IEEE CSS
    1:26:35 - Advice to young researchers
    1:29:00 - Outro

    Links
    Mario's website: https://sites.google.com/site/dibernardogroup/home
    Scuola Superiore Meridionale: https://www.ssm.unina.it/
    Chaos by James Gleick: https://en.wikipedia.org/wiki/Chaos:_Making_a_New_Science
    Control of chaos:https://en.wikipedia.org/wiki/Control_of_chaos
    Erasmus programme: https://en.wikipedia.org/wiki/Erasmus_Programme
    An Adaptive Approach to the Control and Synchronization of Continuous-time Chaotic Systems: https://doi.org/10.1142/S0218127496000254
    Piecewise-smooth Dynamical Systems: Theory and Applications: https://doi.org/10.1007/978-1-84628-708-4
    Bifurcations in nonsmooth dynamical systems: https://doi.org/10.1137/050625060 Controllability of complex networks via pinning:
    https://doi.org/10.1103/PhysRevE.75.046103
    Criteria for global pinning-controllability of complex networks: https://doi.org/10.1016/j.automatica.2008.07.007
    Controllability of complex networks: https://doi.org/10.1038/nature10011
    Controlling complex networks with complex nodes: https://doi.org/10.1038/s42254-023-00566-3
    Analysis, design and implementation of a novel scheme for in-vivo control of synthetic gene regulatory networks: https://doi.org/10.1016/j.automatica.2011.01.073
    In-vivo Real-time Control of Protein Expression from Endogenous and Synthetic Gene Networks: https://doi.org/10.1371/journal.pcbi.1003625
    A network model of Italy shows that intermittent regional strategies can alleviate the COVID-19 epidemic: https://doi.org/10.1038/s41467-020-18827-5
    A Continuification-Based Control Solution for Large-Scale Shepherding:
    https://arxiv.org/abs/2411.04791
    Shepherding control and herdability in complex multiagent systems: https://doi.org/10.1103/PhysRevResearch.6.L032012
    Nonreciprocal field theory for decision-making in multi-agent control systems: https://doi.org/10.1038/s41467-025-63071-4

    Support the show

    Podcast info
    Podcast website: https://www.incontrolpodcast.com/
    Apple Podcasts: https://tinyurl.com/5n84j85j
    Spotify: https://tinyurl.com/4rwztj3c
    RSS: https://tinyurl.com/yc2fcv4y
    Youtube: https://tinyurl.com/bdbvhsj6
    Facebook: https://tinyurl.com/3z24yr43
    Twitter: https://twitter.com/IncontrolP
    Instagram: https://tinyurl.com/35cu4kr4

    Acknowledgments and sponsors
    This episode was supported by the National Centre of Competence in Research on «Dependable, ubiquitous automation» and the IFAC Activity fund. The podcast benefits from the help of an incredibly talented and passionate team. Special thanks to L. Seward, E. Cahard, F. Banis, F. Dörfler, J. Lygeros, ETH studio and mirrorlake . Music was composed by A New Element.
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    1 時間 30 分
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