ep45 - Peter Caines: from stochastic and adaptive control to mean field games, graphons, and beyond!

Outline
00:00 - Intro
02:10 - London in the 1960s
12:40 - 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 - Outro

Links
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/4303244
Bode 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=8IBZyRo0vDk

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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.