Course Details

Course details of EE6432
Course NoEE6432
Course TitleStochastic Control
Course Content1. Recap of probability theory: Probability spaces, Random variables, Convergence of random variables, Conditionalexpectation, Filtrations2. Recap of linear systems theory: Controllability, Observability, Kalman decomposition, Stability3. Stochastic processes: Classification of stochastic processes, Second order processes, Mean-Square calculus,Random walk and Brownian motion, Properties of Brownian motion, White noise4. Stochastic differential equations: Differential equations driven by white noise, Riemann-Stieltjes integral, Wienerintegral, Ito and Stratonovich integrals, Fokker-Planck equation, Langevin equation, Ornstein–Uhlenbeck process.5. Estimation and Filtering: Linear least squares estimator, Kalman filter in continuous and discrete time, Separationprinciple, Certainty equivalence6. Stochastic optimal control -- Dynamic programming, Hamilton–Jacobi–Bellman (HJB) equation, Linear quadraticGaussian control, Linear exponential Gaussian control, Stochastic maximum principle
Course Offered this semesterNo
Faculty Name