Stochastic Control

3 credits · College of Engineering catalogue

Advisory Prerequisite: ECE 501 and ECE 560. Enforced Prerequisite: None. (3 credits) Analysis and optimization of controlled stochastic systems. Models: linear and nonlinear stochastic controlled systems, controlled Markov chains. Optimization of systems described by Markov processes; dynamic programming under perfect and imperfect information, finite and infinite horizons. System identification: off-line, recursive. Stochastic adaptive control: Markov chains, self-tuning regulators, bandit problems.