Jun 01, 2020  
2016-2017 Faculty of Engineering and Applied Science Calendar-ARCHIVED 
    
2016-2017 Faculty of Engineering and Applied Science Calendar-ARCHIVED [ARCHIVED CATALOG]

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MTHE 472 Control of Stochastic Systems W | 3


Lecture: 3
Lab: 0
Tutorial: 0
Optimal control of stochastic systems with applications to engineering systems and applied mathematics. Topics include Markov chains and stochastic stability, Martingales, dynamic programming, fully observed and partially observed models, non-linear filtering, Kalman Filtering, linear programming approach, team decision and information structures.

Academic Units:
Mathematics 18
Natural Sciences 0
Complementary Studies 0
Engineering Science 9
Engineering Design 9

PREREQUISITE(S): MTHE 351  (STAT 351), MTHE 332  (MATH 332), or permission of the instructor



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