ENEE 762 - Stochastic Control

ENEE 762 - Stochastic Control (also AMSC 762)

Fall 2004

Last Update 2:11, Friday, September 10, 2004

Course Information

Special Announcements

Lecture Notes 1 and Homework Assignment 1 posted. There is a mistake in the way I wrote problem 2 in the homework set. Here is what I wrote in reply to one of the students from the class. Please take note. "Sorry....I really meant to write the way I did in the actual lecture notes....I forgot to put the `d' in different places. -PSK ---------------- > Is the equation [in problem 2] for the innovation correct? In the notes you have: > > dy~ = dy - C x^ dt > > If you want y~ from this, we need to integrate, which would give a > different formula for y~ than what you gave in the homework problem #2. > Any help would be greatly appreciated. >"

Weekly Lecture Notes by P. S. Krishnaprasad

Lecture 1


Homework Assignments

Problem Set 1


Some interesting resources on the web

My course on Optimal Control ENEE 664 in Spring 2004.

Dynamical Theories of Brownian Motion by Edward Nelson, second edition, 2001. This downloadable version PDF form is available at Prof. Nelson' website.

ISR Distinguished Lecture series Fall 2004, D. Bertsekas (MIT) and B. Mishra (NYU) Click here for abstracts and schedules