ENEE 762 - Stochastic Control

ENEE 762 - Stochastic Control

Fall 2006

Last Update 6:10 pm, Tuesday, September 19, 2006

Course Information

Special Announcements

Weekly Lecture Notes by P. S. Krishnaprasad

Lecture 1 (Kalman-Bucy filter and duality)

Lecture 2 (Detour on measure) see also this link and this link on Lebesgue integration

Lecture 3 (Integration - Riemann and Stieltjes)

Lecture 4 (Quadratic optimal control and the need for a new calculus)


Homework Assignments

Group effort in working out homework problems is encouraged. However everyone should submit individual homework solutions. Precise credit for any sources used (colleagues, teachers, journal articles, books, web resources etc.) should be given.

Problem Set 1 due Tuesday, September 19


Some interesting resources on the web

Real Analysis by Bert G. Wachsmuth

Real Analysis WebNotes by John Lindsay Orr

Real Analysis A first course by John O'Connor

My course on Optimal Control ENEE 664 in Spring 2004.

My course on Nonlinear Control ENEE 661 in Spring 2005.

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

Notes for a course on stochastic differential equations by Prof. L.C. Evans Version 1.2

Notes for a course on stochastic analysis by Prof. T. Kurtz from year 2001

IEEE Transactions on Automatic Control Special issue on the LQG problem (December 1971)

Fundamental papers on thermal noise due by J.B. Johnson and H. Nyquist