ECSE 506: Stochastic Control and Decision Theory

Aditya Mahajan
Winter 2016

About  |  Lectures  |  Coursework


ENGTR 2100 (Monday and Wednesday, 11:00 to 1:30)

Office hours

Wednesday, 2:00 to 3:00, MC 533.

Course Outline

Modelling of stochastic control systems, controlled Markov processes, dynamic programming, imperfect and delayed observations, linear quadratic and Gaussian (LQG) systems, team theory, information structures, static and dynamic teams, dynamic programming for teams,multi-armed bandits.

Course pre-requisites
Grading policy

For most of the course, I will loosely follow the notation of Kumar and Varaiya. Many of the examples done in class are taken from Bertsekas. Some material on numerical implementation is from Puterman.

Reference books
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