Description: Presents the theory of stochastic optimal control systems and methods for their design and analysis. Covers principles of optimization; Lagrange’s equation; linear-quadratic-Gaussian control; certainty-equivalence; the minimum principle; the Hamilton-Jacobi-Bellman equation; and the algebraic Ricatti equation.
Credit: May be taken Satisfactory (S) or No Credit (NC) with consent of instructor and graduate advisor.