MECH&AE 271C

Stochastic Optimal Control

Description: Lecture, four hours; outside study, eight hours. Requisite: course 271B. Stochastic dynamic programming, certainty equivalence principle, separation theorem, information statistics; linear-quadratic-Gaussian problem, linear-exponential-Gaussian problem. Relationship between stochastic control and robust control. Letter grading.

Units: 4.0
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Jason Speyer

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