EECS 417 - Introduction to Stochastic Control

Institution:

Case Western Reserve University

Subject:

Description:

Analysis and design of controllers for discrete-time stochastic systems. Review of probability theory and stochastic properties, input-output analysis of linear stochastic systems, spectral factorization and Weiner filtering, minimum variance control, state-space models of stochastic systems, optimal control and dynamic programming, statistical estimation and filtering, the Kalman-Bucy theory, the linear quadratic Gaussian problem, and the separation theorem. Recommended preparation: EECS 408.

Credits:

3.00

Credit Hours:

Prerequisites:

Corequisites:

Exclusions:

Level:

Instructional Type:

Lecture

Notes:

Additional Information:

Historical Version(s):

Institution Website:

www.case.edu

Phone Number:

(216) 368-2000

Regional Accreditation:

North Central Association of Colleges and Schools

Calendar System:

Semester

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