EEE 546 Control and Optimization of Stochastic Systems
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Controlled and control-free Markov chains and stochastic stability; martingale methods for stability and stochastic learning; dynamic programming and optimal control for finite horizons, infinite horizons, and average cost problems; partially observed models, non-linear filtering and Kalman Filtering; linear programming and numerical methods; reinforcement learning and stochastic approximation methods; multi-agent (decentralized) stochastic control, and continuous-time stochastic control.
Credit units: 3 ECTS Credit units: 5.
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