Fall 2024: Stochastic Control

Staff

Instructor: Mohamed Ali Belabbas, CSL 166. Office hours: Tuesday 12.30PM, CSL 166 or 141. Contact: belabbas@illinois.edu

Teaching Assitant: Erkan Bayram, CSL 157 Office hours: Thursday 2PM, CSL 157 Contact: ebayram2@illinois.edu

Midterm

Tue Nov 5, in class.

Closed notes. You can have 1 cheat sheet (letter-sized, double-sided, with anything you want written on it; preferably material related to the course though).

Grading policy

There will be 5-6 homeworks assigned, an in-class exam and a final project. Homeworks count for 40% of the final grade, the exam for 20% and the final project for 40%

Homeworks

Homeworks are posted on Gradescope. HW1

HW2: due Oct 11

Course notes

Chapter File Last updated
TOC + Chapter 1: Intro to probability File Sep 17
Chaper 2: Basics of stochastic processes File Sep 17
Chapter 3: Poisson counters and stochastic differential equations File Oct 1
Chapter 4: Dynamic Programming and Optimal Control File Oct 10
Chapter 5: Wiener Process and Stochastic Differential Equations File Oct 29
Chapter 6: System Concepts File Nov 20
Chapter 7: Estimation File Nov 19
Chapter 8-9: Separation Principle + Ergodic Theory File Dec 5

Additional items

Recorded lectures can be found on the course channel.

Additional references

Stochastic Methods by C. Gardiner

Stochastic Calculus and Applications by S. Cohen and R. Elliot