Academic Calendar 2023-2024

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MTHE 472 Optimization and Control of Stochastic Systems

MTHE 472  Optimization and Control of Stochastic Systems  Units: 3.50  

This course concerns the optimization, control, and stabilization of dynamical systems under probabilistic uncertainty with applications in engineering systems and applied mathematics. Topics include: 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; decentralized stochastic control, and continuous-time stochastic control.
(Lec: 3, Lab: 0, Tut: 0.5)

Requirements: Prerequisites: MTHE 351 or permission of the instructor Corequisites: Exclusions:   
Offering Term: W  
CEAB Units:    
Mathematics 6  
Natural Sciences 0  
Complementary Studies 0  
Engineering Science 18  
Engineering Design 18  
Offering Faculty: Faculty of Arts and Science  

Mathematics and Engineering, B.A.Sc. (Class of 2025)

https://www.queensu.ca/academic-calendar/engineering-applied-sciences/academic-plans/mathematics-engineering/mathematics-engineering-basc-class-2024/

M6 students must choose 4 technical electives: a minimum of one (1) technical elective must be taken from MTHE 430/433/472/474/477; and the remaining from List I or II, at least two of which must be taken from List II, subject to the requirement that the elective selection satisfies the following two criteria:

Mathematics and Statistics

https://www.queensu.ca/academic-calendar/graduate-studies/programs-study/mathematics-statistics/

...MTHE 472.) Three term -hours, fall or winter; lectures. (3.0 credit units) EXCLUSION: MTHE...

Mathematics and Statistics (MATH)

https://www.queensu.ca/academic-calendar/graduate-studies/courses-instruction/math/

...MTHE 472.) Three term -hours, fall or winter; lectures. (3.0 credit units) EXCLUSION: MTHE...