Academic Calendar 2022-2023

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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.

Requirements: MTHE 351 or permission of the instructor  
Offering Faculty: Faculty of Arts and Science  

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...