Control of
Stochastic Processes 048913

Winter 2006

Teacher:
Adam Shwartz

Class
Hours: Monday 14:30-16:30, room 353 (Electrical Engineering)

Office
Hours: by
appointment, Room 669.

At this point, you will find the following
in this site. The course announcement, (word), administrative information (word), an introduction (word document) and the latest (2003)
lecture notes (pdf) – corrected 2006.

For those who would like to review material
on Markov Chains you can download the lecture notes of the course “Stochastic Signals” 044202 (pdf).

Assignment 2 (pdf)
(due Monday!)

Assignment 3 (pdf)
(due Monday 18.12)

The Linear Quadratic
finite-time problem (with noise) (pdf)

Properties of contraction
operators (pdf)

About the interchange
argument for finding an optimal policy.

A corrected version of
the lecture notes was uploaded 5.12.06.

Galit's lecture is here.

In the sub-directory Lectures
you will find an older version of the
introduction (word document), and the following lectures. The lectures as
given in previous years are available as a PostScript
file. As I prepare my lectures, I correct and amend them, so you can find the latest file with my 2003 lectures here .
Note that while this is the last version, it only includes the material up to,
and possibly including, the next lecture. For later material, refer to the
older lecture notes. To make life a little easier, here is the material up to
and including lecture 3, 2003, the
material for lecture 4, 2003, the
material up to and including lecture 4,
2003, additional material for lecture 5,
2003, additional material for lecture 6,
2003, corrected version of chapters
7,8 ,

You can also find LaTeX files of my lecture
notes (to be on the safe side, take all files with the .tex suffix, and then
run LaTeX (you need the 2-epsilon version) on the file lectures.tex). These
files keep changing as I update them.

Note: some material which I distribute in
class is not included. This includes copies I made for the class from various
texts.

Adam

Last update 5/12/2006