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 1

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.

Comments are welcome.


Last update 5/12/2006