ECE555: Control of Stochastic Systems
Term: Fall 2020
Prerequisites: ECE 534 (Random Processes) and ECE 515 (Control System Theory and Design)
Instructor: Prof. R. Srikant, rsrikant@illinois.edu
TAs: Joseph Lubars (lubars2@illinois.edu) and Siddhartha Satpathi (ssatpth2@illinois.edu)
Office Hours: Joseph: 4-5 Tu, 5-6 Wed; Siddhartha: 5-6 Tu, 4-5 Wed; Srikant: after class
Lectures: 11-12:20 TuTh, via zoom (link is on Compass 2G under announcements)
Topics (Time Permitting):
MDPs
LQG Problems
Controlled Diffusions
Grading :
Homework: 60%; Midterm Exam (Nov. 5): 20%; Project: 20% (Due: Dec. 14, 10 pm)
References:
D. P. Bertsekas, Dynamic Programming and Optimal Control, Vols. I and II, Athena Scientific, 2005, 2012
D. P. Bertsekas and J. N. Tsitsiklis. Neuro-Dynamic Programming, Athena Scientific, 1996
V. Krishnamurthy. Partially Observed Markov Decision Processes. Cambridge University Press, 2016.
P. R. Kumar and P. Varaiya. Stochastic Systems: Estimation, Identification and Adaptive Control, SIAM, 2015
M. Puterman. Markov Decision Processes: Discrete Stochastic Dynamic Programming, Wiley, 2005
S. Ross. Applied Probability Models with Optimization Applications, Dover, 1970
S. Ross. Introduction to Stochastic Dynamic Programming, Academic Press, 1983.
The notes of Profs. Tamer Basar, Ali Belabbas, Aditya Mahajan, Max Raginsky, Ramon van Handel, and Richard Weber; except for the first one, the rest are available online