Course Catalog - 2023-2024

     

CMOR 455 - STOCHASTIC CONTROL & APP

Long Title: STOCHASTIC CONTROL AND APPLICATIONS
Department: Comp Appl Math Operations Rsch
Grade Mode: Standard Letter
Language of Instruction: Taught in English
Course Type: Lecture
Credit Hours: 3
Restrictions:
Must be enrolled in one of the following Level(s):
Undergraduate Professional
Visiting Undergraduate
Undergraduate
Prerequisite(s): CAAM 382
Description: Stochastic control theory and applications in a variety of areas including dynamic resource allocation, finance, inventory, queueing and stochastic networks, and epidemiology. Topics include foundations of stochastic control for Markov processes and diffusions, maximum principle, dynamic programming and Hamilton-Jacobi-Bellman (HJB) equations, finite-horizon and infinite-horizon discounted and average problems, optimal stopping problem, impulse control, risk sensitive control, differential games, viscosity solutions, iteration and policy iteration and other numerical solution algorithms. Graduate/Undergraduate Equivalency: CMOR 555. Recommended Prerequisite(s): Equivalent of advanced course work in calculus (e.g., MATH 212), statistics and probability theory (e.g., STAT 310 or STAT 311, STAT 418), linear algebra (e.g., CAAM 334 or CAAM 345) and analysis (e.g., MATH 302), and differential equations.