Course Schedule and Catalog

Department: Comp Appl Math Operations Rsch

Meeting: 4:00PM - 5:15PM TR (13-JAN-2025 - 25-APR-2025) 

Part of Term: Full Term

Grade Mode: Standard Letter

Course Type: Lecture

Language of Instruction: Taught in English

Method of Instruction: Face to Face

Credit Hours: 3

 

Section Max Enrollment: 15

Section Enrolled: 13

Total Cross-list Max Enrollment: 30

Total Cross-list Enrolled: 19

Enrollment data as of: 26-DEC-2024 3:37PM

 

 

Final Exam: GR Course-Dept Schedules Exam

 

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. Cross-list: CMOR 455. 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, STAT418), linear algebra (e.g., CAAM 334 or CAAM 345) and analysis (e.g., MATH302), and differential equations.