Course Schedule and Catalog
Course Schedule - Spring Semester 2023
Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).Additional information available here.
Meeting location information can now be found on student schedules in ESTHER (for students) or on the Course Roster in ESTHER (for faculty and instructors).Additional information available here.
CAAM 555 001 (CRN: 24427)
STOCHASTIC CONTROL & APP
Long Title: STOCHASTIC CONTROL AND APPLICATIONS
Department: Comp Appl Math Operations Rsch
Instructor: Pang, Guodong
Meeting: 4:00PM - 5:15PM TR (9-JAN-2023 - 21-APR-2023)
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
Course Syllabus:
Course Materials: Rice Campus Store
Restrictions:
Must be enrolled in one of the following Level(s):
Graduate
Section Max Enrollment: 15
Section Enrolled: 11
Total Cross-list Max Enrollment: 30
Total Cross-list Enrolled: 15
Enrollment data as of: 9-MAY-2024 2:37AM
Final Exam: GR Course-Dept Schedules Exam
Final Exam Time:
2-MAY-2023
2:00PM - 5:00PM T
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: CAAM 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. Mutually Exclusive: Cannot register for CAAM 555 if student has credit for CAAM 455.