KOM 608 - Stochastic Optimal Control Systems

Course Objectives

To train students on stochastic optimal control theory,
To provide knowledge for the solution of the control engineering problems involving stochastic structure,

Course Description

Brief review of probability theory and stochastic properties, least squares estimation, responses of linear systems to stochastic inputs, continuous time Wiener filter, discrete time Wiener filter, optimum control system design, recursive state estimation, discrete time Kalman fitler, continuous time Kalman filter, stochastic principle of optimality, optimal control neighbouring nominal solution, Linear Quadratic Gaussian controller and closed loop system analysis