Electrical & Computer Engin 735 - Stochstc Cntr Dyn Sy

Advanced topics in modern stochastic dynamic systems: stochastic differential equations; numerical methods for SDEs; large deviation theory and its application; importance sampling; point processes; filtering in queueing networks, nonlinear filtering theory; LQG control for continuous time systems; identification theory; stochastic approximation theory.

Open to Graduate students only.