ECE6558 Course Syllabus

ECE6558

Stochastic Systems (3-0-3)

Technical Interest
Group

Systems and Controls

Prerequisites

CEE/ISYE/MATH 3770

Corequisites

None

Catalog Description

Advanced techniques in stochastic analysis with emphasis on stochastic dynamics, nonlinear filtering and detection, stochastic control and stochastic optimization and simulation methods.

Textbook(s)

No Textbook Specified.

Strategic
Performance
Indicators (SPIs)

SPIs are a subset of the abilities a student will be able to demonstrate upon successfully completing the course.

Topical Outline

1.	Introduction
	a.	Stochastic dynamic problems in control and robotics
	b.	Review basic probability
2.	Probability and stochastic analysis
	a.	Random walks and Brownian motion
	b.	Stochastic integrals and martingales
	c.	Stochastic differential equations and Ito calculus
3.	Stochastic Systems
	a.	Stochastic stability
	b.	Evolution equation: Kolmogorov and Fokker-Planck
4.	Optimal Estimation
	a.	Static estimation: linear and nonlinear
	b.	Explicit solutions and approximations
5.	Stochastic Control
	a.	Optimal stochastic control: Full information case
	b.	Optimal stochastic control: Partial information case
	c.	Separation principle and LQG-design
	d.	Dynamic programming, value functions, verification theorem
6.	Applications in Robotics and Control
	a.	Sensor measurements
	b.	Localization and sensor fusing
	c.	SLAM