EE365: Course Information
EE365 is the same as MS&E 251, Stochastic Decision Models.
Lecture is on Tuesdays and Thursdays, 9:30–10:45am, in Meyer Forum (room 124).
Sanjay Lall's office hours: Thursdays 10:45-12:00.
Stephen Boyd's office hours: Tuesdays 10:45-12:00.
TA Office hours: (will start second week of classes)
Textbook and optional references
There will be no official textbook for the course. There are, however, several texts that can serve as auxiliary or reference texts:
Course requirements and grading
Grading: Homework 20%, final 80%. These weights are approximate; we reserve the right to change them later.
Introduction to stochastic control, with applications taken from a variety of areas including supply-chain optimization, advertising, finance, dynamic resource allocation, caching, and traditional automatic control. Markov decision processes, optimal policy with full state information for finite-horizon case, infinite-horizon discounted, and average stage cost problems. Bellman value function, value iteration, and policy iteration. Approximate dynamic programming. Linear quadratic stochastic control.