Stochastic Control

Contact

Name

Christian Ebenbauer

Head of Chair

Phone

work
+49 241 80 27700

Email

E-Mail
 

The module provides an introduction to stochastic processes and stochastic control. It mainly focuses on Bayesian filtering theory and on stochastic differential equations.

Topics covered in the module are

  • Basic facts about stochastic processes,
  • Bayesian estimation and filtering theory,
  • Introduction to stochastic differential equations, and Ito calculus as well as
  • Applications in control and optimization.

Recommended prerequisites are basic knowledge about linear systems and control (e.g. System Theory I and II).

More detailed information on the course may be found on RWTHonline.

The teaching material is available on RWTHmoodle.