Stochastic Control 2020

Another year of MATH69122! — aka Stochastic Control.

This year, I will try to keep updating PDFs with slides and notes for each lecture. I’ll keep notes for the course in the “PDF” tab above. These are also here:

Stochastic Control 2020 [pdf]

Here is a rough plan for each week of lectures:

Continue reading “Stochastic Control 2020”

Kalman Filter

Kalman filtering (and filtering in general) considers the following setting: we have a sequence of states  x_t, which evolves under random perturbations over time. Unfortunately we cannot observe x_t, we can only observe some noisy function of  x_t, namely,  y_t. Our task is to find the best estimate of x_t given our observations of y_t. Continue reading “Kalman Filter”