Here are the slides from Lectures
Please read Section 1.4 from the notes:
Please attempt Ex35, Ex36, Ex37.
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:
Here is a rough plan for each week of lectures:
Kalman filtering (and filtering in general) considers the following setting: we have a sequence of states , which evolves under random perturbations over time. Unfortunately we cannot observe , we can only observe some noisy function of , namely, . Our task is to find the best estimate of given our observations of . Continue reading “Kalman Filter”
In loose terms, the mixing time is the amount of time to wait before you can expect a Markov chain to be close to its stationary distribution. We give an upper bound for this.
The link below contains notes PDF for this years stochastic control course
I’ll upload individual posts for each section. I’ll likely update these notes and add more exercises over the coming semester. I’ll add this update in a further post at the end of the course. Comments, typos, suggestions are always welcome.