Stochastic control and communication

Por: Swayam . en: ,

Week 1: Markov decision process, finite horizon problem formulation, examples, principle of optimality, Bellman equationWeek 2:Infinite horizon problems, Optimality criteria (average cost, discounted cost), Bellman equation, optimality of Markov policiesWeek 3:Computing optimal policies, linear programming formulationWeek 4:Partially observed Markov decision processes, reduction to the information stateWeek 5:LQR problem, Kalman filterWeek 6:LQG problem, separation principle, optimality of linear policiesWeek 7:Witsenhausen counterexample. information structure,Week 8:Intrinsic model of stochastic control, LQG static teams, optimality of linear policiesWeek 9:Variants of the Witsenhausen problem, Bansal Basar problem, optimizer’s approachWeek 10:Communication and decentralized control. Canonical communication problems of source coding, channel coding and rate distortion theoryWeek 11:Shannon’s coding theoremsWeek 12:Shannon’s coding theorems and optimizer’s approach