| CODE | SOR5322 | ||||||||||||
| TITLE | Topics in Stochastic Optimal Control | ||||||||||||
| UM LEVEL | 05 - Postgraduate Modular Diploma or Degree Course | ||||||||||||
| MQF LEVEL | 7 | ||||||||||||
| ECTS CREDITS | 10 | ||||||||||||
| DEPARTMENT | Statistics and Operations Research | ||||||||||||
| DESCRIPTION | Topics covered include: - Deterministic Optimal Control; - Motivation for Stochastic Optimal Control and problem formulation; - Analytical Methods of Solution; - Numerical Methods of Solution; - Specific Optimal Control Problems: - Linear/Quadratic Stochastic Optimal Control Problems; - Singular Control Problems; - Optimal Stopping Problems; - Review of some applications of Stochastic Optimal Control. Study-Unit Aims: This study-unit aims at giving a rigorous treatment to the mathematical formulation and solution methods used in stochastic optimal control. In doing so students will be equipped with the necessary knowledge needed to use this topic in the relevant area of interest. Learning Outcomes: 1. Knowledge & Understanding: By the end of the study-unit the student will be able to: - Appreciate the need to introduce stochastic optimal control at a mathematically advanced level; - Comprehend rigorously the measure-theoretic complexity involved in the formulation of stochastic optimal control problems; - Learn about the analytical and numerical methods used to solve stochastic optimal control problems together with their limitations and possible improvements. 2. Skills: By the end of the study-unit the student will be able to: - Formulate stochastic optimal control problems within a theoretical framework; - Utilize some of the available methods to solve tractable stochastic optimal control problems analytically and numerically; - Apply stochastic optimal control in relevant area(s) of interest. Main Text/s and any supplementary readings: - Asmussen, S and Glynn, P. (2007) Stochastic Simulation: Algorithms and Analysis, Springer. - Oksendal B., Sulem A., (2007) Applied Stochastic Control of Jump Diffusions. Springer. - Fleming W.H., Rishel R.W., (1982) Deterministic and Stochastic Optimal Control. Springer. - Fleming W.H., Soner H.M., (2005) Controlled Markov Processes and Viscocity Solutions, 2nd Edition. Springer. - Krylov N. V. (2008) Controlled Diffusion Processes. 2nd Edition. Springer. - http://www.amazon.co.uk/Controlled-Diffusion-Processes-Stochastic-Probability/dp/3540709134/ref=sr_1_1?ie=UTF8&qid=1391700630&sr=8-1&keywords=controlled+diffusion+processes. - Kushner H., Dupuis P.G. (2001) Numerical Methods for Stochastic Control Problems in Continuous Time, 2nd Edition. Springer. - Seierstad A. (2009) Stochastic Control in Discrete and Continuous Time. Springer. - Yong J., Zhou X.Y. (1999) Stochastic Controls: Hamiltonian and HJB Equations. Springer. |
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| ADDITIONAL NOTES | Pre-requisite Study-units: SOR3131* Co-requisite Study-units: SOR5120* *Study-unit SOR5120 is only required as a Co-Requisite if the applicant hasn't covered the Pre-Requisite SOR3131. |
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| STUDY-UNIT TYPE | Independent Study | ||||||||||||
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The University makes every effort to ensure that the published Courses Plans, Programmes of Study and Study-Unit information are complete and up-to-date at the time of publication. The University reserves the right to make changes in case errors are detected after publication.
The availability of optional units may be subject to timetabling constraints. Units not attracting a sufficient number of registrations may be withdrawn without notice. It should be noted that all the information in the description above applies to study-units available during the academic year 2025/6. It may be subject to change in subsequent years. |
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