MS&E324 - Stochastic Methods in Engineering

The basic limit theorems of probability theory and their application to maximum likelihood estimation. Basic Monte Carlo methods and importance sampling. Markov chains and processes, random walks, basic ergodic theory and its application to parameter estimation. Discrete time stochastic control and Bayesian filtering. Diffusion approximations, Brownian motion and an introduction to stochastic differential equations. Examples and problems from various applied areas. Prerequisites: exposure to probability and background in analysis.
Career
Graduate
Grading Basis
ROP - Letter or Credit/No Credit
Min
3
Max
3
Course Repeatable for Degree Credit?
No

Course Component
Lecture
Enrollment Optional?
No