Lecture notes Control of Stochastic Processes

An overview of Probability, Statistics and Stochastic Processes

The present manuscript constitutes the lecture notes for the “Probability, Statistics and Stochastic Processes” module of the PhD program on Complexity Science, held at ISCTE-IUL during April and May 2012. The aim of the notes is to provide some auxiliary material for the students to follow this 10 hour length module, devoted to the study of the Probability theory and Stochastic Processes, as w...

Rare Events and Heavy Tails in Stochastic Systems

This is a set of lecture notes on large deviations and heavy tails in stochastic systems. After an introduction, a short and biased review on heavy-tailed distribution is given. Applications are mostly concerned with stochastic networks, and cover single-server queues, regenerative processes, and fluid models.

Lecture notes for Numerik IVc - Numerics for Stochastic Processes

Course Notes for Advanced Probabilistic Machine Learning

These are lecture notes for the seminar ELEN E9801 Topics in Signal Processing: “Advanced Probabilistic Machine Learning” taught at Columbia University in Fall 2014. They are transcribed almost verbatim from the handwritten lecture notes, and so they preserve the original bulleted structure and are light on the exposition. Some lectures therefore also have a certain amount of reiterating in the...

Lecture Notes: (Stochastic) Optimal Control

2 Stochastic optimal control (discrete time) 2 2.1 The Linear-quadratic-Gaussian (LQG) case . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2.2 Message passing in LQG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 2.3 Special case: kinematic control . . . . . . . . . . . . . . . . . . . . . . . . . ...