Optimal Control

The course covers parameter optimization, aspects of the calculus of variations, and the conditions of Pontryagin's principal and dynamic programming for optimal control of deterministic dynamical systems. Numerical methods for solution of the optimal control problem are covered with applications. The course provides a concise review of relevant tools from probability and stochastic calculus to enable similar statements on conditions for optimality of stochastic dynamical systems. Emphasis is placed on drawing connections and intuition between the various aspects of the course.