As part of the course requirements, you need to complete a project on a course-related topic of your choice.
There are two types of projects:
Theoretical: Read and report on 2–3 papers in the area. This involves understanding the papers deeply and evaluating them critically. Include not just a synthesis of the material you read, but also your own thoughts on possible directions for further research, possible extensions, etc.
Applied: Pick a particular problem that can be formulated as a stochastic control problem and implement one or more computational approaches to solve it. You may focus on the problem itself (that is, compute solutions for variants of the problem and develop some insights), or on an assessment of computational methods (try different algorithms, and compare their performance).
For a theoretical project, you are required to work alone. For an applied project, you can work alone or in a group of two.
It is preferable, although not required, that you pick a topic related to the material presented in the second part of the course (infinite horizon and approximate/suboptimal DP).
The final paper should be written in 12pt font, single space, single column, and should be at most 15 pages in length, plus figures. The length restriction is intended to help you focus on delivering a crisp message. On the other hand, you can include an appendix with additional material, such as long technical arguments, if you think these are necessary.
You are expected to submit a one-page project proposal by the end of Week 11, and preferably earlier. You are encouraged to talk to the instructor before then about the topic you have in mind.
Presentations (15 minutes each) will take place during Week 15, the last week of classes. A hard copy of a near-final draft of your paper and of your slides should be made available to the instructor and TA at the time of the presentation.
A final version of the paper should be submitted by the end of Week 15.
As a general resource, you can check for topics and references in: