MA-623 Stochastic Systems
- Studiepoeng:
- 5
- Ansvarlig avdeling:
- Fakultet for teknologi og realfag
- Undervisningssemester:
- Høst
- Varighet:
- 1 semester
Emnet er tilknyttet følgende studieprogram
- Ph.d.-program i teknologi og realfag
Innhold
The course will present the following topics in stochastic processes, with additional topics and examples presented at the lecturer's discretion.
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Stochastic processes and their descriptions
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Mathematical description of stochastic systems
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Analysis of linear systems with random inputs
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Prediction and filtering theory
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Prediction for ARMAX systems
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The Kalman filter and the Riccati equation
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Parameter estimation theory for parametric models
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Least squares and maximum likelihood estimators
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Stochastic control methods based on dynamic programmeming
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The LQG problem and the separation theorem
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Minimum variance control
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Adaptive control of stochastic systems
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Self-tuning regulators
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Direct adaptive control schemes
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Stability and convergence analysis
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Selected advanced topics
Læringsutbytte
This course will introduce students to the basic results of stochastic systems for estimation, identification, stochastic control and adaptive control.
Undervisnings- og læringsformer
Lectures and examples classes
Eksamen
Oral or Written Examination at the lecturer's discretion. Pass/Fail.