MA-623 Stochastic Systems

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.

• Stochastic processes and their descriptions

• Mathematical description of stochastic systems

• Analysis of linear systems with random inputs

• Prediction and filtering theory

• Prediction for ARMAX systems

• The Kalman filter and the Riccati equation

• Parameter estimation theory for parametric models

• Least squares and maximum likelihood estimators

• Stochastic control methods based on dynamic programmeming

• The LQG problem and the separation theorem

• Minimum variance control

• Adaptive control of stochastic systems

• Self-tuning regulators

• Direct adaptive control schemes

• Stability and convergence analysis

• 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.