TUD.Math. - Control of Discrete-Time Stochastic Systems - 2024 Spring - List of Lectures
Course Control of Discrete-Time Stochastic Systems
/College Regeling van Discrete-Tijd Stochastische Systemen
2024 Spring Semester
Technische Universiteit Delft - Afdeling Wiskunde
/Delft University of Technology - Department of Applied Mathematics
List of lectures
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15 February and 08:45 -- 10:30 hours. Conditional expectation and probability.
Book reading. Section 2.8 Conditional expectation. Parts of Chapters 1 and 2.
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22 February. Stochastic processes.
Book reading. Sections 3.1 -- 3.4.
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29 February. Stochastic systems.
Book reading. Sections 4.2, 4.3, and 4.6 (partly).
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7 March. Time-invariant Gaussian systems.
Book reading. Sections 4.4--4.6.
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14 March. Weak Gaussian stochastic realization 1.
Book reading. Sections 6.2 -- 6.5
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21 March. Weak Gaussian stochastic realization 2.
Book reading.
Sections 6.6 -- 6.9,
Sections 21.2 -- 21.3, Subsection 21.8.2, and
Chapter 23.
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28 March. Stochastic control systems and stochastic control problems.
Book reading. Sections 10.1 -- 10.3, 11.1 -- 11.4, and 11.6 (partly).
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25 April. Stochastic control with complete observations on a finite horizon.
Book reading.
Sections 12.2, 12.3, 12.6, 12.7, 12.9, and 12.10.
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2 May. Stochastic control with complete observations on an infinite horizon.
Book reading.
Sections 13.1 and 13.2.
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9 May. No lecture, TUD closed due to a religeous holiday.
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16 May. The Kalman filter.
Book reading.
Sections 8.1 -- 8.4.
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23 May. The time-invariant Kalman filter.
Book reading.
Sections 8.5 -- 8.8.
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30 May.
Stochastic control with partial observations on a finite horizon.
Book reading.
Sections 14.1 -- 14.4.
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6 June. Stochastic control with partial observations on an infinite horizon.
Book reading.
Sections 15.1 -- 15.2.
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13 June. Decentralized stochastic control and stochastic control of networked systems.
Not in the book.
Last update 22 March 2024.
This page is maintained by
Jan H. van Schuppen.