Research School Dutch Institute of Systems and Control (DISC)
Course Control and System Theory of Stochastic Systems
(2011-2012 Winter Trimester)
Course guide
Welcome to this page!
Contents of this page
Ralf Peeters and Jan H. van Schuppen (Lecturers)
Dates and times: Mondays 14 November through 5 December 2011;
5 January through 26 January 2012;
13:45 - 16:00 hours
Location:
Hogeschool Domstad,
Koningsbergerstraat 9,
3531 AJ Utrecht,
Tel. 030 292 7777,
www.accommodatiedomstad.nl
Ralf L.M. Peeters
Department of Knowledge Engineering,
Faculty of Humanities and Sciences,
University of Maastricht,
P.O. Box 616,
6200 Md Maastricht
Tel. 043 388 3365
Fax 043 388 4910
Email ralf.peeters@maastrichtuniversity.nl
Jan H. van Schuppen
CWI, P.O. Box 94079, 1090 GB Amsterdam
Tel. 020 592 4085 (CWI)
Fax 020 592 4199 (CWI)
Email J.H.van.Schuppen@cwi.nl
also affiliated with the Department of Mathematics,
Faculty of Electrical Engineering, Mathematics, and Informatics
of the Delft University of Technology.
The aim of the course is to provide an introduction to the
basic concepts and results of control and system theory
of stochastic systems.
Control and signal processing problems arise in engineering,
economics, and biology. Solution of such problems requires mathematical
models in the form of dynamic systems.
In distinction with other areas of mathematics,
a dynamic system describes the relation between an input and
an output signal in terms of the state.
The participants are assumed to have knowledged as provided
by a basic undergraduate course in control of linear systems;
and by an undergraduate course in probability and
elementary stochastic processes.
The minimum level is indicated by the books:
(1) for probability theory the book
Sheldon Ross, A first course in probability (5th Edition),
Prentice-Hall, Upper Saddle River, 1998;
and
(2) for control and system theory the book
G.J. Olsder, J.W. van der Woude,
Mathematical systems theory,
Delft University Press, Delft, 2005.
Useful but not required is knowledge of
measure theoretic probability
as for example provided by the book
J. Jacod, Ph. Protter,
Probability essentials,
Springer, Berlin, 1999
of which there also exists a more recent edition.
Students will benefit from having studied this book prior
to the start of the course,
but this is not a requirement.
Measure theory at this level is usually provided
by a course of a mathematics department of a university.
Program of lectures.
-
Take home exam.
-
Homeworksets with exercises.
Weekly homeworksets will be handed out in class every week.
Solutions to homeworksets are due at the lecturer one week after
they have been handed out but contact the lecturer
in case you cannot meet this due date.
-
The course grade is based for 50% on the take home exam
and for the other 50% on the solutions to homeworksets.
Lecture notes by Jan H. van Schuppen.
Mathematical control and system theory of
stochastic systems
Jan H. van Schuppen,
Preface, Chapters 1-12, Appendices A-G. Posted 23 January 2012.
(pdf file).
Slides used during the presentations of the course will
be made available from this page.
-
Lecture 1. Probability theory. Posted 14 November 2011.
(pdf file).
-
Lecture 2. Stochastic systems. Posted 23 January 2012.
(pdf file).
-
Lecture 3. Stochastic realization. Posted 5 December 2011.
(pdf file).
-
Lecture 4. Stochastic control problems. Posted 5 December 2011.
(pdf file).
-
Lecture 5. Dynamic programming on a finite horizon.
Posted 23 January 2012.
(pdf file).
-
Lecture 6. Stochastic control problems. Posted 16 January 2012.
(pdf file).
-
Lecture 7. Kalman filter. Posted 24 January 2012.
(pdf file).
-
Lecture 8. Stochastic control with partial observastions. Posted 31 January 2012.
(pdf file).
Homeworksets.
-
Homeworkset 1. Posted 14 November 2011.
(pdf file).
-
Homeworkset 2. Posted 23 January 2012.
(pdf file).
-
Homeworkset 3. Posted 5 December 2011.
(pdf file).
-
Homeworkset 4. Posted 6 December 2011.
(pdf file).
-
Homeworkset 5. Posted 23 January 2012.
(pdf file).
-
Homeworkset 6. Posted 16 January 2012.
(pdf file).
-
Homeworkset 7. Posted 24 January 2012.
(pdf file).
Last update 31 January 2012.
This page is maintained by
Jan H. van Schuppen.