Vrije Universiteit - Afdeling Wiskunde
/VU University Amsterdam - Department of Mathematics
Course Control of Stochastic Systems in Continuous Time
/College Regeling van Stochastische Systemen in Continue Tijd
2007 Fall Semester
Course guide
Welcome to this page!
Contents of this page
Dates and times: 7 September through 7 December 2007;
09:00 - 11:45 hours.
Note that the course starts at 09:00 exactly according
to the regulations of the university.
The lecture room changes with the dates due to regulations
of the FEW Educational Office.
Week 36 - Room 3C26 (TR).
Week 37 (14 September) - Room R249 (Sciences building).
Week 38 - Room F301.
Week 39 - Room 05A-12 (Main building).
Week 40 - 42 - Room R223.
Lecture 5 October cancelled. Extra date Monday 15 October,
09:00 - 11:45, Room F3.01.
Week 44 - 50 Room F654, Sciences Building, VU University Amsterdam
Jan H. van Schuppen (Lecturer)
Office WN-R2.50a.
JHvS is present at the VU University Amsterdam only on Fridays.
He can be reached at CWI on the other working days of the week.
Afdeling Wiskunde, Faculteit Exacte Wetenschappen,
Vrije Universiteit, De Boelelaan 1081a, 1081 HV Amsterdam/
Department of Mathematics, Faculty of Exact Sciences,
VU University Amsterdam,
De Boelelaan 1081a, 1081 HV Amsterdam, The Netherlands
Tel. +31 20 598 7683 (VU, Fridays)
Tel. +31 20 592 4085 (CWI, Mo. - Th.)
Fax +31 20 598 7653
Email schuppen AT cs DOT vu DOT nl and J.H.van.Schuppen AT cwi DOT nl
The aim of the course is to provide an introduction to the
basic concepts and results of control of stochastic systems
in continuous time.
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 course is addressed at mathematics students
of the master level,
those in their fourth or fifth year of studies.
Students from economics are also welcome
because the topic of the course is used in this area also.
To register for the course follow the procedures printed
in the Course Catalogue for Master level students in mathematics
of the VU University Amsterdam or contact
the director for education,
Dr. F. van Schagen (F.van.Schagen@few.vu.nl).
For questions about the course you may contact the lecturer
at the email address listed above.
Analysis, probability, and linear algebra.
Knowledge of stochastic processes, stochastic integrals, and
stochastic differential equations is presumed also.
A course with these topics was offered by
Dr. P.J.C. Spreij (Universiteit van Amsterdam)
and students who have taken that course
will be well prepared for the course
Control of stochastic systems in continuous time.
Program of lectures
-
Lectures notes. Chapters 8, 9, and 10 (23 November 2007).
(pdf file)
.
-
Lectures notes. Chapters 4, 5, 6, and 7 (26 October 2007).
(pdf file)
.
-
Lectures notes. Chapters 1-3 and Appendices A-E (27 September 2007).
(pdf file)
.
Slightly different from the 2006 version.
-
Lectures notes. Chapters 1-9 and Appendices A-G
(Version 2006 dated 24 August 2007).
(pdf file)
.
-
Oral exam
-
Home work sets with exercises.
Weekly homework ets will be published on the web.
Solutions to homeworksets are due at the lecturer one week after
they have been published.
-
The course grade is based for 70% on the oral exam
and for the other 30% on the solutions to home work sets
in case solutions are turned in to all homeworksets.
Last update 22 November 2007.
This page is maintained by
Jan H. van Schuppen.