| Overview | MSc info | MSc program | MSc topics | ET | TN | WBMT |
| WI4221: | Control of Discrete-Time Stochastic Systems |
| ECTS: | 6 |
| Responsible Instructor: | J.H. van Schuppen |
| Contact Hours / Week x/x/x/x: | 0/0/2/2 |
| Education Period: | 3, 4 |
| Start Education: | 3 |
| Exam Period: | Exam by appointment |
| Course Language: | English |
| Expected prior knowledge: | Control and system theory (undergraduate level), linear algebra,differential equations, stochastic processes. |
| Course Contents: | Discrete-time stochastic systems, distributions and invariant measures. Stochastic realization. Control with complete observations, optimal control theory, dynamic programming for finite and infinite horizons. Kalman filtering and special cases of filtering of stochastic systems. Control with partial observations, separation property. Elementary game and team problems, decentralized control. |
| Study Goals: | Students will be able to explain the fundamental concepts of stochastic systems. They will be able to solve elementary optimal control problems of stochastic systems by dynamic programming. They will be able to apply the Kalman filter. Finally, they will be able to explain the control of stochastic systems with partial observations. |
| Education Method: | Lectures/exercises |
| Literature and Study Materials: | Notes for this course can be found on the corresponding Blackboard site. |
| Assessment: | Oral exam based on lecture notes and on home work sets. |
| Remarks: | For questions concerning the course students may contact the responsible instructor. For more details, see also http://homepages.cwi.nl/~schuppen/courses/tudmath/controlstocdt2011s/courseguide.html |
