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Graduate course on Stochastic dynamic systems

This course will be given during the fall 2001. Unfortunately,
the publisher has recently declared my textbook out of print.
Therefore, I am currently in the phase of revising it.
When this task is reasonably finished, I am prepared to start the course.
I will keep all interested (individual PhD students as well as relevant departments)
informed when a course start and a schedule are determined.
So far, it is a guess that the course will start in October.
For more details, see the information that follows for the similar course
given in 1999. This information will still be valid in most, but not all, respects.

Torsten Söderström
September 04, 2001
 

N. B. The following information concerns 1999 !
 

Schedule

I will give a graduate course on Stochastic dynamic systems during fall 1999.
The course will  start August 25. See below for more details on the schedule.
The course will be given in English.

Literature

As a text we will use my  book

T. Söderström: Discrete-Time Stochastic Systems -- Estimation and Control,
Prentice Hall International, Hemel Hempstead, UK, 1994.

Prerequisites

The course should be appropriate for graduate students in automatic control,
signal processing, systems theory, mathematical statistics, engineering areas, physics, etc.

It is assumed that the participants have some basic working knowledge in
stationary stochastic processes, linear algebra, and  discrete-time dynamic systems.
A MSc (civilingenjör) in engineering physics or an equivalent background from another
undergraduare program should be sufficient.

Organisation

There will be a session of 4 hours a week. Each session will include

The students will be given regular homework problems to be solved.
This will be a part of the examination.

Examination

The homework problems will be an essential part of the examination.
There will also be a final 'take-home' exam.
The homeworks assignments are organized into two parts, A and B.
Part A is mandatory, while the exercises in part B can be done by students
who wants a deeped experience in the field (and more credit point).
The basic alternatives are thus

There will be some flexibility, so that some parts of the course may be skipped rending a reduced  credit.

Registration

I would like interested participants to register for the course as soon as possible,
and not later than by August 18.

You can contact me by phone (018-183075),  or email.
 
 

Course plan

Errata list (postscript)

OH slides in postscript

Chapter 1
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Chapter 9
Chapter 10
Chapter 11
 
 
 


Department of Systems and Control, Uppsala University | URL http://www.SysCon.uu.se
Last updated: 09 August 1999 by Torsten Söderström