Schedule
I will give a graduate course on Stochastic dynamic systems during September - December 2015. The course will start in mid-September. Precise details will be announced later on this web page. 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.
Second edition, Springer-Verlag, 2002.
Errata for
the second edition.
Prerequisites
The course should be appropriate for graduate students in automatic
control,
signal processing, systems theory, mathematical statistics, engineering
disciplines, 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 two sessions of 4 hours every second week. Each session will include
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 deepened experience in the field (and more credit points). The basic alternatives are thus
Registration
In order to plan the schedule for the course, I would like
interested participants to register for the course as soon
as possible, and not later than by September 4, 2015. You can do so by
contacting me by email.
Preliminary Course plan
Schedule and venue
The sessions are normally scheduled for Mondays and Thursdays 13.15
- 17. The venue is room P2344 (in house 2, MIC).
The take-home exam will be scheduled later for one week in the
period Week 50.
OH slides in postscript:
Chapter 1
Chapter 2
Chapter 3
Chapter 4
Chapter 5
Chapter 6
Chapter 7
Chapter 9
Chapter 10
Chapter 11