Stochastic Control Theory
Graduate course, FRT055F
Lecturer: Björn Wittenmark
PhD course in Stochastic Control Theory based on Karl Johan Åström (2006): Introduction to Stochastic Control Theory, Dover Publications. (The first edition of the book was published by Academic Press in 1970.) There will be nine lectures/seminars covering different aspects of stochastic control both continuous-time and discrete-time. The main emphasis is, however, on the discrete-time case. The course is open for all PhD students and gives 7.5 ECTS credits.
Planning meeting Tuesday January 11 at 9.15.
Lectures Tuesday 8.15 - 10.00, in the seminar room of the department starting February 8, 2011.
Schedule Tuesday 8.15 - 10.00
| Date | Subject | Reference | Assignment |
|---|---|---|---|
| January 11 | Planning meeting | ||
| February 8 | Introduction, fundamental definitions | KJÅ 1,2 | Assignment 1 |
| February 15 | Stochastic state-space models 1 | KJÅ 3 | Assignment 2 |
| February 22 | Stochastic state-space models 2 | KJÅ 3 | Assignment 3, Assignment 3.2 |
| March 1 | Analysis | KJÅ 4 | Assignment 4 |
| March 8 | Parametric optimization | KJÅ 5 | Assignment 5 |
| March 15 | Prediction and filtering | KJÅ 7 | Assignment 6 |
| March 29 | LQG in state-space form | KJÅ 8 | Assignment 7 |
| April 5 | Prediction and minimum variance control in polynomial form | CCS 12 | Assignment 8 |
| April 12 | LQG in polynomial form. Wiener filter | Link 1 Link 2 |
Assingment 9 |
Good examples
There is a list of good examples from Åström: Introduction to Stochastic Control to practice your skills on.
Solutions
Solutions to examples are available by courtesy from Tore Hägglund.
Corrections
Some corrections to Åström: Introduction to Stochastic Control.
Literature
Ahlén, A. and M. Sternad (1991): "Wiener filter design using polynomial equations", IEEE Trans. on Signal Processing, SP-39, 2387-2399
Åström, K. J. (1970): Introdiction to Stochastic Control Theory, Academic Press
Åström, K. J. and B. Wittenmark (1971): "Problems of identification and control", Journal of Mathematical Analysis and Applications, 34, 90-113
Åström, K. J. and B. Wittenmark (1997): Computer-Controlled Systems, 3rd ed., Prentice Hall
Kalman, R. E. (1960): "A new approach to linear filtering and prediction problems", ASME J. Basic Eng., 82, 35-45
Levinson, N. (1947): "The Wiener RMS (Root Mean Square) error criterion in filter design and prediction", in Wiener, N: Extrapolation, Interpolation, and Smoothing of Stationary Time Series, MIT Press, 129-148
Söderström, T.(2002): Discrete-time Stochastic Systems, 2nd ed., Springer Verlag
Exam
One-day-exam to be done before Friday May 13, 2011.