Stochastic Control Theory 2016
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.
Preliminary Schedule
- Monday January 18, 13:15-15:00
- Wednesday January 20, 10:15-12:00
- Monday January 25, 13:15-15:00
- Wednesday January 27, 10:15-12:00
- Wednesday February 17, 10:15-12:00
- Wednesday February 24, 10:15-12:00
- Wednesday March 2, 10:15-12:00
- Wednesday March 9, 10:15-12:00
- Monday March 14, 13:15-15:00
- Wednesday March 16, 10:15-12:00
Course Material (subject to change)
| Session | Subject | Reference | Assignment |
|---|---|---|---|
| 1 | Introduction, fundamental definitions | KJÅ 1,2 | Assignment 1 |
| 2 | Stochastic state-space models 1 | KJÅ 3 | Assignment 2 |
| 3 | Stochastic state-space models 2 | KJÅ 3 | Assignment 3 |
| 4 | Analysis | KJÅ 4 | Assignment 4 |
| 5 | Parametric optimization | KJÅ 5 | Assignment 5 |
| 6 | Prediction and filtering | KJÅ 7 | Assignment 6 |
| 7 | LQG in state-space form | KJÅ 8 | Assignment 7 |
| 8 | Prediction and minimum variance control in polynomial form, Extra slides | CCS 12 | Assignment 8 |
| 9 | LQG in polynomial form. Wiener filter | Link 1 Link 2 | |
| 10 | Guest lecture by Karl Johan Åstöm, KJÅ part 1, KJÅ part 2, and Anton Cervin, Jitterbug |
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
T.B.A.