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CZECH TECHNICAL UNIVERSITY IN PRAGUE
STUDY PLANS
2019/2020

Stochastic Systems

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Code Completion Credits Range Language
11STS Z,ZK 4 2P+2C+14B Czech
Lecturer:
Šárka Jozová, Ivan Nagy, Pavla Pecherková, Evženie Suzdaleva
Tutor:
Šárka Jozová, Ivan Nagy, Pavla Pecherková, Evženie Suzdaleva
Supervisor:
Department of Applied Mathematics
Synopsis:

The subject deals with the problems of mathematical modelling of dynamical systems, estimation od these models and their utilization for prediction. The results are illustrated on practical transportation tasks. Mathematical theory roots from probability and mathematical statistics and they use the methods of the Bayesian probabilistic approach.

Requirements:

Accomplishment of probability and mathematical statistics on a level of technical university. Passive knowledege of the differential and difference calculus, at least. Elementary knowledge of programming in arbitrary language.

Syllabus of lectures:
Syllabus of tutorials:
Study Objective:

The goal will be the description of stochastic processes, their estimation and their use for prediction, classification and control. The theory will be illustrated in transportation problems.

Study materials:

Anděl, L.: Matematická statistika, SNTL, 1978, Prague.

Loeve, M.: Probability Theory, van Nostrand, 1962, Princeton, New Jersey.

Nagy, I.: Základy bayesovského odhadování a řízení, publisher CTU, 2003, Prague.

Peterka, V.: Bayesian approach to system identification, Oxford, P. Eykhoff ed., Pergamon Press, 1981

Note:
Time-table for winter semester 2019/2020:
Time-table is not available yet
Time-table for summer semester 2019/2020:
Time-table is not available yet
The course is a part of the following study plans:
Data valid to 2019-10-15
For updated information see http://bilakniha.cvut.cz/en/predmet1831006.html