Stochastic Systems

Course guarantor:

Šárka Voráčová

Lecturer:

Natálie Blahitka, Michal Matowicki, Pavla Pecherková, Evženie Uglickich, Šárka Voráčová

Tutor:

Natálie Blahitka, Michal Matowicki, Pavla Pecherková, Evženie Uglickich, Šárka Voráčová

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:

Further information:

http://staff.utia.cas.cz/uglickich/sts.html

Time-table for winter semester 2024/2025:

	06:00–08:0008:00–10:0010:00–12:0012:00–14:0014:00–16:0016:00–18:0018:00–20:0020:00–22:0022:00–24:00
Mon
Tue
Wed
Thu	roomHO:B-101 Matowicki M. 08:00–09:30 (parallel nr.255) Horská 3 (nová budova) roomKO:105 Matowicki M. 13:15–14:45 (parallel nr.256) Konviktská 20 roomKO:309 Uglickich E. 11:30–13:00 (lecture parallel1) Konviktská 20 roomKO:104 Blahitka N. 13:15–14:45 (parallel nr.266) Konviktská 20
Fri

Time-table for summer semester 2024/2025:

Time-table is not available yet

The course is a part of the following study plans:

• Master Full-Time DS from 2022/23 (compulsory course)
• Master Full-Time DS from 2023/24 (compulsory course)
• Master Full-Time IS (joint degree) from 2023/24 (compulsory course)
• Master Part-Time LA from 2024/25 (compulsory course)