Stochastic Systems

Course guarantor:

Lecturer:

Tutor:

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Department Děčín

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:

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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:

No time-table has been prepared for this course

The course is a part of the following study plans:

• Master Full-Time DS from 2024/25 (compulsory course)