UNIK4500 ¨C Stochastic systems

Course description

• Course content
• Learning outcome
• Admission
• Prerequisites

• Teaching
• Examination

Course content

Mathematical description of stochastic systems. Respons of linear systems to stochastic disturbances. The discrete and continuous Kalman filters. Suboptimal filter design. Analysis of suboptimal Kalman filters: Monte Carlo simulation, covariance analysis and error budgets. The Kalman filter applied to nonlinear systems: linearized, extended and partial feedback Kalman filters.

Learning outcome

The student will gain a thorough knowledge of state space systems driven by stochastic white noise and how to design and analyse both optimal and suboptimal Kalmanfilters for such systems.

Admission

Students who are admitted to study programmes at UiO must each semester register which courses and exams they wish to sign up for in Studentweb.

If you are not already enrolled as a student at UiO, please see our information about admission requirements and procedures.

Prerequisites

Formal prerequisite knowledge

None.

Recommended previous knowledge

MAT1110-Kalkulus og line?r algebra, MAT1120-Line?r algebra, MAT-INF1310-Ordinary differential equations, MAT2310-Optimal kontrollteori, STK1100-Sannsynlighetsregning og statistisk modellering.

Teaching

Three hours of lectures and one hour of problem solving sessions per week in the spring term (starting 2014). In 2013 the course is offered as a guided self-tuition course (both spring and fall). The student will get a DVD containing videos of the lectures and copies of all written material including what was written on the whiteboard. The students must hand in and pass on mandatory term projects before they are admitted to take the exam.

Examination

Oral or written examination. Graded marks.

Explanations and appeals

• Explanation of grades and appeals

Resit an examination

Students who can document a valid reason for absence from the regular examination are offered a postponed examination at the beginning of the next semester.

Re-scheduled examinations are not offered to students who withdraw during, or did not pass the original examination.