312.228 (22S) Selected Topics in Analysis: (Stochastic) optimal control
Überblick
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- Lehrende/r
- LV-Titel englisch Selected Topics in Analysis: (Stochastic) optimal control
- LV-Art Vorlesung
- LV-Modell Präsenzlehrveranstaltung
- Semesterstunde/n 2.0
- ECTS-Anrechnungspunkte 3.0
- Anmeldungen 9
- Organisationseinheit
- Unterrichtssprache Englisch
- LV-Beginn 03.03.2022
- eLearning zum Moodle-Kurs
Zeit und Ort
LV-Beschreibung
Intendierte Lernergebnisse
Understanding the theoretical basis of deterministic and stochastic optimal control.
Solving simple (stochastic) optimal control problems.
Lehrmethodik
Team teaching lecture with examples
Inhalt/e
Deterministic optimal control:
Controllability
Stability
Observability
Optimal stabilisation
Stochastic optimal control:
SDEs in a nutshell
Dynamic programming
Feynman-Kač formula
Stochastic Regulator Problem
Portfolio Optimisation Problem
Numerisches Lösen von Kontrollproblemen
Erwartete Vorkenntnisse
Bachelor in (Technical) Mathematics
Stochastic processes
Prüfungsinformationen
Prüfungsmethode/n
There will be an oral exam of 30-45 minutes.
The first exam date is June 30, 2022.
Prüfungsinhalt/e
Everything that is covered in the lecture.
If additional reading is required for the lecture, this will be clearly announced in the lecture.
Beurteilungskriterien/-maßstäbe
The mark is based on the number of questions that the student is able to answer in the oral exam and the quality of their answers.
Beurteilungsschema
Note BenotungsschemaPosition im Curriculum
- Doktoratsprogramm Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(SKZ: ---, Version: 16W.1)
-
Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Pflichtfach)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
- 312.228 Selected Topics in Analysis: (Stochastic) optimal control (2.0h VO / 3.0 ECTS)
-
Modeling-Analysis - Optimization of discrete, continuous and stochastic systems (
0.0h XX / 0.0 ECTS)
-
Fach: Modeling-Analysis-Optimization of discrete, continuous and stochastic systems
(Pflichtfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Applied Analysis
(Wahlfach)
-
4.9 Selected Topics in Analysis (
2.0h VO / 3.0 ECTS)
- 312.228 Selected Topics in Analysis: (Stochastic) optimal control (2.0h VO / 3.0 ECTS)
-
4.9 Selected Topics in Analysis (
2.0h VO / 3.0 ECTS)
-
Fach: Applied Analysis
(Wahlfach)
- Masterstudium Mathematics
(SKZ: 401, Version: 18W.1)
-
Fach: Applied Mathematics
(Wahlfach)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
- 312.228 Selected Topics in Analysis: (Stochastic) optimal control (2.0h VO / 3.0 ECTS)
-
Lehrveranstaltungen aus den Vertiefungsfächern (
0.0h XX / 12.0 ECTS)
-
Fach: Applied Mathematics
(Wahlfach)