Contact: Henrik Madsen, DTU Informatics, mail:
Tools for analysing and modelling dynamical systems based on available time series of data are more and more applied within important areas like finance, pharmaceutics, biology, and energy production (wind, solar, ..). Systems modelling focus on building an expertise in principles for mathematical and statistical modelling of all phenomena by combining potentially existing physical knowledge with the information in time series or signals of data. However, the methods for black box modelling do not assume any prior
knowledge. The tools covered contain model formulation, parameter estimation, model validation, and some fundamental applications of the stochastic models e.g. for simulation, forecasting, control, and optimization.
Recommended courses:
Generel competence courses:
02409 Multivariate Statistics
02443 Stochastic Simulation
02610 Optimization and Data Fitting
Technological specialization courses:
02407 Stochastic Processes
02417 Time Series Analysis
02421 Stochastic Adaptive Control
02427 Advanced Time Series Analysis