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Linear Dynamical Systems Course

Author:nick @ December 28th, 2007 Leave a Comment

Stephen Boyd teaches a Linear Dynamical Systems course at Stanford. The course webpage is

http://stanford.edu/class/ee363/

The lecture notes are excellent, and are recommended for anyone interested in a crash course in Linear Dynamical Systems topics (LQR, Kalman Filter, etc.) Here is a list of topics covered:

1. Linear quadratic regulator: Discrete-time finite horizon
2. LQR via Lagrange multipliers
3. Infinite horizon LQR
4. Continuous-time LQR
5. Invariant subspaces
6. Estimation
7. The Kalman filter
8. The extended Kalman filter
9. Conservation and dissipation
10. Basic Lyapunov theory
11. Linear quadratic Lyapunov theory
12. Lyapunov theory with inputs and outputs
13. Linear matrix inequalities and the S-procedure
14. Analysis of systems with sector nonlinearities
15. Perron-Frobenius theory