PMMDS Multidimensional dynamical systems

Faculty of Economics and Administration
Autumn 2008
Extent and Intensity
1/1. 4 credit(s). Type of Completion: zk (examination).
Teacher(s)
Mgr. Ing. Adam Remo (lecturer)
Guaranteed by
prof. Ing. Osvald Vašíček, CSc.
Department of Economics – Faculty of Economics and Administration
Contact Person: Lydie Pravdová
Timetable
Wed 11:05–12:45 VT105
Course Enrolment Limitations
The course is also offered to the students of the fields other than those the course is directly associated with.
fields of study / plans the course is directly associated with
Course objectives
The course is focused on basics of theory of multidimensional dynamical systems (MDS), which are an integral part of modern macroeconomic theory. Attention is paid to basic characteristics of MDS, estimation of state of the MDS, and optimal control of MDS.
Main objectives can be summarized as follows:
to learn the basic concepts of MDS theory;
to learn how to implement the results of the MDS theory in Matlab software;
to gain knowledge and skills which are needed to understand technical macroeconomic texts.
Syllabus
  • Basic concepts: discrete deterministic/stochastic dynamical system, state form of the system, first order difference equation (solution and stability).
  • Estimation of state of the dynamical system: state-space form, observability, Kalman filter, Kalman smoother.
  • Optimal control of dynamical system: controllability, dynamic programming (quadratic deterministic/stochastic linear problem).
Literature
  • Trojan, F.:Dynamické systémy, 1999.
  • GREWAL, Mohinder S. and Angus P. ANDREWS. Kalman filtering : theory and practice using MATLAB. 2nd ed. New York: John Wiley & Sons, 2001, xiii, 401. ISBN 0471392545. info
  • Brookner, E.:Tracking and Kalman filtering made easy. New York : John Wiley & Sons, 1998, ISBN 0-471-22419-7
  • Kendrick, David A.: Stochastic control for economic models. New York : McGraw-Hill, c1981. xiii, 242 p. ISBN 0070339627.
  • KIRK, Donald E. Optimal control theory : an introduction. Mineola, N. Y.: Dover Publications, 1970, ix, 452. ISBN 0486434842. info
  • TU, Pierre N. V. Dynamical systems : an introduction with applications in economics and biology. 2nd rev. and enl. ed. Berlin: Springer-Verlag, 1994, xviii, 314. ISBN 3540576614. info
  • ARROWSMITH, David K. and C. M. PLACE. An introduction to dynamical systems. New York, N.Y.: Cambridge University Press, 1990, 423 s. ISBN 0521316502. info
  • An introduction to difference equations. Edited by Saber N. Elaydi. 3rd ed. New York: Springer, 2005, xxii, 539. ISBN 0387230599. info
  • BERKOVITZ, Leonard David. Optimal control theory. New York: Springer - Verlag, 1974, ix, 304. ISBN 038790106X. info
Assessment methods
lectures, computer lab practices, oral exam
Language of instruction
Czech
Further Comments
Study Materials
The course is also listed under the following terms Spring 2009.
  • Enrolment Statistics (Autumn 2008, recent)
  • Permalink: https://is.muni.cz/course/econ/autumn2008/PMMDS