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151-0709-00L  Stochastic Methods for Engineers and Natural Scientists

SemesterAutumn Semester 2018
LecturersD. W. Meyer-Massetti
Periodicityyearly recurring course
Language of instructionEnglish
CommentNumber of participants limited to 45.



Catalogue data

AbstractThe course provides an introduction into stochastic methods that are applicable for example for the description and modeling of turbulent and subsurface flows. Moreover, mathematical techniques are presented that are used to quantify uncertainty in various engineering applications.
ObjectiveBy the end of the course you should be able to mathematically describe random quantities and their effect on physical systems. Moreover, you should be able to develop basic stochastic models of such systems.
Content- Probability theory, single and multiple random variables, mappings of random variables
- Estimation of statistical moments and probability densities based on data
- Stochastic differential equations, Ito calculus, PDF evolution equations
- Polynomial chaos and other expansion methods
All topics are illustrated with engineering applications.
Lecture notesDetailed lecture notes will be provided.
LiteratureSome textbooks related to the material covered in the course:
Stochastic Methods: A Handbook for the Natural and Social Sciences, Crispin Gardiner, Springer, 2010
The Fokker-Planck Equation: Methods of Solutions and Applications, Hannes Risken, Springer, 1996
Turbulent Flows, S.B. Pope, Cambridge University Press, 2000
Spectral Methods for Uncertainty Quantification, O.P. Le Maitre and O.M. Knio, Springer, 2010

Performance assessment

Performance assessment information (valid until the course unit is held again)
Performance assessment as a semester course
ECTS credits4 credits
ExaminersD. W. Meyer-Massetti
Typesession examination
Language of examinationEnglish
RepetitionThe performance assessment is only offered in the session after the course unit. Repetition only possible after re-enrolling.
Mode of examinationoral 30 minutes
This information can be updated until the beginning of the semester; information on the examination timetable is binding.

Learning materials

No public learning materials available.
Only public learning materials are listed.

Courses

NumberTitleHoursLecturers
151-0709-00 GStochastic Methods for Engineers and Natural Scientists
Lectures: 14:00 - 16:00 h
Exercises: 16:00 - 17:00 h
3 hrs
Tue14-16LFW C 5 »
16-17LFW C 5 »
D. W. Meyer-Massetti

Groups

No information on groups available.

Restrictions

Places45 at the most
Waiting listuntil 30.09.2018

Offered in

ProgrammeSectionType
Computer Science Bachelor5. SemesterWInformation
Mechanical Engineering MasterEnergy, Flows and ProcessesWInformation
Computational Science and Engineering BachelorElectivesWInformation
Computational Science and Engineering MasterElectivesWInformation
Environmental Engineering MasterMinorsWInformation