Estimation and Identification in Dynamical Systems (048825), Spring 2016

Syllabus

Lecture Notes (pdf):

1: Introduction

2: Statistical Estimation

3: The Wiener Filter

4: Derivations of the Discrete-Time Kalman Filter

5: The Continuous-Time Kalman Filter

6: The Steady-State Filter

7: Optimal Smoothing

8: Nonlinear Filters
8.6: Particle Filters

Homework

Problem set 1: submission 14/4

Problem set 2