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

Prof. Nahum Shimkin

         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