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