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