Kalender Exportera Om schema på KTH Logga in till din kurswebb Du är inte inloggad på KTH så innehållet är inte anpassat efter dina val. Logga in Ändra tidsperiod eller vy Tidsperiod Kommande Nuvarande termin Valda datum Start Slut Kursomgångens start-slut Vy Veckovy Detaljvy Tabellvy Visa Vecka 35 2012 Visa i Mitt schema Mån 27 aug 10:00-12:00 Lecture 1, Introduction, Least Squares Estimation HT 2012 Föreläsning Plats: Q21 Reading instruction: Kailath: Chapter 3. Copies of slides Homework 1, due Monday 3/9 Vecka 36 2012 Visa i Mitt schema Mån 3 sep 10:00-12:00 Lecture 2, Geometric interpretation of random variables, Wiener filtering - causal continuous time HT 2012 Föreläsning Plats: L42 Reading instructions: Kailath, Sect. 3.3, 6.A and 7.A Copies of slides, corrected Homework 2, due Monday 10/9 2 kommentarer Vecka 37 2012 Visa i Mitt schema Mån 10 sep 10:00-12:00 Lecture 3, Wiener filtering - causal discrete time, state space models, Kalman filter - discrete time HT 2012 Föreläsning Plats: Q21 Reading instructions: Kailath, Sect. 7.3-7.8, 1.1-1.2 Copies of slides Homework 3, due Monday 17/9 Vecka 38 2012 Visa i Mitt schema Mån 17 sep 13:00-15:00 Lecture 4, The innovations process, Kalman filter - innovations approach HT 2012 Föreläsning Plats: Q22 Reading instructions: Kailath, Sect. 9.1-9.4 Copies of slides Homework 4, due Monday 24/9 Vecka 39 2012 Visa i Mitt schema Mån 24 sep 10:00-12:00 Lecture 5, Extended Kalman, Time invariance of Kalman filter, frequency domain expressions HT 2012 Föreläsning Plats: D34 Reading instructions: Kailath, Sect. 8.1-8.5, App. D.1, App. E.1-E.6. Additional reading Sect. 1.5, 14.1-14.3, + intro to EKF Sect 9.7 Copies of slides Homework 5, due Monday 1/10 Vecka 40 2012 Visa i Mitt schema Mån 1 okt 13:00-15:00 Lecture 6, Kalman filter - Smoothing, Non-linear filtering, Propagating distributions, Representing distributions, HT 2012 Föreläsning Plats: L22 Reading instructions: Kailath, Sect. 16.1-16.5 Material on non-linear filtering: Arulampalam, S., Maskell, S., Gordon, N. and Clapp, T. (2002) A tutorial on particle lters for on-line nonlinear/non-Gaussian Bayesian tracking. IEEE Transactions on Signal Processing, 50(2):174-188. F. Gustafsson, “Particle filter theory and practice with positioning applications,” IEEE Transactions on Aerospace and Electronics Systems Magazine Part II: Tutorials, vol. 25, no. 7, pp. 53–82, 2010. Copies of slides slightly extended after todays lecture! Homework 6, due Monday 8/10 (minor typos fixed Oct. 3) Note: Last homework in the course! Matlab functions for Homework 6 Vecka 41 2012 Visa i Mitt schema Mån 8 okt 13:00-15:00 Lecture 7, Unscented Kalman, Particle filter, Rao-Blackwellized particle filter. HT 2012 Föreläsning Plats: Q21 Reading instructions: Julier, S. J., and Uhlmann, J. K. Unscented Filtering and Nonlinear Estimation. Proceedings of the IEEE 92, 3 (March 2004), 401–422. F. Daum, “Nonlinear filters: Beyond the Kalman filter,” Aerospace andElectronic Sys. Magazine, vol. 20, no. 8, pp. 57-69, Aug. 2005. Copies of slides No more homeworks, but don't forget the project assignment!
