Nyhetsflöde

TBDQ26

Reading instructions: Kailath, Sect. 9.5, 12.1-12.4, 11.1

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Reading instructions: Kailath, Sect. 9.5, 12.1-12.4, 11.1

Copies of slides

Monday 15 October 2012 at 103:15 - 125:00

TBDQ2

Reading instructions: Kailath, Sect. 16.1-16.5

Copies of slides¶

Homework 7, due Tuesday 23/10 Note, this is the last homework set in the course!¶

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Reading instructions: Kailath, Sect. 16.1-16.5

Copies of slides

Homework 7, due Tuesday 23/10 Note, this is the last homework set in the course!

Reading instructions: Kailath, Sect. 16.1-16.5

Copies of slides

Homework 7, due Tuesday 23/10  Note, this is the last homework set in the course!

Lecture 7, Unscented Kalman, Particle filter, Rao-Blackwellized particle filter.

Reading instructions, to be added¶

Reading instructions, to be added¶:¶


* 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.

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 homework this week! Don't forget the project assignment!¶

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Lecture 6, Kalman filter - Smoothing, Non-linear filtering, Propagating distributions, Representing distributions,

Reading instructions: Kailath, Sect. 16.1-16.5¶

Material on non-linear filtering, to be added.¶

Reading instructions: Kailath, Sect. 16.1-16.5

Material on non-linear filtering, to be added.¶:¶


* 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.

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¶

Matlab functions for Homework 6¶

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)

Matlab functions for Homework 6

Lecture 5, Extended Kalman, Time invariance of Kalman filter, frequency domain expressions

Reading instructions: Kailath, Sect. 8.1-8.5, App. D.1, App. E.1-E.6¶

Reading instructions: Kailath, Sect. 8.1-8.5, App. D.1, App. E.1-E.6

Homework 5, due Monday 1/10¶

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

Lecture 4, The innovations process, Kalman filter - innovations approach

Reading instructions: Kailath, Sect. 9.1-9.4¶

Reading instructions: Kailath, Sect. 9.1-9.4

Homework 4, due Monday 24/9¶

Reading instructions: Kailath, Sect. 9.1-9.4

Copies of slides¶

Homework 4, due Monday 24/9

Lecture 3, Wiener filtering - causal discrete time, state space models, Kalman filter - discrete time

Reading instructions: Kailath, Sect. 7.3-7.8, 1.1-1.2¶

Reading instructions: Kailath, Sect. 7.3-7.8, 1.1-1.2

Copies of slides¶

Homework 3, due Monday 17/9¶

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Lecture 2, Geometric interpretation of random variables, Wiener filtering - causal continuous time

Reading instructions: Kailath, Sect. 3.3, 6.A and 7.A¶

Copies of slides¶

Reading instructions: Kailath, Sect. 3.3, 6.A and 7.A

Copies of slides

Homework 2, due Monday 10/9¶

Reading instructions: Kailath, Sect. 3.3, 6.A and 7.A

Copies of slides, corrected

Homework 2, due Monday 10/9

Lecture 1, Introduction, Least Squares Estimation

Copies of slides¶

Copies of slides

Homework 1, due Monday 3/9¶

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Reading instruction: Kailath: Chapter 3.¶

Copies of slides

Homework 1, due Monday 3/9