ELL 705: Stochastic Filtering and Identification

Venue: Block III, Room 339, Time: MW 11-11:50am, Th 12-12:50pm

Syllabus

1. Basics of probability

2. Stochastic processes

3. Stochastic difference and differential equations

4. Least squares problem and Estimation

5. Filtering, smoothing and prediction

6. Filtering problem: linear least mean squares estimator

7. Filtering problem: Wiener-Hopf technique and Innovations approach

8. Filtering problem: stationary processes, spectral factorization

9. Filtering problem: Kalman filter, Kalman-Bucy filter, extended Kalman filter (EKF)

10. Identification: ARX, ARMAX, State-space.

Reference Books

1. Optimal Filtering by B. D. O. Anderson and J. B. Moore

2. Stochastic processes and filtering theory by A. Jazwinsky

3. Linear Estimation by Thomas Kailath, A. Sayyed, B. Hassibi

4. System Identification by T. Soderstrom and P. Stoica