EEL 774, II semester 2014-15

This is the the webpage for EEL 774, II semester 2014-15

Parameter Estimation and System Identification

Instructor
Shaunak Sen
E-mail: shaunak.sen@ee.iitd.ac.in
Lectures: TuThF 11:00-11:50am
Room: Block III - 386

Announcements

30.04.2015: MAJOR TEST scheduled from 1PM-3PM on Fri, 01.05.2015 in II-325. Please check Exam Schedule for up-to-date information.
18.04.2015: Project guidelines, data posted.
07.04.2015: MINOR TEST 2 solutions, HW1 solutions posted.
30.03.2015: HW2 posted.
18.03.2015: MINOR TEST 2 scheduled from 4-5PM on Sat, 21.03.2015 in II-325. Please check Exam Schedule for up-to-date information.
10.03.2015: MINOR TEST 1 solutions posted.
03.02.2015: HW1 posted.
05.01.2015: Webpage online.

Lectures

S. No.	Date	Topic	Suggested Reading	Homework
1	Week 1 (Jan 2)	Overview Data, Model, Method	Schmidt & Lipson, Science (324), 2009. Ljung 1.4
2	Week 2 (Jan 6, 8, 9)	Examples Prominent Methods	Ljung 1.3
3	Week 3 (Jan 13, 15, 16)	Applications Models Prediction	Ljung 3.1-3.2
4	Week 4 (Jan 20, 22, 23)	Linear Models Transfer Functions State-Space Linear Time-Varying Models Nonlinear Models	Ljung 4.1-4.2 Ljung 4.3 Ljung 5.1-5.3
5	Week 5 (Jan 27, 29, 30)	Methods - Static Context Least-Squares Method	Least-squares estimation: from Gauss to Kalman, Sorenson, IEEE Spectrum, July 1970. Ljung II	HW1
6	Week 6 (Feb 3, 5, 6)	Maximum Likelihood Cramer-Rao Bound Methods - Dynamic Context Least Squares	Ljung II Ljung 7.3
7	Week 7 (Feb 10, 12, 13)	Maximum Likelihood Maximum A Posteriori Estimate, Bayes Method	Ljung 7.4
8	Week 8 (Feb 16 - MINOR TEST 1, 19)	Instrument-Variable Method	Ljung 7.6
9	Week 9 (Feb 24, 26, 27)	Computational Example Convergence	Example Code (Corrected)
10	Week 10 (Mid-Semester Break)
11	Week 11 (Mar 10, 12, 13)	Notions of Convergence Consistent Estimates Rate of Convergence	Convergence Example (handout) Convergence Example (code) Optional: Ljung 8, 9
12	Week 12 (Mar 17, 18, 21 - MINOR TEST 2)	Recursive Least-Squares Time-Varying Parameters Recursive Instrument-Variables	Ljung 11.1-11.3
13	Week 13 (Mar 24, 26, 27)	Recursive Maximum Likelihood	Ljung 11.4-11.5
14	Week 14 (Mar 31)	Example: ARMAX	Ljung Example 11.1	HW2
15	Week 15 (Apr 7, 9, 10)	Extended Kalman Filter	Optional: Anderson & Moore, Optimal Filtering
16	Week 16 (Apr 14, 16, 17)	Properties & Example
17	Week 17 (Apr 21, 23, 24, 25)	Further Examples
18	Week 18 (Apr 28)	Project Presentations

Reference Textbooks

L. Ljung, System Identification: Theory for the User, Prentice Hall, 2nd edition, 1999.