{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

hw7 - EE 378 Statistical Signal Processing Homework Set#7...

Info icon This preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
EE 378 Handout #14 Statistical Signal Processing Wednesday, May 23, 2007 Homework Set #7 Due: Wednesday, May 30, 2007. Consider the following problem setting, X k = f k ( X k - 1 ) + W k Z k = X 2 k 20 + V k where, f k ( X k - 1 ) = X k - 1 2 + 25 X k - 1 1 + X 2 k - 1 + 8 cos(1 . 2 k ) . { W k } and { V k } are independent Gaussian white noise processes of respective variances 10 and 1, independent of the initial state X 0 ∼ N (0 , 1). In practice, we would of course only have samples of the observation process, { Z k } , and we would have to estimate the underlying state process, X k , on the basis of Z k . In this exercise, however, we will generate samples of Z k by first generating samples of X k . We will then use samples of this observation process, { Z k } , and filtering techniques discussed in class, to estimate the underlying state process, { X k } . Generate a sample path of the state process, { X k } 500 k =1 , and the corresponding obser- vation process, { Z k } , using the dynamics given above. 1. Use the Extended Kalman Filter (EKF) formulation discussed in class to estimate
Image of page 1

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern