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EML 6934 (section 6385)  Fall 2009
Optimal Estimation
Instructor: Dr. Prabir Barooah
Ofce: MAEA 322
Email: pbarooah at uF.edu
Ofce Phone: 352.392.0614
Class time: period 4 (10:4011:30 am) MW±
Class location: MAEB 229
Ofce Hours: 11:30 am  12:30 pm, MW±
Course website
Please check the course website regularly ²or updates and announcements:
http://humdoi.mae.ufl.edu/
∼
prabirbarooah/EML6934F09.html
Teaching Assistant
Takashi Hiramatsu (takashi at uF.edu)
TA ofce hours: Th: 24 pm, location: MAE 224
Course Outline
The purpose o² this course is two²old : (1) provide a ³rm background in the mathematical basis o²
parameter and state estimation methods, and (2) provide training on how to (and how not to) apply
them in practice. The ³rst ²ew weeks o² the course will be an intense crash course in probability, in
which concepts such as random variables, density ²unctions, moments, etc. will be reviewed. A²ter
that, we will start with the problem o² estimating a vector o² parameters
θ
∈
R
n
²rom noisy mea
surements
z
=
H
θ
+
ǫ
, where
ǫ
is a measurement noise vector. We will then examine the general
problem o² estimating one random vector given the measurement o² another. ±inally, we will examine
the state estimation problem in which the state
x
k
o² the linear system
x
k
+1
=
A
k
x
k
+
B
k
u
k
+
w
k
,
y
k
=
C
k
x
k
+
θ
k
is to be estimated, where
w
k
and
θ
k
are noise sequences (called stochastic processes)
a´ecting the dynamic evolution and measurements.
Topics to be covered:
Review o² linear algebra: least squares solution o² linear equations and its application to parameter
estimation o² dynamical systems ²rom inputoutput data.
Review o² Probability and Random Variables. Combinatorics, Probability spaces, random variables,
density ²unctions, moments (esp. mean and variance), concepts related to multiple random variables,
joint density ²unctions, independence, conditional density, etc.
Best Linear Unbiased Estimator and Least Squares Estimator. Recursive Least Squares. Maximum
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 Fall '08
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