EML6934F09_syllabus

EML6934F09_syllabus - EML 6934 (section 6385) - Fall 2009...

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EML 6934 (section 6385) - Fall 2009 Optimal Estimation Instructor: Dr. Prabir Barooah Ofce: MAE-A 322 E-mail: pbarooah at uF.edu Ofce Phone: 352.392.0614 Class time: period 4 (10:40-11:30 am) MW± Class location: MAE-B 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: 2-4 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 input-output 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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EML6934F09_syllabus - EML 6934 (section 6385) - Fall 2009...

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