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ECSE 510 Filtering and Prediction for Stochastic Systems (3 unit茅s)

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Nota : Ceci est la version 2021鈥�2022 de l'annuaire 茅lectronique. Veuillez mettre 脿 jour l'ann茅e dans la barre d'adresse de votre navigateur pour une version plus r茅cente de cette page, ou .

Offered by: G茅nie 茅lectr. et informatique (G茅nie et l'architecture)

Vue d'ensemble

G茅nie 茅lectrique : Electrical Engineering: Basic notions. Linear state space (SS) systems. Least squares estimation and prediction: conditional expectations; Orthogonal Projection Theorem. Kalman filtering; Riccati equation. ARMA systems. Stationary processes; Wold decomposition; spectral factorization; Wiener filtering. The Wiener processes; stochastic differential equations. Chapman-Kolmogorov, Fokker-Plank equations. Continuous time nonlinear filtering. Particle filters. Applications.

Terms: This course is not scheduled for the 2021-2022 academic year.

Instructors: There are no professors associated with this course for the 2021-2022 academic year.

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