Course Meeting Times
Lectures: 2 sessions / week, 1.5 hours / session
The course meets twice weekly.
Prerequisites
Summary of the Subject (Topics)
- Brief Review of Probability
- Example Applications
- Brief Review of Random Variables
- Example Applications
- Brief Review of Random Processes
- Classical Description
- State Space Description
- Wiener Filtering
- Optimum Control System Design
- Estimation
- Kalman Filtering
- Discrete Time
- Continuous Time
Textbook
Brown, Robert Grover, and Patrick Y. C. Hwang. Introduction to Random Signals and Applied Kalman Filtering. New York: John Wiley & Sons, March 1992. ISBN: 0471525685.
Course Administration
- All important material presented in class
- Read text and other references for perspective
- Do the suggested problems for practice - no credit is offered for these
- Two (2) hour-long quizzes will be held in-class - open book
- One (1) three hour final exam - open book
