16.322 | Fall 2004 | Graduate
Stochastic Estimation and Control

Syllabus

Course Meeting Times

Lectures: 2 sessions / week, 1.5 hours / session

The course meets twice weekly.

Prerequisites

16.06, 6.041 or 6.431.

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
Course Info
As Taught In
Fall 2004
Level