System Identification

Calendar

LEC #	TOPICS	KEY DATES
1	Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework
2	Review of Linear Systems, Review of Stochastic Processes, Defining a General Framework (cont.)
3	Introductory Examples for System Identification	Problem set 1 out
4	Introductory Examples for System Identification (cont.)
5	Nonparametric Identification
6	Nonparametric Identification (cont.)	Problem set 1 due
7	Input Design, Persistence of Excitation, Pseudo-random Sequences	Problem set 2 out
8	Input Design, Persistence of Excitation, Pseudo-random Sequences (cont.)
9	Least Squares, Statistical Properties
10	Least Squares, Statistical Properties (cont.)	Problem set 2 due Problem set 3 out
11	Parametrized Model Structures, One-step Predictor, Identifiability
12	Parametrized Model Structures, One-step Predictor, Identifiability (cont.)
13	Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood	Problem set 3 due Problem set 4 out
14	Parameter Estimation Methods, Minimum Prediction Error Paradigm, Maximum Likelihood (cont.)
15	Convergence and Consistency, Informative Data, Convergence to the True Parameters
16	Convergence and Consistency, Informative Data, Convergence to the True parameters (cont.)	Problem set 4 due
17	Asymptotic Distribution of PEM
18	Asymptotic Distribution of PEM (cont.)
19	Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results
20	Instrumental Variable Methods, Identification in Closed Loop, Asymptotic Results (cont.)	Problem set 5 out
21	Computation, Levinson Algorithm, Recursive Estimation
22	Computation, Levinson Algorithm, Recursive Estimation (cont.)
23	Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples	Problem set 5 due
24	Identification in Practice, Error Filtering, Order Estimation, Model Structure Validation, Examples (cont.)