Stochastic Estimation and Control

This course deals with the estimation and control of dynamical systems. We will begin with an introduction of probability, random variables, stochastic differential equations, and basics in parameter estimation. These concepts will then be applied to state-space descriptions of linear systems following up to the Linear Quadratic Gaussian (LQG) controller and Kalman filter. Nonlinear estimation methods such as the extended Kalman filter and particle filter will be introduced.