Numerics for Filtering and Identification
August 2024, 2012
General Information
The course is given August 2024 by Michel Verhaegen, and it will be held at the department of Automatic Control
Contents

The course covers the use of linear algebra in solving filtering and identification problems.
The main ingredient is to study a variety of signal processing problems, such as Kalman filtering and subspace
identification in the context of the weighted linear least squares problem. Attention will also be given to
numerical aspects such as reliability and efficiency. The lectures consists of two parts: Lectures in the morning and
exercise sessions in the afternoon.
Organization and Examination
 Lectures: 08151200 Monday to Friday
 Location: Visionen, Building B, Ground Floor (Level 2), Campus Valla, Linköping. Map (on Monday 1012 the lecture will be in Signalen)
 Exercises: Participants will receive exercises to be discussed and solved each afternoon Monday to Thursday
 Course credits: 3hp
 Examination: Completion of the afternoon exercise problems
Lectures

Slides for lectures 1 and 2 for Monday 20 can be found here and
here.
Slides for lectures 3 and 4 for Tuesday 21 can be found here and here.
Slides for lectures 5 and 6 for Wednesday 22 can be found here and here.
Slides for lectures 7 and 8 for Thursday 23 can be found here and here.
Slides for lectures 9 and 10 for Friday 24 can be found here and here.
Exercises

Exercise 1 can be found here.
Exercise 2 can be found here.
Exercise 3 can be found here with mfile.
Exercise 4 can be found here with mfile Example2.m and mfile Example3.m
Course Literature

The following
book is recommended
Matlab code

Code used for demos during the lectures.
Acker_test.m
RLS_demo.m
RangeDemo.m
SensNeq.m.
Spiegelman.m
rrqrdemo.m
linCost.m
nlCost.m
Comp_Obs_SRCF.m
SubidPlot.m
SIDemo.m
subid_basic.m
Informationsansvarig: Torkel Glad
Senast uppdaterad: 20220623