Optimal filtering, 2003-2004

Predicted next time for this course

2006-2007.

Schedule

The course is given November 2003 - March 2004. Next time on request, TBD.

Credits

4 graduate credit points.

Goal

To give the participants thorough understanding of the theory of optimal filtering, covering Chapters 6-8 and appendices of the book 'Signalbehandling' used in the undergraduate course 'Digital Signalbehandling (TSRT78) (home page and book).

Organization

The first two lectures cover the content of the book 'Fundamentals of statistical signal processing: estimation theory' by Steven Kay. The last eight lectures are on the book'Linear Estimation' by Kailath, Sayed, Hassibi. The subjects are divided among the participants, who deliver:

A 60 minutes presentation. The course leader gives a 15 minutes primer on the next lecture.
Whenever suitable, Matlab code and examples illustrating the theories and algorithms, or hands-on exercises.

Course leader

Fredrik Gustafsson , tel 282706 email: fredrik@isy.liu.se.

Literature

Kailath, Sayed, Hassibi: Linear Estimation
Steven Kay: Fundamentals of statistical signal processing: estimation theory

Examination

Participation at the lectures and reading of distributed material.

Lecture plan

There will be one lecture every second week during the fall. Standard lecture time is TBD. The lecture starts with the participant presentation, followed by an introduction to the next subject by the course leader.

Nr.	Time	Content	Chapters
1	Mon 10/11, 13-15	Fredrik Gustafsson: estimation principles	1-6
2	Mon 17/11, 13-15	Fredrik Gustafsson: estimation methods	Kay 7-12
3	Mon 1/12, 13-15	Stina och Frida: Least squares OH). ex (pdf)), uppg11.mat), uppg12.mat).	1-3
4	Mon 15/12, 13-15	Johan S, Erik W, Daniel A: Innovation models OH. ex (pdf)	4-6
5 OH.	Mon 12/1, 13-15	Martin, Markus: Wiener filtering	7-8
6 OH.	Mon 26/1, 13-15	Rickard, Thomas, Anders: Kalman filtering	9
7	Tuesday 10/2, 13-15	David L, Jonas G: Smoothing	10
8 OH.	Monday 23/2, 13-15	Gustaf, David T: Methods	11-13
9 OH, Monday 8/3, 13-15 artikel.		Jonas J, Andreas: EKF etc	Extra material TBD
10 OH,	Monday 15/3, 13-15	Fredrik G: Particle filtering	Extra material TBD

Slides will be available to download.

Participants

Frida,
Erik G,
Svante B,
Stina,
Rickard,
Andreas,
Thomas,
Markus,
Jonas J,
Ola H,
Martin,
Erik W,
David T,
David L,
Daniel A,
Magnus,
Johan,
Jonas G,
Anders Brun (IMT)
Per Skoglar (FOI)
Fredrik Wallin (Y)
Olof (MAI)