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Computational Inference in Dynamical Systems

A PhD course at Vrije Universiteit Brussel.

General Information

The aim of this course is to provide an introduction to the theory and application of computational methods for inference in dynamical systems. More specifically, the computational methods we are referring to are sequential Monte Carlo (SMC) methods (particle filters and particle smoothers) for nonlinear state inference problems and expectation maximisation (EM) and Markov chain Monte Carlo (MCMC) methods for nonlinear system identification.

  • A pdf document with a more detailed course description is available here.
  • Lecture slides are available here.
  • Contents

    • Probabilistic modeling of dynamical systems
    • Expectation maximisation (EM) for nonlinear system identification
    • Markov chain Monte Carlo methods (MCMC) for nonlinear system identification
    • Gibbs sampler
    • Metropolis hastings sampler
    • Rejection sampling and Importance sampling
    • Particle filtering
    • Particle smoothing
    • Particle MCMC

    Organization

    This course is part of the PhD course Identification of Nonlinear Dynamic Systems

    Date and Time

    This is an intensive course (4*2 hours of lecturing) and it will be given in two parts,

    • June 6, 2012 (8-12)
    • June 7, 2012 (8-12)

    Course Literature

    Lecture notes will be handed out to the course participants,
    [LN] Thomas B. Schön. Computational inference and learning in dynamical systems, 2012.

    Prerequisites

    Basic undergraduate courses in linear algebra, statistics, signal and systems.

    Related Courses

    Identification of Nonlinear Dynamic Systems, System identification, Machine learning.

    Contact Persons

    Dr Thomas Schön, tel +46 13 281373, email: schon_at_isy.liu.se.
    Prof. Johan Schoukens, tel +32 (0)2 629 29 44, email: Johan.Schoukens_at_vub.ac.be.

    Thomas Schön

    Associate Professor in Automatic Control

    Phone:
    +46 13 281373
    Mobile (private):
    +46 735 933 887
    E-mail:
    schon_at_isy.liu.se
    Address:
    Dept. of Electrical Engineering
    Linköping University
    SE-581 83 Linköping
    Sweden
    Visiting Address:
    Campus Valla
    Building B
    Room 2A:NNN (in the A corridor on the ground floor between entrance 25 and 27)


    Page responsible: Thomas Schön
    Last updated: 2012-10-13