Undergraduate courses in mathematical statistics, linear algebra,
calculus, filter theory, automatic control, stochastic
processes and signal processing.
The course starts in mid January 2005 and continues for approximately 14 weeks.
The course will be coordinated with a similar course at KTH/UU.
The periodicity is every two years.
To be decided, but probably 6 credits.
The goal is to get an understanding for the theory of model based filtering
and change detection, with particular attention to applications.
The course is divided into three parts: signal, parameter and state
The tools and algorithms are very similar for these parts, but the
applications and engineering disciplines in which this theory is
commonly described in are quite different.
The course consists of 10 lectures.
To the advanced course,
there is a possiblity to do application oriented
mini-projects, which gives another 2 credit points.
To the advanced course, there is a possiblity to do application oriented mini-projects, which gives another 2 credit points.
Fredrik Gustafsson , tel 282706
There will be a three day take home examination available.
The examination can be checked out during April.
Standard lecture time is Wednesday 10-12 in Algoritmen .
The schedule is still preliminary, and may be adjusted for conferences
|1. pdf||v4, 26/1, 10-12||Detection theory from Kay's book. Single and multiple hypothesis tests.||Selected chapters.|
|2. pdf||v5, 2/2, 10-12||Applications. Detection of mean changes: likelihood principles||1, 2, 3|
|3. pdf||v6, 9/2, 10-12||Detection of mean changes: The parallel filter concept.||3,4, Appendix|
|4. pdf||v9, 2/3, 10-12||Parameter estimation: recursive least squares. Residual based detection.||5|
|5. pdf||v10, 9/3, 10-12||Parameter estimation: parallel filters.||6|
|6. pdf||v11, 16/3, 10-12||Parameter estimation: filter bank change detection.||7|
|7. pdf||v13, 30/3, 10-12||State estimation: Kalman, EKF, residual based detection.||8, 9|
|8. pdf||v14, 6/4, 10-12||State estimation: parallel filters and filter bank change detection||9,10|
|9. pdf||v15, 13/4, 10-12||State estimation: parity space diagnosability and PCA.||11, Artikel|
Slides will be available to download, when ready.
The projects will be performed individually or in group.
The subject is either on particular implementations or
applications, as defined in discussion with the examiner.