State Estimation And Parameter Identification Of Stochastic Systems

Catalog description

Introduction to point estimation, least squares, Bayes risk, and maximum likelihood. Optimum mean-square recursive estimation for nondynamic stochastic systems. State estimation for discrete-time and continuous-time dynamic systems. Parameter identification of stochastic systems using maximum likelihood. Stochastic approximation, least squares, and random search algorithms. Offered in alternate years. Typically offered Fall. View Class Schedule