Credits: 3 (3-0-0)
Prerequisites: ELL701 or ELL333
Description
MMSE estimation including LMS, Gaussian case. Wiener filtering & prediction. Kalman filtering & prediction. Extended Kalman filtering. Predictors for difference equation based models including ARMA, Box Jenkins & others. Statistical properties of Least Squares estimation and its relationship with Bayes estimation (ML, MAP), convergence analysis, CR bound. Recursive Least Squares, Iterative methods for nonlinear Least Squares. Identification problem: Different approaches for linear dynamical systems. Offline identification methods including Least Squares, Prediction error framework, Pseudo-linear regression (PLR) & Instrument variable methods. Recursive Identification of linear dynamical system: RLS, PLR, Prediction error framework & its application to ARMA & Innovations representation. Convergence Analysis of Recursive Identification methods: Associated ODE, Martingale. Nonlinear system identification. Subspace based method of system identification. Applications including LQG and adaptive control.
Prerequisite Tree
flowchart TD
ELL705-960[ELL705]
ELL705-960 --- Or961[Any one of]:::empty
Or961 -.-> ELL701-962[ELL701]
Or961 -.-> ELL333-963[ELL333]
ELL225-963 --> ELL205-963[ELL205]
ELL333-963 --> ELL225-963[ELL225]
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