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S-114.4220 Research Seminar on Computational Science

The topic of the course in fall 2006 is

Bayesian Estimation of Time-Varying Processes (5 p) L V

The topic of the seminar is Bayesian estimation of time-varying processes, which in its recursive form is more often referred to as optimal filtering. Optimal filtering refers to the methodology that can be used for estimating the states of time varying systems, which are indirectly observed through noisy measurements. This seminar concentrates to Bayesian optimal filtering methods suitable for estimating non-linear and non-Gaussian time varying processes from potentially non-linear and non-Gaussian measurements.

Phenomena, which can be modeled as time varying systems of the above type are very common in engineering applications. These kind of models can be found, for example, in navigation, aerospace engineering, space engineering, biology, remote surveillance, telecommunications, physics, chemistry, audio signal processing, control engineering, finance and several other fields.

Dr.Tech. Simo Särkkä, Dr.Tech. Aki Vehtari
Basics of Bayesian inference and matrix algebra. Basic knowledge or ability to learn to use Matlab is needed for completing the exercise.
Place and time
The seminars take place on Thursdays at 12:15 in Innopoli 2, B317 (the seminar room of Laboratory of computational engineering, see map) First lecture is 21.9. 12:15.
Course Registration
Please register for the course by sending email to Remember to mention the student id. If you have an suggestion for the topic of your presentation, you may mention it in the email also.
English if at least one English speaking participant.


Course requirements:

Course Material

Potential topics of presentations include, but are not limited to:


Date Talker Subject Download
21.9. Simo Särkkä Introduction to Bayesian Estimation of Time-Varying Processes PDF slides
28.9. (no seminar)
5.10. Simo Särkkä Overview of Optimal Filtering Algorithms PDF slides
12.10. Xiyin Li
Teemu Tuulari
Kalman Filter
Sequential Importance Sampling/Resampling
19.10. Danai Laksameethanasan
Giuseppe Pepe
Extended Kalman filter
Unscented Kalman filter
26.10. (no seminar)
2.11. Jarno Vanhatalo
Miika Toivanen
Formal Baysian Filtering Equations
Particle filtering applications
9.11. (no seminar)
16.11. (no seminar)
23.11. Tommi Tykkälä
Jaakko Riihimäki
Construction of an Optical Tracking System
Landmark Based Robot Navigation
30.11. Jussi Salmi
Antti Kemppainen
Tracking of Radio Propagation Path Parameters Using Extended Kalman Filter
Continuous-Discrete Filtering
7.12. (no seminar)
14.12. Sampo Vesa
Aki Havulinna
Acoustic Tracking
Reversible jump MCMC for temporal change point analyses
21.12. (no seminar)

Because there are two presentations in each seminar session, each talker shall be the opponent of the other talker in the same seminar session.

General instructions

In every seminar talk, there is the author who writes a 2-4 page summary paper about the subject and gives the talk, and an opponent, whose task is to make questions and stimulate discussion after the presentation. Every student is the author for (at least) one talk and the opponent for another talk. The author should send the summary paper to the opponent and to the teachers on the monday preceding the presentation day. The slides should be sent to the teacher lastest on the day preceding the presentation. The opponent prepares at least 2-3 questions about the topic to stimulate discussion after the talk. Normal talk is 30-40 minutes.

Homework exercises

The home work exercises can be found behind the following link:


The answers to the exercises should be returned in two phases:

The answers should be sent as email to the teacher ( in PDF form. When sending the email,please add "S-114.4220" or "1144220" to subject. The answers can also be returned on paper to the teacher.

Exercise work

The computer exercises can be found behind the following link:


Your task is to write the actual filtering algorithms to the script files kf_ex.m and angle_ex.m. The script files are compatible with Matlab 6.x/7.x and with recent versions of GNU Octave and you can use either of these programs for making the exercise. These files and some additional files can be found in the following directory:

The exercise report should be returned before December 15, 2006. The report should be sent as email to the teacher ( in PDF form. The Matlab/Octave-files should be returned as a ZIP or TAR.GZ file together with the PDF report. In the report, in addition to the results and figures, document the Matlab/Octave-codes that you have written. When sending the email, please add "S-114.4220" or "1144220" to subject. The report can also be returned on paper to the teacher.

Additional Online Material:

WWW Pages:


When sending email concerning the course, please add "S-114.4220" or "1144220" to subject.

Dr.Tech. Simo Särkkä

Dr.Tech. Aki Vehtari

Tästä sivusta vastaa
Sivua on viimeksi päivitetty 14.12.2006