**Teacher:**
Dr. Tech. Simo Särkkä,
Aalto University, Finland

**Coordinator:**
Prof. Robert Piché,
Mathematics Dept, TUT

**Schedule:**
Lectures &
Exercises Thursdays 1-4pm (20.1, 3.2, 10.2, 17.2, 24.2, 10.3, 17.3). The
exercise hour is 1-2pm and the lecture is 2-4pm.
Location: Tampere University of
Technology room Td308 (bring a laptop with Matlab/Octave)

**Topics:** Modeling of time-varying systems with
uncertainty, optimal filtering and optimal smoothing, linear and
nonlinear Kalman filters (EKF/UKF/SLF/GHKF/CKF), linear and non-linear
Rauch-Tung-Striebel smoothers, sequential Monte Carlo methods,
particle filters and smoothers. Example applications from navigation,
remote surveillance and time series analysis.

**Prerequisites:** Multivariate
calculus, matrix algebra, basic probability and estimation (e.g. one of
the TUT courses Bayesian Methods, Stochastic Processes, or Mathematics
for Positioning); Matlab/Octave

**Course Pass Requirements:**

- The grade will be based on the project work. See Project work instructions and topics.
- Total 2/3 of the home work problems must be completed (see instructions below).

**Exercise hour:**

Before each lecture there is an exercise hour, which works as follows: In the beginning, you should flag to a list which of the exercises you have completed. One person will be randomly selected to present his/her answer on the drawing board or computer. Note that in the end of the course you must have done and flagged total of 2/3 of all the exercises during the course (14 out of 21 exercises).

- Exercises for 3.2.2011
- Exercises for 10.2.2011
- Exercises for 17.2.2011
- Exercises for 24.2.2011
- Exercises for 10.3.2011
- Exercises for 17.3.2011
- Exercises to be returned before 31.3.2011

The required Matlab/Octave files for the exercises can be found here.

**Course Material:**

Course booklet: course_booklet_2011.pdf

The slides are copied here after each lecture:

- Slides of 20.1.2011
- Slides of 3.2.2011
- Slides of 10.2.2011
- Slides of 17.2.2011
- Slides of 24.2.2011
- Slides of 10.3.2011
- Slides of 17.3.2011

Simo Särkkä Last modified: Tue Mar 22 10:46:11 EET 2011