MAT-55216 Topics in Applied Mathematics, 5 credits

Spring 2011: Bayesian estimation of time-varying processes: discrete-time systems

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:

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).

  1. Exercises for 3.2.2011
  2. Exercises for 10.2.2011
  3. Exercises for 17.2.2011
  4. Exercises for 24.2.2011
  5. Exercises for 10.3.2011
  6. Exercises for 17.3.2011
  7. 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:

  1. Slides of 20.1.2011
  2. Slides of 3.2.2011
  3. Slides of 10.2.2011
  4. Slides of 17.2.2011
  5. Slides of 24.2.2011
  6. Slides of 10.3.2011
  7. Slides of 17.3.2011
The old slides, booklet and exercises can be found here.

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