Syllabus

The course meets twice weekly.

Prerequisites

16.06, 6.041 or 6.431.

Summary of the Subject (Topics)

• Brief Review of Probability
  • Example Applications
    
    
• Brief Review of Random Variables
  • Example Applications
    
    
• Brief Review of Random Processes
  • Classical Description
  • State Space Description
    
    
• Wiener Filtering
  
  
• Optimum Control System Design
  
  
• Estimation
  
  
• Kalman Filtering
  • Discrete Time
  • Continuous Time

Textbook

Brown, Robert Grover, and Patrick Y. C. Hwang. Introduction to Random Signals and Applied Kalman Filtering. New York: John Wiley & Sons, March 1992. ISBN: 0471525685.

Course Administration

• All important material presented in class
  
• Read text and other references for perspective
  
• Do the suggested problems for practice - no credit is offered for these
  
• Two (2) hour-long quizzes will be held in-class - open book
  
• One (1) three hour final exam - open book