UMass Lowell scales back Fall 2020 plan to minimize students, employees on campus. View the plan for more info.
Review of random processes and key elements of probability theory. State space description of systems and random processes, relation to frequency domain techniques. Numerical methods of continuous and discrete time random system modeling. Optimal Kalman filtering for discrete and continuous random systems. Sensitivity analysis. Design considerations in the face of model uncertainty, numerical instabilities, bad data. Optimal smoothing. Nonlinear filtering. Parameter identification. Applications throughout.