Estimation, filtering and detection

Garant předmětu:

Lecturer:

Tutor:

Supervisor:

Department of Control Engineering

Synopsis:

This course will cover description of the uincertainty of hidden variables (parameters and state of a dynamic system) using the probability language and methods for their estimation. Based on bayesian prblem formulation principles of rational behsavour under uncertainty will be analysed and used to develp algorithms for estimation of parameters of ARX models and Kalman filtering including the extensions.

We will demonstrate numerically robust implementation of the algorithms applicable in real life problems for the areas of industrial process control, robotics and avionics. We will extend the methods for linear gaussian systems to a more generic problems using Monte Calro approach. The course will also cover multimodel approach and its use for the fault detection and isolation and introduction to adaptive control.

Requirements:

Syllabus of lectures:

1.Problem formulation, estimation methods

2.Bayesian approach to uncertainty description

3.Dynamic system model, probabilistic state definition

4.Identification of ARX model parameters

5.Tracking of time varuing parameters, forgetting, role of prior informaiton.

6.Numerically robust implementaiton for real time parameter tracking

7.Stochastic system, Kalman filter.

8.Kalman filtr for colour noise, extended Kalman filter, adaptive Kalman filter.

9.Stochastic dynamic programming, certainty equivalence principle.

10.Adaptive control, cautious and certainty equivalent strategies, dual control.

11.Probabilistic method for fault detection and isolation

12.Utilizaiton of multiple models

13.Nonlinear estimation, local approximation

14.Global aproximation, Monte Carlo Kalman filter

Syllabus of tutorials:

Laboratory covers work on individual assignments/projects.

.

Study Objective:

Study materials:

Note:

Further information:

http://dce.fel.cvut.cz/studium/estimation-filtering-and-detection

No time-table has been prepared for this course

The course is a part of the following study plans: