Here are the slides from Lectures
Please read Section 1.5 from the notes:
Please attempt Ex39, 40 & 41 [if you can code], 42 and 43.
Another year of MATH69122! — aka Stochastic Control.
This year, I will try to keep updating PDFs with slides and notes for each lecture. I’ll keep notes for the course in the “PDF” tab above. These are also here:
Here is a rough plan for each week of lectures:
Kalman filtering (and filtering in general) considers the following setting: we have a sequence of states , which evolves under random perturbations over time. Unfortunately we cannot observe , we can only observe some noisy function of , namely, . Our task is to find the best estimate of given our observations of . Continue reading “Kalman Filter”