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Course Weekly Lecture Plan

Week Topic
1 Introduction, brief review of probability theory and stochastic properties
2 Least squares estimation
3 Response of linear systems to random inputs
4 Continuous time Wiener filter
5 Discrete time Wiener filter
6 Optimum control system design
7 Recursive state estimation, discrete time Kalman filter
8 Discrete time Kalman filter
9 Continuous time Kalman filter, duality between linear optimal control and estimation problems
10 Principle of optimality
11 Stochastic cost function, stochastic principle of optimality
12 Optimal control neighbouring nominal solution
13 Linear Quadratic Gaussian controllers, separation property
14 Closed-loop system analysis
 
 
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