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