Stochastic Estimation and Control

Course Info

Course Number/Code: 16.322 (Fall 2004)
Course Title: Stochastic Estimation and Control
Course Level: Graduate
Offered By: Massachusetts Institute of Technology (MIT)
Department: Aeronautics and Astronautics
Course Instructor(s): Prof. Wallace Vander Velde
Course Introduction:
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The course meets twice weekly.


16.06, 6.041 or 6.431.

Summary of the Subject (Topics)

Brief Review of ProbabilityExample ApplicationsBrief Review of Random VariablesExample ApplicationsBrief Review of Random ProcessesClassical DescriptionState Space DescriptionWiener FilteringOptimum Control System DesignEstimationKalman FilteringDiscrete TimeContinuous Time


Brown, Robert Grover, and Patrick Y. C. Hwang. Introduction to Random Signals and Applied Kalman Filtering. New York: John Wiley & Sons, March 1992. ISBN: 0471525685.

Course Administration

All important material presented in classRead text and other references for perspectiveDo the suggested problems for practice - no credit is offered for theseTwo (2) hour-long quizzes will be held in-class - open bookOne (1) three hour final exam - open book