Welcome to State and Parameter Estimation in Nonlinear Dynamic Stochastic Systems (2021)

Description: In applications within modeling, estimation, control and detection state space models are used. Normally the whole state can not be measured but only some function of the state is measured and perhaps also with substantial measurement noise. In at least the above applications it is necessary to estimate the whole state from the measurement. Exactly this is the topic for the course. For linear discrete time stochastic systems there exist the Kalman filter solution which to some extend is included in the master curriculum. The topic for this course is the advanced methods for nonlinear and continuous time systems and also to include parameter estimation. The purpose of this PhD course is to give the participant a comprehensive knowledge on both basic and more advanced aspects of state and parameter estimation. The goal is to enable the students with knowledge and tools for stochastic modeling of physical systems. The participant should be able to apply software for state and parameter estimation for the model structures. The software used are programs from MATLAB. Topics include among others Kalman filters (KF), Extended KF, Unscented KF, continuous discrete filtering, stochastic differential equation (SDE), parameter estimation by extending the state or maximum likelihood (ML), particle filter (PF). The course is evaluated as passed/not passed. In order to pass the student must be actively participating and deliver written solutions to the exercises which must be accepted by the lecture. 

Organizer: Torben Knudsen

Lecturers: Torben Knudsen

ECTS: 3.0

Time: 3-7 May 2021 New dates: 1-5 November 2021

Place: Aalborg University

Zip code: 

City: Aalborg 

Number of seats: 25 

Deadline: 01 October 2021

Important information concerning PhD courses: We have over some time experienced problems with no-show for both project and general courses. It has now reached a point where we are forced to take action. Therefore, the Doctoral School has decided to introduce a no-show fee of DKK 3.000 for each course where the student does not show up. Cancellations are accepted no later than 2 weeks before start of the course. Registered illness is of course an acceptable reason for not showing up on those days. Furthermore, all courses open for registration approximately four months before start. This can hopefully also provide new students a chance to register for courses during the year. We look forward to your registrations.