Probability and random variables; random processes; linear dynamic systems and random inputs; autocorrelation; spectral density; the discrete Kalman filter; applications; the extended Kalman filter for nonlinear dynamic systems. Kalman filter design using a computer package, mean square estimation; maximum likelihood; Wiener filtering and special factorization, LQG/LTR control. Prerequisite: ESE 326 and ESE 351 or equivalent.
