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American Institute of Aeronautics and Astronautics

    Course Outline

    Optimal State Estimation

    Course Outline:

    I. Introductory material
    A. Linear systems
    B. Probability and stochastic processes
    C. Least squares estimation
    D. State and covariance propagation

    II. The Kalman filter
    A. The discrete-time Kalman filter
    B. Alternate Kalman filter formulations
    C. Kalman filter generalizations
    D. The continuous-time Kalman filter
    E. Optimal smoothing
    F. Additional topics in Kalman filtering

    III. The H-infinity filter
    A. The H-infinity filter
    B. Additional topics in H-infinity filtering

    IV. Nonlinear filters
    A. Nonlinear Kalman filtering
    B. The unscented Kalman filter
    C. The particle filter