Content: The seminar covers advanced topics of stochastics.
The goal in filtering is to estimate the current state of a (possibly random) dynamical system given dynamic, noisy measurements, i.e. to filter out the observation noise. We will discuss classical and modern mathematical methods, starting with the Kalman filter that was used in the Apollo missions of the 1960s. In particular, we will put special emphasis on challenges and properties of different filters. Among others, we will treat the following subjects:
Extended / ensemble Kalman filter
Particle filters & Markov chain Monte Carlo
Curse of dimension
Robustness of filters
Ergodic filters, long-time stability
On the Homepage you will find detailed Information of our research seminar.
Literatur wir in der Vorbesprechung bekanntgegeben.
Literature will be announced in the preliminary discussion
Prerequisites: Stochastics I and II. Target Group: BMS Students, Master students and advanced Bachelor students.
Virtueller Raum 28
wöchentlich, ab 18.10.2021, 14:00 - 16:00 (16 Termine)