The seminar will be offered online. The introductory meeting will be on Monday, October 25. Connection details are:
Meeting number: 2734 232 3559
Password: 5MMctvYuk93

Join by video system
You can also dial and enter your meeting number.

Join by phone
+49-619-6781-9736 Germany Toll
+49-89-95467578 Germany Toll 2
Access code: 273 423 23559


Content of the seminar: 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 observational noise. We will discuss classical and modern mathematical methods, starting with the Kalman filter used on the Apollo missions in the 1960s. In particular, we will look at the challenges and properties of various filters. Among other topics, we will cover the following:

Kalman filter
Extended / Ensemble Kalman Filter
Particle filter & Markov chain Monte Carlo
Curse of dimension
Robustness of filters
Ergodic filters, long term stability

You can find more information and a list of literature on the Website.



Stochastics I and II.

Target group: BMS students, master students or advanced bachelor students.