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ETH - IDSC - Recursive Estimation

ETH Zurich - DMAVT - IDSC - Lectures Overview - Recursive Estimation

Recursive Estimation
Description: Introduction to state estimation; probability review; Bayes theorem; Bayesian tracking; extracting estimates from probability distributions; Kalman filter; extended Kalman filter; particle filter; observer-based control and the separation principle. Literature: C lass notes (will be available online). Requirements: Introductory probability theory and matrix-vector algebra. Recursive Estimation 151-0566-00
4 c redit points Start: 2 7 February 2 0 1 3 End: 2 9 M ay 2 0 1 3 Frequency: A nnually, Spring s emes ter

Announcements July 19 The teaching assistants will be available to answer questions during office hours on 30 July 16:00-18:00 and 6 August 16:00-18:00 in ML K37.1. Students who would like to learn more about the grading of their programming exercises, or who would like to have a look at our reference implementations are welcome to do so this Friday, June 28, from 15.00 - 16.00 in ML K37.1. The results of the second programming exercise are posted below. The grades are not rounded, only the final class grade will be rounded. The results of the first programming exercise are posted below. The grades are not rounded, only the final class grade will be rounded. The second programming exercise has been posted below. The final version of the 4th problem set about Kalman Filtering has been posted. Below the programming exercise table, official office hours for students to ask the TAs questions about the programming exercises have been posted. The due date of the second programming exercise has been extended by a week. The first programming exercise has been posted below. The solutions to the quiz and the results are posted below. The quiz grades are not rounded, only the final class grade will be rounded. You may have a look at your graded quiz on Friday, May 10, from 16.00-17.00 in ML K37.1 We have posted a preliminary version of Problem Set 4 (Kalman Filtering) below. An extended version, including further problems, will be posted as the Kalman Filtering topic is completed in the lecture. Below, we just posted some remarks about the solution of problem 3e) from last year's quiz. The quiz takes place on April 10, from 13.15 to 14.00. It covers all class material up to the date of the quiz , and its duration is 45 minutes . No aids are permitted (no cheat sheets, no calculators, etc.). Due to the large number of students, there are two rooms. Students are divided alphabetically according to their last name : A-F : C HN C 14 G-Z : ML D28 For example, George Bush takes the quiz in C HN C 14, while Barack Obama has to go to ML D28.

Lecturer Sebastian Trimpe Assistants Markus Hehn, Philipp Reist Day/Time/Location Wednesdays 13:15-16:00, C HN C 14

June 25

June 25

June 11

May 22 May 20 May 14

May 14 May 08 May 06

Apr 19

Apr 09 Mar 26

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After the quiz, the lecture takes place from 14.15 to 16.00 in ML D28. There is no recitation. Mar 26 Mar 15 Mar 13 An errata to the problem sets has been posted below. We just posted lecture notes errata, which you may find for download below. There was a typo on the blackboard at the end of the recitation. The mean PDF on bin j, fj is approximated by (cj * M) / N for N much larger M. You may download the class fact sheet here. Please note that in the first week of the semester, there will be no lecture and recitation. The first lecture will be on Feb 27.

Feb 28 Nov 11

Class Facts Instructor Teaching Assistants Lectures Recitation Office hours Exam Sebastian Trimpe Philipp Reist, Markus Hehn Wednesday, 13:15 to 15:00, C HN C 14 Wednesday, 15:15 to 16:00, C HN C 14 By appointment (please send an e-mail to the teaching assistants). Final written exam during the examination session, covers all material. Students are permitted to use one A4 cheat sheet (one sheet = two pages). The final grade is based on the final exam, an optional in-class quiz, and optional programming exercises: The grade of the quiz may contribute 20% to the final grade, but only if it helps improving the final grade. The average grade of the two programming exercises may contribute 20% to the final grade, but only if it helps improving the final grade. Example 1: A student obtained a 4.5 in the final exam, did not attend the quiz, and a got a 5.5 in the programming exercises. The final grade is 80% * 4.5 + 20% * 5.5 = 4.7. The quiz does not contribute to the final grade. Example 2: A student obtained a 5.5 in the final exam, a 6.0 in the quiz, and a 6.0 from the programming exercises. The final grade is 60%*5.5 + 20%*6 + 20%*6 = 5.7. Example 3: A student obtained a 4.5 in the final exam, a 3.5 in the quiz, and a 4.0 from the programming exercises. The final grade is 4.5, the final exam counts 100%. PhD students will get credits for the class if they pass the class (final grade of 4.0 or higher). Plagiarism The programming exercise submissions will be tested for plagiarism. See the ETH citation etiquette for more information on plagiarism and its possible consequences. The final exam is only offered in the session after the course unit. Repetition is only possible after reenrolling. Students who took the class in previous semesters and have to retake the course should inform the teaching assistants at the beginning of the new class .

Grading

Repetition

Lectures # 1 2 date topic reading Notes, Learning Objectives Notes, Learning Objectives
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Feb 27 Introduction to State Estimation, Probability Review Mar 06 Probability Review

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ETH - IDSC - Recursive Estimation

Mar 13 Bayes Theorem

Notes, Learning Objectives, Solutions to Examples Notes, Learning Objectives Notes, Learning Objectives Notes, Learning Objectives Notes, Learning Objectives, Matlab scripts Notes, Learning Objectives, Matlab script Notes, Learning Objectives Notes, Learning Objectives Notes, Learning Objectives Notes, Learning Objectives

4 5

Mar 20 Bayesian Tracking Mar 27 Extracting Estimates from Probability Distributions Apr 03 No class (Easter break) Apr 10 Kalman Filter I Apr 17 Kalman Filter II

6 7

Apr 24 Kalman Filter as State Observer

May 01 No class (holiday) 9 10 11 12 May 08 Extended Kalman Filter May 15 Particle Filter I May 22 Particle Filter II May 29 Observer-Based C ontrol and the Separation Principle

Errata

You may download the current version of the lecture notes errata here (last update: Jun 03).

Recitations # 1 2 3 4 5 6 7 Date Topic Download Summary Slide Summary Slide, Matlab Script Summary Slide Summary Slide Summary Slide Matlab Script Matlab Script Summary Slide, Matlab Script Summary Slide Summary Slide Summary Slide, Matlab Script

Mar 06 Probability Review I Mar 13 Sampling a Distribution Mar 20 Bayesian Tracking Mar 27 Extracting Estimates from Probability Density Functions Apr 17 Kalman Filter I Apr 24 Steady-State Kalman Filter May 08 Design Example: Steady-State Kalman Filter May 17 Extended Kalman Filter May 22 Particle Filter May 29 Design Example: LQG Design for Simple Pendulum

8 9 10

Quiz and Programming Exercises During the semester, there will be a graded quiz and two programming exercises that may improve a student's final grade for the course (see Grading above). The quiz will test the student's understanding of the material discussed in the first five lectures. The programming exercises will require the student to apply the lecture
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material. Up to three students can work together on the programming exercises. If they do, they have to hand in one solution per group and will all receive the same grade. # Q1 P1 Type Quiz Topic C ontent of lectures #1 to #5 Dates Results

10 April Results Solutions 8 May (issued) 22 May (due) 22 May (issued) 12 June (due) Problem Description, MATLAB Files, Results Problem Description, MATLAB Files, Results

Programming Kalman Filtering

P2

Programming Particle Filtering

Office Hours for Programming Exercise 1 (Ext. Kalman Filter): Wednesday, May 15, 16.00-17.00, after recitation in C HN C 14 Tuesday, May 21, 12.00-13.00, IDSC Library, ML K37.1 Office Hours for Programming Exercise 2 (Particle Filter): Wednesday, May 29, 16.00-17.00, after recitation in C HN C 14 -> Due to room conflict moved to ML K38. Wednesday, June 05, 16.00-17.00, IDSC Library, ML K37.1

Problem Sets # 1 2 3 4 Topic Probability Review Bayes' Theorem and Bayesian Tracking Extracting Estimates from Probability Distributions Kalman Filtering Download PDF PDF, Matlab Script P12 PDF, Matlab Script P11&P12 PDF (final version), Matlab Solutions PDF, Problem 5 Matlab Template Problem 5 Matlab Solution PDF, Matlab Solutions

Particle Filtering

Observer-Based C ontrol and the Separation Principle

Errata

A list of corrections to the problem sets is available here (last update: 22.07.2013).

Additional Material Past Quizzes Past Exams 2010 2011 2012 Remarks 2010 2011 2012

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ETH - IDSC - Recursive Estimation

2013 E T H Zuric h | I mprint | D is c laimer | 22 July 2013

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