AAE 56700: Introduction to Applied Stochastic Processes


Stochastic processes and especially Kalman filtering play a fundamental role in guidance and control in Aerospace engineering. The course presents an introduction to stochastic processes, spectral analysis, estimation and filtering theory. The Levinson, Wiener and Kalman filters are all developed and studied in detail.

Format 3 hrs lecture per week
Credit hours 3
Status Elective, Dynamics and Controls
Offered Spring
Pre-requisite AAE 564 or equivalent
Co-requisite None
Course instructor Prof. Frazho
Text Typed lecture notes
Assessment method Exams, homework and a course project

Course Objective

To develop an expertise in stochastic systems and filtering theory for applications in guidance and control problems.

Necessary Background

A course in linear control systems and some elementary background in probability.

Topics (number of Lectures)

  1. Stochastic processes and wide sense stationary processes
  2. Spectral analysis and the spectral density
  3. The minimum phase spectral factor and state space models
  4. Discrete time stochastic processes and state space models
  5. The Levinson filter, inverse scattering and prediction
  6. The Wiener filter and signal plus noise problems
  7. The Kalman filter and state estimation

Relationship of course to program objectives

The course develops stochastic and filtering methods to used to solve guidance and control problems in Aerospace engineering (1), (2a), (2c).

Prepared by: A.E. Frazho

Date: 18 February 2001.