Optimal filtering

Understand optimal filtering solutions and know how to implement adaptive versions.

·         The different problems addressed: identification, inversion, noise cancellation, prediction

·         Wiener optimal filter

·         Stochastic gradient algorithm

·         Optimal filter in the least squares sense

·         Recursive least squares algorithm

·         Kalman algorithm

·         N5EE01C - Probabilities

·         N6EE01A - Differential calculus and optimization

·         N6EE02A - Signal processing

·         N6EE02B - Digital signal processing