COOKIES: By using this website you agree that we can place Google Analytics Cookies on your device for performance monitoring. |

University of Cambridge > Talks.cam > Isaac Newton Institute Seminar Series > The geometry of optimal experiment design for vector-valued Ornstein-Uhlenbeck processes.

## The geometry of optimal experiment design for vector-valued Ornstein-Uhlenbeck processes.Add to your list(s) Download to your calendar using vCal - Mohamed-Ali Belabbas (University of Illinois at Urbana-Champaign; University of Illinois at Urbana-Champaign)
- Thursday 24 November 2016, 14:00-15:00
- Seminar Room 2, Newton Institute.
If you have a question about this talk, please contact info@newton.ac.uk. SNA - Theoretical Foundations for Statistical Network Analysis Ornstein-Uhlenbeck processes are commonly used as models in engineering, biology and finance. Consider the estimation of the state of such processes from linear, noisy measurements; the Kalman filter is known to be the minimum mean square error estimator when the measurement noise is Gaussian. We address here how to design the measurements that minimize the error afforded by the Kalman filter. This problem of optimal experiment design, which is almost as old as the Kalman filter itself, is however not convex. As a consequence, many ad hoc methods have been used over the years to solve it. We show in this talk how a geometric approach allows us to characterize and obtain the optimal designs exactly. This optimal design yields the lowest possible estimation error from linear measurements with a fixed signal to noise ratio. This talk is part of the Isaac Newton Institute Seminar Series series. ## This talk is included in these lists:- All CMS events
- Featured lists
- INI info aggregator
- Isaac Newton Institute Seminar Series
- School of Physical Sciences
- Seminar Room 2, Newton Institute
Note that ex-directory lists are not shown. |
## Other listsCentre for Smart Infrastructure & Construction Cambridge Rare Disease Network Oliver Wyman lecture : "The economic outlook: The news behind the headlines"## Other talksSt Catharine’s Political Economy Seminar – 'The Political Economy of Brexit', Michael Kitson Title: Bad Blood Individual dynamic predictions using landmarking and joint modelling: validation of estimators and robustness assessment Genomic Approaches to Cancer Probabilistic and Deep Models for 3D Reconstruction Lunch and Posters |