EE 640 Stochastic Systems

Spring 2013


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Lectures

Readings

Homework

Course Introduction (1/10)

Hajek: Preface

Homework 1

(due 1/24/2013)

Mathematical Proofs and Basic notations (1/15)

Hajek: 11.1

The Process of Mathematical Proof

Background: A.1, A.2, A.5

Mathematical Preliminaries (1/17)

Hajek: 11.2-11.4

Background: A.3, A.4

Probability Space 1 (1/22)

Hajek: 1.1-1.2

Homework 2

(due 2/5/2013)

Probability Space 2 (1/24)

Basic Probability (1/29)

Continuity of Probability

Random Variables 1 (2/5)

Hajek: 1.3-1.6

Homework 3

(due 2/19/2013)

Random Variables 2 (2/7)

Multiple Random Variables (2/12)

Hajek: 1.8-1.11, 11.5

Expectation (2/14)

Outline of Lebesgue Theory

Midterm (2/28)  Sample

Everything above

Sample Solution

Convergence of RVs 1 (2/19)

Hajek: 2.1-2.3, 11.6

Homework 4

(due 3/5/2013)

Convergence of RVs 2 (3/5)

Random Vectors (3/7)

Hajek: 3.1-3.3, 11.7

Homework 5

(due 3/26/2013)

Orthogonality Principle

1

2

3

Multivariate Gaussian (3/26)

Hajek: 3.4

Kalman Filter (3/28)

Hajek: 3.5-3.6

Homework 6

(due 4/9/2013)

Random Process 1 (4/2)

Hajek: 4.1-4.10

Random Process 2 (4/4)

Random Process 3 (4/9)

Random Process 4 (4/11)

LTI system review (4/16)

Hajek: 8.1-8.6

Homework 7

(due 4/25/2013)

Stochastic Calculus and System  (4/18)

Hajek: 7.1-7.7

Stochastic Linear System and Wiener Filtering (4/23)

Hajek: 8.1-8.6

Hajek: 9.1-9.5

Review

 


Sen-ching Samson Cheung

Last modified: 1/8/2013 11:06:25