ECE Course Outline
Stochastic Systems (3-0-3)
- CEE/ISYE/MATH 3770
- Catalog Description
- Advanced techniques in stochastic analysis with emphasis on stochastic dynamics, nonlinear filtering and detection, stochastic control and stochastic optimization and simulation methods.
- No Textbook Specified.
- Topical Outline
Introduction Stochastic dynamic problems in control, communication and signal processing Review basic probability Probability and stochastic analysis Random walks and Brownian motion Stochastic integrals and martingales Stochastic differential equations and Ito calculus Stochastic Systems Stochastic stability Evolution equation: Kolmogorov and Fokker-Planck Optimal Estimation Static estimation: linear and nonlinear Explicit solutions and approximations Stochastic Control Optimal stochastic control: Full information case Optimal stochastic control: Partial information case Separation principle and LQG-design Dynamic programming, value functions, verification theorem Applications in Communication and Signal Processing Cycle slip in phase locked loop Propagation in random media Simulated annealing and Monte Carlo simulation
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