ENSC 802 - Stochastic Systems - Fall 2002
Textbook Update
Our textbook is IN the bookstore and is selling for $173.50 (ouch); the
Schaums outlines study guide (Hsu) is selling for $25.95.
Amazon.ca is selling these books for $CDN 153.95 and $CDN 25.95
respectively. Chapters.ca does not carry Stark and Woods (it is listed as
temporarily unavailable).
Course Description (Calendar):
This course emphasizes the application of theories in probability, random
variables and stochastic processes in the analysis and modelling of
engineering systems. Topics covered include a brief review of probability
and random variables; random processes, autocorrelation and power spectral
density; first order systems with stochastic inputs: AR and ARMA models,
random walk; point processes: Poisson and renewal processes, counting
process; discrete random processes: birthdeath processes, markov chains,
elementary queuing theory; introduction to estimation theory: parameter
estimation, linear estimation, spectrum estimation, Kalman filtering. Areas
of application include digital communications, speech and image processing,
control, radar, and Monte Carlo simulations.
Prerequisites
Although ENSC 802 has no prerequisites other
than "graduate standing", it is assumed that all students have a working
knowledge of the following undergraduate concepts:
- basic set theory
- combinatorics
- probability mass and density functions
- conditional probability and Bayes' theorem
- expected value
- Gaussian random variables - the central limit theorem
- sums of random variables
- continuous and discrete-time signals
- convolution
- Fourier analysis
- linear algebra
Although many of these ideas will be reviewed, the coverage will be
speedy. Note that in addition to the formal prerequisites, graduate courses
such as ENSC 802 assume that you are committed to understanding the subject
in depth.
Students are expected to be proficient with computers and be able to
program in MatLab/Octave as well as C/C++.
Mailing List
The course has a mailing list "ensc-802@sfu.ca", which you can use to send
time-citical announcements to everyone in the class.
Details:
Last modified: Mon Aug 26 11:46:56 Pacific Daylight Time 2002
