ECE-S522-501 STOCHASTIC SYSTEMS II

Winter 2007

INSTRUCTOR:        Dr. Paul Kalata

Room: Bossone 103 

Phone: 215-895-2251

Email: kalata@cbis.ece.drexel.edu

TA:                             Yuanning Yu

Room: Bossone 318 

Phone: 215-895-1881

Email: yy45@drexel.edu

TEXT:       “Probability, Random Variables and Stochastic Processes”, 4th Edition, A. Papoulis, McGraw-Hill, 2002.

REFERENCES: “Probability, Random Variables and Random Signal Principles”, 3rd Edition, P. Peebles, Jr., McGraw-Hill, 1993.

                                “Signal Theory and Random Processes”, H. Urkowitz, Artech House, 1983.

                                “Probabilistic Methods of Signal and System Analysis, G.R. Cooper and C.D McGillem, Holt, Rinehart and Winston, 1987. 

COURSE OUTLINE:

  1. Stochastic Processes; Stationary Property, Power Spectrum
  1. Stochastic Systems;  Linear Systems/Stochastic Inputs, Auto Correlation/Covariance
  1. Random Motion; Random Walk, Brownian Motion, Poisson Process
  1. Spectral Analysis; Spectral Representation of Random Processes
  1. Estimation & Filtering;  Minimum Mean Squared Estimation, Application to Linear Systems
  1. Information Theory;  Entropy; Uncertainty, Mutual Information
  1. Markov Process;  Markov Chains, Queueing

GRADING:

QUIZZES:             50 points

SA:                       25 points

Midterm:            100 points

Final Exam:       150 points

                            325 points

DATES:

Monday         January 8               First day of term

Monday         January 15             M.L. King Day: Holiday

Wednesday    February 14           Midterm Exam (Valentine's Day)

Monday         February 19           President's Day: but NO Drexel Holiday

Friday            March 16                Last Day of Term

Wednesday    March 21                Final exam

LECTURES:

Wednesday    6:00 - 8:45p.m.       Curtis 353

WEB SITE:

http://www.ece.drexel.edu/courses/ECE-S522

HOMEWORK/SPECIAL ASSIGNMENT/QUIZ:

Homework problems will be assigned at the Lecture and/or on the web on Thursday.

The best scores (like 5 out of 8 quizzes) will be the Quiz portion of the grade.

Special Assignments will be given periodically.

A closed book quiz on the previous Lecture or on the Homework will be given weekly.