# ECE 498MR: Introduction to Stochastic Systems (Spring 2016)

##
Maxim Raginsky (contact: `maxim [at] illinois [dot] edu`)

MW 11:00-12:20, 4070 ECE Building

### Announcements

- May 6: the take-home final and Programming assignments are posted to Compass2g
- May 6: please note the revised grading formula on the Coursework page
- May 4: lecture notes on feedback and control are posted
- May 3: lecture notes on randomness and determinism are posted
- Apr 25: lecture notes on noise are posted
- Apr 18: complete notes on Bayesian filtering are posted
- Apr 18: Homework 4 due date is Monday, Apr 25
- Apr 17: complete notes on dynamics are posted (including average consensus and analysis via Lyapunov functions)
- Apr 13: Homework 4 is posted
- Mar 31: very rough and preliminary notes on Bayesian filtering are posted
- Mar 21: Programming Assignment 1 has been posted to Compass2g; consult the Coursework page for instructions
- Mar 21: updated notes on dynamics are posted (up to Campbell's theorem); notes on Lyapunov function methods and Bayesian filtering will be posted shortly
- Mar 14: time change in instructor's office hours this Monday: 3pm-4:30pm
- Mar 14: note a correction to Problem 2 in Homework 3
- Mar 9: in-class midterm on Monday, Apr 4
- Mar 9: Homework 3 is posted
- Mar 9: updated notes on dynamics are posted (up to Bussgang's theorem)
- Mar 4: notes on dynamics are posted (cover power spectral densities and Gaussian stochastic signals)
- Feb 29: there will be
**no class** on Mar 2
- Feb 24: office hours canceled due to bad weather
- Feb 22: note the change in instructor's office hours on Monday, Feb 22: 2pm-3pm, plus additional office hours on Wednesday, Feb 24: 1:30pm-2pm
- Feb 22: Homework 2 due date extended to Monday, Feb 29
- Feb 17: Homework 2 is posted.
- Feb 17: updated notes on stochastic signals are posted (Wiener process, Poisson process, stationarity).
- Feb 9: first set of notes on stochastic signals (up to the Wiener process) is posted.
- Feb 3: Homework 1 is posted.
- Feb 2: up-to-date notes on Markov chains are posted.
- Feb 1: Instructor's office hours will be Mondays, 2:30pm-4pm, in 162 CSL.
- Feb 1: The grading formula has been updated to reflect the syllabus.
- Jan 20: Watch this space for all course-related announcements.

### About this class

ECE 498MR: Introduction to Stochastic Systems is a senior undergraduate course dedicated to exploration of noise, uncertainty, and randomness in the context of signals and systems. The course will introduce discrete- and continuous-time random processes as input and/or output signals of various types of systems, with and without memory or feedback. Probabilistic notions will be tightly integrated with techniques from signals and systems, such as linearity, time-invariance, causality, transform methods, and stability. Basic concepts will be illustrated via numerous examples, such as noise in linear and nonlinear circuits, average consensus and PageRank, queuing systems, noise in remote sensing applications, Bayesian filtering, Monte Carlo simulation, risk allocation in financial portfolios, stochastic gradient descent.
For more details, consult the course syllabus.