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

Maxim Raginsky (contact: maxim [at] illinois [dot] edu)
MW 11:00-12:20, 4070 ECE Building

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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.