隨機過程

This course discusses basic properties and characteristics of random functions or sequences of random variables called stochastic (random) processes. Probability and stochastic processes are powerful tools in modeling, understanding, analyzing and designing physical systems. We show how to describe and analyze random processes, be they discrete or continuous. Many random processes arisen from daily life and in many scientific inquiries are to be used to exemplify the fundamental concepts and their applications. The next main point is then understanding the interactions of a random process that models a natural or engineering phenomenon and its surrounding. The importance and usefulness of the associated analytic and synthesizing methods shall be evidenced by exploring many applications (especially in estimation, detection, prediction, and filtering) in electrical and computer engineering systems.

Probability theory, Linear algebra, Signals and systems

TAs: TBD

Problem and project assignments (40%), Midterms (30%), Final (30%)

1. R. G. Gallager, Stochastic processes: Theory for applications, Cambridge Univ. Press, 2013. 2. A. Papoulis and S. Unnikrishna Pillai, Probability, Random Variables and Stochastic Processes, 4th Edition. New York, NY: McGraw-Hill, 2002. ==================  References [1]. W. Feller, An introduction to probability theory and its applications, vol. I, 3rd ed., John Wiley, 1968. [2]. W. Feller, An introduction to probability theory and its applications, vol. II, 2nd ed., John Wiley, 1971. [3]. S. Karlin and H. M. Taylor, A first course in stochastic processes, 2nd ed., Academic press, 1975. [4]. S. Karlin and H. M. Taylor. A second course in stochastic processes, Academic Press, 1981. [5]. H. J. Larson and B. O. Shubert, Probabilistic models in engineering sciences: Random variables and stochastic processes, vol. I, John Wiley, 1979. [6]. H. J. Larson and B. O. Shubert, Probabilistic models in engineering sciences: random noise, signals and dynamic systems, vol. II, John Wiley, 1979. [7]. D. Middleton, Introduction to statistical communication theory, McGraw-Hill, 1960, Peninsula, 1987. [8]. C. L. Weber, Elements of detection and signal design, McGraw-Hill, 1968, Springer-Verlag, 1987. [9]. W. A. Gardner, Introduction to random processes: with application to signals and systems, Macmillan, 1986. [10]. A. Papoulis and S. U. Pillai, Probability, random variables, and stochastic processes, 4th ed., McGraw-Hill, 2002. [11]. L. C. Ludeman, Random processes: filtering, estimation, and detection, Wiley-IEEE Press, 2002. [12]. R. D. Yates and D. J. Goodman, Probability and Stochastic Processes. New York, NY: John Wiley & Sons, Inc., 2005. [13]. J. A. Gubner, Probability and random processes for electrical and computer engineers, Cambridge University Press, 2006. [14]. A. Leon-Garcia, Probability and random processes for electrical engineering, Pearson, 3rd. ed., 2008. [15]. R. M. Gray, Probability, random processes, and ergodic properties, 2nd ed., Springer-Verlag, 2009. [16]. S. C. Miller and D. Childers, Probability and random processes: with applications to signal processing and communications, 2nd ed., Elsevier Academic Press, 2012. [17]. J. J. Shynk, Probability, random variables, and random processes: theory and signal processing applications, John Wiley, 2012. [18]. H. Stark and J. W. Woods, Probability, statistics, and random processes for engineers, 4th ed., Pearson, 2012.

地點

ED 803

時間

1:30-3:20 pm, Monday or by appointment

聯絡方式

ytsu@cc.nctu.edu.tw 03-573-1820