隨機過程
Stochastic Process
學期
110-1
學分
3
學分
當期課號
5007
永久課號
IEC5201
開課單位
電機學院碩士在職專班
授課教師
高榮鴻
校區
光復
類別
選修
上課時間表
| 節 | 週三 |
|---|---|
A 18:30–19:20 | 隨機過程 ED220 3 節連堂 |
B 19:30–20:20 | |
C 20:30–21:20 |
* 根據陽明交大上課時間表所列
概述
教授學生關於隨機過程的基礎知識與在通訊及訊號處理領域的應用
先修科目
微積分、機率、訊號與系統
評分方式
Midterm Exam: 40%, Final Exam: 40%, 出席與課堂表現:20%.
課程大綱
- Chapter 9: General Concepts
- Chapter 10: Random Walks and Other Applications
- Chapter 11: Spectral Representation
- Chapter 12: Spectrum Estimation
- Chapter 13: Mean Square Estimation
週次計畫
| 週次 | 主題 |
|---|---|
| 第 1 週 | Introduction to Stochastic Processes (9-1) Note: After enrolling in the course, you will be able to download the lecture video file and slides from the E3 website. |
| 第 2 週 | Systems with Stochastic Inputs (9-2) The Power Spectrum (9-3) Note: After enrolling in the course, you will be able to download the lecture video file and slides from the E3 website. |
| 第 3 週 | Random Walks, Wiener Process, and Brownian Motion (10-1) |
| 第 4 週 | Modulation, Cyclostationary (10-3, 10-4) |
| 第 5 週 | Regular Processes Factorization and Innovations (11-1) |
| 第 6 週 | First Midterm Exam |
| 第 7 週 | AR, MA, and ARMA processes (11-2) |
| 第 8 週 | Fourier series and Karhunen-Loeve expansions (11-3) |
| 第 9 週 | Spectral representation of random processes, Wold Decomposition (11-4) |
| 第 10 週 | Ergodicity (12-1) |
| 第 11 週 | Mean Square Estimation and Orthogonality Principle (13-1) |
| 第 12 週 | Second Midterm Exam |
| 第 13 週 | Prediction, Solving Wiener-Hopf Equation for Regular Processes (13-2) |
| 第 14 週 | Prediction and Filtering (13-3) |
| 第 15 週 | Spectrum Estimation (12-2) Lattice Filters and Levinson's Algorithm, System Identification of AR/MA/ARMA Processes (12-3) |
| 第 17 週 | Introduction to Markov Chains (15-1, 15-2) |
| 第 18 週 | Final Exam |
教科書
Probability, Random Variables and Stochastic Processes, 4th edition, Athanasios Papoulis and S. Unnikrishna Pillai, Mc Graw Hill, 2002.
Office Hours
- 地點
- ED730
- 時間
- 2EF
- 聯絡方式
- runghunggau@g2.nctu.edu.tw