2.122 Stochastic Systems

Class Info

Response of systems to stochastic excitation with design applications. Linear time-invariant systems, convolution, Fourier and Laplace transforms. Probability and statistics. Discrete and continuous random variables, derived distributions. Stochastic processes, auto-correlation. Stationarity and ergodicity, power spectral density. Systems driven by random functions, Wiener-Khinchine theorem. Sampling and filtering. Short and long term statistics, statistics of extremes. Problems from mechanical vibrations and statistical linearization, statistical mechanics, and system prediction/identification. Requires short term project.

This class has 2.004, and 2.087 as prerequisites.

2.122 will not be offered this semester. It will be available in the Spring semester, and will be instructed by P. F. Lermusiaux, G. Barbastathis, T. P. Sapsis, N. C. Makris, N. M. Patrikalakis and M. S. Triantafyllou.

Lecture occurs 9:30 AM to 11:00 AM on Tuesdays and Thursdays in 3-333.

This class counts for a total of 12 credits.

You can find more information at the MIT + 2.122 - Google Search site or on the 2.122 Stellar site.

MIT 2.122 Stochastic Systems Related Textbooks
MIT 2.122 Stochastic Systems On The Web

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