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