SYS 6005 - Stochastic Systems
 
Prof. Randy Cogill
University of Virginia
Fall Semester 2009

Teaching Assistant: Zhou Zhou (zzstephen@gmail.com)

Tuesdays and Thursdays, 2:00 PM - 3:15 PM
Mechanical Engineering Building, room 339

Instructor Office Hours: Tuesdays, 10AM-12PM in Olsson 102G
TA Office Hours: Wednesdays, 6:30PM-8:30PM in Olsson 111C

Announcements • Handouts • Homework

Announcements:

  • The midterm exam will be a 32-hour take home exam. The exam will be posted here and sent to the class by email on Wednesday 10/7 at 9AM. The exams are due in Olsson 102G (Prof. Cogill's office) at 5PM on Thursday 10/8 at 5PM.

  • Prof. Cogill will be away at a conference at University of Illinois on Thursday 10/1. Homework should be turned in to the TA by 3PM in Olsson 111C.

  • Prof. Cogill will be at a conference on Tuesday 8/25. The first lecture, covering course mechanics, can be watched on video HERE.

  • Prof. Cogill will be away at MIT Lincoln Lab on Thursday 9/10. In place of Thursday's class, he will hold additional office hours from 4PM-6PM on Monday 8/14.
    • Handouts:

    Course syllabus

    Lecture notes will be posted below as each topic is covered in class:

    1. Course Introduction
    2. Probabilistic models
    3. Discrete random variables
    4. General random variables
    5. Estimation and detection
    6. The weak law of large numbers
    7. Intro to Markov chains
    8. Linear algebra review
    9. Markov chain applications
    10. Steady-state analysis of Markov chains
    11. The weak LLN for Markov chains
    12. Transient analysis of Markov chains
    13. Hidden Markov models
    14. Poisson processes
    15. Continuous-time Markov processes
    Homework:

    1. Homework #1, due 9/8/2009 (Solutions)
    2. Homework #2, due 9/15/2009 (Solutions)
    3. Homework #3, due 9/22/2009 (Solutions)
    4. Homework #4, due 10/1/2009 (Solutions)
    5. Homework #5, due 10/22/2009 (Solutions)
    6. Homework #6, due 11/03/2009. (Solutions)
    7. Homework #7, due 11/12/2009. (Solutions)
    8. Homework #8, due 11/24/2009.
    9. Homework #9, due 12/3/2009.