Spring 2012 EN.530.660

Computational Analysis of Stochastic Processes (EN.530.660)

Instructor: Sean G. Carver, Ph.D., Hackerman 128, The Department of Mechanical Engineering, The Johns Hopkins University.

Semester Offered: Spring 2012.

Class: Meets Monday, Wednesday, Friday, 4:30--5:20 pm in [Homewood Campus, ROOM TO BE ANNOUNCED]

Spring Break: March 19, 21, and 23. No class.

Class website: http://www.seancarver.org

One Hundred Word Description: This class will cover stochastic processes (including both discrete and continuous time, and including both discrete and continuous state), leading to a rigorous treatment of stochastic differential equations and filtering, emphasizing computation. The class will draw from examples relevant to engineering, such as the Kalman filter. The course will comprehensively, but rapidly review all needed material in probability and statistics.

Tentative Syllabus: (click here)

Prerequisites: Undergraduate probability theory (e.g. 550.420) and graduate linear systems theory (e.g. 530.616), or permission of instructor.

Office hours: By appointment. I will generally keep the hour after class free. To arrange an appointment, see me after class or send an email to seancarverphd@gmail.com.

Expectations: Class attendance and homework. Additionally, there will be two learning assessments made during the semester: a mid-term and a final. I have not decided what form these will take.

Final Grade: Based 50% on homework, 25% on mid-term assessment, 25% on final assessment.

Lecture etiquette: If I say something you do not understand, stop me and ask me to explain it again. Some of the lectures will be challenging and I insist on taking the time necessary to make sure everyone understands the material.

Textbook: Numerical Solution of Stochastic Differential Equations. By Peter E. Kloeden and Eckhard Platen. Springer.

Academic integrity: You can discuss homework, and give and receive hints to and from other students on homework, but after getting help, do the assignments yourself and hand in your own work. The textbook has solutions to its problems in the appendix. For textbook problems you can peek at the answer but only after you wrestle with the problem first. Don't copy the answer! (What a waste of time!) The assessments will come with their own rules which will be spelled out at the appropriate time.