University of Toronto
Edward S. Rogers Sr. Department of Electrical and Computer Engineering

ECE1639F -- Analysis and Control of Stochastic Systems -- Fall 2008

Final Timetable

Monday, 4-6 p.m., GB244

Tuesday, 2-3 p.m., HA410

References

B.D.O. Anderson and J.B. Moore, Optimal Filtering, Prentice Hall, N.J., 1979

F.L. Lewis, Optimal Estimation: With an Introduction to Stochastic Control Theory, John Wiley, 1986.

M.H.A. Davis and R.B. Vinter, Stochastic Modelling and Control, Chapman and Hall, London, 1985.

P.R. Kumar and P. Varaiya, Stochastic Systems: Estimation, Identification, and Adaptive Control, Prentice Hall, N.J., 1986.

G.R. Grimmett and D.R. Stirzaker, Probability and Random Processes, 2nd ed., Oxford, 1992.

Course Notes

Chapter 1

Chapter 2

Chapter 3

Chapter 4

Chapter 5

Problem Sets

Probability Review Problems

Problem Set 1

Problem Set 2

Problem Set 3

Problem Set 4

Problem Set 5

Problem Set 6

Problem Set Solutions

Solutions to Probability Review Problems

Solutions to Problem Set 1

Solutions to Problem Set 2

Solutions to Problem Set 3

Solutions to Problem Set 4

Solutions to Problem Set 5

Sample Midterm Test

Midterm Test, Spring 2008