CME 308: Stochastic Methods in Engineering
Course Information
This Ph.D. level course is intended to give students a broad sense of the different mathematical and computational tools and models available to analyze systems in which uncertainty is present. The key ideas underlying stochastic analysis will be presented in a mathematically careful way, and illustrated using various applications chosen from engineering, the physical sciences, and economics. This course is intended both to introduce students to the subject matter at an advanced level and to offer an entry point into the many other high-level stochastics courses that Stanford offers.
Contact Information
Intructor |
Professor George Papanicolaou |
|---|---|
E-mail |
papanico AT math DOT stanford DOT edu |
Office |
Bldg 380-383V |
Office Hours |
Course Assisstant |
Dai Shi | Lijia(Elga) Wang |
|---|---|---|
E-mail |
shidai AT stanford DOT edu | ljwang AT stanford DOT edu |
Office Hours |
Mon 5:30pm-6:30pm, Tue 5pm-6pm | Thu 4:00-6:00pm |
Lecture Time
Time |
Tuesday Thursday, 11:00am - 12:15pm |
|---|---|
Location |
200-030 |
Course Information
Knowledge of sample space, events, probability, conditional probability, independence, random variables, jointly distributed rvs, probability mass functions, probability density functions, expectations, the law of large numbers, central limit theorem.
Suggested References
Probability and Random Processes by Geoffrey R. Grimmett & David Stirzaker (Oxford)
Statistical Inference by George Casella and Roger L. Berger (Duxbury)
See Math 136 Lecture Notes by Amir Dembo for a great treatment on probability theory
See also: Markov Chains: Gibbs Fields, Monte Carlo Simulation, and Queues by Pierre Bremaud (Springer), Chapter 1, Sections 1 to 7
Text Book
There is no required textbook for this class. We will shortly post a concise listing of useful references.
Homework
Assignments
There will be assignments due roughly every two weeks. Collaboration among students is encouraged. You should feel free to discuss problems with your fellow students (please document on each assignment with whom you worked). However, you must write your own solutions, and copying homework from another student (past or present) is forbidden. The Stanford Honor Code will apply to all assignments, both in and out of class.
Exams
We will have an in-class midterm (closed books and notes) on Thursday May 3. It will consist of three problems based on the material done in class up to then.
The final exam is on Friday June 8, 3:30-6:30pm in 200-030 (regular classroom).
It is a closed books and closed notes exam.
Grading
The course grade will be 25% homework, 25% midterm and 50% final.
Last modified Thursday, 19-Apr-2012 06:49:17 PDT