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| ELEN0061-2 | Introduction to Stochastic Processes
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| Duration : | 15h Th, 15h Pr |
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| Credits/ECTS : |
| Bachelor in engineering sciences, civil engineer orientation (Bachelor in engineering sciences, civil engineer orientation), 3rd year | | Toute l'année | | 2 |
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| Bachelor in engineering sciences, civil engineer orientation (Bachelor in engineering sciences, civil engineer orientation), 3rd year | | Second semester | | 2 |
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| Master in Computer science, Research Focus, 1st year | | Toute l'année | | 3 |
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| Master in Computer Science, Professional Focus (Management), 1st year | | Toute l'année | | 3 |
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| Master in Bio-informatics and Modelling, Research focus, 2nd year | | Second semester | | 3 |
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| Holder(s) : | Louis Wehenkel |
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| Language : | French language |
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| Course contents : | Stochastic processes allow to model system which behaviour is only partially predictable. Their theory is based on the probability calculus and statistics. They have multitudinous applications: various questions in telecommunications, signal processing and adaptive control, and filtering. The objective of this cours is to introduce the basic concepts used for studying such systems, by calling for examples from engineering.
The course is composed of three main parts.
1. Markov chains and hidden markov chains.
2. Vectors of Gaussian random variables and estimation theory.
3. The Kalman filter (linear systems, gaussian noise processes) |
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| Course objective : | The students will be able to model and analyse stochastic systems by using graphical models and inference algorithms. |
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| Prerequisites : | Elements of probability calculus, linear algebra and linear dynamic systems. |
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| Workshops : | Exercise sessions. |
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| Organization : | Tuesday AM (10:30-12:30), second semester.
Room R7 - Institut Montefiore |
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| Written notes : | http://www.montefiore.ulg.ac.be/~lwh/ProcStoch/ |
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| Assessment : | Written exam in June. |
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| Contacts : | L.Wehenkel@ulg.ac.be |
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