2.121/2.122: Stochastic Systems
Class Information
Spring | Undergraduate and Graduate | 12 Units | Prereq: None. Coreq: 2.004
Response of systems to stochastic excitation with design applications. Linear time-invariant systems, convolution, Fourier and Laplace transforms. Probability and statistics. Discrete and continuous random variables, derived distributions. Stochastic processes, auto-correlation. Stationarity and ergodicity, power spectral density. Systems driven by random functions, Wiener-Khinchine theorem. Sampling and filtering. Short- and long-term statistics, statistics of extremes. Problems from mechanical vibrations and statistical linearization, statistical mechanics, and system prediction/identification. Students taking graduate version complete additional assignments and a short-term project.
Instructor Information
Themistoklis Sapsis (Spring)
William I. Koch Professor; Professor of Mechanical Engineering; Director, Center for Ocean Engineering; Co-Director, MIT Maritime Consortium
Interest Areas
- Quantification and prediction of extremes events in complex systems
- Reduced order modeling of chaotic and turbulent systems
- Fluid dynamics in engineering and geophysics