EE 164 / ACM 217
Stochastic and Adaptive Signal Processing
General Information
When and Where: Tuesday and Thursday, 10:3012:00AM in 070M
Instructor: Babak Hassibi (last name at caltech.edu)
TA: Ali Vakili (a+lastname at caltech.edu)
Office hours: Sundays, 6-8 p.m. - Moore 139 (If you cannot enter Moore building
Texts:
1. Main text: T. Kailath, A.H. Sayed and B. Hassibi, Linear Estimation, Prentice-
Hall, 2000.
2. Supplementary text: B. Hassibi, A.H. Sayed and T. Kailath, Indefinite-
Quadratic Estimation and Control, SIAM, 1999. 2001.
Homework and Grading:
Homework set each Tuesday (due following Tuesday in class). Collaboration is encouraged.
One "no-collaboration" problem per homework set.
50% of grade based on homework; the other 50% based on "no-collaboration" problems.
Prerequisites: Signals and systems. Some background in random processes and
matrix theory.
Outline:To cover the fundamentals of linear estimation theory.
Primary goal: To study
1. stochastic signal procesing: Wiener lters, Kalman lters, etc.
2. adaptive signal processing: LMS lters, robust estimation, etc.
Secondary goal: To obtain further working knowledge of:
1. random processes
2. matrix theory and numerical linear algebra
3. fast algorithms
4. state-space theory and operator theory
Homework
Homework 1, due 4/15/08, in class: From main text: Problems 2.2, 2.4, 2.9, 2.18 (no-collaboration), 3.4, 3.7
Homework 2, due 4/22/08, in class: From main text: Problems 3.10, 3.12, 3.20 (no-collaboration), 3.22, 4.1, 4.2
Homework 3, due 4/29/08, in class: From main text: Problems 4.7, 4.12, 4.13, 6.7, 6.11, 6.13(no-collaboration)
Homework 4, due 5/06/08, in class: From main text: Problems 7.5, 7.7, 7.8, 7.11, 7.15, 7.17 (no-collaboration), 7.21
Homework 5, due 5/15/08, in class: From main text: Problems 8.1, 8.2, 8.3, 8.7
Homework 6, due 5/22/08, in class: From main text:
Problems 9.9, 9.10, 9.11, 9.13, 9.15
Homework 7, due 5/29/08, in class: From main text: Problems 10.3, 12.1,
12.4, 12.7, 12.13 (no-collaboration), 13.3
Homework 8, no credit (pdf)