Leader: B Miller, E Chu, Y O Tan (M'sia)
Offered
Clayton First semester 2008 (Day)
Sunway First semester 2008 (Day)
Synopsis
This unit will introduce students to both the analysis of stochastic processes and the mathematical principles at the core of the numerical techniques used to find the solution of differential equations. The first half of the unit will build up the discrete processes that lead to finite differences, finite elements and finite volumes techniques commonly used to solve differential equations. Spectral methods will also be developed. The second half of this unit will focus on stochastic processes, particularly the analysis of time series.
Objectives
On completion of this unit, students will be able to demonstrate an understanding of: optimisation techniques for large-scale discrete systems; singular value decomposition; finite difference techniques as applied to ordinary differential equations; finite element, finite volume and spectral methods; modern methods employed in the analysis of stochastic systems; Ergodic processes; the theoretical aspects of ARMA models and their use; the role and use of Kalman filters; the use of stochastic differential equations to model linear and non-linear systems.
Assessment
Continuous assessment: 40%
Examination: (3 hours): 60%. Students must achieve a mark of 45% in each of these two components to achieve an overall pass grade.
Contact hours
3 hours lectures, 2 hours laboratory and practice classes and 7 hours of private study per week
Prerequisites
ECE2011, ENG2092
