This preview shows pages 1–2. Sign up to view the full content.
This preview has intentionally blurred sections. Sign up to view the full version.
View Full Document
Unformatted text preview: ECE 580 / Math 587 SPRING 2011 Correspondence # 9 March 7, 2011 ASSIGNMENT 4 Reading Assignment: Text: Chapter 4. Suggested Reading: Curtain & Pritchard: Chp 5 (pp. 7584). Review probability theory and stochastic processes from any (graduate) text of your choice. Notice : This is the last homework assignment before the midterm exam, which is scheduled for March 17. Problems (to be handed in): Due Date: Tuesday, March 15 . The problems in this set are all on the topic of Hilbert Spaces of Random Variables and Stochastic Processes. 29. Let ( , F , P ) be a probability space, and L 2 ( , P ; R n ) be the Hilbert space of secondorder random vectors (of dimension n ) defined on ( , F , P ), with inner product ( x,z ) = E [ x T Qz ] where Q is a given (fixed) positivedefinite matrix of dimension n n . Let { y ,. . ., y i } be m dimensional random vectors defined on ( , F , P ), which are uncorrelated and have zero mean. Let M nm be the class of all n m matrices with bounded entries, and consider the following optimization problem for a given...
View
Full
Document
This note was uploaded on 10/11/2011 for the course ECE 580 taught by Professor Staff during the Spring '08 term at University of Illinois, Urbana Champaign.
 Spring '08
 Staff

Click to edit the document details