ECE534 Spring 2007

Random Processes

MW 2:30-4:00, 168 EL

 



Prerequisites: ECE 413 or equivalent.
Instructor: Prof. R. Srikant, 107 CSL, rsrikant@uiuc.edu , Office Hours: 10:00-11:00 Tue

TAs: Akshay Kashyap, Office Hours: 2:00-3:00 Tue, Room 104 CSL, kashyap@uiuc.edu

Sahand Haji Ali Ahmad, Office Hours: 3:00-4:00 pm Fri, Room 130 CSL, alihaji@uiuc.edu

Credit: 4 hours

Homepage: http://www.ifp.uiuc.edu/~srikant/ECE534_spring07.html

Text: B. Hajek, An Exploration of Random Processes for Engineers.

Available at http://www.ifp.uiuc.edu/~hajek/Papers/randomprocesses.html

Copies for purchase are available in 243EL.

Spring Break, No Class: March 19, 21

 


 

Topics

  • Probability Review
  • Convergence of a Sequence of Random Variables
  • Minimum Mean Squared Error Estimation
  • Random Processes
  • Basic Calculus of Random Processes
  • Spectral Analysis
  • Wiener Filtering

 


 

Grading

  • 10% Homework
  • 10% Probability Review Quiz, Date: Feb. 5, 7:00-8:30 pm, Room 165 EL. Room: to be announced. No notes will be allowed. No calculators or any other electronic devices will be allowed.
  • 20% each, Two midterm exams:
    • First Midterm, Date: March 7, 7:00-8:30 pm, Room 165 EL. You will be allowed one 8.5x11 sheet (two pages) of handwritten notes. No calculators or any other electronic devices will be allowed. Topics: Chapters 1, 2 and 3 of Hajek. Solutions.
    • Second Midterm, Date: April 12, 7:00-8:30 pm, Room 165 EL. You will be allowed one 8.5x11 sheet (two pages) of handwritten notes. No calculators or any other electronic devices will be allowed. Topics (tentative): Chapters 4 and 5 of Hajek. Solutions.
  • 40% Final Exam. 1:30-4:30 PM, Wednesday, May 9, Room 114 Transportation Building. You will be allowed three 8.5x11 sheets (six pages) of handwritten notes. No calculators or any other electronic devices will be allowed. All chapters of Hajek.

 


 

Important Information

  • Collaboration on the homework is permitted, however each student must write and submit independent solutions.
  • Homework is due within the first 5 minutes of the class period on the due date.
  • No late homework will be accepted.
  • Usually, I will not give hard copy handouts (such as homework assignments, solutions, information on exams, etc.) in the class. I will email this information to your uiuc.edu accounts. It is important to ensure that there is enough space in your mailbox to receive email. If not, emails will bounce and you may not receive important information. If you are not registered for the course, you will not receive this email.

 


 

Problem Sets

 


 

References

  • R.G. Gallager, Discrete Stochastic Processes, Kluwer, 1996.
  • H. Stark and J. W. Woods, Probability and Random Processes, and Estimation Theory for Engineers, third edition, Prentice Hall, 2002.
  • W.B. Davenport, Jr. and W.L. Root, An Introduction to the Theory of Random Signals and Noise, McGraw Hill, 1987 edition.
  • E. Wong and B. Hajek, Stochastic Processes in Engineering Systems, Springer Verlag, 1985.
  • A. Papoulis, Probability, Random Variables and Stochastic Processes, 2nd edt., McGraw Hill, 1984.
  • E. Wong, Introduction to Random Processes, Springer Verlag, 1983.
  • B.D.O. Anderson and J.B. Moore, Optimal Filtering, Prentice Hall, 1979.
  • W. Rudin, Principles of Mathematical Analysis, 3rd Edition, McGraw-Hill, New York, 1976.
  • R.B. Ash, Basic Probability Theory, Academic Press, 1972.
  • L. Breiman, Probability, Addison-Wesley, 1968.
  • H. Cramer and M.R. Leadbetter, Stationary and Related Stochastic Processes, Wiley, 1967.
  • E. Parzen, Stochastic Processes, Holden Day, 1962.
  • G.R. Grimmett and D.R. Stirzaker, Probability and Random Processes, Cambridge University Press.