ECE 534 - Random Processes (Fall 2020)

Department of Electrical and Computer Engineering
University of Illinois at Urbana-Champaign
Instructor: Ilan Shomorony, ilans@illinois.edu. Office hours: Tuesday 1:30-3:00pm

Lectures: Tuesday and Thursday at 11:00AM - 12:20PM (Online via Zoom)
Zoom meeting information here
Videos will be available at echo360.org

TAs:

  • Parisa Karimi, parisa2@illinois.edu. Office hours: Wed. 9-10:30am
  • Grant Greenberg, gcgreen2@illinois.edu. Office hours: Thurs. 2-3:30pm

Recitations: Fri. 1-2pm

Zoom office hours and recitations information here

Prerequisites: ECE 313 (Undergraduate Probability); Knowledge of linear systems and undergraduate real analysis will be helpful
Text: B. Hajek, Random Processes for Engineers. Available at http://hajek.ece.illinois.edu/ECE534Notes.html

Statements on diversity, inclusion, and academic integrity.

Announcements

  • The graded quizzes are available on Gradescope
  • The Probability Quiz will be on Thursday, 09/10 from 7pm to 8:50pm CT.
    • You need to register to take the exam on CBTF. See the course Piazza page for more information.
    • A list of topics can be found here.
    • No cheat sheet will be allowed in the quiz.
    • Calculators will be allowed.
  • Zoom meeting information here.
    • We recommend that you download the Zoom desktop app (link)
  • All lectures for Fall 2020 will be online via Zoom. Lectures will be recorded an made available at echo360 on the same day.

Topics

  • Probability Review
  • Convergence of a Sequence of Random Variables
  • Minimum Mean Squared Error Estimation
  • Jointly Gaussian random variables and vectors
  • Random Walks and Brownian Motion
  • Discrete-Time and Continuous-Time Markov Processes
  • Poisson Process
  • Stationarity and WSS
  • Martingales and the Azuma-Hoeffding Inequality
  • Random Processes Through Linear Systems
  • Kalman and Wiener Filtering
  • PCA and the Karhunen-Loève Expansion

Grading

  • Exams will be administered by CBTF.
  • The grading will be distributed as follows:
    • Homework 15%
    • Probability Review Quiz - 10% (tentative date: 09/10)
    • First midterm exam - 20% (tentative date: 10/15)
    • Second midterm exam - 20% (tentative date: 11/19)
    • Final Exam - 35%