ECE 534 - Random Processes (Spring 2024)

Department of Electrical and Computer Engineering
University of Illinois at Urbana-Champaign
Instructor: Ilan Shomorony (he/him), ilans@illinois.edu.
Office hours: Monday 2-3pm over Zoom (info)

Lectures: Monday and Wednesday at 11:00AM - 12:20PM
Lecture videos will be available on mediaspace

TAs:

  • Kayvon Mazooji, mazooji2@illinois.edu. Office hours: Friday at 1:00PM - 2:30PM in room ECEB 2036
  • Taha Ameen, tahaa3@illinois.edu. Office hours: Thursday at 1:00 PM - 2:00 PM in room ECEB 2036

Recitations: every other Friday at 11:00AM - 12:00PM in room ECEB 2015 (next session: 2/16/2024)


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

  • Probability Quiz was graded: mean = 42/55, stdev = 8.5 (Solutions)
  • A Piazza for the course was created and can be accessed here. This will mainly be used for discussions between students.
  • Pre-Course Anonymous Survey
  • Full course syllabus available here
  • You can access the Gradescope page for the course here. The code entry code is 4GWP82.

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

  • The grading will be distributed as follows:
    • Homework 15%
    • Probability Review Quiz - 10% (Feb 5, in class)
    • First midterm exam - 20% (Mar 4, 7-9pm)
    • Second midterm exam - 20% (Apr 15, 7-9pm)
    • Final Exam - 35%