Department of Electrical and Computer Engineering

ECE 534: RANDOM PROCESSES, FALL 2007

This is a graduate-level course on random (stochastic) processes, which builds on a first-level (undergraduate) course on probability theory, such as ECE 413. It covers the basic concepts of random processes at a fairly rigorous level, and also discusses applications to communications, signal processing and control systems engineering. To follow the course, in addition to basic notions of probability theory, students are expected to have some familiarity with the basic notions of sets, sequences, convergence, linear algebra, linear systems, and Fourier transforms.

Credit : 4 hours or 1 unit.

Announcements:

Aug 28th, Monday: Due to a conflict in my schedule, I (TA: Chun) will have to move my Office Hour to 5:00-6:30pm on Fridays.
Sep 05th, Wed: Prof. Coleman will be absent from class, but the TA will cover the lecture.
Sep 06th, Thr: Prof. Coleman will have makeup office hours from 10am - 11:30am.
Sep 07th, Fri: Homework 1 due today at 5pm, please slip your homework under Prof. Coleman's door at 118 CSL.
Sep 07th, Fri: The TA's office hour will be held at 368 Everitt Lab from 5:00 - 6:30pm.
Sep. 25th, Tue: Non-countable sample space
Sep 10th, Mon: Quiz 1 on probability will be on Sep 10th from 7:00pm -8:30pm at 112 Chemistry Annex , 601 S. Mathews Avenue, Urbana, IL 61801.
I strongly suggest everyone take a look of the room before the date or at least arrive 10 minutes earlier. The link above will take you to a campus map. The CA bldg is at the North West corner of Quad.
Sep 26th, Wed: NO class, due to the Allerton conference. All graduate students are encouraged to attend the conference.

http://www.csl.uiuc.edu/allerton/

Nov 7th, Wed: Professor Coleman will be out of town for a conference, another professor will cover the lecture.

Problem set 1 ... solutions Due on Sept. 7th
Problem set 2 ... solutions Due on Sept. 24th
Problem set 3 ... solutions Due on Oct. 5th
Problem set 4 ... solutions Due on Oct. 26th
Problem set 5 ... solutions Due on Nov. 9th
Problem set 6 ... solutions Due on Nov. 28st
Problem set 7 ... solutions Due on Dec. 5th

Quiz ... solutions

Exam 1 ... solutions

Exam 2 ... solutions

Final ... solutions

Syllabus

This is a graduate-level course on random (stochastic) processes, which builds on a first-level (undergraduate) course on probability theory, such as ECE 413 . It covers the basic concepts of random processes at a fairly rigorous level, and also discusses applications to communications, signal processing and control systems engineering. To follow the course, in addition to basic notions of probability theory, students are expected to have some familiarity with the basic notions of sets, sequences, convergence, linear algebra, linear systems, and Fourier transforms.

Meeting times/place: 10-11:20 a.m. MW 106B8 Engineering Hall

Instructor: Professor Todd Coleman
Teaching assistants: Chun Zhang

Contact information:
Todd Coleman: 118 Coordinated Science Laboratory (Phone: 333-0880), colemant@ uiuc.edu

Chun Zhang : czhang4@uiuc.edu
pls put [ECE534] in the subject of your email.

Office hours:
Coleman:

Tuesday 10am - noon, in 118 CSL

Chun Zhang:

Friday 5:00pm - 6:30pm, in 351 CSL

Required course notes: B. Hajek, An Exploration of Random Processes for Engineers.
Available for download at http://www.ifp.uiuc.edu/~hajek/Papers/randomprocesses.html
and also available for purchase beginning Wed. Aug 22nd, in 243 from IEEE for a cost of $14.00

References reserved in Grainger Engineering Library:

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.

Additional references, free for download:

R. M. Gray, Probability, Random Proceses, and Ergodic Properties

R.M. Gray and L.D. Davisson, Introduction to Statistical Signal Procesing

Grading:
The grade distribution formula:

10% Homework

10% Quiz on probability, Monday, Sept. 10, 7-8:30 pm in 112 Chemistry Annex

20% Exam 1 Monday, Oct. 8, 7-8:30 pm in 112 CA (same room as quiz)

20% Exam 2 Monday, Nov. 12, 7-8:30 pm in MSEB 119

40% Final Exam, Tuesday, Dec. 11, 8-11:00 am in 1EH 106B8 (Notice this is the same room as lecture)

Running scores for ECE 534 will be maintained on the Illinois Compass system (blue stem password required).

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 (unless an extension is granted in advance by the instructor).

You may bring one sheet of notes to the first hour exam, two to the second hour exam, and three to the final exam. You may use both sides of the sheets, the sheets are to be standard US or European size with font size 10 or larger printing (or similar handwriting size). The examinations are closed book otherwise. Calculators, laptop computers, tables of integrals, etc. are not permitted. No notes are permitted at the probability quiz.

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