ECE 534: RANDOM PROCESSES, FALL 2009

Class time and place: 14:00- 15:20 TR, 165 Everitt Lab


Instructor: Prof. V. V. Veeravalli. 106 CSL, vvv at illinois dot edu, 333-0144
Office Hours: Tu 3:30-5:00 PM (other times by appointment) in room 106 CSL


Teaching Assistant: Tung Le, tungle1 at illinois dot edu
office hours: W 4:00-6:00 PM in room 330N Everitt Lab

Announcements

• The probability quiz will be held on Tuesday, September 15, from 8:00PM-9:30PM in Room 269 Everitt Lab. The quiz will be closed book and you will not be allowed any notes. Also, calculators, laptop computers, PDA's, etc. are not permitted. Tung will have special office hours on Monday September 14 from 4-6PM in 368 Everitt Lab for the quiz.
• There will be a make-up class on Tuesday September 29 in room 260 Everitt Lab from 8-9:30 PM.
• Exam 1 will be held on October 13 from 8-9:30 PM in 269 Everitt Lab. You will be allowed one sheet of notes (8.5''x11'', both sides) for the exam. Otherwise the exam is closed book.
• Exam 2 will be held on November 17 from 8-9:30 PM in 260 Everitt Lab. You will be allowed two sheets of notes (8.5''x11'', both sides) for the exam. Otherwise the exam is closed book.
• The Final Exam will be held on Wednesday, December 16 from 7:00 10:00 PM in room 165 Everitt Lab. You will be allowed three sheets of notes (8.5''x11'', both sides). Otherwise the exam is closed book.

Homework Assignments and Exams

• Homework Assignment 1: Due Sep 10, 2009. Solution.
• Homework Assignment 2: Due Sep 24, 2009. Solution.
• Quiz and Solution .
• Homework Assignment 3: Due Oct 8, 2009.Solution.
• Homework Assignment 4: Due Oct 29, 2009. Solution.
• Exam 1 and Solution .
• Homework Assignment 5: Due Nov 12, 2009.Solution
• Exam 2 and Solution .
• Homework Assignment 6: Due Dec 10, 2009. Solution
• Final and Solution .

Handouts/Notes

• Quiz Spring 07 and solution. There is a typo in the solution to Exercise 1, but the correct answer should be obvious from the write-up.
  
• Quiz Fall 03. (Sorry, no solution for this.)
• Quiz Spring 04 and its solution .
• Quiz Fall 05 and its solution


• Exam 1 Spring 06 and its solution
• Exam 1 Fall 05 and its solution
• Exam 1 Fall 07 and its solution
• Exam 2 Spring 08 and its solution
• Exam 2 Spring 04 and its solution
• Exam 2 Spring 07 and its solution
• Final Spring 08 and its solution
• Final Spring 04 and its solution
• Final Spring 03 and its solution

Course Details

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 313. It covers the basic concepts of random processes at a fairly rigorous level, and also discusses applications to communications, signal processing, control systems engineering, and computer science. 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.

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 will be available for sale in Everitt Laboratory.

References reserved in Grainger Library:
Papoulis, A.; Probability, Random Variables, and Stochastic Processes
Wong, Eugene; Introduction to Random Processes
Wong, E./Hajek, B.; Stochastic Processes in Engineering Systems
Stark, H./Woods, J.; Probability, Random Processes, and Estimation Theory
Feller, W.M.; An Introduction to Probability Theory and its Applications
Rudin, Walter; Principles of Mathematical Analysis
Grimmett, G. R./Stirzaker, David R.; Probability and Random Processes
Gallager; Discrete Stochastic Processes

Additional references (free download):
R. M. Gray, Probability, Random Proceses, and Ergodic Properties
R.M. Gray and L.D. Davisson, Introduction to Statistical Signal Processing

Exams, homework, grading, etc.:

• Homework (H) problems will be assigned on a (approx.) fortnightly basis. 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).
  
  
• There will be a Probability Quiz (Q) in the middle of September. There will be two mid-term exams and one final. The first midterm exam (M1) will be held in the middle of October, and the second midterm exam (M2) in the middle of November. The final exam (F) will be held on Wednesday, December 16 from 7:00 10:00 PM.
  
  
• 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.
  
  
• Your course grade will be determined by your performance in the H, Q, M1, M2 and F, according to the formula:
  
  Score = .1H + .1Q + max{.15M1 + .15M2 + .5F, .25M1 + .15M2 + .4F, .15M1 + .25M2 + .4F},
  
  where H, Q, M1, M2 and F are normalized to 100.
  
  
• Running scores for ECE 534 will be maintained on the Illinois Compass system (blue stem password required).