ECE 534 - Random Processes (Fall 2019)

Department of Electrical and Computer Engineering
University of Illinois at Urbana-Champaign
Lectures: Tuesdays and Thursdays at 11:00AM - 12:20PM in Room 2017, ECE Building.
Instructor: Ilan Shomorony, ilans@illinois.edu, 324 CSL. Office hours: Tuesday 1:30-3:00pm

TAs:

  • Parisa Karimi, parisa2@illinois.edu. Office hours: Wednesday 9:30-11:00am ECEB 5034
  • Leda Sari, lsari2@illinois.edu. Office hours: Thursday 2:30-4:00pm ECEB 4036

Recitations: Biweekly on Friday 1-2pm, ECEB 2015

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

Announcements

  • Midterm 2:
    • Time: Thursday, Nov. 21, 7:15-8:45pm (There will be an exam ending at 7pm in the same room)
    • Location: ECEB 2013 and ECEB 2015
    • You will be allowed two 8.5 x 11'' sheets (front and back) of handwritten notes. No calculators or other electronic devices will be allowed.
    • Topics: Everything until (and including) Markov processes
    • If you have a conflict, send an email to ilans@illinois.edu ASAP
  • There will be no lecture on Tuesday, 10/29
  • Solutions to Midterm 1
  • Midterm 1:
    • Time: Thursday, Oct. 17, 7:00-8:30pm
    • Location: ECEB 2015 and ECEB 2017
    • You will be allowed two 8.5 x 11'' sheets (front and back) of handwritten notes. No calculators or other electronic devices will be allowed.
    • Topics: Everything until (and including) Chapter 3.4
    • If you have a conflict, send an email to ilans@illinois.edu ASAP
  • There will be no lecture on Tuesday, 10/01
  • Solutions to probability quiz
  • Probability Quiz:
    • Time: Thursday, Sept. 12, 7:00pm
    • Location: ECEB 1002 (Grainger auditorium)
    • You will be allowed one 8.5 x 11'' sheet (front and back) of handwritten notes. No calculators or other electronic devices will be allowed.
    • List of topics
    • If you have a conflict, send an email to ilans@illinois.edu ASAP

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 Markov Chains
  • Continuous-Time Markov Chains and Poisson Processes
  • Stationarity, WSS and Ergodicity
  • Martingales and the Azuma-Hoeffding Inequality
  • Random Processes Through Linear Systems
  • Kalman and Wiener Filtering
  • Other topics as time permits

Grading

  • Homework 15%
  • Probability Review Quiz - 10%
  • First midterm exam - 20%
  • Second midterm exam - 20%
  • Final Exam - 35%