ECE 534 - Random Processes (Spring 2019)

Department of Electrical and Computer Engineering
University of Illinois at Urbana-Champaign
Lectures: Monday and Wednesday at 11:00AM - 12:20PM in Room 1015, ECE Building.
Instructor: Ilan Shomorony, ilans@illinois.edu, 324 CSL. Office hours: Tuesday 1:00-2:30pm

TAs: Parisa Karimi, parisa2@illinois.edu. Office hours: Thursday 11:00am-12:30pm CSL 114
         Amish Goel, agoel10@illinois.edu. Office hours: Wednesday 3:30-5:00pm ECEB 3036

Recitations: Biweekly on Friday 11am-12pm, ECEB 2017 (First recitation: Feb. 1)

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

  • Final exam information:
    • Time: Monday, May 6, 1:30pm-4:30pm (ECEB 1015)
    • Conflict exam: Tuesday, May 7, 8:00am-11:00am (ECEB 2013)
  • Solutions to Midterm 2
  • Midterm 2:
    • Time: Monday, April 15, 7:00pm-8:30pm
    • Location: ECEB 1015
    • You will be allowed two 8.5 x 11” sheets 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
  • Solutions to Midterm 1
  • Office Hours on Tuesday 03/12 moved to 3:00-4:30pm
  • Third recitation: Friday, 03/01
  • Midterm 1:
    • Time: Wednesday, March 13, 7:00pm-8:30pm
    • Location: ECEB 1013 and ECEB 1015
    • 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.
    • Topics: Everything until (and including) the lecture of 03/06 (Linear Innovations Sequence)
    • If you have a conflict, send an email to ilans@illinois.edu ASAP
  • Proof of Hoeffding's Lemma
  • Office Hours on Tuesday 02/18 moved to 3:30-5pm
  • Second recitation: Friday, 02/15
  • There will be no office hours on Tuesday 02/12, and no lecture on Wednesday 02/13.
  • Solutions to Probability Quiz
  • Probability Quiz:
    • Time: Wednesday, Feb. 6, 7:00pm-8:30pm
    • Location: ECEB 1013 and ECEB 1015
    • 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%