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)
- You will be allowed three 8.5 x 11” sheets of handwritten notes. No calculators or other electronic devices will be allowed.
- 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%
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