CE/EE/TE 500 Stochastic Processes

Lecture
Schedule

Thursday
(06:00 pm 09:00 pm)

Semester

Spring 2013

Credit Hours

Three

Pre-requisite

Graduate Standing

Instructor

Dr. A. Aziz Bhatti

Contact

drabhatti@umt.edu.pk
Extension. 428

Office

2nd Floor, SST Campus

Office Hours

Thursday & Friday

(4:00 pm 5:30 pm)

Teaching
Assistant

Waqas Tariq Toor

Contact

Phone Ext: 423

Email: waqas.toor@umt.edu.pk

Office

N/A

Office Hours

N/A

Course
Description

This is a graduate level course in probability theory and random processes that is a
pre-requisite for almost all graduate level courses in communications, signal
processing, controls and networks. The course will cover: axiomatic foundations of
probability theory, random variables, distributions, densities, functions of a random
variable, functions of several random variables, moment generating functions,
random vectors, sequences, and functions, linear transformations, second moment
theory, spectral densities, Gaussian processes, stationary processes, correlation
detection and linear minimum mean square error estimation.

Expected
Outcomes

Upon completion of this course, students will:

Understand elements of probability theory and its application to various problems
in engineering.
Become familiar with discrete and continuous probability distributions.
Be able to transform, compute densities and expectations of random variables and
processes.
Become familiar with the moment theory.
Understand the second moment theory of random processes and will be able to
apply it to simple detection and estimation problems.

Textbooks

Grading
Policy

REQUIRED: Probability, Random Variables and Stochastic Processes by Athanasios

Papoulis and S. U. Pillai, 4th Edition, McGraw Hill.
OPTIONAL:
Probability and Stochastic Processes, 2nd Edition by Roy D. Yates, David J. Goodman.
Probabilistic Systems Analysis and Applied Probability by Medard, Muriel; Tsitsiklis,
John N.; Bertsekas, Dimitri P.; Abou Faycal, Ibrahim C. (Ibrahim Chafik)
Available at: http://ocw.mit.edu/courses/electrical-engineering-and-computer-science/6041-probabilistic-systems-analysis-and-applied-probability-spring-2006/index.htm
Probability and Random Processes for Electrical Engineering by Alberto Leon Garcia,
2nd Edition, Prentice Hall.
Probability and Random Process With Applications to Signal Processing by Henry Starks
and John Woods, Prentice Hall

Assignments:
Quizzes:
Midterm [In Class]:

15%
10%
25%

 Final:

50%

Lecture Plan
Lectures
1*

1*
2*
2*
1*
0.5
0.5
2*

1*
1*
1*

1.5*

0.5*
* - Tentative

Topics
Basic Concepts
Axiomatic Probability Theory
Discrete Probability Space
Independent Events
Repeated Trials
Single and Multiple Events
Distributions Binomial and Gaussian
Random Variables
Distribution and Density Functions
Conditional density functions
Functions of A Random Variable, Y = g(X)
Distribution and Density Functions
Conditional density functions
Functions of Two Random Variables, Z = g(X, Y)
Distribution and Density Functions
Conditional density functions
REVIEW
MIDTERM
Moment Generating Functions
First and Second order Moments
Conditional Moments
Characteristic Functions
Sequence of Random Variables
Sum, Product
Random Vector
Stochastic Process
Introduction
Stationary Random Process
Strict Sense Stationary
Wide Sense Stationary
Second Moment Theory
Autocorrelation
K-L Expansion
Linear Systems
Power Spectral Density
Gaussian Process
Ergodicity
Introduction

Readings
Chapter 2

Chapter 3
Chapter 4
Chapter 5
Chapter 6

Chapter 7

Chapter 7
Notes
Notes

Notes

Notes