Lahore University of Management Sciences

EE564 Stochastic Systems

Fall 2014


Instructor Momin Uppal
Room No. 9-346A
Office Hours TBA
Email momin.uppal@lums.edu.pk
Telephone 8112
Secretary/TA TBA
TA Office Hours TBA
Course URL (if any)

Course Basics
Credit Hours 3
Lecture(s) Nbr of Lec(s) Per Week 2 Duration 75 minutes
Recitation/Lab (per week) Nbr of Lec(s) Per Week 0 Duration
Tutorial (per week) Nbr of Lec(s) Per Week 1 Duration 60 minutes

Course Distribution
Core MS Electrical Engineering, Areas 1, 6, 7, and 8.
Elective MS Electrical Engineering, all other areas, BS Electrical Engineering
Open for Student Category Anyone with the required pre-requisite
Close for Student Category Anyone not fulfilling the required pre-requisite

COURSE DESCRIPTION

This is a first-year graduate level course in probability, random variables, and random processes. Besides fundamental concepts in random
variables, density functions, and expectations, the course will also include coverage of random vectors and random signals/processes along with
an emphasis on response of linear time-invariant systems to random inputs. The course contents will be complemented with important
applications of these concepts to diverse areas of electrical engineering including, but not limited to, communication systems, communication
networks, control systems, and signal processing applications.


COURSE PREREQUISITE(S)




MATH 230 - Probability (or an equivalent undergraduate probability course)
Sound background in undergraduate-level probability, calculus, and linear algebra.

COURSE OBJECTIVES






To gain fundamental understanding of concepts in random variables and random processes.
To gain an understanding of how linear-time invariant systems respond to random inputs.
To gain knowledge of a fundamental toolset that could be utilized to design and analyze (in the face of unavoidable
randomness) communication systems, communication networks, control systems, and signal processing systems







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Learning Outcomes






By the end of the course, the students will

Have a fundamental understanding of probability, random variables, and random processes.
Have an understanding of how linear time-invariant systems behave under random inputs.
Be able to apply the techniques learnt in class to incorporate unavoidable randomness in the design and analysis of systems in
diverse areas of electrical engineering.

Grading Breakup and Policy (Tentative)

Assignment(s): 10%
Home Work:
Quiz(s): 20%
Class Participation:
Attendance:
Midterm Examination:30%
Project:
Final Examination:40%


Examination Detail (Tentative)
Midterm
Exam

Yes/No: Yes
Combine Separate: Combined
Duration: 3 hours
Preferred Date: During the Midweek
Exam Specifications: Closed book closed notes/Calculators Allowed

Final Exam

Yes/No: Yes
Combine Separate: Combined
Duration: 3 hours
Exam Specifications: Closed book closed notes/Calculators Allowed/ Two help sheets Allowed


Textbook(s)/Supplementary Readings
Text. Probability and Random Processes with Applications to Signal Processing, by Henry Stark and John Woods.

Reference. Probability and Random Processes, by Scott Miller and Donald Childers.


Lahore University of Management Sciences



Week Topics
Recommended
Readings
1 Course Overview
1
Basic probability theory
Joint and conditional probability
Baye's rule
Independence

2
Discrete random variables
Probability mass functions
Common discrete random variables

3
Continuous random variables
Cumulative distribution functions
Probability density functions,
Conditional distribution and density functions
Common continuous random variables

4
Pairs of Random Variables
Joint and conditional PMFs, CDFs, and PDFs
Transformation of random variables

5-6
Expectations
Expected values
Moments
Conditional Expected values
Characteristic Functions
Moment generating functions
Evaluating tail probabilities
MMSE estimation

7
Random Vectors and Parameter Estimation
Joint and conditional PMFs, CDFs, and PDFs
Expectation vectors and covariance matrices
Multidimensional Gaussian Law
Parameter estimation

8-9
Random Sequences
Basic Concepts
Markov Random Sequences
Law of large numbers
Convergence of random sequences

10-11
Random Processes
Basic Concepts
Stationary and Ergodic Random processes
Important Random Processes (Gaussian, Poisson etc.)

12
Power Spectral Density
Basic Concepts
Bandwidth of a random process

13-14
Random Processes in Linear Systems
LTI filtering of stationary processes
The matched filter
The Weiner Filter