EE 570 - Stochastic Processes

• Jan. 10, 2012: Solution of Homework 6 [pdf] and Quiz 3 [pdf] have been posted.
   

• Jan. 2, 2012: This is a reminder about our project presentations today at 6:30 PM. Five will be presenting. The presentations will be 15 min (sharp) followed by 5 min Q and A. You should all be present. Report is due during the presentation itself.
   

• Dec. 30, 2011: Homework 7 has been posted [pdf]. This will also account for your grade in Quiz 4. The HW is due on the day of the final exam. Good luck and see you on Monday.
   

• Dec. 28, 2011: Quiz 3 has been posted [pdf]. It is due by Sat. Jan. 31st at 4 PM. Please leave it with Krishnan. You should solve the problems on your own. Consultation with anyone is considered cheating.
   

• Dec. 26, 2011: Solutions of Homework 5 and Quiz 2 have been posted.
   

Instructor: Dr. Tareq Al-Naffouri, naffouri@kfupm.edu.sa

Office: 59-1085

Phone: (03)860-1030
                                             
Office hours: Sat. & Mon. 10:00 AM -11:30 AM (also by appointment)

Course website: http://faculty.kfupm.edu.sa/ee/naffouri/courses/ee570.html

Review of fundamentals of probability, sequences of random variables and convergence, stationarity and ergodicity; second-order properties and estimation; Gaussian random processes, Poisson and renewal processes, Markov processes, Queuing Theory, Applications to communications and signal processing.

Prerequisite: EE 315 or its equivalent

• Week 01: Review of probability theory
• Week 02-03: The concept of random variables, functions of one random variable, two random variables, sequence of random variables
• Week 04-07: Stochastic processes
• Week 08-09: Second-order properties and estimation
• Week 10: Gaussian random processes
• Week 11: Poisson and renewal processes
• Week 12-13: Markov chains
• Week 14-15: Markov processes and queuing theory

Probability, Random Variables and Stochastic Processes, A. Papoulis and S.U. Pillai, 4th Edition, International Edition, McGraw Hill, 2002.

• Probability and Random Processes, Alberto Leon-Garcia, Addison Wesley.
• Probability, Random Variables, and Random Principles, P. Peebles, 4th Edition, McGraw Hill, 2000.
• S. Ross, Stochastic Processes, 2nd edition, Wiley, 1996.
• S. Haykin, Communication Systems, 4th Edition, John Wiley & Sons, Inc. , 2001

There will be one assignment every two or three weeks. The assignment will be submitted
in class on the due dates (late submissions are not accepted).

Homework 1: Problems 2.4, 2.7, 2.14, 2.16, 2.21, 2.27
Homework 2: Problems 4.8, 4.16, 4.18, 4.29, 5.6, 5.17, 5.21, 5.28
Homework 3: Problems 5.1, 5.12c, 5.13, 5.35, 6.19, 6.3, 6.5(b)
Homework 4: Problems 6.10 (find pdf of x-y only), 6.15, 6.26(a), 6.33, 6.36, 6.48, 6.56,
                               6.58, 6.70
Homework 5: [pdf] [Solution]
Homework 6: [pdf] [Solution]
Homework 7: [pdf]

Quiz 1 Solution [pdf]
Quiz 2 Solution [pdf]
Quiz 3 [pdf]
Quiz 3 Solution [pdf]

Midterm will take place in class on Sat. Nov. 19, 2011.
Midterm Solution [pdf]

• Chapter 1 is a good read but is optional
• Chapter 2 (p. 15 to p. 41)
• Chapter 3 (p. 46 to p. 58) (Subsection 3.3 has many good examples that are good exercises)

The intention of this project is to develop your ability of self-learning from published literature and enhance your capability to analyze conflicting results. Specifically, a student will work on some topic in signal processing or communication and provide a tutorial-like report of that topic. The tutorial should NOT be based on an existing tutorial of the topic but rather on collecting various papers on the topic and trying to summarize their findings in a tutorial manner.

Please note that you need to take my consent before deciding on the topic that will serve as your project.

Term Paper and Oral Presentation: The term paper should be clearly written and should describe the topic in a somewhat tutorial manner. It should be understandable by the non-expert. The report should be between 15 and 20 typed pages using one and a half line spacing and font size 12 (I prefer that you use LATEX to typeset your paper, as this is the package used by the scientific community, but the choice is yours). The final report is due at the end of week 14 of the semester. In the final week of the semester, each student is required to make a 15 minutes presentation.

Grade Distribution

Proposal (2%): Proposal is due on Oct. 3rd.
Presentation (6%): Presentations will be held in the last week of classes.
Presentation (12%): Written reports are due in class on Sat. Dec. 24, 2011.

Project topics [pdf]

The final exam is Comprehensive. The date is to be determined.

Students will be assigned grades on the following basis:
 

Assignments	15 %
Quizzes	10 %
Midterm Exam	20 %
Term Paper	20 %
Final Exam	35 %