Lahore University of Management Sciences

EE564 Stochastic Systems

Fall 2014
Instructor
Room No.
Office Hours
Email
Telephone
Secretary/TA
TA Office Hours
Course URL (if any)

Momin Uppal
9-346A
TBA
momin.uppal@lums.edu.pk
8112
TBA
TBA

Course Basics
Credit Hours
Lecture(s)
Recitation/Lab (per week)
Tutorial (per week)

3
Nbr of Lec(s) Per Week
Nbr of Lec(s) Per Week
Nbr of Lec(s) Per Week

Course Distribution
Core
Elective
Open for Student Category
Close for Student Category

MS Electrical Engineering, Areas 1, 6, 7, and 8.

MS Electrical Engineering, all other areas, BS Electrical Engineering
Anyone with the required pre-requisite
Anyone not fulfilling the required pre-requisite

2
0
1

Duration
Duration
Duration

75 minutes
60 minutes

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

Lahore University of Management Sciences

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

Final Exam

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

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
1
1

5-6

8-9

10-11

12

13-14

Topics
Course Overview
Basic probability theory

Joint and conditional probability

Baye's rule

Independence
Discrete random variables

Probability mass functions

Common discrete random variables

Continuous random variables

Cumulative distribution functions

Probability density functions,

Conditional distribution and density functions

Common continuous random variables

Pairs of Random Variables

Joint and conditional PMFs, CDFs, and PDFs

Transformation of random variables

Expectations

Expected values

Moments

Conditional Expected values

Characteristic Functions

Moment generating functions

Evaluating tail probabilities

MMSE estimation
Random Vectors and Parameter Estimation

Joint and conditional PMFs, CDFs, and PDFs

Expectation vectors and covariance matrices

Multidimensional Gaussian Law

Parameter estimation
Random Sequences

Basic Concepts

Markov Random Sequences

Law of large numbers

Convergence of random sequences

Random Processes

Basic Concepts

Stationary and Ergodic Random processes

Important Random Processes (Gaussian, Poisson etc.)

Power Spectral Density

Basic Concepts

Bandwidth of a random process

Random Processes in Linear Systems

LTI filtering of stationary processes

The matched filter

The Weiner Filter

Recommended
Readings