Random Processes (EE 550)

2022 Fall
Faculty of Engineering and Natural Sciences
Electronics Engineering(EE)
3
10
Hüseyin Özkan hozkan@sabanciuniv.edu,
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English
Doctoral, Master
--
Formal lecture,Interactive lecture
Interactive,Communicative,Discussion based learning,Guided discovery
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CONTENT

Random processes and sequences, stationarity and ergodicity properties of auto- and cross-correlation functions, white noise, power spectral density and spectral estimation simulation of random processes, whitening, linear and non-linear estimation, and Wiener filtering.

OBJECTIVE

Graduate level course on probability and stochastic processes. Single and multidimensional discrete and continuous random variables. Probability and moment approximations using limit theorems, basic random processes, wide sense stationary random processes, linear systems and wide sense stationary random processes, multiple wide sense stationary random processes, Gaussian random processes, Poisson random processes. Optimal linear systems. Kalman filter.

LEARNING OUTCOMES

  • Solve problems about the results of random experiments using the concept of discrete and continuous random variables
  • Use the concept of joint probability distributions, marginal distributions and conditional distributions for multiple random variables for solving complex problems in various engineering domains that involve probability
  • Calculate and grasp the significance of the expected value, variance, and standard deviation of a single random variable and mean vector and covariance matrix of a random vector
  • Analyze random processes and characterize the response of LTI systems driven by a stationary random process using autocorrelation and power spectral density functions
  • Gain sufficient background for the subject areas of detection and estimation, communications, random signal processing, stochastic control, pattern recognition and machine learning

ASSESSMENT METHODS and CRITERIA

  Percentage (%)
Final 25
Midterm 60
Presentation 15

RECOMENDED or REQUIRED READINGS

Textbook

Probability, Statistics, and Random Processes For Electrical Engineering (3rd Edition), by Alberto Leon-Garcia

Readings

(textbook) Probability, Statistics, and Random Processes For Electrical Engineering (2nd Edition), Prentice Hall, 2008, 978-0131471221

(recommended) Intuitive probability and random processes using Matlab, Steven Kay, Springer, 2006, 0-387-24157-4

(recommended) Probability and random processes for electrical engineering, Alberto Leon-Garcia, Addison-Wesley, 1994, 0-201-50037-X

(reference) Introduction to probability, Dimitri P. Bertsekas and John N. Tsitsiklis, Athena Scientific, 2008, 978-1-886529-23-6