ENEE 620 – Random Processes (Spring 2008)

Lectures - Tu & Th 3:30 – 4:45, CSI 2118

Instructor - Richard J. La, 2347 A. V. Williams Bldg.

hyongla@isr.umd.edu, (301) 405-4914

Office Hours - Tuesday 5 PM – 6 PM and by appointment

T.A. - Wenjun Lu (Section 101: EGR 3102, Fri. 10-10:50 AM) – wenjunlu@umd.edu

Ion Matei (Section 102: EGR 2154. Fri. 11-11:50 AM) – imatei@umd.edu

Webpage - http://www.ece.umd.edu/~hyongla/SPRING08.htm

Lecture Slides

Homework Assignments

Handouts

Suggested Problems

Textbook - “Probability and random processes”, 3^nd Ed. by G. Grimmett and D. Stirzaker

References - “Stochastic Processes”, 2nd Ed. by S. M. Ross

“Markov chains: Gibbs fields, monte carlo simulation, and queues”, by P. Bremaud

“Probability: Theory and Examples”, 2^nd Ed. by Richard Durrett

“Introduction to random processes”, E. Wong

“Convergence of probability measures”, by P. Billingsley

Exams - Midterm #1 - March 13^th, 2008

Midterm #2 - April 29^th, 2008 (tentative)

Grading - Midterm #1 - 25 %

Midterm #2 - 25 %

Final Exam (May 21^st, 2008) - 40 %

HW assignments - 10 %

80-100 - A

60-79 - B

40-59 - C

20-39 - D

0 –19 - F

Course Outline

1. Introduction to probability (review of ENEE 324) – Chapters 1-4

2. Convergence modes – Chapter 7 & handout

3. Renewal theory – handout

4. Markov Chains - Chapter 6 & handouts

5. Stationary and wide sense stationary processes, Wiener process – Chapters 8 and 9

6. Kalman filter - handout