EE562: Random Processes in Engineering

Units: 4
Spring 2020

Lecture: Mon. Wed., 12:00-1:50 PM, OHE 132

Discussion: Tue., 3:30-4:20, OHE 136

Instructor: Ashutosh Nayyar

Office: EEB 326
Office Hours: Mon., Wed. 3:15-4:30PM
Contact Info: 213-740-2353. [email protected]

Teaching Assistant: TBD

Office: TBD
Office Hours: TBD
Contact Info: TBD

Course Webpage: USC DEN

(https://courses.uscden.net)

Exam Dates:
• Midterm: March 11 (tentatively), in class
• Final Exam: Fri, May 8, 11am-1pm, as set
by the university


Course Description
This course provides a rigorous introduction to probability and stochastic process theory and is
geared towards first and second year graduate students in electrical engineering, computer science,
industrial and systems engineering and other departments. The course will include a review of basic
concepts of probability theory including probability spaces, random variables, expectation, and
related convergence concepts. It will also cover Gaussian random vectors, minimum mean square
estimation and conditional expectation. It will then introduce stochastic processes and key limit
theorems. Other topics to be covered include stationary and wide sense stationary processes,
correlation and covariance functions, power spectral density, Poisson processes, discrete and
continuous-time Markov chains, martingales, basic calculus of random processes, random
processes in linear systems and Wiener filtering. The course will provide examples of applications
in queueing networks, communications and autonomous systems.


Learning Objectives
1. Introduction to basic concepts, definitions and limit theorems about stochastic processes.
2. Exploring key properties and applications of various kinds of stochastic processes in
engineering including communications, networks and autonomous systems.


Prerequisite(s): EE 503 (Probability)

Grading Type: Letter grade
Syllabus, homeworks and other class information will be posted on USC DEN course website.

Required textbook: 1. Random Processes for Engineers by B. Hajek, 2015.

Additional recommended text:
1. Stochastic Processes, 2nd ed. by Sheldon Ross, 1996.
2. Essentials of Stochastic Processes, by Rick Durrett, 2011 (available online).

Grading Breakdown: Final 45%, Midterm 35%, Homework 20%.

Assignment Submission Policy
Late homeworks will not be accepted unless prior approval for late submission has been obtained.

List of Topics to be covered:

1. Probability Review: Random variables, expected value, moment generating functions,
conditional distribution, conditional expectation.
2. Sequences of Random variables, modes of convergence and limit theorems.
3. Random vectors, orthogonality principle, minimum mean square estimation.
4. Random processes: Definitions and basic properties.
5. Counting processes, Poisson process, renewal processes.
6. Discrete and continuous time Markov chains.
7. Martingales: Definitions, properties and inequalities.
8. Basic Calculus of random processes, continuity, mean square differentiation, integration.
 9. Random processes in linear systems, spectral analysis, Fourier transforms, power spectral
density.
10. Wiener Filtering, causal functions and spectral factorization, causal Wiener filtering problem.

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