Department of Computer Science, National Chiao-Tung University

IOC5127 Stochastic Processes

Ÿ   Time of Offering: Fall Term, 2012

Ÿ   Level: Graduate Students

Ÿ   Prerequisites: The recommended prerequisites are to have taken Elementary Probability Theory and Signals and Systems.

Ÿ   Course Instructor

­         Wen-Hsiao Peng (彭文孝), Ph.D.

­         E-mail: wpeng@cs.nctu.edu.tw

­         Office: EC431 (工三館431)

­         Phone: Ext56625

­         Lab: Multimedia Architecture and Processing Laboratory (MAPL)

­         URL: http://mapl.nctu.edu.tw

Ÿ   Teaching Assistant

­         Chung-Hao Wu (吳崇豪)

­         E-mail: jacky195205@gmail.com

­         Office: MISRC 704 (電子與資訊研究中心)

­         Phone: Ext59267

Ÿ   Course Homepage

­         http://mapl.nctu.edu.tw/course/SP_2012/index.php

Ÿ   Lectures

­         The course meets on Tuesdays from 10:10 a.m. to 12:00 p.m. (2CD) and Thursdays from 15:30 p.m. to 16:20 p.m. (4G), in EC015.

Ÿ   Course Outline

1.          Expectation and Introduction to Estimation

·      Moments & Moments Generating Functions

·      Chebyshev and Schwarz Inequality

·      Chernoff Bound

·      Characteristic Functions

·      Estimator for Mean and Variance of the Normal Law

2.          Random Vectors and Parameter Estimation

·      Multidimensional Gaussian Law

·      Characteristic Functions of Random Vectors

·      Parameter Estimation

·      Estimation of Vector Mean and Covariance Matrices

·      Maximum Likelihood Estimators

·      Linear Estimations of Vector Parameters

3.          Random Sequences

·      Wide Sense Stationary Random Sequences

·      Markov Random Sequences

·      Convergence of Random Sequences

·      Law of Large Numbers

4.          Random Processes

·      Poisson Process

·      Wiener Process (Brownian Process)

·      Markov Random Process & Birth-Death Markov Chains

·      Wide-Sense Stationary Processes and LSI Systems

5.          Advanced Topics in Random Processes

·      Ergodicity

·      Karhunen-Loeve Expansion

6.          Applications to Statistical Signal Processing

·      Conditional Mean, Orthogonality and Linear Estimation

·      Innovation Sequences and Kalman Filtering

·      Wiener Filters for Random Sequences

·      Hidden Markov Models

Ÿ   Lecture Notes

­         Lecture Notes (by Prof. Sheng-Jyh Wang 王聖智, NCTU EE)

­         Password is required for accessing the lecture notes and will be announced during the lectures.

Ÿ   Reference

­         Henry Stark and John W. Woods, Probability, Statistics, and Random Processes for Engineers, 4th ed., Prentice Hall, 2011. (ISBN-10: 0132311232)

­         (Chapter 7 and 8) K. L. Chung and F. AitSahlia, Elementary Probability Theory: With Stochastic Processes and an Introduction to Mathmatical Finance, 4th ed., Springer, 2003. (ISBN-10: 1441930620)

Ÿ   Grading Policy

­         25% Homeworks

­         30% Mid-term

­         45% Final Exam

Ÿ   Office Hours

­         Tuesday/Thursday after class in Engineering Building III Room 431.

­         Other time slots are also possible by appointments beforehand.

Ÿ   Miscellaneous

­         10/10~10/17 Attend MPEG Meeting in Shanghai, China

Ÿ   Connection with Other Courses