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Spring 2012

IC666: Discrete Stochastic Processes (Spring 2012)


Instructor:
Kyung-Joon Park
Office hours: By appointment, 3-309 DGIST

Textbooks:

  • Introduction to Probability, Dimitri P. Bertsekas and John N. Tsitsiklis, Athena Scientific, 2nd edition, 2008
  • Discrete Stochastic Processes, Robert G. Gallager, Springer, 1995. (Draft of the second edition, "Stochastic Processes: Theory for Applications," freely available at http://www.rle.mit.edu/rgallager/notes.htm)

Course Description:
The purpose of this course is to build a conceptual understanding of tractable classes of models on discrete stochastic processes. We study applications of probabilistic models in various areas. We also cover the essentials of the undergraudate-level probability course in order to gain a concrete understanding of basic probability models.

Grading policies:
Exam 70%, Homework 30%

Announcement:

Lectures:

  • [March 6] Introduction to probabilistic systems
  • [March 8] Conditional probability, Bayes' rule, total probability theorem
  • [March 13] Independence
  • [March 15] Counting
  • [March 20] Discrete random variable
  • [March 22] No class
  • [March 27] Conditional expectation
  • [March 29] Multiple discrete random variables
  • [April 3, 5] No class
  • [April 10] Continuous random variables I
  • [April 12] Continuous random variables II
  • [April 17] Continuous random variables, derived distributions (regular & possible makeup class)
  • [April 19] Continuous random variables, derived distributions (cont'd) (regular & possible makeup class)
  • [April 24] Midterm exam
  • [April 26] No class (midterm exam week)
  • [May 1] Transforms
  • [May 3] Iterated expectations
  • [May 8] Sum of a random number of random variables
  • [May 10] No class
  • [May 15] Weak law of large numbers
  • [May 17] Bernoulli process
  • [May 22] Poisson process
  • [May 24] No class (ISET 2012)
  • [May 29] Poisson process: Examples
  • [June 1] Poisson process: Examples (cont'd)
  • [June 5] More about Poisson process
  • [June 7] Problems on Poisson distribution
  • [June 15] Final exam
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Page last modified on June 12, 2012, at 02:41 PM EST