Stochastic Systems: Dr. Farah Haroon

Stochastic Systems
Lecture 1
Dr. Farah Haroon
Email: far_iiee@yahoo.com
Stochastic Systems
Rationale: To lay the foundation for understanding the basics of

probability and stochastic processes. It is a core course for
graduate studies which is used to analyze and solve a diverse
range of problems arising in electrical engineering.
Credit Hrs: 3
Pre-Requisite: an undergrad probability course
Class Timings: Friday 6:00 to 9:00 p.m
Course Material: Text books, Lecture Notes and Handouts

Course Overview
1.Probability Theory: Introduction, Axioms of probability,
Conditional probability, Bayes rule.
2.Random Variable (RV): Discrete and Continuous random

variables, Cumulative and Probability Density functions
– (CDF and PDF). Binomial, Poisson, Gamma,
Gaussian, Normal, Error function, Marcum Q function
3.Moment and Conditional Statistics: Random sums and

conditional densities. Mean and Least square estimation.
Contd.
3. Stochastic (Random) Processes: Definition, Statistics of
Random Processes, Stochastic convergence and central
limit theorem, Power spectrum, Stationary and Ergodic
Processes. Bernoulli process, Poisson process,
Markovian property, Markov Chains, Noise Processes-
Gaussian, White and Colored Noise.
Theoretical concepts would be applied to different

engineering problems along with related MatLAB based
practical assignments.
Books
Text Book
 1. Athanasios Papoulis:
Probability, Random Variables, and Stochastic Processes Mc-
Graw Hill, 3rd Edition.
Reference Books
 2. Wim C. van Etten:
Introduction to Random Signals and Noise
John Wiley & Sons Ltd,
• 3.Schaum'S Outlines Series:

Probability, Random Variables And Random Processes
Mc graw-Hill
Stochastic processes
 Stochastic processes are processes that proceed
randomly in time.
 Stochastic modeling is an interesting and challenging
area of probability and statistics.
 Stochastic models can be contrasted with deterministic
models. A deterministic model is specified by a set of
equations that describe exactly how the system will
evolve over time.
 In a stochastic model, if the process is run several times,
it will not give identical results. Different runs of a
stochastic process are often called realizations of the
process.
 For example, a stochastic process can be used to model:
the sequence of daily prices of a stock;
the sequence of scores in a football game;
the sequence of failure times of a machine;
the sequence of hourly traffic loads at a node of a
communication network;
the sequence of radar measurements of the position of an
airplane.
Analysis of a stochastic process is based on the
knowledge of probability and random variables.
Probability: Basic Ideas
Terminology:
◦ Trial: each time you repeat an experiment
◦ Outcome: result of an experiment
◦ Random experiment: one with random outcomes
(cannot be predicted exactly)
◦ Relative frequency: how many times a specific outcome
occurs within the entire experiment.
Probability Assignment
 Relative Frequency Definition:
 If n is the number of times the experiment is performed and n A

is the number of occurrence of event A. Then, for sufficiently
large n, the probability of an event A can be predicted as
P A = nA / n
 Laplace’s Classical Definition:

According to classical definition, if N is the total number of
outcomes in  and NA is number of outcomes favorable to A
then
PA = NA / N
For Example…
You work in a cell phone factory and are asked
to remove cell phones at random off of the
assembly line and turn it on and off.
Each time you remove a cell phone and turn it on
and off, you are conducting a random
experiment.
Each time you pick up a phone is a trial and the
result is called an outcome.
If you check 200 phones, and you find 5 bad
phones, then
relative frequency of failure = 5/200 = 0.025
Event Notation
 It is customary to relate the probability theory with ‘Sets.’
Drill 1
Verify various properties of probability law

using Venn diagrams.
The Axioms
If E is an event and is a subset of S, the sample
space, then the following are true:
1. 0 ≤ P(E) ≤1 The probability of an event E is
between 0 and 1 inclusive.
2. P(  ) = 0 The probability of an empty set is
zero. Consequence: IF P(A ∩ B) = 0 then
A ∩ B =  which implies A and B are mutually
exclusive.
3. P(S)=1 The probability of the sample space is
1.
More Axioms
4. The rule for unions in general is
P(A U B) = P(A) + P(B) – P(A ∩ B)
5. If A and B are mutually exclusive then
P(A U B) = P(A) + P(B).
6.The rule for complimentary events is
P(E’) = 1 – P(E).
Difference between discrete and
continuous sample space
Sample space can be either discrete and
continuous.
For discrete sample space, there may be
finite number of sample points in the sample
space. Hence, we can find the probability of
each sample point in the sample space.
For continuous sample space, there are
always infinitely many sample points in the
sample space. Probability only exists for an
interval of values for continuous r.v.
Example: Discrete Sample Space
Number of defected bulbs on an assembly line,
Number of bit errors in the received data
Example: Continuous Sample Space
Burning a light bulb until it burns out.
Suppose there is a theoretical maximum number of
hours that a bulb can burn & that is 10,000 hours.
Sample space: The set of all real numbers between
0 & 10,000.
 Between any two numbers you can pick in the sample
space, there is another number. For example, the bulb could
burn for 99.777 hours or 99.778. But it could also burn for
99.7775, which is in between.
This sample space is continuous.
It is also infinite, since there are an infinite number of
possibilities.
All continuous sample spaces are infinite.
Conditional Probability
In an experiment involving two successive rolls of
a die, you are told that the sum of the two rolls is
9. How likely is it that the first roll was a 6?
What is the likelihood that the second toss is head

and the first toss is tail?
For any event A, gives us the conditional

probability of A given B, denoted by
Contd.
P(A/B)= number of elements of A  B

number of elements of B
i.e.
P(A/B) = P(A  B)
P(B)
Example1
Consider another experiment involving three coin

tosses. The outcome will now be a 3-long string of
heads or tails. The sample space is
Find P(A/B) when A and B are the events

A = {more heads than tails come up}
B = {1st toss is a head}.
Solution 1
Ω = {HHH, HHT, HTH, HTT, THH, THT, TTH, TTT}.
i.e.
Each possible outcome has the same probability of 1/8.
P(B) = 4/8
P(A  B) = 3/8 then
P(A/B) = 3/4
Example2: Radar Detection
If an aircraft is present in a certain area, a radar

correctly registers its presence with probability
0.99. If it is not present, the radar falsely
registers an aircraft presence with probability
0.10. We assume that an aircraft is present with
probability 0.05. What is the probability of false
alarm (a false indication of aircraft presence),
and the probability of missed detection (nothing
registers, even though an aircraft is present)?
Solution 2
Let A and B be the events
A = {an aircraft is present},
B = {the radar registers an aircraft presence},
and consider also their complements
Ac = {an aircraft is not present},
Bc = {the radar does not register an aircraft presence}.
Given Data
P(B/Ac) = 0.1
P(A) = 0.05
P(B/A) = 0.99
Contd.
P(f) = the radar registers an aircraft and it is not present.

P(f) = P(B  Ac) = P(B/ Ac) P(Ac) =0.1 * (1-0.05)
P(f) = 0.095
P(m) = the radar does not register an aircraft and it is

present.
P(m) = P(Bc  A) = P(Bc/A) P(A) =(1 - 0.99) * 0.05
P(m) = 0.0005

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Stochastic Systems

Rationale: To lay the foundation for understanding the basics of

Pre-Requisite: an undergrad probability course

Class Timings: Friday 6:00 to 9:00 p.m

Course Material: Text books, Lecture Notes and Handouts

2.Random Variable (RV): Discrete and Continuous random

3.Moment and Conditional Statistics: Random sums and

Theoretical concepts would be applied to different

• 3.Schaum'S Outlines Series:

 If n is the number of times the experiment is performed and n A

 Laplace’s Classical Definition:

Verify various properties of probability law

What is the likelihood that the second toss is head

For any event A, gives us the conditional

P(A/B)= number of elements of A  B

Consider another experiment involving three coin

Find P(A/B) when A and B are the events

If an aircraft is present in a certain area, a radar

P(f) = the radar registers an aircraft and it is not present.

P(m) = the radar does not register an aircraft and it is

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