ACM/EE 116
Introduction to Probability Models with Applications
Fall 2005

Emmanuel Candes
300 Firestone

Office Hours: M 3-4 or by appointment

Monday, Wednesday, Friday
11-11:55 a.m.
Firestone 306






Description: Introduction to fundamental ideas and techniques of stochastic modeling, with an emphasis on the applications. After reviewing the basic concepts of probability theory, the course will move quickly towards the development of probability models and their use in engineering and sciences. Assignments will very likely involve some programming.

An introductory course in probability theory and some basic linear algebra.


Rapid review of basic concepts of probability theory (3 lectures):

  • Continuous and discrete probability distributions. Conditional probability and independence. Examples of probability distributions.
  • Random variables: expectation, standard deviation. Independence and conditional probabilities of random variables. Joint distributions of random variables: conditional distributions and expectations, covariance and correlation.
Introduction to stochastic processes and Markov chains.
Stochastic models are widely applicable to the study of many "real-world" phenomena. The course will develop applications in selected areas such as:
  • Information Theory.
  • Signal processing.
  • Genetics.
  • Queuing, waiting line theory. Analysis of stochastic queuing models.
  • Simulations and scientific computing.
  • Finance.


  1. Sheldon Ross "Introduction to Probability Models" Academic Press. (required)
  2. Howard Taylor and Samuel Karlin "An Introduction to Stochastic Modeling" 3rd. Edition, Academic Press. (optional)
  3. Howard Taylor and Samuel Karlin "A first Course in Stochastic Processes" 2nd. Edition, Academic Press. (optional)
  4. William Feller "An Introduction to Probability Theory and its Applications" Wiley. (optional)

I will do my best to post online all the handouts given in class. By the way, Sheila Shull (217 Firestone) is a person you can contact at any time (between 9:30am and 5pm) if you need administrative information. Her phone number is 626-395-4560.

Teaching Assistant and Office Hours:

Hannes Helgason,
Monday 2-3 p.m., Guggenheim 226.

Lei Zhang,
Tuesday 9-10:30 a.m., Firestone 214.


Homework assignments: 60%
  • Homework will generally be distributed on Wednesdays and due in class the following Wednesday.
  • There will be about 5 or 6 assignments, and your lowest score will be dropped in the final grade.
  • Late homeworks will NOT be accepted for grading (medical emergencies excepted with proof).

    Final exam: 40%. There will be a take-home final exam.