University of Illinois Fall 2011

ECE534: Final Exam

Friday, December 16, 2011
7:00 p.m. 10:00 p.m.
103 Talbot Laboratory
Name:
University NetID:
You have three hours for this exam. You may consult both sides of three 8.5

11

sheets of
notes. Otherwise the exam is closed book and closed note.
Calculators, laptop computers, Palm Pilots, two-way e-mail pagers, etc. may not be used.
Write your answers in the spaces provided.
Please show all of your work. Answers without appropriate justication will
receive very little credit. If you need extra space, use the back of the previous page.
Scores
1. 10 points
2. 5 points
3. 20 points
4. 15 points
5. 15 points
6. 20 points
7. 15 points
Total (100 points)
1. [10 points] Suppose A is a Gaussian random variable with mean zero and variance 9. Express
the following quantities in terms of the Q function (dened by Q(u) =

u
1

2
e

v
2
2
dv.)
(a) (5 pts.) P{At
2
+t + 1 0} for < t < . (Hint: Your answer should depend on t.)
(b) (5 pts.) P{At
2
+t + 1 0 for < t < .} (Hint: Your answer should not depend
on t.)
2. [5 points] Let 0 < p < 1 and n 1. Determine transition rates (
k
: 1 k n) so that the
equilibrium distribution for the continuous-time Markov process with the transition rate
diagram shown is the binomial distribution with parameters n and p. Simplify your answer
as much as possible.
!"
1 1 1 1 1
. . . !
0 2 1 ! 1

3 ! 2 1

1
3. [20 points] Suppose X is a mean zero, Gaussian, WSS random process with autocorrelation
function R
X
() =
1
1+
2
for all R. Let Y = (Y
t
: t R) be dened by Y
t
= X
t
cos(2f
o
t),
for some nonzero constant f
o
.
(a) Find the autocorrelation function R
Y
of Y.
(b) Is Y WSS?
(c) Is Y a mean square continuous random process?
(d) Express max
t
P{Y
t
3} in terms of the Q function.
2
4. [15 points] Suppose X = (X
t
: t R) is a continuous-time WSS random process and let
Y = (Y
t
: t R) satisfy Y
t
=

n=0
X
tn

n
for some constant with 0 < < 1.
(a) Find H(), where H is the transfer function of the linear system with input X that
produces output Y. Simplify your answer as much as possible.
(b) Find |H()|
2
. Simplify your answer as much as possible.
(c) Describe, in the time domain, a linear time invariant system such that if the input is Y
then the output is X.
3
5. [15 points] Suppose X and U
1
, . . . , U
N
, V
1
, . . . , V
N
are mean zero and mutually uncorrelated
for some N 1, with E[X
2
] =
2
> 0 and E[U
2
i
] = E[V
2
j
] = 1 for all i, j. Let

X =

N
i=1

N
j=1
h
i,j
Y
i,j
for h = (h
i,j
: 1 i N, 1 j N) and Y
i,j
= X +U
i
+Y
j
. Here h is to
be chosen to minimize the MSE, E[(X

X)
2
].
(a) Use the orthogonality principle to derive equations that determine h. (Your nal answer
should be deterministic equations not involving any expectations.)
(b) Find a specic solution h. Your answer should involve N and
2
.
(c) Express the resulting minimum MSE in terms of N and
2
.
4
6. [20 points] Suppose U
n
for n 1 are independent random variables, each uniformly dis-
tributed on the interval [0, 1]. Let X
0
= 0, and dene X
n
for n 1 by the following recursion:
X
n
= max

X
n1
,
X
n1
+U
n
2

.
Justify all your answers below for full credit.
(a) Is (X
n
: n 0) a Markov process?
(b) Does lim
n
X
n
exist in the a.s. sense?
(c) Does lim
n
X
n
exist in the m.s. sense?
(d) Identify the random variable Z such that X
n
Z in probability as n . (Justify
your answer.)
5
7. [15 points] Consider a discrete-time Markov process Z = (Z
1
, Z
2
, Z
3
, Z
4
) with state-space
{0, 1, 2}, initial distribution (i.e. distribution of Z
1
) = (c2
3
, c, c2
5
) (where c > 0 and its
numerical value is not relevant), and transition rate diagram shown.
1/4 1/4
1/2
1/2
1/4
1/2
1/4
1/4
1/4
0
1
2
(a) (5 points) Place weights on the edges of the trellis below so that the minimum sum of
weights along a path in the trellis corresponds to the most likely state sequence of length
four. That is, you are to use the Viterbi algorithm approach to nd z

= (z

1
, z

2
, z

3
, z

4
)
that maximizes P{(Z
1
, Z
2
, Z
3
, Z
4
) = (z
1
, z
2
, z
3
, z
4
)} over all choices of (z
1
, z
2
, z
3
, z
4
).
Also, nd z

. (A weight i can represent a probability 2

i
, for example. An extra copy
of the trellis is shown for your convenience. Circle the one used for your answer.)
2
1
t=1 t=2 t=3 t=4
0
2
1
t=1 t=2 t=3 t=4
0
6
(b) (10 points) Using the same statistical model for the process Z with the rate diagram
shown,
1/4 1/4
1/2
1/2
1/4
1/2
1/4
1/4
1/4
0
1
2
suppose there is an observation sequence (Y
t
: 1 t 4) with Y
t
= Z
t
+ W
t
, where
W
1
, W
2
, W
3
, W
4
are N(0,
2
) random variables with
1
2
2
= ln2. (This choice of
2
sim-
plies the problem.) Suppose Z, W
1
, W
2
, W
3
, W
4
are mutually independent. Find the
MAP estimate

Z
MAP
(y) of (Z
1
, Z
2
, Z
3
, Z
4
) for the observation sequence y = (2, 0, 1, 2).
Use an approach similar to part (a), by placing weights on the nodes and edges of the
trellis below so that the MAP estimate is the minimum weight path in the trellis. (An
extra copy of the trellis is providedcircle the one with your nal answer. Be sure to
clearly indicate what

Z
MAP
(y) is.)
2
1
t=1 t=2 t=3 t=4
0
2
1
t=1 t=2 t=3 t=4
0
7