# Probability and Stochastic Processes

A Friendly Introduction for Electrical and Computer Engineers
Second Edition
Quiz Solutions
Roy D. Yates and David J. Goodman
May 22, 2004
• The MATLAB section quizzes at the end of each chapter use programs available for
download as the archive matcode.zip. This archive has programs of general pur-
pose programs for solving probability problems as well as speciﬁc .m ﬁles associated
with examples or quizzes in the text. Also available is a manual probmatlab.pdf
describing the general purpose .m ﬁles in matcode.zip.
• We have made a substantial effort to check the solution to every quiz. Nevertheless,
there is a nonzero probability (in fact, a probability close to unity) that errors will be
found. If you ﬁnd errors or have suggestions or comments, please send email to
ryates@winlab.rutgers.edu.
When errors are found, corrected solutions will be posted at the website.
1
Quiz Solutions – Chapter 1
Quiz 1.1
In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated
set.
M
O
T
M
O
T
M
O
T
(1) R = T
c
(2) M ∪ O (3) M ∩ O
M
O
T
M
O
T
M
O
T
(4) R ∪ M (4) R ∩ M (6) T
c
− M
Quiz 1.2
(1) A
1
= {vvv, vvd, vdv, vdd}
(2) B
1
= {dvv, dvd, ddv, ddd}
(3) A
2
= {vvv, vvd, dvv, dvd}
(4) B
2
= {vdv, vdd, ddv, ddd}
(5) A
3
= {vvv, ddd}
(6) B
3
= {vdv, dvd}
(7) A
4
= {vvv, vvd, vdv, dvv, vdd, dvd, ddv}
(8) B
4
= {ddd, ddv, dvd, vdd}
Recall that A
i
and B
i
are collectively exhaustive if A
i
∪ B
i
= S. Also, A
i
and B
i
are
mutually exclusive if A
i
∩ B
i
= φ. Since we have written down each pair A
i
and B
i
above,
we can simply check for these properties.
The pair A
1
and B
1
are mutually exclusive and collectively exhaustive. The pair A
2
and
B
2
are mutually exclusive and collectively exhaustive. The pair A
3
and B
3
are mutually
exclusive but not collectively exhaustive. The pair A
4
and B
4
are not mutually exclusive
since dvd belongs to A
4
and B
4
. However, A
4
and B
4
are collectively exhaustive.
2
Quiz 1.3
There are exactly 50 equally likely outcomes: s
51
through s
100
. Each of these outcomes
has probability 0.02.
(1) P[{s
79
}] = 0.02
(2) P[{s
100
}] = 0.02
(3) P[A] = P[{s
90
, . . . , s
100
}] = 11 ×0.02 = 0.22
(4) P[F] = P[{s
51
, . . . , s
59
}] = 9 ×0.02 = 0.18
(5) P[T ≥ 80] = P[{s
80
, . . . , s
100
}] = 21 ×0.02 = 0.42
(6) P[T < 90] = P[{s
51
, s
52
, . . . , s
89
}] = 39 ×0.02 = 0.78
(7) P[a C grade or better] = P[{s
70
, . . . , s
100
}] = 31 ×0.02 = 0.62
(8) P[student passes] = P[{s
60
, . . . , s
100
}] = 41 ×0.02 = 0.82
Quiz 1.4
We can describe this experiment by the event space consisting of the four possible
events V B, V L, DB, and DL. We represent these events in the table:
V D
L 0.35 ?
B ? ?
In a roundabout way, the problem statement tells us how to ﬁll in the table. In particular,
P [V] = 0.7 = P [V L] + P [V B] (1)
P [L] = 0.6 = P [V L] + P [DL] (2)
Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 −
0.35 = 0.25. This allows us to ﬁll in two more table entries:
V D
L 0.35 0.25
B 0.35 ?
The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1.
This implies P[DB] = 0.05 and the complete table is
V D
L 0.35 0.25
B 0.35 0.05
Finding the various probabilities is now straightforward:
3
(1) P[DL] = 0.25
(2) P[D ∪ L] = P[V L] + P[DL] + P[DB] = 0.35 +0.25 +0.05 = 0.65.
(3) P[V B] = 0.35
(4) P[V ∪ L] = P[V] + P[L] − P[V L] = 0.7 +0.6 −0.35 = 0.95
(5) P[V ∪ D] = P[S] = 1
(6) P[LB] = P[LL
c
] = 0
Quiz 1.5
(1) The probability of exactly two voice calls is
P [N
V
= 2] = P [{vvd, vdv, dvv}] = 0.3 (1)
(2) The probability of at least one voice call is
P [N
V
≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] (2)
= 6(0.1) +0.2 = 0.8 (3)
An easier way to get the same answer is to observe that
P [N
V
≥ 1] = 1 − P [N
V
< 1] = 1 − P [N
V
= 0] = 1 − P [{ddd}] = 0.8 (4)
(3) The conditional probability of two voice calls followed by a data call given that there
were two voice calls is
P [{vvd} |N
V
= 2] =
P [{vvd} , N
V
= 2]
P [N
V
= 2]
=
P [{vvd}]
P [N
V
= 2]
=
0.1
0.3
=
1
3
(5)
(4) The conditional probability of two data calls followed by a voice call given there
were two voice calls is
P [{ddv} |N
V
= 2] =
P [{ddv} , N
V
= 2]
P [N
V
= 2]
= 0 (6)
The joint event of the outcome ddv and exactly two voice calls has probability zero
since there is only one voice call in the outcome ddv.
(5) The conditional probability of exactly two voice calls given at least one voice call is
P [N
V
= 2|N
v
≥ 1] =
P [N
V
= 2, N
V
≥ 1]
P [N
V
≥ 1]
=
P [N
V
= 2]
P [N
V
≥ 1]
=
0.3
0.8
=
3
8
(7)
(6) The conditional probability of at least one voice call given there were exactly two
voice calls is
P [N
V
≥ 1|N
V
= 2] =
P [N
V
≥ 1, N
V
= 2]
P [N
V
= 2]
=
P [N
V
= 2]
P [N
V
= 2]
= 1 (8)
Given that there were two voice calls, there must have been at least one voice call.
4
Quiz 1.6
In this experiment, there are four outcomes with probabilities
P[{vv}] = (0.8)
2
= 0.64 P[{vd}] = (0.8)(0.2) = 0.16
P[{dv}] = (0.2)(0.8) = 0.16 P[{dd}] = (0.2)
2
= 0.04
When checking the independence of any two events A and B, it’s wise to avoid intuition
and simply check whether P[AB] = P[A]P[B]. Using the probabilities of the outcomes,
we now can test for the independence of events.
(1) First, we calculate the probability of the joint event:
P [N
V
= 2, N
V
≥ 1] = P [N
V
= 2] = P [{vv}] = 0.64 (1)
Next, we observe that
P [N
V
≥ 1] = P [{vd, dv, vv}] = 0.96 (2)
Finally, we make the comparison
P [N
V
= 2] P [N
V
≥ 1] = (0.64)(0.96) = P [N
V
= 2, N
V
≥ 1] (3)
which shows the two events are dependent.
(2) The probability of the joint event is
P [N
V
≥ 1, C
1
= v] = P [{vd, vv}] = 0.80 (4)
From part (a), P[N
V
≥ 1] = 0.96. Further, P[C
1
= v] = 0.8 so that
P [N
V
≥ 1] P [C
1
= v] = (0.96)(0.8) = 0.768 = P [N
V
≥ 1, C
1
= v] (5)
Hence, the events are dependent.
(3) The problem statement that the calls were independent implies that the events the
second call is a voice call, {C
2
= v}, and the ﬁrst call is a data call, {C
1
= d} are
independent events. Just to be sure, we can do the calculations to check:
P [C
1
= d, C
2
= v] = P [{dv}] = 0.16 (6)
Since P[C
1
= d]P[C
2
= v] = (0.2)(0.8) = 0.16, we conﬁrm that the events are
independent. Note that this shouldn’t be surprising since we used the information that
the calls were independent in the problem statement to determine the probabilities of
the outcomes.
(4) The probability of the joint event is
P [C
2
= v, N
V
is even] = P [{vv}] = 0.64 (7)
Also, each event has probability
P [C
2
= v] = P [{dv, vv}] = 0.8, P [N
V
is even] = P [{dd, vv}] = 0.68 (8)
Thus, P[C
2
= v]P[N
V
is even] = (0.8)(0.68) = 0.544. Since P[C
2
= v, N
V
is even] =
0.544, the events are dependent.
5
Quiz 1.7
Let F
i
denote the event that that the user is found on page i . The tree for the experiment
is
¨
¨
¨
¨
¨
¨
F
1
0.8
F
c
1
0.2
¨
¨
¨
¨
¨
¨
F
2
0.8
F
c
2
0.2
¨
¨
¨
¨
¨
¨
F
3
0.8
F
c
3
0.2
The user is found unless all three paging attempts fail. Thus the probability the user is
found is
P [F] = 1 − P
¸
F
c
1
F
c
2
F
c
3
¸
= 1 −(0.2)
3
= 0.992 (1)
Quiz 1.8
(1) We can view choosing each bit in the code word as a subexperiment. Each subex-
periment has two possible outcomes: 0 and 1. Thus by the fundamental principle of
counting, there are 2 ×2 ×2 ×2 = 2
4
= 16 possible code words.
(2) An experiment that can yield all possible code words with two zeroes is to choose
which 2 bits (out of 4 bits) will be zero. The other two bits then must be ones. There
are

4
2

= 6 ways to do this. Hence, there are six code words with exactly two zeroes.
For this problem, it is also possible to simply enumerate the six code words:
1100, 1010, 1001, 0101, 0110, 0011.
(3) When the ﬁrst bit must be a zero, then the ﬁrst subexperiment of choosing the ﬁrst
bit has only one outcome. For each of the next three bits, we have two choices. In
this case, there are 1 ×2 ×2 ×2 = 8 ways of choosing a code word.
(4) For the constant ratio code, we can specify a code word by choosing M of the bits to
be ones. The other N −M bits will be zeroes. The number of ways of choosing such
a code word is

N
M

. For N = 8 and M = 3, there are

8
3

= 56 code words.
Quiz 1.9
(1) In this problem, k bits received in error is the same as k failures in 100 trials. The
failure probability is = 1 − p and the success probability is 1 − = p. That is, the
probability of k bits in error and 100 −k correctly received bits is
P
¸
S
k,100−k
¸
=

100
k

k
(1 −)
100−k
(1)
6
For = 0.01,
P
¸
S
0,100
¸
= (1 −)
100
= (0.99)
100
= 0.3660 (2)
P
¸
S
1,99
¸
= 100(0.01)(0.99)
99
= 0.3700 (3)
P
¸
S
2,98
¸
= 4950(0.01)
2
(0.99)
9
8 = 0.1849 (4)
P
¸
S
3,97
¸
= 161, 700(0.01)
3
(0.99)
97
= 0.0610 (5)
(2) The probability a packet is decoded correctly is just
P [C] = P
¸
S
0,100
¸
+ P
¸
S
1,99
¸
+ P
¸
S
2,98
¸
+ P
¸
S
3,97
¸
= 0.9819 (6)
Quiz 1.10
Since the chip works only if all n transistors work, the transistors in the chip are like
devices in series. The probability that a chip works is P[C] = p
n
.
The module works if either 8 chips work or 9 chips work. Let C
k
denote the event that
exactly k chips work. Since transistor failures are independent of each other, chip failures
are also independent. Thus each P[C
k
] has the binomial probability
P [C
8
] =

9
8

(P [C])
8
(1 − P [C])
9−8
= 9p
8n
(1 − p
n
), (1)
P [C
9
] = (P [C])
9
= p
9n
. (2)
The probability a memory module works is
P [M] = P [C
8
] + P [C
9
] = p
8n
(9 −8p
n
) (3)
Quiz 1.11
R=rand(1,100);
X=(R<= 0.4) ...
+ (2*(R>0.4).*(R<=0.9)) ...
+ (3*(R>0.9));
Y=hist(X,1:3)
For a MATLAB simulation, we ﬁrst gen-
erate a vector R of 100 random numbers.
Second, we generate vector X as a func-
tion of R to represent the 3 possible out-
comes of a ﬂip. That is, X(i)=1 if ﬂip i
was heads, X(i)=2 if ﬂip i was tails, and
X(i)=3) is ﬂip i landed on the edge.
To see how this works, we note there are three cases:
• If R(i) <= 0.4, then X(i)=1.
• If 0.4 < R(i) and R(i)<=0.9, then X(i)=2.
• If 0.9 < R(i), then X(i)=3.
These three cases will have probabilities 0.4, 0.5 and 0.1. Lastly, we use the hist function
to count how many occurences of each possible value of X(i).
7
Quiz Solutions – Chapter 2
Quiz 2.1
The sample space, probabilities and corresponding grades for the experiment are
Outcome P[·] G
BB 0.36 3.0
BC 0.24 2.5
CB 0.24 2.5
CC 0.16 2
Quiz 2.2
(1) To ﬁnd c, we recall that the PMF must sum to 1. That is,
3
¸
n=1
P
N
(n) = c

1 +
1
2
+
1
3

= 1 (1)
This implies c = 6/11. Now that we have found c, the remaining parts are straight-
forward.
(2) P[N = 1] = P
N
(1) = c = 6/11
(3) P[N ≥ 2] = P
N
(2) + P
N
(3) = c/2 +c/3 = 5/11
(4) P[N > 3] =
¸

n=4
P
N
(n) = 0
Quiz 2.3
Decoding each transmitted bit is an independent trial where we call a bit error a “suc-
cess.” Each bit is in error, that is, the trial is a success, with probability p. Now we can
interpret each experiment in the generic context of independent trials.
(1) The random variable X is the number of trials up to and including the ﬁrst success.
Similar to Example 2.11, X has the geometric PMF
P
X
(x) =
¸
p(1 − p)
x−1
x = 1, 2, . . .
0 otherwise
(1)
(2) If p = 0.1, then the probability exactly 10 bits are sent is
P [X = 10] = P
X
(10) = (0.1)(0.9)
9
= 0.0387 (2)
8
The probability that at least 10 bits are sent is P[X ≥ 10] =
¸

x=10
P
X
(x). This
sum is not too hard to calculate. However, its even easier to observe that X ≥ 10 if
the ﬁrst 10 bits are transmitted correctly. That is,
P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)
10
(3)
For p = 0.1, P[X ≥ 10] = 0.9
10
= 0.3487.
(3) The random variable Y is the number of successes in 100 independent trials. Just as
in Example 2.13, Y has the binomial PMF
P
Y
(y) =

100
y

p
y
(1 − p)
100−y
(4)
If p = 0.01, the probability of exactly 2 errors is
P [Y = 2] = P
Y
(2) =

100
2

(0.01)
2
(0.99)
98
= 0.1849 (5)
(4) The probability of no more than 2 errors is
P [Y ≤ 2] = P
Y
(0) + P
Y
(1) + P
Y
(2) (6)
= (0.99)
100
+100(0.01)(0.99)
99
+

100
2

(0.01)
2
(0.99)
98
(7)
= 0.9207 (8)
(5) Random variable Z is the number of trials up to and including the third success. Thus
Z has the Pascal PMF (see Example 2.15)
P
Z
(z) =

z −1
2

p
3
(1 − p)
z−3
(9)
Note that P
Z
(z) > 0 for z = 3, 4, 5, . . ..
(6) If p = 0.25, the probability that the third error occurs on bit 12 is
P
Z
(12) =

11
2

(0.25)
3
(0.75)
9
= 0.0645 (10)
Quiz 2.4
Each of these probabilities can be read off the CDF F
Y
(y). However, we must keep in
mind that when F
Y
(y) has a discontinuity at y
0
, F
Y
(y) takes the upper value F
Y
(y
+
0
).
(1) P[Y < 1] = F
Y
(1

) = 0
9
(2) P[Y ≤ 1] = F
Y
(1) = 0.6
(3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − F
Y
(2) = 1 −0.8 = 0.2
(4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − F
Y
(2

) = 1 −0.6 = 0.4
(5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = F
Y
(1
+
) − F
Y
(1

) = 0.6
(6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = F
Y
(3
+
) − F
Y
(3

) = 0.8 −0.8 = 0
Quiz 2.5
(1) With probability 0.7, a call is a voice call and C = 25. Otherwise, with probability
0.3, we have a data call and C = 40. This corresponds to the PMF
P
C
(c) =

0.7 c = 25
0.3 c = 40
0 otherwise
(1)
(2) The expected value of C is
E [C] = 25(0.7) +40(0.3) = 29.5 cents (2)
Quiz 2.6
(1) As a function of N, the cost T is
T = 25N +40(3 − N) = 120 −15N (1)
(2) To ﬁnd the PMF of T, we can draw the following tree:
¨
¨
¨
¨
¨
¨
¨
N=0
0.1
r
r
r
r
r
r
r
N=3
0.3



$N=1 0.3        N=2 0.3 •T=120 •T=105 •T=90 •T=75 From the tree, we can write down the PMF of T: P T (t ) = 0.3 t = 75, 90, 105 0.1 t = 120 0 otherwise (2) From the PMF P T (t ), the expected value of T is E [T] = 75P T (75) +90P T (90) +105P T (105) +120P T (120) (3) = (75 +90 +105)(0.3) +120(0.1) = 62 (4) 10 Quiz 2.7 (1) Using Deﬁnition 2.14, the expected number of applications is E [A] = 4 ¸ a=1 aP A (a) = 1(0.4) +2(0.3) +3(0.2) +4(0.1) = 2 (1) (2) The number of memory chips is M = g(A) where g(A) = 4 A = 1, 2 6 A = 3 8 A = 4 (2) (3) By Theorem 2.10, the expected number of memory chips is E [M] = 4 ¸ a=1 g(A)P A (a) = 4(0.4) +4(0.3) +6(0.2) +8(0.1) = 4.8 (3) Since E[A] = 2, g(E[A]) = g(2) = 4. However, E[M] = 4.8 = g(E[A]). The two quantities are different because g(A) is not of the form αA +β. Quiz 2.8 The PMF P N (n) allows to calculate each of the desired quantities. (1) The expected value of N is E [N] = 2 ¸ n=0 nP N (n) = 0(0.1) +1(0.4) +2(0.5) = 1.4 (1) (2) The second moment of N is E ¸ N 2 ¸ = 2 ¸ n=0 n 2 P N (n) = 0 2 (0.1) +1 2 (0.4) +2 2 (0.5) = 2.4 (2) (3) The variance of N is Var[N] = E ¸ N 2 ¸ −(E [N]) 2 = 2.4 −(1.4) 2 = 0.44 (3) (4) The standard deviation is σ N = Var[N] = 0.44 = 0.663. 11 Quiz 2.9 (1) From the problem statement, we learn that the conditional PMF of N given the event I is P N|I (n) = ¸ 0.02 n = 1, 2, . . . , 50 0 otherwise (1) (2) Also from the problem statement, the conditional PMF of N given the event T is P N|T (n) = ¸ 0.2 n = 1, 2, 3, 4, 5 0 otherwise (2) (3) The problem statement tells us that P[T] = 1 − P[I ] = 3/4. From Theorem 1.10 (the law of total probability), we ﬁnd the PMF of N is P N (n) = P N|T (n) P [T] + P N|I (n) P [I ] (3) = 0.2(0.75) +0.02(0.25) n = 1, 2, 3, 4, 5 0(0.75) +0.02(0.25) n = 6, 7, . . . , 50 0 otherwise (4) = 0.155 n = 1, 2, 3, 4, 5 0.005 n = 6, 7, . . . , 50 0 otherwise (5) (4) First we ﬁnd P [N ≤ 10] = 10 ¸ n=1 P N (n) = (0.155)(5) +(0.005)(5) = 0.80 (6) By Theorem 2.17, the conditional PMF of N given N ≤ 10 is P N|N≤10 (n) = ¸ P N (n) P[N≤10] n ≤ 10 0 otherwise (7) = 0.155/0.8 n = 1, 2, 3, 4, 5 0.005/0.8 n = 6, 7, 8, 9, 10 0 otherwise (8) = 0.19375 n = 1, 2, 3, 4, 5 0.00625 n = 6, 7, 8, 9, 10 0 otherwise (9) (5) Once we have the conditional PMF, calculating conditional expectations is easy. E [N|N ≤ 10] = ¸ n nP N|N≤10 (n) (10) = 5 ¸ n=1 n(0.19375) + 10 ¸ n=6 n(0.00625) (11) = 3.15625 (12) 12 0 50 100 0 2 4 6 8 10 0 500 1000 0 2 4 6 8 10 (a) samplemean(100) (b) samplemean(1000) Figure 1: Two examples of the output of samplemean(k) (6) To ﬁnd the conditional variance, we ﬁrst ﬁnd the conditional second moment E ¸ N 2 |N ≤ 10 ¸ = ¸ n n 2 P N|N≤10 (n) (13) = 5 ¸ n=1 n 2 (0.19375) + 10 ¸ n=6 n 2 (0.00625) (14) = 55(0.19375) +330(0.00625) = 12.71875 (15) The conditional variance is Var[N|N ≤ 10] = E ¸ N 2 |N ≤ 10 ¸ −(E [N|N ≤ 10]) 2 (16) = 12.71875 −(3.15625) 2 = 2.75684 (17) Quiz 2.10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1, 2, . . . , k. The i th column M(:,i) of M holds a sequence m 1 , m 2 , . . . , m k . function M=samplemean(k); K=(1:k)’; M=zeros(k,5); for i=1:5, X=duniformrv(0,10,k); M(:,i)=cumsum(X)./K; end; plot(K,M); Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1. Each time samplemean(k) is called produces a random output. What is observed in these ﬁgures is that for small n, m n is fairly random but as n gets 13 large, m n gets close to E[X] = 5. Although each sequence m 1 , m 2 , . . . that we generate is random, the sequences always converges to E[X]. This random convergence is analyzed in Chapter 7. 14 Quiz Solutions – Chapter 3 Quiz 3.1 The CDF of Y is 0 2 4 0 0.5 1 y F Y ( y ) F Y (y) = 0 y < 0 y/4 0 ≤ y ≤ 4 1 y > 4 (1) From the CDF F Y (y), we can calculate the probabilities: (1) P[Y ≤ −1] = F Y (−1) = 0 (2) P[Y ≤ 1] = F Y (1) = 1/4 (3) P[2 < Y ≤ 3] = F Y (3) − F Y (2) = 3/4 −2/4 = 1/4 (4) P[Y > 1.5] = 1 − P[Y ≤ 1.5] = 1 − F Y (1.5) = 1 −(1.5)/4 = 5/8 Quiz 3.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF. To ﬁnd c, we use the fact that −∞ f X (x) dx = 1. We will evaluate this integral using integration by parts: −∞ f X (x) dx = 0 cxe −x/2 dx (1) = −2cxe −x/2 0 . .. . =0 + 0 2ce −x/2 dx (2) = −4ce −x/2 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2, λ = 1/2) PDF 0 5 10 15 0 0.1 0.2 x f X ( x ) f X (x) = ¸ (x/4)e −x/2 x ≥ 0 0 otherwise (4) 15 (2) To ﬁnd the CDF F X (x), we ﬁrst note X is a nonnegative random variable so that F X (x) = 0 for all x < 0. For x ≥ 0, F X (x) = x 0 f X (y) dy = x 0 y 4 e −y/2 dy (5) = − y 2 e −y/2 x 0 x 0 1 2 e −y/2 dy (6) = 1 − x 2 e −x/2 −e −x/2 (7) The complete expression for the CDF is 0 5 10 15 0 0.5 1 x F X ( x ) F X (x) = ¸ 1 − x 2 +1 e −x/2 x ≥ 0 0 otherwise (8) (3) From the CDF F X (x), P [0 ≤ X ≤ 4] = F X (4) − F X (0) = 1 −3e −2 . (9) (4) Similarly, P [−2 ≤ X ≤ 2] = F X (2) − F X (−2) = 1 −3e −1 . (10) Quiz 3.3 The PDF of Y is −2 0 2 0 1 2 3 y f Y ( y ) f Y (y) = ¸ 3y 2 /2 −1 ≤ y ≤ 1, 0 otherwise. (1) (1) The expected value of Y is E [Y] = −∞ y f Y (y) dy = 1 −1 (3/2)y 3 dy = (3/8)y 4 1 −1 = 0. (2) Note that the above calculation wasn’t really necessary because E[Y] = 0 whenever the PDF f Y (y) is an even function (i.e., f Y (y) = f Y (−y)). (2) The second moment of Y is E ¸ Y 2 ¸ = −∞ y 2 f Y (y) dy = 1 −1 (3/2)y 4 dy = (3/10)y 5 1 −1 = 3/5. (3) 16 (3) The variance of Y is Var[Y] = E ¸ Y 2 ¸ −(E [Y]) 2 = 3/5. (4) (4) The standard deviation of Y is σ Y = Var[Y] = 3/5. Quiz 3.4 (1) When X is an exponential (λ) random variable, E[X] = 1/λ and Var[X] = 1/λ 2 . Since E[X] = 3 and Var[X] = 9, we must have λ = 1/3. The PDF of X is f X (x) = ¸ (1/3)e −x/3 x ≥ 0, 0 otherwise. (1) (2) We know X is a uniform (a, b) random variable. To ﬁnd a and b, we apply Theo- rem 3.6 to write E [X] = a +b 2 = 3 Var[X] = (b −a) 2 12 = 9. (2) This implies a +b = 6, b −a = ±6 3. (3) The only valid solution with a < b is a = 3 −3 3, b = 3 +3 3. (4) The complete expression for the PDF of X is f X (x) = ¸ 1/(6 3) 3 −3 3 ≤ x < 3 +3 3, 0 otherwise. (5) Quiz 3.5 Each of the requested probabilities can be calculated using (z) function and Table 3.1 or Q(z) and Table 3.2. We start with the sketches. (1) The PDFs of X and Y are shown below. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). However, it is important to remember that as the standard deviation increases, the peak value of the Gaussian PDF goes down. −5 0 5 0 0.2 0.4 x y f X ( x ) f Y ( y ) ← f X (x) ← f Y (y) 17 (2) Since X is Gaussian (0, 1), P [−1 < X ≤ 1] = F X (1) − F X (−1) (1) = (1) −(−1) = 2(1) −1 = 0.6826. (2) (3) Since Y is Gaussian (0, 2), P [−1 < Y ≤ 1] = F Y (1) − F Y (−1) (3) = 1 σ Y −1 σ Y = 2 1 2 −1 = 0.383. (4) (4) Again, since X is Gaussian (0, 1), P[X > 3.5] = Q(3.5) = 2.33 ×10 −4 . (5) Since Y is Gaussian (0, 2), P[Y > 3.5] = Q( 3.5 2 ) = Q(1.75) = 1 − (1.75) = 0.0401. Quiz 3.6 The CDF of X is −2 0 2 0 0.5 1 x F X ( x ) F X (x) = 0 x < −1, (x +1)/4 −1 ≤ x < 1, 1 x ≥ 1. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = F X (1) = 1. (2) P[X < 1] = F X (1 ) = 1/2. (3) P[X = 1] = F X (1 + ) − F X (1 ) = 1 −1/2 = 1/2. (4) We ﬁnd the PDF f Y (y) by taking the derivative of F Y (y). The resulting PDF is −2 0 2 0 0.5 x f X ( x ) 0.5 f X (x) = 1/4 −1 ≤ x < 1, (1/2)δ(x −1) x = 1, 0 otherwise. (2) Quiz 3.7 18 (1) Since X is always nonnegative, F X (x) = 0 for x < 0. Also, F X (x) = 1 for x ≥ 2 since its always true that x ≤ 2. Lastly, for 0 ≤ x ≤ 2, F X (x) = x −∞ f X (y) dy = x 0 (1 − y/2) dy = x − x 2 /4. (1) The complete CDF of X is −1 0 1 2 3 0 0.5 1 x F X ( x ) F X (x) = 0 x < 0, x − x 2 /4 0 ≤ x ≤ 2, 1 x > 2. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − F X (1) = 1 −3/4 = 1/4. (3) (3) Since X is nonnegative, Y is also nonnegative. Thus F Y (y) = 0 for y < 0. Also, because Y ≤ 1, F Y (y) = 1 for all y ≥ 1. Finally, for 0 < y < 1, F Y (y) = P [Y ≤ y] = P [X ≤ y] = F X (y) . (4) Using the CDF F X (x), the complete expression for the CDF of Y is −1 0 1 2 3 0 0.5 1 y F Y ( y ) F Y (y) = 0 y < 0, y − y 2 /4 0 ≤ y < 1, 1 y ≥ 1. (5) As expected, we see that the jump in F Y (y) at y = 1 is exactly equal to P[Y = 1]. (4) By taking the derivative of F Y (y), we obtain the PDF f Y (y). Note that when y < 0 or y > 1, the PDF is zero. −1 0 1 2 3 0 0.5 1 1.5 y f Y ( y ) 0.25 f Y (y) = ¸ 1 − y/2 +(1/4)δ(y −1) 0 ≤ y ≤ 1 0 otherwise (6) Quiz 3.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0.6 . 19 (2) From Deﬁnition 3.15, the conditional PDF of Y given Y ≤ 6 is f Y|Y≤6 (y) = ¸ f Y (y) P[Y≤6] y ≤ 6, 0 otherwise, = ¸ 1/6 0 ≤ y ≤ 6, 0 otherwise. (1) (3) The probability Y > 8 is P [Y > 8] = 10 8 1 10 dy = 0.2 . (2) (4) From Deﬁnition 3.15, the conditional PDF of Y given Y > 8 is f Y|Y>8 (y) = ¸ f Y (y) P[Y>8] y > 8, 0 otherwise, = ¸ 1/2 8 < y ≤ 10, 0 otherwise. (3) (5) From the conditional PDF f Y|Y≤6 (y), we can calculate the conditional expectation E [Y|Y ≤ 6] = −∞ y f Y|Y≤6 (y) dy = 6 0 y 6 dy = 3. (4) (6) From the conditional PDF f Y|Y>8 (y), we can calculate the conditional expectation E [Y|Y > 8] = −∞ y f Y|Y>8 (y) dy = 10 8 y 2 dy = 9. (5) Quiz 3.9 A natural way to produce random variables with PDF f T|T>2 (t ) is to generate samples of T with PDF f T (t ) and then to discard those samples which fail to satisfy the condition T > 2. Here is a MATLAB function that uses this method: function t=t2rv(m) i=0;lambda=1/3; t=zeros(m,1); while (i<m), x=exponentialrv(lambda,1); if (x>2) t(i+1)=x; i=i+1; end end A second method exploits the fact that if T is an exponential (λ) random variable, then T = T +2 has PDF f T (t ) = f T|T>2 (t ). In this case the command t=2.0+exponentialrv(1/3,m) generates the vector t. 20 Quiz Solutions – Chapter 4 Quiz 4.1 Each value of the joint CDF can be found by considering the corresponding probability. (1) F X,Y (−∞, 2) = P[X ≤ −∞, Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞. (2) F X,Y (∞, ∞) = P[X ≤ ∞, Y ≤ ∞] = 1. This result is given in Theorem 4.1. (3) F X,Y (∞, y) = P[X ≤ ∞, Y ≤ y] = P[Y ≤ y] = F Y (y). (4) F X,Y (∞, −∞) = P[X ≤ ∞, Y ≤ −∞] = 0 since Y cannot take on the value −∞. Quiz 4.2 From the joint PMF of Q and G given in the table, we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. (1) The probability that Q = 0 is P [Q = 0] = P Q,G (0, 0) + P Q,G (0, 1) + P Q,G (0, 2) + P Q,G (0, 3) (1) = 0.06 +0.18 +0.24 +0.12 = 0.6 (2) (2) The probability that Q = G is P [Q = G] = P Q,G (0, 0) + P Q,G (1, 1) = 0.18 (3) (3) The probability that G > 1 is P [G > 1] = 3 ¸ g=2 1 ¸ q=0 P Q,G (q, g) (4) = 0.24 +0.16 +0.12 +0.08 = 0.6 (5) (4) The probability that G > Q is P [G > Q] = 1 ¸ q=0 3 ¸ g=q+1 P Q,G (q, g) (6) = 0.18 +0.24 +0.12 +0.16 +0.08 = 0.78 (7) 21 Quiz 4.3 By Theorem 4.3, the marginal PMF of H is P H (h) = ¸ b=0,2,4 P H,B (h, b) (1) For each value of h, this corresponds to calculating the row sum across the table of the joint PMF. Similarly, the marginal PMF of B is P B (b) = 1 ¸ h=−1 P H,B (h, b) (2) For each value of b, this corresponds to the column sum down the table of the joint PMF. The easiest way to calculate these marginal PMFs is to simply sum each row and column: P H,B (h, b) b = 0 b = 2 b = 4 P H (h) h = −1 0 0.4 0.2 0.6 h = 0 0.1 0 0.1 0.2 h = 1 0.1 0.1 0 0.2 P B (b) 0.2 0.5 0.3 (3) Quiz 4.4 To ﬁnd the constant c, we apply −∞ −∞ f X,Y (x, y) dx dy = 1. Speciﬁcally, −∞ −∞ f X,Y (x, y) dx dy = 2 0 1 0 cxy dx dy (1) = c 2 0 y x 2 /2 1 0 dy (2) = (c/2) 2 0 y dy = (c/4)y 2 2 0 = c (3) Thus c = 1. To calculate P[A], we write P [A] = A f X,Y (x, y) dx dy (4) To integrate over A, we convert to polar coordinates using the substitutions x = r cos θ, y = r sin θ and dx dy = r dr dθ, yielding Y X 1 1 2 A P [A] = π/2 0 1 0 r 2 sin θ cos θ r dr dθ (5) = 1 0 r 3 dr π/2 0 sin θ cos θ dθ (6) = r 4 /4 1 0 sin 2 θ 2 π/2 0 = 1/8 (7) 22 Quiz 4.5 By Theorem 4.8, the marginal PDF of X is f X (x) = −∞ f X,Y (x, y) dy (1) For x < 0 or x > 1, f X (x) = 0. For 0 ≤ x ≤ 1, f X (x) = 6 5 1 0 (x + y 2 ) dy = 6 5 xy + y 3 /3 y=1 y=0 = 6 5 (x +1/3) = 6x +2 5 (2) The complete expression for the PDf of X is f X (x) = ¸ (6x +2)/5 0 ≤ x ≤ 1 0 otherwise (3) By the same method we obtain the marginal PDF for Y. For 0 ≤ y ≤ 1, f Y (y) = −∞ f X,Y (x, y) dy (4) = 6 5 1 0 (x + y 2 ) dx = 6 5 x 2 /2 + xy 2 x=1 x=0 = 6 5 (1/2 + y 2 ) = 3 +6y 2 5 (5) Since f Y (y) = 0 for y < 0 or y > 1, the complete expression for the PDF of Y is f Y (y) = ¸ (3 +6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) Quiz 4.6 (A) The time required for the transfer is T = L/B. For each pair of values of L and B, we can calculate the time T needed for the transfer. We can write these down on the table for the joint PMF of L and B as follows: P L,B (l, b) b = 14, 400 b = 21, 600 b = 28, 800 l = 518, 400 0.20 (T=36) 0.10 (T=24) 0.05 (T=18) l = 2, 592, 000 0.05 (T=180) 0.10 (T=120) 0.20 (T=90) l = 7, 776, 000 0.00 (T=540) 0.10 (T=360) 0.20 (T=270) From the table, writing down the PMF of T is straightforward. P T (t ) = 0.05 t = 18 0.1 t = 24 0.2 t = 36, 90 0.1 t = 120 0.05 t = 180 0.2 t = 270 0.1 t = 360 0 otherwise (1) 23 (B) First, we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1, W = XY satisﬁes 0 ≤ W ≤ 1. Thus f W (0) = 0 and f W (1) = 1. For 0 < w < 1, we calculate the CDF F W (w) = P[W ≤ w]. As shown below, integrating over the region W ≤ w is fairly complex. The calculus is simpler if we integrate over the region XY > w. Speciﬁcally, Y X 1 1 XY > w w w XY = w F W (w) = 1 − P [XY > w] (2) = 1 − 1 w 1 w/x dy dx (3) = 1 − 1 w (1 −w/x) dx (4) = 1 − x −wln x| x=1 x=w (5) = 1 −(1 −w +wln w) = w −wln w (6) The complete expression for the CDF is F W (w) = 0 w < 0 w −wln w 0 ≤ w ≤ 1 1 w > 1 (7) By taking the derivative of the CDF, we ﬁnd the PDF is f W (w) = d F W (w) dw = 0 w < 0 −ln w 0 ≤ w ≤ 1 0 w > 1 (8) Quiz 4.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs. P L,T (l, t ) t = 40 t = 60 P L (l) l = 1 0.15 0.1 0.25 l = 2 0.3 0.2 0.5 l = 3 0.15 0.1 0.25 P T (t ) 0.6 0.4 (1) The expected value of L is E [L] = 1(0.25) +2(0.5) +3(0.25) = 2. (1) Since the second moment of L is E ¸ L 2 ¸ = 1 2 (0.25) +2 2 (0.5) +3 2 (0.25) = 4.5, (2) the variance of L is Var [L] = E ¸ L 2 ¸ −(E [L]) 2 = 0.5. (3) 24 (2) The expected value of T is E [T] = 40(0.6) +60(0.4) = 48. (4) The second moment of T is E ¸ T 2 ¸ = 40 2 (0.6) +60 2 (0.4) = 2400. (5) Thus Var[T] = E ¸ T 2 ¸ −(E [T]) 2 = 2400 −48 2 = 96. (6) (3) The correlation is E [LT] = ¸ t =40,60 3 ¸ l=1 lt P LT (lt ) (7) = 1(40)(0.15) +2(40)(0.3) +3(40)(0.15) (8) +1(60)(0.1) +2(60)(0.2) +3(60)(0.1) (9) = 96 (10) (4) From Theorem 4.16(a), the covariance of L and T is Cov [L, T] = E [LT] − E [L] E [T] = 96 −2(48) = 0 (11) (5) Since Cov[L, T] = 0, the correlation coefﬁcient is ρ L,T = 0. (B) As in the discrete case, the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y). For 0 ≤ x ≤ 1, f X (x) = −∞ f X,Y (x, y) dy = 2 0 xy dy = 1 2 xy 2 y=2 y=0 = 2x (12) Similarly, for 0 ≤ y ≤ 2, f Y (y) = −∞ f X,Y (x, y) dx = 2 0 xy dx = 1 2 x 2 y x=1 x=0 = y 2 (13) The complete expressions for the marginal PDFs are f X (x) = ¸ 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = ¸ y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs, it is straightforward to calculate the various expectations. 25 (1) The ﬁrst and second moments of X are E [X] = −∞ x f X (x) dx = 1 0 2x 2 dx = 2 3 (15) E ¸ X 2 ¸ = −∞ x 2 f X (x) dx = 1 0 2x 3 dx = 1 2 (16) (17) The variance of X is Var[X] = E[X 2 ] −(E[X]) 2 = 1/18. (2) The ﬁrst and second moments of Y are E [Y] = −∞ y f Y (y) dy = 2 0 1 2 y 2 dy = 4 3 (18) E ¸ Y 2 ¸ = −∞ y 2 f Y (y) dy = 2 0 1 2 y 3 dy = 2 (19) The variance of Y is Var[Y] = E[Y 2 ] −(E[Y]) 2 = 2 −16/9 = 2/9. (3) The correlation of X and Y is E [XY] = −∞ −∞ xy f X,Y (x, y) dx, dy (20) = 1 0 2 0 x 2 y 2 dx, dy = x 3 3 1 0 y 3 3 2 0 = 8 9 (21) (4) The covariance of X and Y is Cov [X, Y] = E [XY] − E [X] E [Y] = 8 9 2 3 4 3 = 0. (22) (5) Since Cov[X, Y] = 0, the correlation coefﬁcient is ρ X,Y = 0. Quiz 4.8 (A) Since the event V > 80 occurs only for the pairs (L, T) = (2, 60), (L, T) = (3, 40) and (L, T) = (3, 60), P [A] = P [V > 80] = P L,T (2, 60) + P L,T (3, 40) + P L,T (3, 60) = 0.45 (1) By Deﬁnition 4.9, P L,T| A (l, t ) = ¸ P L,T (l,t ) P[A] lt > 80 0 otherwise (2) 26 We can represent this conditional PMF in the following table: P L,T| A (l, t ) t = 40 t = 60 l = 1 0 0 l = 2 0 4/9 l = 3 1/3 2/9 The conditional expectation of V can be found from the conditional PMF. E [V| A] = ¸ l ¸ t lt P L,T| A (l, t ) (3) = (2 · 60) 4 9 +(3 · 40) 1 3 +(3 · 60) 2 9 = 133 1 3 (4) For the conditional variance Var[V| A], we ﬁrst ﬁnd the conditional second moment E ¸ V 2 | A ¸ = ¸ l ¸ t (lt ) 2 P L,T| A (l, t ) (5) = (2 · 60) 2 4 9 +(3 · 40) 2 1 3 +(3 · 60) 2 2 9 = 18, 400 (6) It follows that Var [V| A] = E ¸ V 2 | A ¸ −(E [V| A]) 2 = 622 2 9 (7) (B) For continuous random variables X and Y, we ﬁrst calculate the probability of the conditioning event. P [B] = B f X,Y (x, y) dx dy = 60 40 3 80/y xy 4000 dx dy (8) = 60 40 y 4000 x 2 2 3 80/y dy (9) = 60 40 y 4000 9 2 3200 y 2 dy (10) = 9 8 4 5 ln 3 2 ≈ 0.801 (11) The conditional PDF of X and Y is f X,Y|B (x, y) = ¸ f X,Y (x, y) /P [B] (x, y) ∈ B 0 otherwise (12) = ¸ Kxy 40 ≤ y ≤ 60, 80/y ≤ x ≤ 3 0 otherwise (13) 27 where K = (4000P[B]) −1 . The conditional expectation of W given event B is E [W|B] = −∞ −∞ xy f X,Y|B (x, y) dx dy (14) = 60 40 3 80/y Kx 2 y 2 dx dy (15) = (K/3) 60 40 y 2 x 3 x=3 x=80/y dy (16) = (K/3) 60 40 27y 2 −80 3 /y dy (17) = (K/3) 9y 3 −80 3 ln y 60 40 ≈ 120.78 (18) The conditional second moment of K given B is E ¸ W 2 |B ¸ = −∞ −∞ (xy) 2 f X,Y|B (x, y) dx dy (19) = 60 40 3 80/y Kx 3 y 3 dx dy (20) = (K/4) 60 40 y 3 x 4 x=3 x=80/y dy (21) = (K/4) 60 40 81y 3 −80 4 /y dy (22) = (K/4) (81/4)y 4 −80 4 ln y 60 40 ≈ 16, 116.10 (23) It follows that the conditional variance of W given B is Var [W|B] = E ¸ W 2 |B ¸ −(E [W|B]) 2 ≈ 1528.30 (24) Quiz 4.9 (A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via P A,B (a, b) = P B| A (b|a)P A (a). Incorporating the information from the given conditional PMFs can be confusing, however. Consequently, we can note that A has range S A = {0, 2} and B has range S B = {0, 1}. A table of the joint PMF will include all four possible combinations of A and B. The general form of the table is P A,B (a, b) b = 0 b = 1 a = 0 P B| A (0|0)P A (0) P B| A (1|0)P A (0) a = 2 P B| A (0|2)P A (2) P B| A (1|2)P A (2) 28 Substituting values from P B| A (b|a) and P A (a), we have P A,B (a, b) b = 0 b = 1 a = 0 (0.8)(0.4) (0.2)(0.4) a = 2 (0.5)(0.6) (0.5)(0.6) or P A,B (a, b) b = 0 b = 1 a = 0 0.32 0.08 a = 2 0.3 0.3 (2) Given the conditional PMF P B| A (b|2), it is easy to calculate the conditional expectation E [B| A = 2] = 1 ¸ b=0 bP B| A (b|2) = (0)(0.5) +(1)(0.5) = 0.5 (1) (3) From the joint PMF P A,B (a, b), we can calculate the the conditional PMF P A|B (a|0) = P A,B (a, 0) P B (0) = 0.32/0.62 a = 0 0.3/0.62 a = 2 0 otherwise (2) = 16/31 a = 0 15/31 a = 2 0 otherwise (3) (4) We can calculate the conditional variance Var[A|B = 0] using the conditional PMF P A|B (a|0). First we calculate the conditional expected value E [A|B = 0] = ¸ a aP A|B (a|0) = 0(16/31) +2(15/31) = 30/31 (4) The conditional second moment is E ¸ A 2 |B = 0 ¸ = ¸ a a 2 P A|B (a|0) = 0 2 (16/31) +2 2 (15/31) = 60/31 (5) The conditional variance is then Var[A|B = 0] = E ¸ A 2 |B = 0 ¸ −(E [A|B = 0]) 2 = 960 961 (6) (B) (1) The joint PDF of X and Y is f X,Y (x, y) = f Y|X (y|x) f X (x) = ¸ 6y 0 ≤ y ≤ x, 0 ≤ x ≤ 1 0 otherwise (7) (2) From the given conditional PDF f Y|X (y|x), f Y|X (y|1/2) = ¸ 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 29 (3) The conditional PDF of Y given X = 1/2 is f X|Y (x|1/2) = f X,Y (x, 1/2)/f Y (1/2). To ﬁnd f Y (1/2), we integrate the joint PDF. f Y (1/2) = −∞ f X,1/2 ( ) dx = 1 1/2 6(1/2) dx = 3/2 (9) Thus, for 1/2 ≤ x ≤ 1, f X|Y (x|1/2) = f X,Y (x, 1/2) f Y (1/2) = 6(1/2) 3/2 = 2 (10) (4) From the pervious part, we see that given Y = 1/2, the conditional PDF of X is uniform (1/2, 1). Thus, by the deﬁnition of the uniform (a, b) PDF, Var [X|Y = 1/2] = (1 −1/2) 2 12 = 1 48 (11) Quiz 4.10 (A) (1) For random variables X and Y from Example 4.1, we observe that P Y (1) = 0.09 and P X (0) = 0.01. However, P X,Y (0, 1) = 0 = P X (0) P Y (1) (1) Since we have found a pair x, y such that P X,Y (x, y) = P X (x)P Y (y), we can conclude that X and Y are dependent. Note that whenever P X,Y (x, y) = 0, independence requires that either P X (x) = 0 or P Y (y) = 0. (2) For random variables Q and G from Quiz 4.2, it is not obvious whether they are independent. Unlike X and Y in part (a), there are no obvious pairs q, g that fail the independence requirement. In this case, we calculate the marginal PMFs from the table of the joint PMF P Q,G (q, g) in Quiz 4.2. P Q,G (q, g) g = 0 g = 1 g = 2 g = 3 P Q (q) q = 0 0.06 0.18 0.24 0.12 0.60 q = 1 0.04 0.12 0.16 0.08 0.40 P G (g) 0.10 0.30 0.40 0.20 Careful study of the table will verify that P Q,G (q, g) = P Q (q)P G (g) for every pair q, g. Hence Q and G are independent. (B) (1) Since X 1 and X 2 are independent, f X 1 ,X 2 (x 1 , x 2 ) = f X 1 (x 1 ) f X 2 (x 2 ) (2) = ¸ (1 − x 1 /2)(1 − x 2 /2) 0 ≤ x 1 ≤ 2, 0 ≤ x 2 ≤ 2 0 otherwise (3) 30 (2) Let F X (x) denote the CDF of both X 1 and X 2 . The CDF of Z = max(X 1 , X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. That is, P [Z ≤ z] = P [X 1 ≤ z, X 2 ≤ z] (4) = P [X 1 ≤ z] P [X 2 ≤ z] = [F X (z)] 2 (5) To complete the problem, we need to ﬁnd the CDF of each X i . From the PDF f X (x), the CDF is F X (x) = x −∞ f X (y) dy = 0 x < 0 x − x 2 /4 0 ≤ x ≤ 2 1 x > 2 (6) Thus for 0 ≤ z ≤ 2, F Z (z) = (z − z 2 /4) 2 (7) The complete expression for the CDF of Z is F Z (z) = 0 z < 0 (z − z 2 /4) 2 0 ≤ z ≤ 2 1 z > 1 (8) Quiz 4.11 This problem just requires identifying the various terms in Deﬁnition 4.17 and Theo- rem 4.29. Speciﬁcally, from the problem statement, we know that ρ = 1/2, µ 1 = µ X = 0, µ 2 = µ Y = 0, (1) and that σ 1 = σ X = 1, σ 2 = σ Y = 1. (2) (1) Applying these facts to Deﬁnition 4.17, we have f X,Y (x, y) = 1 2 e −2(x 2 −xy+y 2 )/3 . (3) (2) By Theorem 4.30, the conditional expected value and standard deviation of X given Y = y are E [X|Y = y] = y/2 ˜ σ X = σ 2 1 (1 −ρ 2 ) = 3/4. (4) When Y = y = 2, we see that E[X|Y = 2] = 1 and Var[X|Y = 2] = 3/4. The conditional PDF of X given Y = 2 is simply the Gaussian PDF f X|Y (x|2) = 1 3π/2 e −2(x−1) 2 /3 . (5) 31 Quiz 4.12 One straightforward method is to follow the approach of Example 4.28. Instead, we use an alternate approach. First we observe that X has the discrete uniform (1, 4) PMF. Also, given X = x, Y has a discrete uniform (1, x) PMF. That is, P X (x) = ¸ 1/4 x = 1, 2, 3, 4, 0 otherwise, P Y|X (y|x) = ¸ 1/x y = 1, . . . , x 0 otherwise (1) Given X = x, and an independent uniform (0, 1) random variable U, we can generate a sample value of Y with a discrete uniform (1, x) PMF via Y = xU. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1;2;3;4]; px=0.25*ones(4,1); x=finiterv(sx,px,m); y=ceil(x.*rand(m,1)); xy=[x’;y’]; 32 Quiz Solutions – Chapter 5 Quiz 5.1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. Speciﬁcally, P [C] = 1/2 0 dy 2 y 2 0 dy 1 1/2 0 dy 4 y 4 0 4dy 3 (1) = 4 1/2 0 y 2 dy 2 1/2 0 y 4 dy 4 = 1/4. (2) Quiz 5.2 By deﬁnition of A, Y 1 = X 1 , Y 2 = X 2 −X 1 and Y 3 = X 3 −X 2 . Since 0 < X 1 < X 2 < X 3 , each Y i must be a strictly positive integer. Thus, for y 1 , y 2 , y 3 ∈ {1, 2, . . .}, P Y (y) = P [Y 1 = y 1 , Y 2 = y 2 , Y 3 = y 3 ] (1) = P [X 1 = y 1 , X 2 − X 1 = y 2 , X 3 − X 2 = y 3 ] (2) = P [X 1 = y 1 , X 2 = y 2 + y 1 , X 3 = y 3 + y 2 + y 1 ] (3) = (1 − p) 3 p y 1 +y 2 +y 3 (4) By deﬁning the vector a = ¸ 1 1 1 ¸ , the complete expression for the joint PMF of Y is P Y (y) = ¸ (1 − p) p a y y 1 , y 2 , y 3 ∈ {1, 2, . . .} 0 otherwise (5) Quiz 5.3 First we note that each marginal PDF is nonzero only if any subset of the x i obeys the ordering contraints 0 ≤ x 1 ≤ x 2 ≤ x 3 ≤ 1. Within these constraints, we have f X 1 ,X 2 (x 1 , x 2 ) = −∞ f X (x) dx 3 = 1 x 2 6 dx 3 = 6(1 − x 2 ), (1) f X 2 ,X 3 (x 2 , x 3 ) = −∞ f X (x) dx 1 = x 2 0 6 dx 1 = 6x 2 , (2) f X 1 ,X 3 (x 1 , x 3 ) = −∞ f X (x) dx 2 = x 3 x 1 6 dx 2 = 6(x 3 − x 1 ). (3) In particular, we must keep in mind that f X 1 ,X 2 (x 1 , x 2 ) = 0 unless 0 ≤ x 1 ≤ x 2 ≤ 1, f X 2 ,X 3 (x 2 , x 3 ) = 0 unless 0 ≤ x 2 ≤ x 3 ≤ 1, and that f X 1 ,X 3 (x 1 , x 3 ) = 0 unless 0 ≤ x 1 33 x 3 ≤ 1. The complete expressions are f X 1 ,X 2 (x 1 , x 2 ) = ¸ 6(1 − x 2 ) 0 ≤ x 1 ≤ x 2 ≤ 1 0 otherwise (4) f X 2 ,X 3 (x 2 , x 3 ) = ¸ 6x 2 0 ≤ x 2 ≤ x 3 ≤ 1 0 otherwise (5) f X 1 ,X 3 (x 1 , x 3 ) = ¸ 6(x 3 − x 1 ) 0 ≤ x 1 ≤ x 3 ≤ 1 0 otherwise (6) Now we can ﬁnd the marginal PDFs. When 0 ≤ x i ≤ 1 for each x i , f X 1 (x 1 ) = −∞ f X 1 ,X 2 (x 1 , x 2 ) dx 2 = 1 x 1 6(1 − x 2 ) dx 2 = 3(1 − x 1 ) 2 (7) f X 2 (x 2 ) = −∞ f X 2 ,X 3 (x 2 , x 3 ) dx 3 = 1 x 2 6x 2 dx 3 = 6x 2 (1 − x 2 ) (8) f X 3 (x 3 ) = −∞ f X 2 ,X 3 (x 2 , x 3 ) dx 2 = x 3 0 6x 2 dx 2 = 3x 2 3 (9) The complete expressions are f X 1 (x 1 ) = ¸ 3(1 − x 1 ) 2 0 ≤ x 1 ≤ 1 0 otherwise (10) f X 2 (x 2 ) = ¸ 6x 2 (1 − x 2 ) 0 ≤ x 2 ≤ 1 0 otherwise (11) f X 3 (x 3 ) = ¸ 3x 2 3 0 ≤ x 3 ≤ 1 0 otherwise (12) Quiz 5.4 In the PDF f Y (y), the components have dependencies as a result of the ordering con- straints Y 1 ≤ Y 2 and Y 3 ≤ Y 4 . We can separate these constraints by creating the vectors V = ¸ Y 1 Y 2 ¸ , W = ¸ Y 3 Y 4 ¸ . (1) The joint PDF of V and W is f V,W (v, w) = ¸ 4 0 ≤ v 1 ≤ v 2 ≤ 1, 0 ≤ w 1 ≤ w 2 ≤ 1 0 otherwise (2) 34 We must verify that V and W are independent. For 0 ≤ v 1 ≤ v 2 ≤ 1, f V (v) = f V,W (v, w) dw 1 dw 2 (3) = 1 0 1 w 1 4 dw 2 dw 1 (4) = 1 0 4(1 −w 1 ) dw 1 = 2 (5) Similarly, for 0 ≤ w 1 ≤ w 2 ≤ 1, f W (w) = f V,W (v, w) dv 1 dv 2 (6) = 1 0 1 v 1 4 dv 2 dv 1 = 2 (7) It follows that V and W have PDFs f V (v) = ¸ 2 0 ≤ v 1 ≤ v 2 ≤ 1 0 otherwise , f W (w) = ¸ 2 0 ≤ w 1 ≤ w 2 ≤ 1 0 otherwise (8) It is easy to verify that f V,W (v, w) = f V (v) f W (w), conﬁrming that V and W are indepen- dent vectors. Quiz 5.5 (A) Referring to Theorem 1.19, each test is a subexperiment with three possible out- comes: L, A and R. In ﬁve trials, the vector X = ¸ X 1 X 2 X 3 ¸ indicating the number of outcomes of each subexperiment has the multinomial PMF P X (x) = 5 x 1 ,x 2 ,x 3 (0.3) x 1 (0.6) x 2 (0.1) x 3 x 1 + x 2 + x 3 = 5; x 1 , x 2 , x 3 ∈ {0, 1, . . . , 5} 0 otherwise (1) We can ﬁnd the marginal PMF for each X i from the joint PMF P X (x); however it is simpler to just start from ﬁrst principles and observe that X 1 is the number of occurrences of L in ﬁve independent tests. If we view each test as a trial with success probability P[L] = 0.3, we see that X 1 is a binomial (n, p) = (5, 0.3) random variable. Similarly, X 2 is a binomial (5, 0.6) random variable and X 3 is a binomial (5, 0.1) random variable. That is, for p 1 = 0.3, p 2 = 0.6 and p 3 = 0.1, P X i (x) = ¸ 5 x p x i (1 − p i ) 5−x x = 0, 1, . . . , 5 0 otherwise (2) 35 From the marginal PMFs, we see that X 1 , X 2 and X 3 are not independent. Hence, we must use Theorem 5.6 to ﬁnd the PMF of W. In particular, since X 1 + X 2 + X 3 = 5 and since each X i is non-negative, P W (0) = P W (1) = 0. Furthermore, P W (2) = P X (1, 2, 2) + P X (2, 1, 2) + P X (2, 2, 1) (3) = 5![0.3(0.6) 2 (0.1) 2 +0.3 2 (0.6)(0.1) 2 +0.3 2 (0.6) 2 (0.1)] 2!2!1! (4) = 0.1458 (5) In addition, for w = 3, w = 4, and w = 5, the event W = w occurs if and only if one of the mutually exclusive events X 1 = w, X 2 = w, or X 3 = w occurs. Thus, P W (3) = P X 1 (3) + P X 2 (3) + P X 3 (3) = 0.486 (6) P W (4) = P X 1 (4) + P X 2 (4) + P X 3 (4) = 0.288 (7) P W (5) = P X 1 (5) + P X 2 (5) + P X 3 (5) = 0.0802 (8) (B) Since each Y i = 2X i +4, we can apply Theorem 5.10 to write f Y (y) = 1 2 3 f X y 1 −4 2 , y 2 −4 2 , y 3 −4 2 (9) = ¸ (1/8)e −(y 3 −4)/2 4 ≤ y 1 ≤ y 2 ≤ y 3 0 otherwise (10) Note that for other matrices A, the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. Quiz 5.6 We start by ﬁnding the components E[X i ] = −∞ x f X i (x) dx of µ X . To do so, we use the marginal PDFs f X i (x) found in Quiz 5.3: E [X 1 ] = 1 0 3x(1 − x) 2 dx = 1/4, (1) E [X 2 ] = 1 0 6x 2 (1 − x) dx = 1/2, (2) E [X 3 ] = 1 0 3x 3 dx = 3/4. (3) To ﬁnd the correlation matrix R X , we need to ﬁnd E[X i X j ] for all i and j . We start with 36 the second moments: E ¸ X 2 1 ¸ = 1 0 3x 2 (1 − x) 2 dx = 1/10. (4) E ¸ X 2 2 ¸ = 1 0 6x 3 (1 − x) dx = 3/10. (5) E ¸ X 2 3 ¸ = 1 0 3x 4 dx = 3/5. (6) Using marginal PDFs from Quiz 5.3, the cross terms are E [X 1 X 2 ] = −∞ −∞ x 1 x 2 f X 1 ,X 2 (x 1 , x 2 ) , dx 1 dx 2 (7) = 1 0 1 x 1 6x 1 x 2 (1 − x 2 ) dx 2 dx 1 (8) = 1 0 [x 1 −3x 3 1 +2x 4 1 ] dx 1 = 3/20. (9) E [X 2 X 3 ] = 1 0 1 x 2 6x 2 2 x 3 dx 3 dx 2 (10) = 1 0 [3x 2 2 −3x 4 2 ] dx 2 = 2/5 (11) E [X 1 X 3 ] = 1 0 1 x 1 6x 1 x 3 (x 3 − x 1 ) dx 3 dx 1 . (12) = 1 0 (2x 1 x 3 3 −3x 2 1 x 2 3 ) x 3 =1 x 3 =x 1 dx 1 (13) = 1 0 [2x 1 −3x 2 1 + x 4 1 ] dx 1 = 1/5. (14) Summarizing the results, X has correlation matrix R X = 1/10 3/20 1/5 3/20 3/10 2/5 1/5 2/5 3/5 . (15) Vector X has covariance matrix C X = R X − E [X] E [X] (16) = 1/10 3/20 1/5 3/20 3/10 2/5 1/5 2/5 3/5 1/4 1/2 3/4 ¸ 1/4 1/2 3/4 ¸ (17) = 1/10 3/20 1/5 3/20 3/10 2/5 1/5 2/5 3/5 1/16 1/8 3/16 1/8 1/4 3/8 3/16 3/8 9/16 = 1 80 3 2 1 2 4 2 1 2 3 . (18) 37 This problemshows that even for fairly simple joint PDFs, computing the covariance matrix by calculus can be a time consuming task. Quiz 5.7 We observe that X = AZ +b where A = ¸ 2 1 1 −1 ¸ , b = ¸ 2 0 ¸ . (1) It follows from Theorem 5.18 that µ X = b and that C X = AA = ¸ 2 1 1 −1 ¸ ¸ 2 1 1 −1 ¸ = ¸ 5 1 1 2 ¸ . (2) Quiz 5.8 First, we observe that Y = AT where A = ¸ 1/31 1/31 · · · 1/31 ¸ . Since T is a Gaussian random vector, Theorem 5.16 tells us that Y is a 1 dimensional Gaussian vector, i.e., just a Gaussian random variable. The expected value of Y is µ Y = µ T = 80. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y]. Thus, by Theorem 5.16, Var[Y] = AC T A . function p=julytemps(T); [D1 D2]=ndgrid((1:31),(1:31)); CT=36./(1+abs(D1-D2)); A=ones(31,1)/31.0; CY=(A’)*CT*A; p=phi((T-80)/sqrt(CY)); In julytemps.m, the ﬁrst two lines gen- erate the 31 ×31 covariance matrix CT, or C T . Next we calculate Var[Y]. The ﬁnal step is to use the (·) function to calculate P[Y < T]. Here is the output of julytemps.m: >> julytemps([70 75 80 85 90 95]) ans = 0.0000 0.0221 0.5000 0.9779 1.0000 1.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.0000. Its just that the MATLAB’s short format output, invoked with the command format short, rounds off those probabilities. Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0.00002844263128 0.02207383067604 0.50000000000000 0.97792616932396 Columns 5 through 6 0.99997155736872 0.99999999922010 38 The ndgrid function is a useful to way calculate many covariance matrices. However, in this problem, C X has a special structure; the i, j th element is C T (i, j ) = c |i −j | = 36 1 +|i − j | . (1) If we write out the elements of the covariance matrix, we see that C T = c 0 c 1 · · · c 30 c 1 c 0 . . . . . . . . . . . . . . . c 1 c 30 · · · c 1 c 0 . (2) This covariance matrix is known as a symmetric Toeplitz matrix. We will see in Chap- ters 9 and 11 that Toeplitz covariance matrices are quite common. In fact, MATLAB has a toeplitz function for generating them. The function julytemps2 use the toeplitz to generate the correlation matrix C T . function p=julytemps2(T); c=36./(1+abs(0:30)); CT=toeplitz(c); A=ones(31,1)/31.0; CY=(A’)*CT*A; p=phi((T-80)/sqrt(CY)); 39 Quiz Solutions – Chapter 6 Quiz 6.1 Let K 1 , . . . , K n denote a sequence of iid random variables each with PMF P K (k) = ¸ 1/4 k = 1, . . . , 4 0 otherwise (1) We can write W n in the form of W n = K 1 + · · · + K n . First, we note that the ﬁrst two moments of K i are E [K i ] = (1 +2 +3 +4)/4 = 2.5 (2) E ¸ K 2 i ¸ = (1 2 +2 2 +3 2 +4 2 )/4 = 7.5 (3) Thus the variance of K i is Var[K i ] = E ¸ K 2 i ¸ −(E [K i ]) 2 = 7.5 −(2.5) 2 = 1.25 (4) Since E[K i ] = 2.5, the expected value of W n is E [W n ] = E [K 1 ] +· · · + E [K n ] = nE [K i ] = 2.5n (5) Since the rolls are independent, the random variables K 1 , . . . , K n are independent. Hence, by Theorem 6.3, the variance of the sum equals the sum of the variances. That is, Var[W n ] = Var[K 1 ] +· · · +Var[K n ] = 1.25n (6) Quiz 6.2 Random variables X and Y have PDFs f X (x) = ¸ 3e −3x x ≥ 0 0 otherwise f Y (y) = ¸ 2e −2y y ≥ 0 0 otherwise (1) Since X and Y are nonnegative, W = X +Y is nonnegative. By Theorem 6.5, the PDF of W = X +Y is f W (w) = −∞ f X (w − y) f Y (y) dy = 6 w 0 e −3(w−y) e −2y dy (2) Fortunately, this integral is easy to evaluate. For w > 0, f W (w) = e −3w e y w 0 = 6 e −2w −e −3w (3) Since f W (w) = 0 for w < 0, a conmplete expression for the PDF of W is f W (w) = ¸ 6e −2w 1 −e −w w ≥ 0, 0 otherwise. (4) 40 Quiz 6.3 The MGF of K is φ K (s) = E ¸ e s K ¸ == 4 ¸ k=0 (0.2)e sk = 0.2 1 +e s +e 2s +e 3s +e 4s (1) We ﬁnd the moments by taking derivatives. The ﬁrst derivative of φ K (s) is K (s) ds = 0.2(e s +2e 2s +3e 3s +4e 4s ) (2) Evaluating the derivative at s = 0 yields E [K] = K (s) ds s=0 = 0.2(1 +2 +3 +4) = 2 (3) To ﬁnd higher-order moments, we continue to take derivatives: E ¸ K 2 ¸ = d 2 φ K (s) ds 2 s=0 = 0.2(e s +4e 2s +9e 3s +16e 4s ) s=0 = 6 (4) E ¸ K 3 ¸ = d 3 φ K (s) ds 3 s=0 = 0.2(e s +8e 2s +27e 3s +64e 4s ) s=0 = 20 (5) E ¸ K 4 ¸ = d 4 φ K (s) ds 4 s=0 = 0.2(e s +16e 2s +81e 3s +256e 4s ) s=0 = 70.8 (6) (7) Quiz 6.4 (A) Each K i has MGF φ K (s) = E ¸ e s K i ¸ = e s +e 2s +· · · +e ns n = e s (1 −e ns ) n(1 −e s ) (1) Since the sequence of K i is independent, Theorem 6.8 says the MGF of J is φ J (s) = (φ K (s)) m = e ms (1 −e ns ) m n m (1 −e s ) m (2) (B) Since the set of α j X j are independent Gaussian random variables, Theorem 6.10 says that W is a Gaussian random variable. Thus to ﬁnd the PDF of W, we need only ﬁnd the expected value and variance. Since the expectation of the sum equals the sum of the expectations: E [W] = αE [X 1 ] +α 2 E [X 2 ] +· · · +α n E [X n ] = 0 (3) 41 Since the α j X j are independent, the variance of the sum equals the sum of the vari- ances: Var[W] = α 2 Var[X 1 ] +α 4 Var[X 2 ] +· · · +α 2n Var[X n ] (4) = α 2 +2(α 2 ) 2 +3(α 2 ) 3 +· · · +n(α 2 ) n (5) Deﬁning q = α 2 , we can use Math Fact B.6 to write Var[W] = α 2 −α 2n+2 [1 +n(1 −α 2 )] (1 −α 2 ) 2 (6) With E[W] = 0 and σ 2 W = Var[W], we can write the PDF of W as f W (w) = 1 2πσ 2 W e −w 2 /2σ 2 W (7) Quiz 6.5 (1) From Table 6.1, each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 1 −s , φ N (s) = 1 5 e s 1 − 4 5 e s . (1) From Theorem 6.12, R has MGF φ R (s) = φ N (ln φ X (s)) = 1 5 φ X (s) 1 − 4 5 φ X (s) (2) Substituting the expression for φ X (s) yields φ R (s) = 1 5 1 5 −s . (3) (2) From Table 6.1, we see that R has the MGF of an exponential (1/5) random variable. The corresponding PDF is f R (r) = ¸ (1/5)e −r/5 r ≥ 0 0 otherwise (4) This quiz is an example of the general result that a geometric sum of exponential random variables is an exponential random variable. 42 Quiz 6.6 (1) The expected access time is E [X] = −∞ x f X (x) dx = 12 0 x 12 dx = 6 msec (1) (2) The second moment of the access time is E ¸ X 2 ¸ = −∞ x 2 f X (x) dx = 12 0 x 2 12 dx = 48 (2) The variance of the access time is Var[X] = E[X 2 ] −(E[X]) 2 = 48 −36 = 12. (3) Using X i to denote the access time of block i , we can write A = X 1 + X 2 +· · · + X 12 (3) Since the expectation of the sum equals the sum of the expectations, E [A] = E [X 1 ] +· · · + E [X 12 ] = 12E [X] = 72 msec (4) (4) Since the X i are independent, Var[A] = Var[X 1 ] +· · · +Var[X 12 ] = 12 Var[X] = 144 (5) Hence, the standard deviation of A is σ A = 12 (5) To use the central limit theorem, we write P [A > 75] = 1 − P [A ≤ 75] (6) = 1 − P ¸ A − E [A] σ A 75 − E [A] σ A ¸ (7) ≈ 1 − 75 −72 12 (8) = 1 −0.5987 = 0.4013 (9) Note that we used Table 3.1 to look up (0.25). (6) Once again, we use the central limit theorem and Table 3.1 to estimate P [A < 48] = P ¸ A − E [A] σ A < 48 − E [A] σ A ¸ (10) 48 −72 12 (11) = 1 −(2) = 1 −0.9773 = 0.0227 (12) 43 Quiz 6.7 Random variable K n has a binomial distribution for n trials and success probability P[V] = 3/4. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V] = 36. (2) The variance of K 48 is Var[K 48 ] = 48P [V] (1 − P [V]) = 48(3/4)(1/4) = 9 (1) Thus K 48 has standard deviation σ K 48 = 3. (3) Using the ordinary central limit theorem and Table 3.1 yields P [30 ≤ K 48 ≤ 42] ≈ 42 −36 3 30 −36 3 = (2) −(−2) (2) Recalling that (−x) = 1 −(x), we have P [30 ≤ K 48 ≤ 42] ≈ 2(2) −1 = 0.9545 (3) (4) Since K 48 is a discrete random variable, we can use the De Moivre-Laplace approx- imation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 +0.5 −36 3 30 −0.5 −36 3 (4) = 2(2.16666) −1 = 0.9687 (5) Quiz 6.8 The train interarrival times X 1 , X 2 , X 3 are iid exponential (λ) random variables. The arrival time of the third train is W = X 1 + X 2 + X 3 . (1) In Theorem 6.11, we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3, λ) random variable. From Appendix A, we ﬁnd that W has expected value and variance E [W] = 3/λ = 6 Var[W] = 3/λ 2 = 12 (2) (1) By the Central Limit Theorem, P [W > 20] = P ¸ W −6 12 > 20 −6 12 ¸ ≈ Q(7/ 3) = 2.66 ×10 −5 (3) 44 (2) To use the Chernoff bound, we note that the MGF of W is φ W (s) = λ λ −s 3 = 1 (1 −2s) 3 (4) The Chernoff bound states that P [W > 20] ≤ min s≥0 e −20s φ X (s) = min s≥0 e −20s (1 −2s) 3 (5) To minimize h(s) = e −20s /(1 −2s) 3 , we set the derivative of h(s) to zero: dh(s) ds = −20(1 −2s) 3 e −20s +6e −20s (1 −2s) 2 (1 −2s) 6 = 0 (6) This implies 20(1 − 2s) = 6 or s = 7/20. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e −20s (1 −2s) 3 s=7/20 = (10/3) 3 e −7 = 0.0338 (7) (3) Theorem 3.11 says that for any w > 0, the CDF of the Erlang (λ, 3) random variable W satisﬁes F W (w) = 1 − 2 ¸ k=0 (λw) k e −λw k! (8) Equivalently, for λ = 1/2 and w = 20, P [W > 20] = 1 − F W (20) (9) = e −10 1 + 10 1! + 10 2 2! = 61e −10 = 0.0028 (10) Although the Chernoff bound is relatively weak in that it overestimates the proba- bility by roughly a factor of 12, it is a valid bound. By contrast, the Central Limit Theorem approximation grossly underestimates the true probability. Quiz 6.9 One solution to this problem is to follow the approach of Example 6.19: %unifbinom100.m sx=0:100;sy=0:100; px=binomialpmf(100,0.5,sx); py=duniformpmf(0,100,sy); [SX,SY]=ndgrid(sx,sy); [PX,PY]=ndgrid(px,py); SW=SX+SY; PW=PX.*PY; sw=unique(SW); pw=finitepmf(SW,PW,sw); pmfplot(sw,pw,’\itw’,’\itP_W(w)’); A graph of the PMF P W (w) appears in Figure 2 With some thought, it should be apparent that the finitepmf function is implementing the convolution of the two PMFs. 45 0 20 40 60 80 100 120 140 160 180 200 0 0.002 0.004 0.006 0.008 0.01 w P W ( w ) Figure 2: From Quiz 6.9, the PMF P W (w) of the independent sum of a binomial (100, 0.5) random variable and a discrete uniform (0, 100) random variable. 46 Quiz Solutions – Chapter 7 Quiz 7.1 An exponential random variable with expected value 1 also has variance 1. By Theo- rem 7.1, M n (X) has variance Var[M n (X)] = 1/n. Hence, we need n = 100 samples. Quiz 7.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . Since each X i is uniform (0, 30), E [X i ] = 15, Var [X i ] = (30 −0) 2 12 = 75. (1) Thus E[W] = 3E[X i ] = 45, and Var[W] = 3 Var[X i ] = 225. (1) By the Markov inequality, P [W > 75] ≤ E [W] 75 = 45 75 = 3 5 (2) (2) By the Chebyshev inequality, P [W > 75] = P [W − E [W] > 30] (3) ≤ P [|W − E [W]| > 30] ≤ Var [W] 30 2 = 225 900 = 1 4 (4) Quiz 7.3 Deﬁne the random variable W = (X − µ X ) 2 . Observe that V 100 (X) = M 100 (W). By Theorem 7.6, the mean square error is E ¸ (M 100 (W) −µ W ) 2 ¸ = Var[W] 100 (1) Observe that µ X = 0 so that W = X 2 . Thus, µ W = E ¸ X 2 ¸ = 1 −1 x 2 f X (x) dx = 1/3 (2) E ¸ W 2 ¸ = E ¸ X 4 ¸ = 1 −1 x 4 f X (x) dx = 1/5 (3) Therefore Var[W] = E[W 2 ] − µ 2 W = 1/5 − (1/3) 2 = 4/45 and the mean square error is 4/4500 = 0.000889. 47 Quiz 7.4 Assuming the number n of samples is large, we can use a Gaussian approximation for M n (X). SinceE[X] = p and Var[X] = p(1 − p), we apply Theorem 7.13 which says that the interval estimate M n (X) −c ≤ p ≤ M n (X) +c (1) has conﬁdence coefﬁcient 1 −α where α = 2 −2 c n p(1 − p) . (2) We must ensure for every value of p that 1 − α ≥ 0.9 or α ≤ 0.1. Equivalently, we must have c n p(1 − p) ≥ 0.95 (3) for every value of p. Since (x) is an increasing function of x, we must satisfy c n ≥ 1.65p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that c ≥ 1.65 4 n = 0.41 n . (4) The 0.9 conﬁdence interval estimate of p is M n (X) − 0.41 n ≤ p ≤ M n (X) + 0.41 n . (5) For the 0.99 conﬁdence interval, we have α ≤ 0.01, implying (c n/( p(1−p))) ≥ 0.995. This implies c n ≥ 2.58p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that c ≥ (0.25)(2.58)/ n. In this case, the 0.99 conﬁdence interval estimate is M n (X) − 0.645 n ≤ p ≤ M n (X) + 0.645 n . (6) Note that if M 100 (X) = 0.4, then the 0.99 conﬁdence interval estimate is 0.3355 ≤ p ≤ 0.4645. (7) The interval is wide because the 0.99 conﬁdence is high. Quiz 7.5 Following the approach of bernoullitraces.m, we generate m = 1000 sample paths, each sample path having n = 100 Bernoulli traces. at time k, OK(k) counts the fraction of sample paths that have sample mean within one standard error of p. The pro- gram bernoullisample.m generates graphs the number of traces within one standard error as a function of the time, i.e. the number of trials in each trace. 48 function OK=bernoullisample(n,m,p); x=reshape(bernoullirv(p,m*n),n,m); nn=(1:n)’*ones(1,m); MN=cumsum(x)./nn; stderr=sqrt(p*(1-p))./sqrt((1:n)’); stderrmat=stderr*ones(1,m); OK=sum(abs(MN-p)<stderrmat,2)/m; plot(1:n,OK,’-s’); The following graph was generated by bernoullisample(100,5000,0.5): 0 10 20 30 40 50 60 70 80 90 100 0.4 0.5 0.6 0.7 0.8 0.9 1 As we would expect, as m gets large, the fraction of traces within one standard error ap- proaches 2(1) −1 ≈ 0.68. The unusual sawtooth pattern, though perhaps unexpected, is examined in Problem 7.5.2. 49 Quiz Solutions – Chapter 8 Quiz 8.1 From the problem statement, each X i has PDF and CDF f X i (x) = ¸ e −x x ≥ 0 0 otherwise F X i (x) = ¸ 0 x < 0 1 −e −x x ≥ 0 (1) Hence, the CDF of the maximum of X 1 , . . . , X 15 obeys F X (x) = P [X ≤ x] = P [X 1 ≤ x, X 2 ≤ x, · · · , X 15 ≤ x] = [P [X i ≤ x]] 15 . (2) This implies that for x ≥ 0, F X (x) = ¸ F X i (x) ¸ 15 = ¸ 1 −e −x ¸ 15 (3) To design a signiﬁcance test, we must choose a rejection region for X. A reasonable choice is to reject the hypothesis if X is too small. That is, let R = {X ≤ r}. For a signiﬁcance level of α = 0.01, we obtain α = P [X ≤ r] = (1 −e −r ) 15 = 0.01 (4) It is straightforward to show that r = −ln ¸ 1 −(0.01) 1/15 ¸ = 1.33 (5) Hence, if we observe X < 1.33, then we reject the hypothesis. Quiz 8.2 From the problem statement, the conditional PMFs of K are P K|H 0 (k) = ¸ 10 4k e −10 4 k! k = 0, 1, . . . 0 otherwise (1) P K|H 1 (k) = ¸ 10 6k e −10 6 k! k = 0, 1, . . . 0 otherwise (2) Since the two hypotheses are equally likely, the MAP and ML tests are the same. From Theorem 8.6, the ML hypothesis rule is k ∈ A 0 if P K|H 0 (k) ≥ P K|H 1 (k) ; k ∈ A 1 otherwise. (3) This rule simpliﬁes to k ∈ A 0 if k ≤ k = 10 6 −10 4 ln 100 = 214, 975.7; k ∈ A 1 otherwise. (4) Thus if we observe at least 214, 976 photons, then we accept hypothesis H 1 . 50 Quiz 8.3 For the QPSK system, a symbol error occurs when s i is transmitted but (X 1 , X 2 ) ∈ A j for some j = i . For a QPSK system, it is easier to calculate the probability of a correct decision. Given H 0 , the conditional probability of a correct decision is P [C|H 0 ] = P [X 1 > 0, X 2 > 0|H 0 ] = P ¸ E/2 + N 1 > 0, E/2 + N 2 > 0 ¸ (1) Because of the symmetry of the signals, P[C|H 0 ] = P[C|H i ] for all i . This implies the probability of a correct decision is P[C] = P[C|H 0 ]. Since N 1 and N 2 are iid Gaussian (0, σ) random variables, we have P [C] = P [C|H 0 ] = P ¸ E/2 + N 1 > 0 ¸ P ¸ E/2 + N 2 > 0 ¸ (2) = P ¸ N 1 > − E/2 ¸ 2 (3) = ¸ 1 − E/2 σ 2 (4) Since (−x) = 1 − (x), we have P[C] = 2 ( E/2σ 2 ). Equivalently, the probability of error is P ERR = 1 − P [C] = 1 − 2 E 2 (5) Quiz 8.4 To generate the ROC, the existing program sqdistor already calculates this miss probability P MISS = P 01 and the false alarm probability P FA = P 10 . The modiﬁed pro- gram, sqdistroc.m is essentially the same as sqdistor except the output is a ma- trix FM whose columns are the false alarm and miss probabilities. Next, the program sqdistrocplot.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d. Here is the modiﬁed code: function FM=sqdistroc(v,d,m,T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts, %add N volts, N is Gauss(0,1) %add d(v+N)ˆ2 distortion %receive 1 if x>T, otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m,1)); [XX,TT]=ndgrid(x,T(:)); P01=sum((XX+d*(XX.ˆ2)< TT),1)/m; x= -v+randn(m,1); [XX,TT]=ndgrid(x,T(:)); P10=sum((XX+d*(XX.ˆ2)>TT),1)/m; FM=[P10(:) P01(:)]; function FM=sqdistrocplot(v,m,T); FM1=sqdistroc(v,0.1,m,T); FM2=sqdistroc(v,0.2,m,T); FM5=sqdistroc(v,0.3,m,T); FM=[FM1 FM2 FM5]; loglog(FM1(:,1),FM1(:,2),’-k’, ... FM2(:,1),FM2(:,2),’--k’, ... FM5(:,1),FM5(:,2),’:k’); legend(’\it d=0.1’,’\it d=0.2’,... ’\it d=0.3’,3) ylabel(’P_{MISS}’); xlabel(’P_{FA}’); 51 To see the effect of d, the commands T=-3:0.1:3; sqdistrocplot(3,100000,T); generated the plot shown in Figure 3. 10 −5 10 −4 10 −3 10 −2 10 −1 10 0 10 −5 10 −4 10 −3 10 −2 10 −1 10 0 P M I S S P FA d=0.1 d=0.2 d=0.3 T=-3:0.1:3; sqdistrocplot(3,100000,T); Figure 3: The receiver operating curve for the communications system of Quiz 8.4 with squared distortion. 52 Quiz Solutions – Chapter 9 Quiz 9.1 (1) First, we calculate the marginal PDF for 0 ≤ y ≤ 1: f Y (y) = y 0 2(y + x) dx = 2xy + x 2 x=y x=0 = 3y 2 (1) This implies the conditional PDF of X given Y is f X|Y (x|y) = f X,Y (x, y) f Y (y) = ¸ 2 3y + 2x 3y 2 0 ≤ x ≤ y 0 otherwise (2) (2) The minimum mean square error estimate of X given Y = y is ˆ x M (y) = E [X|Y = y] = y 0 2x 3y + 2x 2 3y 2 dx = 5y/9 (3) Thus the MMSE estimator of X given Y is ˆ X M (Y) = 5Y/9. (3) To obtain the conditional PDF f Y|X (y|x), we need the marginal PDF f X (x). For 0 ≤ x ≤ 1, f X (x) = 1 x 2(y + x) dy = y 2 +2xy y=1 y=x = 1 +2x −3x 2 (4) (5) For 0 ≤ x ≤ 1, the conditional PDF of Y given X is f Y|X (y|x) = ¸ 2(y+x) 1+2x−3x 2 x ≤ y ≤ 1 0 otherwise (6) (4) The MMSE estimate of Y given X = x is ˆ y M (x) = E [Y|X = x] = 1 x 2y 2 +2xy 1 +2x −3x 2 dy (7) = 2y 3 /3 + xy 2 1 +2x −3x 2 y=1 y=x (8) = 2 +3x −5x 3 3 +6x −9x 2 (9) 53 Quiz 9.2 (1) Since the expectation of the sum equals the sum of the expectations, E [R] = E [T] + E [X] = 0 (1) (2) Since T and X are independent, the variance of the sum R = T + X is Var[R] = Var[T] +Var[X] = 9 +3 = 12 (2) (3) Since T and R have expected values E[R] = E[T] = 0, Cov [T, R] = E [T R] = E [T(T + X)] = E ¸ T 2 ¸ + E [T X] (3) Since T and X are independent and have zero expected value, E[T X] = E[T]E[X] = 0 and E[T 2 ] = Var[T]. Thus Cov[T, R] = Var[T] = 9. (4) From Deﬁnition 4.8, the correlation coefﬁcient of T and R is ρ T,R = Cov [T, R] Var[R] Var[T] = σ T σ R = 3/2 (4) (5) From Theorem 9.4, the optimum linear estimate of T given R is ˆ T L (R) = ρ T,R σ T σ R (R − E [R]) + E [T] (5) Since E[R] = E[T] = 0 and ρ T,R = σ T R , ˆ T L (R) = σ 2 T σ 2 R R = σ 2 T σ 2 T 2 X R = 3 4 R (6) Hence a = 3/4 and b = 0. (6) By Theorem 9.4, the mean square error of the linear estimate is e L = Var[T](1 −ρ 2 T,R ) = 9(1 −3/4) = 9/4 (7) Quiz 9.3 When R = r, the conditional PDF of X = Y −40−40 log 10 r is Gaussian with expected value −40 −40 log 10 r and variance 64. The conditional PDF of X given R is f X|R (x|r) = 1 128π e −(x+40+40 log 10 r) 2 /128 (1) 54 From the conditional PDF f X|R (x|r), we can use Deﬁnition 9.2 to write the ML estimate of R given X = x as ˆ r ML (x) = arg max r≥0 f X|R (x|r) (2) We observe that f X|R (x|r) is maximized when the exponent (x + 40 + 40 log 10 r) 2 is minimized. This minimum occurs when the exponent is zero, yielding log 10 r = −1 − x/40 (3) or ˆ r ML (x) = (0.1)10 −x/40 m (4) If the result doesn’t look correct, note that a typical ﬁgure for the signal strength might be x = −120 dB. This corresponds to a distance estimate of ˆ r ML (−120) = 100 m. For the MAP estimate, we observe that the joint PDF of X and R is f X,R (x, r) = f X|R (x|r) f R (r) = 1 10 6 32π re −(x+40+40 log 10 r) 2 /128 (5) From Theorem 9.6, the MAP estimate of R given X = x is the value of r that maximizes f X,R (x, r). That is, ˆ r MAP (x) = arg max 0≤r≤1000 f X,R (x, r) (6) Note that we have included the constraint r ≤ 1000 in the maximization to highlight the fact that under our probability model, R ≤ 1000 m. Setting the derivative of f X,R (x, r) with respect to r to zero yields e −(x+40+40 log 10 r) 2 /128 ¸ 1 − 80 log 10 e 128 (x +40 +40 log 10 r) ¸ = 0 (7) Solving for r yields r = 10 1 25 log 10 e −1 10 −x/40 = (0.1236)10 −x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. When x ≤ −156.3 dB, the above estimate will exceed 1000 m, which is not possible in our probability model. Hence, the complete description of the MAP estimate is ˆ r MAP (x) = ¸ 1000 x < −156.3 (0.1236)10 −x/40 x ≥ −156.3 (9) For example, if x = −120dB, then ˆ r MAP (−120) = 123.6 m. When the measured signal strength is not too low, the MAP estimate is 23.6% larger than the ML estimate. This re- ﬂects the fact that large values of R are a priori more probable than small values. However, for very low signal strengths, the MAP estimate takes into account that the distance can never exceed 1000 m. 55 Quiz 9.4 (1) From Theorem 9.4, the LMSE estimate of X 2 given Y 2 is ˆ X 2 (Y 2 ) = a Y 2 +b where a = Cov [X 2 , Y 2 ] Var[Y 2 ] , b = µ X 2 −a µ Y 2 . (1) Because E[X] = E[Y] = 0, Cov [X 2 , Y 2 ] = E [X 2 Y 2 ] = E [X 2 (X 2 + W 2 )] = E ¸ X 2 2 ¸ = 1 (2) Var[Y 2 ] = Var[X 2 ] +Var[W 2 ] = E ¸ X 2 2 ¸ + E ¸ W 2 2 ¸ = 1.1 (3) It follows that a = 1/1.1. Because µ X 2 = µ Y 2 = 0, it follows that b = 0. Finally, to compute the expected square error, we calculate the correlation coefﬁcient ρ X 2 ,Y 2 = Cov [X 2 , Y 2 ] σ X 2 σ Y 2 = 1 1.1 (4) The expected square error is e L = Var[X 2 ](1 −ρ 2 X 2 ,Y 2 ) = 1 − 1 1.1 = 1 11 = 0.0909 (5) (2) Since Y = X + W and E[X] = E[W] = 0, it follows that E[Y] = 0. Thus we can apply Theorem 9.7. Note that X and W have correlation matrices R X = ¸ 1 −0.9 −0.9 1 ¸ , R W = ¸ 0.1 0 0 0.1 ¸ . (6) In terms of Theorem 9.7, n = 2 and we wish to estimate X 2 given the observation vector Y = ¸ Y 1 Y 2 ¸ . To apply Theorem 9.7, we need to ﬁnd R Y and R YX 2 . R Y = E ¸ YY ¸ = E ¸ (X +W)(X +W ) ¸ (7) = E ¸ XX +XW +WX +WW ¸ . (8) Because Xand Ware independent, E[XW ] = E[X]E[W ] = 0. Similarly, E[WX ] = 0. This implies R Y = E ¸ XX ¸ + E ¸ WW ¸ = R X +R W = ¸ 1.1 −0.9 −0.9 1.1 ¸ . (9) In addition, we need to ﬁnd R YX 2 = E [YX 2 ] = ¸ E [Y 1 X 2 ] E [Y 2 X 2 ] ¸ = ¸ E [(X 1 + W 1 )X 2 ] E [(X 2 + W 2 )X 2 ] ¸ . (10) 56 Since Xand Ware independent vectors, E[W 1 X 2 ] = E[W 1 ]E[X 2 ] = 0 and E[W 2 X 2 ] = 0. Thus R YX 2 = ¸ E[X 1 X 2 ] E ¸ X 2 2 ¸ ¸ = ¸ −0.9 1 ¸ . (11) By Theorem 9.7, ˆ a = R −1 Y R YX 2 = ¸ −0.225 0.725 ¸ (12) Therefore, the optimum linear estimator of X 2 given Y 1 and Y 2 is ˆ X L = ˆ a Y = −0.225Y 1 +0.725Y 2 . (13) The mean square error is Var [X 2 ] − ˆ a R YX 2 = Var [X] −a 1 r Y 1 ,X 2 −a 2 r Y 2 ,X 2 = 0.0725. (14) Quiz 9.5 Since X and W have zero expected value, Y also has zero expected value. Thus, by Theorem 9.7, ˆ X L (Y) = ˆ a Y where ˆ a = R −1 Y R YX . Since X and W are independent, E[WX] = 0 and E[XW ] = 0 . This implies R YX = E [YX] = E [(1X +W)X] = 1E ¸ X 2 ¸ = 1. (1) By the same reasoning, the correlation matrix of Y is R Y = E ¸ YY ¸ = E ¸ (1X +W)(1 X +W ) ¸ (2) = 11 E ¸ X 2 ¸ +1E ¸ XW ¸ + E [WX] 1 + E ¸ WW ¸ (3) = 11 +R W (4) Note that 11 is a 20 ×20 matrix with every entry equal to 1. Thus, ˆ a = R −1 Y R YX = 11 +R W −1 1 (5) and the optimal linear estimator is ˆ X L (Y) = 1 11 +R W −1 Y (6) The mean square error is e L = Var[X] − ˆ a R YX = 1 −1 11 +R W −1 1 (7) Now we note that R W has i, j th entry R W (i, j ) = c |i −j |−1 . The question we must address is what value c minimizes e L . This problem is atypical in that one does not usually get 57 to choose the correlation structure of the noise. However, we will see that the answer is somewhat instructive. We note that the answer is not obviously apparent from Equation (7). In particular, we observe that Var[W i ] = R W (i, i ) = 1/c. Thus, when c is small, the noises W i have high variance and we would expect our estimator to be poor. On the other hand, if c is large W i and W j are highly correlated and the separate measurements of X are very dependent. This would suggest that large values of c will also result in poor MSE. If this argument is not clear, consider the extreme case in which every W i and W j have correlation coefﬁcient ρ i j = 1. In this case, our 20 measurements will be all the same and one measurement is as good as 20 measurements. To ﬁnd the optimal value of c, we write a MATLAB function mquiz9(c) to calculate the MSE for a given c and second function that ﬁnds plots the MSE for a range of values of c. function [mse,af]=mquiz9(c); v1=ones(20,1); RW=toeplitz(c.ˆ((0:19)-1)); RY=(v1*(v1’)) +RW; af=(inv(RY))*v1; mse=1-((v1’)*af); function cmin=mquiz9minc(c); msec=zeros(size(c)); for k=1:length(c), [msec(k),af]=mquiz9(c(k)); end plot(c,msec); xlabel(’c’);ylabel(’e_Lˆ*’); [msemin,optk]=min(msec); cmin=c(optk); Note in mquiz9 that v1 corresponds to the vector 1 of all ones. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0.01:0.01:0.99; >> mquiz9minc(c) ans = 0.4500 0 0.5 1 0.2 0.4 0.6 0.8 1 c e L * As we see in the graph, both small values and large values of c result in large MSE. 58 Quiz Solutions – Chapter 10 Quiz 10.1 There are many correct answers to this question. A correct answer speciﬁes enough random variables to specify the sample path exactly. One choice for an alternate set of random variables that would specify m(t, s) is • m(0, s), the number of ongoing calls at the start of the experiment • N, the number of new calls that arrive during the experiment • X 1 , . . . , X N , the interarrival times of the N new arrivals • H, the number of calls that hang up during the experiment • D 1 , . . . , D H , the call completion times of the H calls that hang up Quiz 10.2 (1) We obtain a continuous time, continuous valued process when we record the temper- ature as a continuous waveform over time. (2) If at every moment in time, we round the temperature to the nearest degree, then we obtain a continuous time, discrete valued process. (3) If we sample the process in part (a) every T seconds, then we obtain a discrete time, continuous valued process. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time, discrete valued process. Quiz 10.3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r) = ¸ 0.01 950 ≤ r ≤ 1050 0 otherwise (1) The probability that a test produces a 1% resistor is p = P [990 ≤ R ≤ 1010] = 1010 990 (0.01) dr = 0.2 (2) 59 (2) In t seconds, exactly t resistors are tested. Each resistor is a 1% resistor with proba- bility p, independent of any other resistor. Consequently, the number of 1% resistors found has the binomial PMF P N(t ) (n) = ¸ t n p n (1 − p) t −n n = 0, 1, . . . , t 0 otherwise (3) (3) First we will ﬁnd the PMF of T 1 . This problem is easy if we view each resistor test as an independent trial. A success occurs on a trial with probability p if we ﬁnd a 1% resistor. The ﬁrst 1% resistor is found at time T 1 = t if we observe failures on trials 1, . . . , t − 1 followed by a success on trial t . Hence, just as in Example 2.11, T 1 has the geometric PMF P T 1 (t ) = ¸ (1 − p) t −1 p t = 1, 2, . . . 9 otherwise (4) Since p = 0.2, the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is P T 1 (5) = (0.8) 4 (0.2) = 0.08192. (4) From Theorem 2.5, a geometric random variable with success probability p has ex- pected value 1/p. In this problem, E[T 1 ] = 1/p = 5. (5) Note that once we ﬁnd the ﬁrst 1% resistor, the number of additional trials needed to ﬁnd the second 1% resistor once again has a geometric PMF with expected value 1/p since each independent trial is a success with probability p. That is, T 2 = T 1 + T where T is independent and identically distributed to T 1 . Thus E [T 2 |T 1 = 10] = E [T 1 |T 1 = 10] + E ¸ T |T 1 = 10 ¸ (5) = 10 + E ¸ T ¸ = 10 +5 = 15 (6) Quiz 10.4 Since each X i is a N(0, 1) random variable, each X i has PDF f X(i ) (x) = 1 e −x 2 /2 (1) By Theorem 10.1, the joint PDF of X = ¸ X 1 · · · X n ¸ is f X (x) = f X(1),...,X(n) (x 1 , . . . , x n ) = k ¸ i =1 f X (x i ) = 1 (2π) n/2 e −(x 2 1 +···+x 2 n )/2 (2) 60 Quiz 10.5 The ﬁrst and second hours are nonoverlapping intervals. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec, the expected number of packets in each hour is E[M i ] = α = 36, 000. This implies M 1 and M 2 are independent Poisson random variables each with PMF P M i (m) = ¸ α m e −α m! m = 0, 1, 2, . . . 0 otherwise (1) Since M 1 and M 2 are independent, the joint PMF of M 1 and M 2 is P M 1 ,M 2 (m 1 , m 2 ) = P M 1 (m 1 ) P M 2 (m 2 ) = α m 1 +m 2 e −2α m 1 !m 2 ! m 1 = 0, 1, . . . ; m 2 = 0, 1, . . . , 0 otherwise. (2) Quiz 10.6 To answer whether N (t ) is a Poisson process, we look at the interarrival times. Let X 1 , X 2 , . . . denote the interarrival times of the N(t ) process. Since we count only even- numbered arrival for N (t ), the time until the ﬁrst arrival of the N (t ) is Y 1 = X 1 + X 2 . Since X 1 and X 2 are independent exponential (λ) random variables, Y 1 is an Erlang (n = 2, λ) random variable; see Theorem 6.11. Since Y i (t ), the i th interarrival time of the N (t ) process, has the same PDF as Y 1 (t ), we can conclude that the interarrival times of N (t ) are not exponential random variables. Thus N (t ) is not a Poisson process. Quiz 10.7 First, we note that for t > s, X(t ) − X(s) = W(t ) − W(s) α (1) Since W(t ) −W(s) is a Gaussian random variable, Theorem 3.13 states that W(t ) −W(s) is Gaussian with expected value E [X(t ) − X(s)] = E [W(t ) − W(s)] α = 0 (2) and variance E ¸ (W(t ) − W(s)) 2 ¸ = E ¸ (W(t ) − W(s)) 2 ¸ α = α(t −s) α (3) Consider s ≤ s < t . Since s ≥ s , W(t ) − W(s) is independent of W(s ). This implies [W(t ) − W(s)]/ α is independent of W(s )/ α for all s ≥ s . That is, X(t ) − X(s) is independent of X(s ) for all s ≥ s . Thus X(t ) is a Brownian motion process with variance Var[X(t )] = t . 61 Quiz 10.8 First we ﬁnd the expected value µ Y (t ) = µ X (t ) +µ N (t ) = µ X (t ). (1) To ﬁnd the autocorrelation, we observe that since X(t ) and N(t ) are independent and since N(t ) has zero expected value, E[X(t )N(t )] = E[X(t )]E[N(t )] = 0. Since R Y (t, τ) = E[Y(t )Y(t +τ)], we have R Y (t, τ) = E [(X(t ) + N(t )) (X(t +τ) + N(t +τ))] (2) = E [X(t )X(t +τ)] + E [X(t )N(t +τ)] + E [X(t +τ)N(t )] + E [N(t )N(t +τ)] (3) = R X (t, τ) + R N (t, τ). (4) Quiz 10.9 From Deﬁnition 10.14, X 1 , X 2 , . . . is a stationary random sequence if for all sets of time instants n 1 , . . . , n m and time offset k, f X n 1 ,...,X n m (x 1 , . . . , x m ) = f X n 1 +k ,...,X n m +k (x 1 , . . . , x m ) (1) Since the random sequence is iid, f X n 1 ,...,X n m (x 1 , . . . , x m ) = f X (x 1 ) f X (x 2 ) · · · f X (x m ) (2) Similarly, for time instants n 1 +k, . . . , n m +k, f X n 1 +k ,...,X n m +k (x 1 , . . . , x m ) = f X (x 1 ) f X (x 2 ) · · · f X (x m ) (3) We can conclude that the iid random sequence is stationary. Quiz 10.10 We must check whether each function R(τ) meets the conditions of Theorem 10.12: R(τ) ≥ 0 R(τ) = R(−τ) |R(τ)| ≤ R(0) (1) (1) R 1 (τ) = e −|τ| meets all three conditions and thus is valid. (2) R 2 (τ) = e −τ 2 also is valid. (3) R 3 (τ) = e −τ cos τ is not valid because R 3 (−2π) = e cos 2π = e > 1 = R 3 (0) (2) (4) R 4 (τ) = e −τ 2 sin τ also cannot be an autocorrelation function because R 4 (π/2) = e −π/2 sin π/2 = e −π/2 > 0 = R 4 (0) (3) 62 Quiz 10.11 (1) The autocorrelation of Y(t ) is R Y (t, τ) = E [Y(t )Y(t +τ)] (1) = E [X(−t )X(−t −τ)] (2) = R X (−t −(−t −τ)) = R X (τ) (3) Since E[Y(t )] = E[X(−t )] = µ X , we can conclude that Y(t ) is a wide sense stationary process. In fact, we see that by viewing a process backwards in time, we see the same second order statistics. (2) Since X(t ) and Y(t ) are both wide sense stationary processes, we can check whether they are jointly wide sense stationary by seeing if R XY (t, τ) is just a function of τ. In this case, R XY (t, τ) = E [X(t )Y(t +τ)] (4) = E [X(t )X(−t −τ)] (5) = R X (t −(−t −τ)) = R X (2t +τ) (6) Since R XY (t, τ) depends on both t and τ, we conclude that X(t ) and Y(t ) are not jointly wide sense stationary. To see why this is, suppose R X (τ) = e −|τ| so that samples of X(t ) far apart in time have almost no correlation. In this case, as t gets larger, Y(t ) = X(−t ) and X(t ) become less and less correlated. Quiz 10.12 From the problem statement, E [X(t )] = E [X(t +1)] = 0 (1) E [X(t )X(t +1)] = 1/2 (2) Var[X(t )] = Var[X(t +1)] = 1 (3) The Gaussian random vector X = ¸ X(t ) X(t +1) ¸ has covariance matrix and corre- sponding inverse C X = ¸ 1 1/2 1/2 1 ¸ C −1 X = 4 3 ¸ 1 −1/2 −1/2 1 ¸ (4) Since x C −1 X x = ¸ x 0 x 1 ¸ 4 3 ¸ 1 −1/2 −1/2 1 ¸ ¸ x 0 x 1 ¸ = 4 3 x 2 0 − x 0 x + x 2 1 (5) the joint PDF of X(t ) and X(t +1) is the Gaussian vector PDF f X(t ),X(t +1) (x 0 , x 1 ) = 1 (2π) n/2 [det (C X )] 1/2 exp 1 2 x C −1 X x (6) = 1 2 e 2 3 x 2 0 −x 0 x 1 +x 2 1 (7) 63 0 10 20 30 40 50 60 70 80 90 100 0 20 40 60 80 100 120 t M ( t ) Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10.13. Quiz 10.13 The simple structure of the switch simulation of Example 10.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. With the introduction of call blocking. we cannot generate these vectors all at once. In particular, when an arrival occurs at time t , we need to know that M(t ), the number of ongoing calls, satisﬁes M(t ) < c = 120. Otherwise, when M(t ) = c, we must block the call. Call blocking can be implemented by setting the service time of the call to zero so that the call departs as soon as it arrives. The blocking switch is an example of a discrete event system. The system evolves via a sequence of discrete events, namely arrivals and departures, at discrete time instances. A simulation of the system moves from one time instant to the next by maintaining a chrono- logical schedule of future events (arrivals and departures) to be executed. The program simply executes the event at the head of the schedule. The logic of such a simulation is 1. Start at time t = 0 with an empty system. Schedule the ﬁrst arrival to occur at S 1 , an exponential (λ) random variable. 2. Examine the head-of-schedule event. • When the head-of-schedule event is the kth arrival is at time t , check the state M(t ). – If M(t ) < c, admit the arrival, increase the system state n by 1, and sched- ule a departure to occur at time t + S n , where S k is an exponential (λ) random variable. – If M(t ) = c, block the arrival, do not schedule a departure event. • If the head of schedule event is a departure, reduce the system state n by 1. 3. Delete the head-of-schedule event and go to step 2. After the head-of-schedule event is completed and any new events (departures in this sys- tem) are scheduled, we know the system state cannot change until the next scheduled event. 64 Thus we know that M(t ) will stay the same until then. In our simulation, we use the vector t as the set of time instances at which we inspect the system state. Thus for all times t(i) between the current head-of-schedule event and the next, we set m(i) to the current switch state. The complete program is shown in Figure 5. In most programming languages, it is common to implement the event schedule as a linked list where each item in the list has a data structure indicating an event timestamp and the type of the event. In MATLAB, a simple (but not elegant) way to do this is to have maintain two vectors: time is a list of timestamps of scheduled events and event is a the list of event types. In this case, event(i)=1 if the i th scheduled event is an arrival, or event(i)=-1 if the i th sched- uled event is a departure. When the program is passed a vector t, the output [m a b] is such that m(i) is the number of ongoing calls at time t(i) while a and b are the number of admits and blocks. The following instructions t=0:0.1:5000; [m,a,b]=simblockswitch(10,0.1,120,t); plot(t,m); generated a simulation lasting 5,000 minutes. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. The 5,000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. We can estimate the probability a call is blocked as ˆ P b = b a +b = 0.0048. (1) In Chapter 12, we will learn that the exact blocking probability is given by Equation (12.93), a result known as the “Erlang-B formula.” From the Erlang-B formula, we can calculate that the exact blocking probability is P b = 0.0057. One reason our simulation underesti- mates the blocking probability is that in a 5,000 minute simulation, roughly the ﬁrst 100 minutes are needed to load up the switch since the switch is idle when the simulation starts at time t = 0. However, this says that roughly the ﬁrst two percent of the simulation time was unusual. Thus this would account for only part of the disparity. The rest of the gap between 0.0048 and 0.0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability. Note that in Chapter 12, we will learn that the blocking switch is an example of an M/M/c/c queue, a kind of Markov chain. Chapter 12 develops techniques for analyzing and simulating systems described by Markov chains that are much simpler than the discrete event simulation technique shown here. Nevertheless, for very complicated systems, the discrete event simulation is widely-used and often very efﬁcient simulation method. 65 function [M,admits,blocks]=simblockswitch(lam,mu,c,t); blocks=0; %total # blocks admits=0; %total # admits M=zeros(size(t)); n=0; % # in system time=[ exponentialrv(lam,1) ]; event=[ 1 ]; %first event is an arrival timenow=0; tmax=max(t); while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n; timenow=time(1); eventnow=event(1); event(1)=[ ]; time(1)= [ ]; % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam,1); % next arrival b4arrival=time<arrival; event=[event(b4arrival) 1 event(˜b4arrival)]; time=[time(b4arrival) arrival time(˜b4arrival)]; if n<c %call admitted admits=admits+1; n=n+1; depart=timenow+exponentialrv(mu,1); b4depart=time<depart; event=[event(b4depart) -1 event(˜b4depart)]; time=[time(b4depart) depart time(˜b4depart)]; else blocks=blocks+1; %one more block, immed departure disp(sprintf(’Time %10.3d Admits %10d Blocks %10d’,... timenow,admits,blocks)); end elseif (eventnow==-1) %departure n=n-1; end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10.13. 66 Quiz Solutions – Chapter 11 Quiz 11.1 By Theorem 11.2, µ Y = µ X −∞ h(t )dt = 2 0 e −t dt = 2 (1) Since R X (τ) = δ(τ), the autocorrelation function of the output is R Y (τ) = −∞ h(u) −∞ h(v)δ(τ +u −v) dv du = −∞ h(u)h(τ +u) du (2) For τ > 0, we have R Y (τ) = 0 e −u e −τ−u du = e −τ 0 e −2u du = 1 2 e −τ (3) For τ < 0, we can deduce that R Y (τ) = 1 2 e −|τ| by symmetry. Just to be safe though, we can double check. For τ < 0, R Y (τ) = −τ h(u)h(τ +u) du = −τ e −u e −τ−u du = 1 2 e τ (4) Hence, R Y (τ) = 1 2 e −|τ| (5) Quiz 11.2 The expected value of the output is µ Y = µ X ¸ n=−∞ h n = 0.5(1 +−1) = 0 (1) The autocorrelation of the output is R Y [n] = 1 ¸ i =0 1 ¸ j =0 h i h j R X [n +i − j ] (2) = 2R X [n] − R X [n −1] − R X [n +1] = ¸ 1 n = 0 0 otherwise (3) Since µ Y = 0, The variance of Y n is Var[Y n ] = E[Y 2 n ] = R Y [0] = 1. 67 −15 −10 −5 0 5 10 15 0 0.2 0.4 0.6 f S X ( f ) −1500−1000 −500 0 500 1000 1500 0 2 4 6 8 x 10 f S X ( f ) −0.2 −0.1 0 0.1 0.2 −5 0 5 10 τ R X ( τ ) −2 −1 0 1 2 x 10 −3 −5 0 5 10 τ R X ( τ ) (a) W = 10 (b) W = 1000 Figure 6: The autocorrelation R X (τ) and power spectral density S X ( f ) for process X(t ) in Quiz 11.5. Quiz 11.3 By Theorem 11.8, Y = ¸ Y 33 Y 34 Y 35 ¸ is a Gaussian random vector since X n is a Gaussian random process. Moreover, by Theorem 11.5, each Y n has expected value E[Y n ] = µ X ¸ n=−∞ h n = 0. Thus E[Y] = 0. Fo ﬁnd the PDF of the Gaussian vector Y, we need to ﬁnd the covariance matrix C Y , which equals the correlation matrix R Y since Y has zero expected value. One way to ﬁnd the R Y is to observe that R Y has the Toeplitz structure of Theorem 11.6 and to use Theorem 11.5 to ﬁnd the autocorrelation function R Y [n] = ¸ i =−∞ ¸ j =−∞ h i h j R X [n +i − j ]. (1) Despite the fact that R X [k] is an impulse, using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n +i − j = 0. In this problem, it is simpler to observe that Y = HX where X = ¸ X 30 X 31 X 32 X 33 X 34 X 35 ¸ (2) and H = 1 4 1 1 1 1 0 0 0 1 1 1 1 0 0 0 1 1 1 1 . (3) In this case, following Theorem 11.7, or by directly applying Theorem 5.13 with µ X = 0 and A = H, we obtain R Y = HR X H . Since R X [n] = δ n , R X = I, the identity matrix. 68 Thus C Y = R Y = HH = 1 16 4 3 2 3 4 3 2 3 4 . (4) It follows (very quickly if you use MATLAB for 3 ×3 matrix inversion) that C −1 Y = 16 7/12 −1/2 1/12 −1/2 1 −1/2 1/12 −1/2 7/12 . (5) Thus, the PDF of Y is f Y (y) = 1 (2π) 3/2 [det (C Y )] 1/2 exp 1 2 y C −1 Y y . (6) A disagreeable amount of algebra will show det(C Y ) = 3/1024 and that the PDF can be “simpliﬁed” to f Y (y) = 16 3 exp ¸ −8 7 12 y 2 33 + y 2 34 + 7 12 y 2 35 − y 33 y 34 + 1 6 y 33 y 35 − y 34 y 35 ¸ . (7) Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution is that y C −1 Y y is a very concise representation of the cross-terms in the exponent of f Y (y). Quiz 11.4 This quiz is solved using Theorem 11.9 for the case of k = 1 and M = 2. In this case, X n = ¸ X n−1 X n ¸ and R X n = ¸ R X [0] R X [1] R X [1] R X [0] ¸ = ¸ 1.1 0.9 0.9 1.1 ¸ (1) and R X n X n+1 = E ¸¸ X n−1 X n ¸ X n+1 ¸ = ¸ R X [2] R X [1] ¸ = ¸ 0.81 0.9 ¸ . (2) The MMSE linear ﬁrst order ﬁlter for predicting X n+1 at time n is the ﬁlter h such that ←− h = R −1 X n R X n X n+1 = ¸ 1.1 0.9 0.9 1.1 ¸ −1 ¸ 0.81 0.9 ¸ = 1 400 ¸ 81 261 ¸ . (3) It follows that the ﬁlter is h = ¸ 261/400 81/400 ¸ and the MMSE linear predictor is ˆ X n+1 = 81 400 X n−1 + 261 400 X n . (4) to ﬁnd the mean square error, one approach is to follow the method of Example 11.13 and to directly calculate e L = E ¸ (X n+1 ˆ X n+1 ) 2 ¸ . (5) 69 This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters. Instead, we can derive the mean square error for an arbitary prediction ﬁlter h. Since ˆ X n+1 = ←− h X n , e L = E ¸ X n+1 ←− h X n 2 ¸ (6) = E ¸ (X n+1 ←− h X n )(X n+1 ←− h X n ) ¸ (7) = E ¸ (X n+1 ←− h X n )(X n+1 −X n ←− h ) ¸ (8) After a bit of algebra, we obtain e L = R X [0] −2 ←− h R X n X n+1 + ←− h R X n ←− h (9) (10) with the substitution ←− h = R −1 X n R X n X n+1 , we obtain e L = R X [0] −R X n X n+1 R −1 X n R X n X n+1 (11) = R X [0] − ←− h R X n X n+1 (12) Note that this is essentially the same result as Theorem 9.7 with Y = X n , X = X n+1 and ˆ a = ←− h . It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9.7 by using the orthoginality property of the LMSE estimator. In any case, the mean square error is e L = R X [0] − ←− h R X n X n+1 = 1.1 − 1 400 ¸ 81 261 ¸ ¸ 0.81 0.9 ¸ = 506 1451 = 0.3487. (13) recalling that the blind estimate would yield a mean square error of Var[X] = 1.1, we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 . Quiz 11.5 (1) By Theorem 11.13(b), the average power of X(t ) is E ¸ X 2 (t ) ¸ = −∞ S X ( f ) d f = W −W 5 W d f = 10 Watts (1) (2) The autocorrelation function is the inverse Fourier transform of S X ( f ). Consulting Table 11.1, we note that S X ( f ) = 10 1 2W rect f 2W (2) It follows that the inverse transform of S X ( f ) is R X (τ) = 10 sinc(2Wτ) = 10 sin(2πWτ) 2πWτ (3) (3) For W = 10 Hz and W = 1 kHZ, graphs of S X ( f ) and R X (τ) appear in Figure 6. 70 Quiz 11.6 In a sampled system, the discrete time impulse δ[n] has a ﬂat discrete Fourier transform. That is, if R X [n] = 10δ[n], then S X (φ) = ¸ n=−∞ 10δ[n]e −j 2πφn = 10 (1) Thus, R X [n] = 10δ[n]. (This quiz is really lame!) Quiz 11.7 Since Y(t ) = X(t −t 0 ), R XY (t, τ) = E [X(t )Y(t +τ)] = E [X(t )X(t +τ −t 0 )] = R X (τ −t 0 ) (1) We see that R XY (t, τ) = R XY (τ) = R X (τ − t 0 ). From Table 11.1, we recall the prop- erty that g(τ − τ 0 ) has Fourier transform G( f )e −j 2π f τ 0 . Thus the Fourier transform of R XY (τ) = R X (τ −t 0 ) = g(τ −t 0 ) is S XY ( f ) = S X ( f )e −j 2π f t 0 . (2) Quiz 11.8 We solve this quiz using Theorem 11.17. First we need some preliminary facts. Let a 0 = 5,000 so that R X (τ) = 1 a 0 a 0 e −a 0 |τ| . (1) Consulting with the Fourier transforms in Table 11.1, we see that S X ( f ) = 1 a 0 2a 2 0 a 2 0 +(2π f ) 2 = 2a 0 a 2 0 +(2π f ) 2 (2) The RC ﬁlter has impulse response h(t ) = a 1 e −a 1 t u(t ), where u(t ) is the unit step function and a 1 = 1/RC where RC = 10 −4 is the ﬁlter time constant. From Table 11.1, H( f ) = a 1 a 1 + j 2π f (3) (1) Theorem 11.17, S XY ( f ) = H( f )S X ( f ) = 2a 0 a 1 [a 1 + j 2π f ] ¸ a 2 0 +(2π f ) 2 ¸. (4) (2) Again by Theorem 11.17, S Y ( f ) = H ( f )S XY ( f ) = |H( f )| 2 S X ( f ). (5) 71 Note that |H( f )| 2 = H( f )H ( f ) = a 1 (a 1 + j 2π f ) a 1 (a 1 − j 2π f ) = a 2 1 a 2 1 +(2π f ) 2 (6) Thus, S Y ( f ) = |H( f )| 2 S X ( f ) = 2a 0 a 2 1 ¸ a 2 1 +(2π f ) 2 ¸ ¸ a 2 0 +(2π f ) 2 ¸ (7) (3) To ﬁnd the average power at the ﬁlter output, we can either use basic calculus and calculate −∞ S Y ( f ) d f directly or we can ﬁnd R Y (τ) as an inverse transform of S Y ( f ). Using partial fractions and the Fourier transform table, the latter method is actually less algebra. In particular, some algebra will show that S Y ( f ) = K 0 a 2 0 +(2π f ) 2 + K 1 a 1 +(2π f ) 2 (8) where K 0 = 2a 0 a 2 1 a 2 1 −a 2 0 , K 1 = −2a 0 a 2 1 a 2 1 −a 2 0 . (9) Thus, S Y ( f ) = K 0 2a 2 0 2a 2 0 a 2 0 +(2π f ) 2 + K 1 2a 2 1 2a 2 1 a 1 +(2π f ) 2 . (10) Consulting with Table 11.1, we see that R Y (τ) = K 0 2a 2 0 a 0 e −a 0 |τ| + K 1 2a 2 1 a 1 e −a 1 |τ| (11) Substituting the values of K 0 and K 1 , we obtain R Y (τ) = a 2 1 e −a 0 |τ| −a 0 a 1 e −a 1 |τ| a 2 1 −a 2 0 . (12) The average power of the Y(t ) process is R Y (0) = a 1 a 1 +a 0 = 2 3 . (13) Note that the input signal has average power R X (0) = 1. Since the RC ﬁlter has a 3dB bandwidth of 10,000 rad/sec and the signal X(t ) has most of its its signal energy below 5,000 rad/sec, the output signal has almost as much power as the input. 72 Quiz 11.9 This quiz implements an example of Equations (11.146) and (11.147) for a system in which we ﬁlter Y(t ) = X(t ) + N(t ) to produce an optimal linear estimate of X(t ). The solution to this quiz is just to ﬁnd the ﬁlter ˆ H( f ) using Equation (11.146) and to calculate the mean square error e L ∗ using Equation (11.147). Comment: Since the text omitted the derivations of Equations (11.146) and (11.147), we note that Example 10.24 showed that R Y (τ) = R X (τ) + R N (τ), R Y X (τ) = R X (τ). (1) Taking Fourier transforms, it follows that S Y ( f ) = S X ( f ) + S N ( f ), S Y X ( f ) = S X ( f ). (2) Now we can go on to the quiz, at peace with the derivations. (1) Since µ N = 0, R N (0) = Var[N] = 1. This implies R N (0) = −∞ S N ( f ) d f = B −B N 0 d f = 2N 0 B (3) Thus N 0 = 1/(2B). Because the noise process N(t ) has constant power R N (0) = 1, decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B. (2) Since R X (τ) = sinc(2Wτ), where W = 5,000 Hz, we see from Table 11.1 that S X ( f ) = 1 10 4 rect f 10 4 . (4) The noise power spectral density can be written as S N ( f ) = N 0 rect f 2B = 1 2B rect f 2B , (5) From Equation (11.146), the optimal ﬁlter is ˆ H( f ) = S X ( f ) S X ( f ) + S N ( f ) = 1 10 4 rect f 10 4 1 10 4 rect f 10 4 + 1 2B rect f 2B . (6) 73 (3) We produce the output ˆ X(t ) by passing the noisy signal Y(t ) through the ﬁlter ˆ H( f ). From Equation (11.147), the mean square error of the estimate is e L = −∞ S X ( f )S N ( f ) S X ( f ) + S N ( f ) d f (7) = −∞ 1 10 4 rect f 10 4 1 2B rect f 2B 1 10 4 rect f 10 4 + 1 2B rect f 2B d f. (8) To evaluate the MSE e L , we need to whether B ≤ W. Since the problem asks us to ﬁnd the largest possible B, let’s suppose B ≤ W. We can go back and consider the case B > W later. When B ≤ W, the MSE is e L = B −B 1 10 4 1 2B 1 10 4 + 1 2B d f = 1 10 4 1 10 4 + 1 2B = 1 1 + 5,000 B (9) To obtain MSE e L ≤ 0.05 requires B ≤ 5,000/19 = 263.16 Hz. Although this completes the solution to the quiz, what is happening may not be obvious. The noise power is always Var[N] = 1 Watt, for all values of B. As B is decreased, the PSD S N ( f ) becomes increasingly tall, but only over a bandwidth B that is decreasing. Thus as B descreases, the ﬁlter ˆ H( f ) makes an increasingly deep and narrow notch at frequencies | f | ≤ B. Two examples of the ﬁlter ˆ H( f ) are shown in Figure 7. As B shrinks, the ﬁlter suppresses less of the signal of X(t ). The result is that the MSE goes down. Finally, we note that we can choose B very large and also achieve MSE e L = 0.05. In particular, when B > W = 5000, S N ( f ) = 1/2B over frequencies | f | < W. In this case, the Wiener ﬁlter ˆ H( f ) is an ideal (ﬂat) lowpass ﬁlter ˆ H( f ) = 1 10 4 1 10 4 + 1 2B | f | < 5,000, 0 otherwise. (10) Thus increasing B spreads the constant 1 watt of power of N(t ) over more bandwidth. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. The mean square error is e L = 5000 −5000 1 10 4 1 2B 1 10 4 + 1 2B d f = 1 2B 1 10 4 + 1 2B = 1 B 5000 +1 (11) In this case, B ≥ 9.5 ×10 4 guarantees e L ≤ 0.05. Quiz 11.10 It is fairly straightforward to ﬁnd S X (φ) and S Y (φ). The only thing to keep in mind is to use fftc to transform the autocorrelation R X [ f ] into the power spectral density S X (φ). The following MATLAB program generates and plots the functions shown in Figure 8 74 −5000 −2000 0 2000 5000 0 0.5 1 f H ( f ) −5000 −2000 0 2000 5000 0 0.5 1 f H ( f ) B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11.9. %mquiz11.m N=32; rx=[2 4 2]; SX=fftc(rx,N); %autocorrelation and PSD stem(0:N-1,abs(sx)); xlabel(’n’);ylabel(’S_X(n/N)’); h2=0.5*[1 1]; H2=fft(h2,N); %impulse/filter response: M=2 SY2=SX.* ((abs(H2)).ˆ2); figure; stem(0:N-1,abs(SY2)); %PSD of Y for M=2 xlabel(’n’);ylabel(’S_{Y_2}(n/N)’); h10=0.1*ones(1,10); H10=fft(h10,N); %impulse/filter response: M=10 SY10=sx.*((abs(H10)).ˆ2); figure; stem(0:N-1,abs(SY10)); xlabel(’n’);ylabel(’S_{Y_{10}}(n/N)’); Relative to M = 2, when M = 10, the ﬁlter H(φ) ﬁlters out almost all of the high frequency components of X(t ). In the context of Example 11.26, the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. As an aside, note that the vectors SX, SY2 and SY10 in mquiz11 should all be real- valued vectors. However, the ﬁnite numerical precision of MATLAB results in tiny imagi- nary parts. Although these imaginary parts have no computational signiﬁcance, they tend to confuse the stem function. Hence, we generate stem plots of the magnitude of each power spectral density. 75 0 5 10 15 20 25 30 35 0 5 10 n S X ( n / N ) 0 5 10 15 20 25 30 35 0 5 10 n S Y 2 ( n / N ) 0 5 10 15 20 25 30 35 0 5 10 n S Y 1 0 ( n / N ) Figure 8: For Quiz 11.10, graphs of S X (φ), S Y (n/N) for M = 2, and S φ (n/N) for M = 10 using an N = 32 point DFT. 76 Quiz Solutions – Chapter 12 Quiz 12.1 The system has two states depending on whether the previous packet was received in error. From the problem statement, we are given the conditional probabilities P ¸ X n+1 = 0|X n = 0 ¸ = 0.99 P ¸ X n+1 = 1|X n = 1 ¸ = 0.9 (1) Since each X n must be either 0 or 1, we can conclude that P ¸ X n+1 = 1|X n = 0 ¸ = 0.01 P ¸ X n+1 = 0|X n = 1 ¸ = 0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0 1 0.01 0.1 0.99 0.9 P = ¸ 0.99 0.01 0.10 0.90 ¸ (3) Quiz 12.2 From the problem statement, the Markov chain and the transition matrix are 0 1 1 0.6 0.2 0.2 0.6 0.4 0.6 0.4 P = 0.4 0.6 0 0.2 0.6 0.2 0 0.6 0.4 (1) The eigenvalues of P are λ 1 = 0 λ 2 = 0.4 λ 3 = 1 (2) We can diagonalize P into P = S −1 DS = −0.6 0.5 1 0.4 0 1 −0.6 −0.5 1 λ 1 0 0 0 λ 2 0 0 0 λ 3 −0.5 1 −0.5 1 0 −1 0.2 0.6 0.2 (3) where s i , the i th row of S, is the left eigenvector of P satisfying s i P = λ i s i . Algebra will verify that the n-step transition matrix is P n = S −1 D n S = 0.2 0.6 0.2 0.2 0.6 0.2 0.2 0.6 0.2 +(0.4) n 0.5 0 −0.5 0 0 0 −0.5 0 0.5 (4) Quiz 12.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 2 0 1 0.9 0.1 1 1 P = 0.9 0.1 0 0 0 1 1 0 0 (1) With π = ¸ π 0 π 1 π 2 ¸ , the system of equations π = π P yields π 1 = 0.1π 0 and π 2 = π 1 . This implies π 0 1 2 = π 0 (1 +0.1 +0.1) = 1 (2) It follows that the limiting state probabilities are π 0 = 5/6, π 1 = 1/12, π 2 = 1/12. (3) Quiz 12.4 The communicating classes are C 1 = {0, 1} C 2 = {2, 3} C 3 = {4, 5, 6} (1) The states in C 1 and C 3 are aperiodic. The states in C 2 have period 2. Once the system enters a state in C 1 , the class C 1 is never left. Thus the states in C 1 are recurrent. That is, C 1 is a recurrent class. Similarly, the states in C 3 are recurrent. On the other hand, the states in C 2 are transient. Once the system exits C 2 , the states in C 2 are never reentered. Quiz 12.5 At any time t , the state n can take on the values 0, 1, 2, . . .. The state transition proba- bilities are P n−1,n = P [K > n|K > n −1] = P [K > n] P [K > n −1] (1) P n−1,0 = P [K = n|K > n −1] = P [K = n] P [K > n −1] (2) (3) The Markov chain resembles 0 1 P K=2 [ ] P K= [ 1] 3 4 P K=4 [ ] 2 P K=3 [ ] P K=5 [ ] 1 1 1 1 1 … ... 78 The stationary probabilities satisfy π 0 = π 0 P [K = 1] +π 1 , (4) π 1 = π 0 P [K = 2] +π 2 , (5) . . . π k−1 = π 0 P [K = k] +π k , k = 1, 2, . . . (6) From Equation (4), we obtain π 1 = π 0 (1 − P [K = 1]) = π 0 P [K > 1] (7) Similarly, Equation (5) implies π 2 = π 1 −π 0 P [K = 2] = π 0 (P [K > 1] − P [K = 2]) = π 0 P [K > 2] (8) This suggests that π k = π 0 P[K > k]. We verify this pattern by showing that π k = π 0 P[K > k] satisﬁes Equation (6): π 0 P [K > k −1] = π 0 P [K = k] +π 0 P [K > k] . (9) When we apply ¸ k=0 π k = 1, we obtain π 0 ¸ n=0 P[K > k] = 1. From Problem 2.5.11, we recall that ¸ k=0 P[K > k] = E[K]. This implies π n = P [K > n] E [K] (10) This Markov chain models repeated random countdowns. The system state is the time until the counter expires. When the counter expires, the system is in state 0, and we randomly reset the counter to a new value K = k and then we count down k units of time. Since we spend one unit of time in each state, including state 0, we have k −1 units of time left after the state 0 counter reset. If we have a random variable W such that the PMF of W satisﬁes P W (n) = π n , then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. Quiz 12.6 (1) By inspection, the number of transitions need to return to state 0 is always a multiple of 2. Thus the period of state 0 is d = 2. (2) To ﬁnd the stationary probabilities, we solve the system of equations π = πP and ¸ 3 i =0 π i = 1: π 0 = (3/4)π 1 +(1/4)π 3 (1) π 1 = (1/4)π 0 +(1/4)π 2 (2) π 2 = (1/4)π 1 +(3/4)π 3 (3) 1 = π 0 1 2 3 (4) 79 Solving the second and third equations for π 2 and π 3 yields π 2 = 4π 1 −π 0 π 3 = (4/3)π 2 −(1/3)π 1 = 5π 1 −(4/3)π 0 (5) Substituting π 3 back into the ﬁrst equation yields π 0 = (3/4)π 1 +(1/4)π 3 = (3/4)π 1 +(5/4)π 1 −(1/3)π 0 (6) This implies π 1 = (2/3)π 0 . It follows from the ﬁrst and second equations that π 2 = (5/3)π 0 and π 3 = 2π 0 . Lastly, we choose π 0 so the state probabilities sum to 1: 1 = π 0 1 2 3 = π 0 1 + 2 3 + 5 3 +2 = 16 3 π 0 (7) It follows that the state probabilities are π 0 = 3 16 π 1 = 2 16 π 2 = 5 16 π 3 = 6 16 (8) (3) Since the system starts in state 0 at time 0, we can use Theorem 12.14 to ﬁnd the limiting probability that the system is in state 0 at time nd: lim n→∞ P 00 (nd) = dπ 0 = 3 8 (9) Quiz 12.7 The Markov chain has the same structure as that in Example 12.22. The only difference is the modiﬁed transition rates: 0 1 1 3 4 ( ) 2/3 a 1 - ( ) 2/3 a ( ) 3/4 a 1 - 3/4 ( ) a ( ) 4/5 a 1 - 4/5 ( ) a 2 ( ) 1/2 a 1- 1/2 ( ) a The event T 00 > n occurs if the system reaches state n before returning to state 0, which occurs with probability P [T 00 > n] = 1 × 1 2 α × 2 3 α ×· · · × n −1 n α = 1 n α . (1) Thus the CDF of T 00 satisﬁes F T 00 (n) = 1−P[T 00 > n] = 1−1/n α . To determine whether state 0 is recurrent, we observe that for all α > 0 P [V 00 ] = lim n→∞ F T 00 (n) = lim n→∞ 1 − 1 n α = 1. (2) 80 Thus state 0 is recurrent for all α > 0. Since the chain has only one communicating class, all states are recurrent. ( We also note that if α = 0, then all states are transient.) To determine whether the chain is null recurrent or positive recurrent, we need to calcu- late E[T 00 ]. In Example 12.24, we did this by deriving the PMF P T 00 (n). In this problem, it will be simpler to use the result of Problem 2.5.11 which says that ¸ k=0 P[K > k] = E[K] for any non-negative integer-valued random variable K. Applying this result, the expected time to return to state 0 is E [T 00 ] = ¸ n=0 P [T 00 > n] = 1 + ¸ n=1 1 n α . (3) For 0 < α ≤ 1, 1/n α ≥ 1/n and it follows that E [T 00 ] ≥ 1 + ¸ n=1 1 n = ∞. (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. On the other hand, for α > 1, E [T 00 ] = 2 + ¸ n=2 1 n α . (5) Note that for all n ≥ 2 1 n α n n−1 dx x α (6) This implies E [T 00 ] ≤ 2 + ¸ n=2 n n−1 dx x α (7) = 2 + 1 dx x α (8) = 2 + x −α+1 −α +1 1 = 2 + 1 α −1 < ∞ (9) Thus for all α > 1, the Markov chain is positive recurrent. Quiz 12.8 The number of customers in the ”friendly” store is given by the Markov chain 1 i i+1 p p p ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( ) 1-p q ( ) 1-p q ( ) 1-p q ( ) 1-p q 0 ××× ××× 81 In the above chain, we note that (1 − p)q is the probability that no new customer arrives, an existing customer gets one unit of service and then departs the store. By applying Theorem 12.13 with state space partitioned between S = {0, 1, . . . , i } and S = {i +1, i +2, . . .}, we see that for any state i ≥ 0, π i p = π i +1 (1 − p)q. (1) This implies π i +1 = p (1 − p)q π i . (2) Since Equation (2) holds for i = 0, 1, . . ., we have that π i = π 0 α i where α = p (1 − p)q . (3) Requiring the state probabilities to sum to 1, we have that for α < 1, ¸ i =0 π i = π 0 ¸ i =0 α i = π 0 1 −α = 1. (4) Thus for α < 1, the limiting state probabilities are π i = (1 −α)α i , i = 0, 1, 2, . . . (5) In addition, for α ≥ 1 or, equivalently, p ≥ q/(1 − q), the limiting state probabilities do not exist. Quiz 12.9 The continuous time Markov chain describing the processor is 0 1 2 3.01 3 4 2 3 2 3 2 2 3 0.01 0.01 0.01 Note that q 10 = 3.1 since the task completes at rate 3 per msec and the processor reboots at rate 0.1 per msec and the rate to state 0 is the sum of those two rates. From the Markov chain, we obtain the following useful equations for the stationary distribution. 5.01p 1 = 2p 0 +3p 2 5.01p 2 = 2p 1 +3p 3 5.01p 3 = 2p 2 +3p 4 3.01p 4 = 2p 3 We can solve these equations by working backward and solving for p 4 in terms of p 3 , p 3 in terms of p 2 and so on, yielding p 4 = 20 31 p 3 p 3 = 620 981 p 2 p 2 = 19620 31431 p 1 p 1 = 628, 620 1, 014, 381 p 0 (1) 82 Applying p 0 + p 1 + p 2 + p 3 + p 4 = 1 yields p 0 = 1, 014, 381/2, 443, 401 and the stationary probabilities are p 0 = 0.4151 p 1 = 0.2573 p 2 = 0.1606 p 3 = 0.1015 p 4 = 0.0655 (2) Quiz 12.10 The M/M/c/∞queue has Markov chain c c+1 1 0 λ λ λ λ λ µ 2µ cµ cµ cµ From the Markov chain, the stationary probabilities must satisfy p n = ¸ (ρ/n) p n−1 n = 1, 2, . . . , c (ρ/c) p n−1 n = c +1, c +2, . . . (1) It is straightforward to show that this implies p n = ¸ p 0 ρ n /n! n = 1, 2, . . . , c p 0 (ρ/c) n−c ρ c /c! n = c +1, c +2, . . . (2) The requirement that ¸ n=0 p n = 1 yields p 0 = c ¸ n=0 ρ n /n! + ρ c c! ρ/c 1 −ρ/c −1 (3) 83 Quiz Solutions – Chapter 1 Quiz 1.1 In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated set. M T O M T O M T O (1) R = T c (2) M ∪ O (3) M ∩ O M T O M T O M T O (4) R ∪ M Quiz 1.2 (1) A1 = {vvv, vvd, vdv, vdd} (2) B1 = {dvv, dvd, ddv, ddd} (3) A2 = {vvv, vvd, dvv, dvd} (4) B2 = {vdv, vdd, ddv, ddd} (5) A3 = {vvv, ddd} (6) B3 = {vdv, dvd} (4) R ∩ M (6) T c − M (7) A4 = {vvv, vvd, vdv, dvv, vdd, dvd, ddv} (8) B4 = {ddd, ddv, dvd, vdd} Recall that Ai and Bi are collectively exhaustive if Ai ∪ Bi = S. Also, Ai and Bi are mutually exclusive if Ai ∩ Bi = φ. Since we have written down each pair Ai and Bi above, we can simply check for these properties. The pair A1 and B1 are mutually exclusive and collectively exhaustive. The pair A2 and B2 are mutually exclusive and collectively exhaustive. The pair A3 and B3 are mutually exclusive but not collectively exhaustive. The pair A4 and B4 are not mutually exclusive since dvd belongs to A4 and B4 . However, A4 and B4 are collectively exhaustive. 2 Quiz 1.3 There are exactly 50 equally likely outcomes: s51 through s100 . Each of these outcomes has probability 0.02. (1) P[{s79 }] = 0.02 (2) P[{s100 }] = 0.02 (3) P[A] = P[{s90 , . . . , s100 }] = 11 × 0.02 = 0.22 (4) P[F] = P[{s51 , . . . , s59 }] = 9 × 0.02 = 0.18 (5) P[T ≥ 80] = P[{s80 , . . . , s100 }] = 21 × 0.02 = 0.42 (6) P[T < 90] = P[{s51 , s52 , . . . , s89 }] = 39 × 0.02 = 0.78 (7) P[a C grade or better] = P[{s70 , . . . , s100 }] = 31 × 0.02 = 0.62 (8) P[student passes] = P[{s60 , . . . , s100 }] = 41 × 0.02 = 0.82 Quiz 1.4 We can describe this experiment by the event space consisting of the four possible events V B, V L, D B, and DL. We represent these events in the table: V D L 0.35 ? B ? ? In a roundabout way, the problem statement tells us how to ﬁll in the table. In particular, P [V ] = 0.7 = P [V L] + P [V B] P [L] = 0.6 = P [V L] + P [DL] (1) (2) Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 − 0.35 = 0.25. This allows us to ﬁll in two more table entries: V D L 0.35 0.25 B 0.35 ? The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1. This implies P[D B] = 0.05 and the complete table is V D L 0.35 0.25 B 0.35 0.05 Finding the various probabilities is now straightforward: 3 (1) P[DL] = 0.25 (2) P[D ∪ L] = P[V L] + P[DL] + P[D B] = 0.35 + 0.25 + 0.05 = 0.65. (3) P[V B] = 0.35 (4) P[V ∪ L] = P[V ] + P[L] − P[V L] = 0.7 + 0.6 − 0.35 = 0.95 (5) P[V ∪ D] = P[S] = 1 (6) P[L B] = P[L L c ] = 0 Quiz 1.5 (1) The probability of exactly two voice calls is P [N V = 2] = P [{vvd, vdv, dvv}] = 0.3 (2) The probability of at least one voice call is P [N V ≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] = 6(0.1) + 0.2 = 0.8 An easier way to get the same answer is to observe that P [N V ≥ 1] = 1 − P [N V < 1] = 1 − P [N V = 0] = 1 − P [{ddd}] = 0.8 (4) (2) (3) (1) (3) The conditional probability of two voice calls followed by a data call given that there were two voice calls is 1 P [{vvd} , N V = 2] P [{vvd}] 0.1 = (5) = = P [{vvd} |N V = 2] = P [N V = 2] P [N V = 2] 0.3 3 (4) The conditional probability of two data calls followed by a voice call given there were two voice calls is P [{ddv} , N V = 2] P [{ddv} |N V = 2] = =0 (6) P [N V = 2] The joint event of the outcome ddv and exactly two voice calls has probability zero since there is only one voice call in the outcome ddv. (5) The conditional probability of exactly two voice calls given at least one voice call is P [N V = 2, N V ≥ 1] P [N V = 2] 0.3 3 = = = (7) P [N V = 2|Nv ≥ 1] = P [N V ≥ 1] P [N V ≥ 1] 0.8 8 (6) The conditional probability of at least one voice call given there were exactly two voice calls is P [N V ≥ 1, N V = 2] P [N V = 2] P [N V ≥ 1|N V = 2] = = =1 (8) P [N V = 2] P [N V = 2] Given that there were two voice calls, there must have been at least one voice call. 4 and the ﬁrst call is a data call.96 Finally.8)2 = 0.16.16 P[{vd}] = (0.2)(0. we conﬁrm that the events are independent. Note that this shouldn’t be surprising since we used the information that the calls were independent in the problem statement to determine the probabilities of the outcomes.8 so that P [N V ≥ 1] P [C1 = v] = (0.16 (6) Since P[C1 = d]P[C2 = v] = (0. Just to be sure.16 P[{dd}] = (0.6 In this experiment.80 From part (a). we now can test for the independence of events. N V ≥ 1] which shows the two events are dependent. the events are dependent. vv}] = 0. 5 (7) (5) (4) (3) (2) (1) .68 (8) Thus. C2 = v] = P [{dv}] = 0. (1) First.2)(0.2) = 0. it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B].64)(0. each event has probability P [C2 = v] = P [{dv. we observe that P [N V ≥ 1] = P [{vd. P[C1 = v] = 0.8. P[N V ≥ 1] = 0. C1 = v] Hence. dv. we can do the calculations to check: P [C1 = d.8) = 0. the events are dependent.8)(0. P[C2 = v]P[N V is even] = (0. N V is even] = P [{vv}] = 0. C1 = v] = P [{vd.68) = 0.64 P[{dv}] = (0. we make the comparison P [N V = 2] P [N V ≥ 1] = (0.64 Also. there are four outcomes with probabilities P[{vv}] = (0.96) = P [N V = 2. Since P[C2 = v. P [N V is even] = P [{dd.544. Further. {C2 = v}.Quiz 1. N V is even] = 0.8)(0.544.96.2)2 = 0. vv}] = 0.8) = 0.04 When checking the independence of any two events A and B. Using the probabilities of the outcomes. vv}] = 0. we calculate the probability of the joint event: P [N V = 2. vv}] = 0.96)(0. (3) The problem statement that the calls were independent implies that the events the second call is a voice call. (2) The probability of the joint event is P [N V ≥ 1.64 Next.768 = P [N V ≥ 1. (4) The probability of the joint event is P [C2 = v.8) = 0. N V ≥ 1] = P [N V = 2] = P [{vv}] = 0. {C1 = d} are independent events. 2 The user is found unless all three paging attempts fail.100−k = 100 k 6 k (1 − )100−k (1) . 2 For this problem. there are 8 = 56 code words. Hence.7 Let Fi denote the event that that the user is found on page i.8 (1) We can view choosing each bit in the code word as a subexperiment. The number of ways of choosing such N a code word is M . (4) For the constant ratio code. it is also possible to simply enumerate the six code words: 1100. Each subexperiment has two possible outcomes: 0 and 1. we have two choices. 3 Quiz 1. then the ﬁrst subexperiment of choosing the ﬁrst bit has only one outcome. In this case. For each of the next three bits.2 0.2)3 = 0. the probability of k bits in error and 100 − k correctly received bits is P Sk. The failure probability is = 1 − p and the success probability is 1 − = p. There are 4 = 6 ways to do this. The other N − M bits will be zeroes. (3) When the ﬁrst bit must be a zero. 0110.9 (1) In this problem.Quiz 1. The other two bits then must be ones. there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word. there are six code words with exactly two zeroes. 1001. Thus by the fundamental principle of counting. we can specify a code word by choosing M of the bits to be ones.8 ¨ F2 0. there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. 1010.8 ¨ F1 0.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0. For N = 8 and M = 3.992 (1) Quiz 1.2 0. k bits received in error is the same as k failures in 100 trials. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0. 0101. The tree for the experiment is 0. 0011. (2) An experiment that can yield all possible code words with two zeroes is to choose which 2 bits (out of 4 bits) will be zero. That is. 1:3) (1) (2) (3) For a M ATLAB simulation.99) 2 3 99 (2) (3) (4) (5) = 0.98 = 4950(0.97 = 161. The module works if either 8 chips work or 9 chips work. then X(i)=3. X(i)=1 if ﬂip i was heads. The probability that a chip works is P[C] = pn .3700 9 97 P S2.. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ).100 + P S1.4).01) (0. and X(i)=3) is ﬂip i landed on the edge.For = 0.97 = 0. That is.01)(0. 0. we ﬁrst generate a vector R of 100 random numbers.9)) .9. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.*(R<=0.4.3660 P S1.99)100 = 0. These three cases will have probabilities 0.100 = (1 − )100 = (0. + (2*(R>0.1849 P S3.99) 8 = 0. • If 0. + (3*(R>0. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip.4.0610 (6) Quiz 1.5 and 0. we use the hist function to count how many occurences of each possible value of X(i). Y=hist(X.1.99 + P S2.9 < R(i). Let Ck denote the event that exactly k chips work. • If 0. To see how this works.. Since transistor failures are independent of each other.99) (2) The probability a packet is decoded correctly is just P [C] = P S0.99 = 100(0.4 < R(i) and R(i)<=0.4) .9)). 700(0. Lastly. X(i)=2 if ﬂip i was tails. 7 .01.01) (0.10 Since the chip works only if all n transistors work.98 + P S3. we note there are three cases: • If R(i) <= 0. 8 P [C9 ] = (P [C])9 = p 9n . then X(i)=1. chip failures are also independent.100). X=(R<= 0. P S0. Second. the transistors in the chip are like devices in series. then X(i)=2..11 R=rand(1.9819 = 0.. 2 (1) To ﬁnd c.5 0. with probability p. That is. Now that we have found c.1)(0.Quiz Solutions – Chapter 2 Quiz 2. 0 otherwise (1) (2) If p = 0.11. that is.0 0.24 2. the trial is a success. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0. 3 G 0.1.0387 8 (2) .” Each bit is in error. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1. the remaining parts are straightforward. .3 Decoding each transmitted bit is an independent trial where we call a bit error a “success.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11. we recall that the PMF must sum to 1. (2) P[N = 1] = PN (1) = c = 6/11 (3) P[N ≥ 2] = PN (2) + PN (3) = c/2 + c/3 = 5/11 (4) P[N > 3] = ∞ n=4 PN (n) = 0 Quiz 2.24 2.1 The sample space. (1) The random variable X is the number of trials up to and including the ﬁrst success. 2.9)9 = 0. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2.36 3. Similar to Example 2. . Now we can interpret each experiment in the generic context of independent trials. .5 0. 01)2 (0.3487. FY (y) takes the upper value FY (y0 ).75)9 = 0. P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0. . the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0.1.The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x). This x=10 sum is not too hard to calculate. However.13. 5. 4.99)99 + = 0. However.25.4 Each of these probabilities can be read off the CDF FY (y).15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3.01)2 (0. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly. .910 = 0.9207 100 (0. P[X ≥ 10] = 0. (3) The random variable Y is the number of successes in 100 independent trials. That is. (6) If p = 0. we must keep in + mind that when FY (y) has a discontinuity at y0 .25)3 (0.99)98 = 0.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0.99)100 + 100(0. (1) P[Y < 1] = FY (1− ) = 0 9 .. Just as in Example 2. Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0.99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success.01. .01)(0.0645 2 (10) Quiz 2. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0. Thus Z has the Pascal PMF (see Example 2. 105 PT (t) = 0.5 cents Quiz 2.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0.7 c = 25 PC (c) = 0. a call is a voice call and C = 25.3$$N =1 •T =105 (2) (1)$$ ¨¨$  rr   rr0.6 = 0.7) + 40(0.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0. Otherwise. with probability 0. we can draw the following tree: N =0 •T =120 0.3) = 29.3.5 (1) With probability 0.1¨¨ ¨ ¨ ¨ 0. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T .6 (1) As a function of N .(2) P[Y ≤ 1] = FY (1) = 0.3 t = 75.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0. 90. This corresponds to the PMF ⎧ ⎨ 0.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.8 − 0. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.3 N =2 •T =90 r rr 0. we have a data call and C = 40.7.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).8 = 0 Quiz 2. we can write down the PMF of T : ⎧ ⎨ 0.3) + 120(0.3 N =3 •T =75 From the tree.1) = 62 (2) (3) (4) 10 .8 = 0.

(1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.44 = 0. Quiz 2.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1.Quiz 2.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.3) + 3(0.4) + 22 (0.663.5) = 1.5) = 2.4) + 2(0.8 = g(E[A]).1) = 4.8 (3) Since E[A] = 2.4) + 2(0. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.2) + 4(0.4 − (1.7 (1) Using Deﬁnition 2.1) + 12 (0.3) + 6(0.14.2) + 8(0. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0. E[M] = 4.4) + 4(0. However. (3) 11 .10.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.1) + 1(0. The two quantities are different because g(A) is not of the form α A + β.8 The PMF PN (n) allows to calculate each of the desired quantities.4)2 = 0. g(E[A]) = g(2) = 4.

8 n = 6. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0.005/0. 3. 2.75) + 0. calculating conditional expectations is easy. 5 = 0. 10 ⎩ 0 otherwise (5) Once we have the conditional PMF.2(0. 4.02 n = 1.25) n = 1. 2. . .10 (the law of total probability). . E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0.17.75) + 0.2 n = 1.02(0. 9. 2. 3. . 10 ⎩ 0 otherwise ⎧ ⎨ 0. 2. . 4. 5 n = 6.005)(5) = 0. 4.80 (6) By Theorem 2.155/0. From Theorem 1.9 (1) From the problem statement. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. 4. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0.15625 12 .8 n = 1. 7. 3. .19375 n = 1. 2.19375) + n=6 n(0. . . 4. 7.02(0. . 3. . 7. 8. 2. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0. .00625 n = 6. 5 = 0. 50 = 0(0.155)(5) + (0.Quiz 2.25) ⎩ 0 otherwise ⎧ ⎨ 0. .155 n = 1. 8. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4. 5 = 0. 3. 9.00625) (11) (12) = 3. the conditional PMF of N given the event T is PN |T (n) = 0.005 n = 6. 7. we learn that the conditional PMF of N given the event I is 0.

75684 (16) (17) Quiz 2.10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1. function M=samplemean(k). .i) of M holds a sequence m 1 .5). . plot(K.71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12.10 8 6 4 2 0 0 50 100 10 8 6 4 2 0 0 500 1000 (a) samplemean(100) (b) samplemean(1000) Figure 1: Two examples of the output of samplemean(k) (6) To ﬁnd the conditional variance. M(:. .i)=cumsum(X). M=zeros(k. we ﬁrst ﬁnd the conditional second moment E N 2 |N ≤ 10 = n 5 n 2 PN |N ≤10 (n) 10 (13) n 2 (0.71875 − (3. k. m k ./K. m 2 . . 2. What is observed in these ﬁgures is that for small n. .00625) n=6 = n=1 n (0. K=(1:k)’. . The ith column M(:. Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1.19375) + 2 (14) (15) = 55(0. . Each time samplemean(k) is called produces a random output. .M). m n is fairly random but as n gets 13 .19375) + 330(0. end.00625) = 12.15625)2 = 2. for i=1:5.k).10. X=duniformrv(0.

14 . Although each sequence m 1 .large. the sequences always converges to E[X ]. . This random convergence is analyzed in Chapter 7. . m n gets close to E[X ] = 5. that we generate is random. . m 2 .

5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y).5] = 1 − P[Y ≤ 1.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF.Quiz Solutions – Chapter 3 Quiz 3.5] = 1 − FY (1. To ﬁnd c. λ = 1/2) PDF 0.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 .5)/4 = 5/8 Quiz 3. We will evaluate this integral using integration by parts: ∞ −∞ f X (x) d x = 0 ∞ cxe−x/2 d x ∞ 0 (1) ∞ 0 = −2cxe−x/2 =0 + 2ce−x/2 d x (2) = −4ce−x/2 ∞ 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2.1 The CDF of Y is 1 FY(y) 0.5) = 1 − (1.2 0. we use ∞ the fact that −∞ f X (x) d x = 1. we can calculate the probabilities: (1) P[Y ≤ −1] = FY (−1) = 0 (2) P[Y ≤ 1] = FY (1) = 1/4 (3) P[2 < Y ≤ 3] = FY (3) − FY (2) = 3/4 − 2/4 = 1/4 (4) P[Y > 1.

(2) Note that the above calculation wasn’t really necessary because E[Y ] = 0 whenever the PDF f Y (y) is an even function (i. (3) 16 . FX (x) = 0 x f X (y) dy = 0 x y −y/2 e dy 4 (5) (6) (7) x x 1 y − e−y/2 dy = − e−y/2 − 2 2 0 0 x −x/2 =1− e − e−x/2 2 The complete expression for the CDF is 1 FX(x) 0.(2) To ﬁnd the CDF FX (x). (1) (1) The expected value of Y is E [Y ] = ∞ −∞ y f Y (y) dy = 1 −1 (3/2)y 3 dy = (3/8)y 4 1 −1 = 0. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 .3 The PDF of Y is 3 fY(y) 2 1 0 −2 0 y 2 f Y (y) = 3y 2 /2 −1 ≤ y ≤ 1. f Y (y) = f Y (−y)). 0 otherwise. (4) Similarly. we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0. P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . (9) (10) Quiz 3..5 0 0 5 x 10 15 FX (x) = 1− 0 x 2 + 1 e−x/2 x ≥ 0 otherwise (8) (3) From the CDF FX (x).e. (2) The second moment of Y is E Y2 = ∞ −∞ y 2 f Y (y) dy = 1 −1 (3/2)y 4 dy = (3/10)y 5 1 −1 = 3/5. For x ≥ 0.

5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. We start with the sketches. E[X ] = 1/λ and Var[X ] = 1/λ2 . However. To ﬁnd a and b. f X (x) = 0 otherwise. it is important to remember that as the standard deviation increases. Quiz 3. (5) (z) function and Table 3. fY(y) 0. the peak value of the Gaussian PDF goes down. (4) The standard deviation of Y is σY = Quiz 3. we must have λ = 1/3.2. Since E[X ] = 3 and Var[X ] = 9. 0 otherwise. we apply Theorem 3.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 .4 0. a+b =3 2 Var[X ] = (b − a)2 = 9. √ b = 3 + 3 3. b) random variable.6 to write E [X ] = This implies a + b = 6. (4) (2) We know X is a uniform (a. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). (1) √ Var[Y ] = √ 3/5. 12 (2) √ b − a = ±6 3.(3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3.1 (1) The PDFs of X and Y are shown below. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0.4 (1) When X is an exponential (λ) random variable. The only valid solution with a < b is √ a = 3 − 3 3.

(5) Since Y is Gaussian (0. Quiz 3.5] = Q( 3.5 ) = Q(1. (2) P[X < 1] = FX (1− ) = 1/2. 1). ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1. The resulting PDF is 0. (3) Since Y is Gaussian (0.7 18 .33 × 10−4 . P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0.5 0 −2 (1. P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0.5] = Q(3. (2) Quiz 3.6 The CDF of X is 1 FX(x) 0. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1.5 fX(x) 0. 1).(2) Since X is Gaussian (0. ⎩ 1 x ≥ 1.6826. ⎩ 0 otherwise. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1. (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y).75) = 0 x 2 ⎧ x < −1. P[Y > 3.5) = 2.0401.75) = 1 − 2 0. 2). since X is Gaussian (0. P[X > 3. 2). 2 (4) (1) (2) (4) Again. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2.383.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1.

5 f (y) 1 0. for 0 ≤ x ≤ 2. Thus FY (y) = 0 for y < 0. we obtain the PDF f Y (y). ⎨ 0 2 /4 0 ≤ y < 1. FX (x) = 0 for x < 0.5 0 −1 Y (4) 0 As expected. Lastly. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1].6 . (1) The complete CDF of X is 1 F (x) 0. the complete expression for the CDF of Y is 1 F (y) 0. (4) By taking the derivative of FY (y). Note that when y < 0 or y > 1. (3) (3) Since X is nonnegative.5 0 −1 X 0 1 x 2 3 ⎧ x < 0.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0. because Y ≤ 1. Also. Finally. (5) 0. FY (y) = y−y ⎩ 1 y ≥ 1. Y is also nonnegative. Also.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. 1. Using the CDF FX (x). (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. ⎨ 0 2 /4 0 ≤ x ≤ 2. FX (x) = x−x ⎩ 1 x > 2. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4.(1) Since X is always nonnegative. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . FY (y) = 1 for all y ≥ 1. the PDF is zero. for 0 < y < 1. 19 .

0+exponentialrv(1/3. = otherwise.15.15. (3) (5) From the conditional PDF f Y |Y ≤6 (y). 20 . 2 (5) Quiz 3. if (x>2) t(i+1)=x.1). the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8. x=exponentialrv(lambda. 1/6 0 ≤ y ≤ 6. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9. In this case the command t=2.lambda=1/3. the conditional PDF of Y given Y ≤ 6 is f Y |Y ≤6 (y) = (3) The probability Y > 8 is P [Y > 8] = 8 10 f Y (y) P[Y ≤6] 0 y ≤ 6. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0. = otherwise. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3. 0 otherwise. while (i<m).9 A natural way to produce random variables with PDF f T |T >2 (t) is to generate samples of T with PDF f T (t) and then to discard those samples which fail to satisfy the condition T > 2.(2) From Deﬁnition 3. 1/2 8 < y ≤ 10.m) generates the vector t. then T = T + 2 has PDF f T (t) = f T |T >2 (t). t=zeros(m. 0 otherwise.1).2 . i=i+1. (1) 1 dy = 0. end end A second method exploits the fact that if T is an exponential (λ) random variable. 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 10 (2) (4) From Deﬁnition 3.

(1) FX. y) = P[X ≤ ∞.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ.16 + 0.24 + 0.Y (−∞.12 + 0. (1) The probability that Q = 0 is P [Q = 0] = PQ. 2) = P[X ≤ −∞.1 Each value of the joint CDF can be found by considering the corresponding probability.Y (∞.G (0. 0) + PQ. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.18 + 0. 3) = 0. (3) FX.G (q.24 + 0. g) (4) (5) = 0.Y (∞.06 + 0. This result is given in Theorem 4.12 + 0. 1) = 0. (2) FX. 1) + PQ.16 + 0. (4) FX. Y ≤ −∞] = 0 since Y cannot take on the value −∞.G (0.78 21 .08 = 0.G (q.08 = 0. ∞) = P[X ≤ ∞.G (0.6 (2) The probability that Q = G is P [Q = G] = PQ. 2) + PQ.2 From the joint PMF of Q and G given in the table.Y (∞.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.24 + 0.G (1. g) (6) (7) = 0. Y ≤ ∞] = 1.1. −∞) = P[X ≤ ∞.12 = 0.G (0. Quiz 4. Y ≤ y] = P[Y ≤ y] = FY (y).18 + 0.Quiz Solutions – Chapter 4 Quiz 4. 0) + PQ. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event.G (0.

1 0 0.2 h=0 h=1 0.Quiz 4. b) (1) For each value of h. 2 0 0 2 1 f X. we convert to polar coordinates using the substitutions x = r cos θ .1 0. yielding 2 1 Y P [A] = 0 π/2 0 1 0 1 r 2 sin θ cos θ r dr dθ π/2 0 2 π/2 (5) (6) A 1 X = = r 3 dr ⎛ 1 0 sin θ cos θ dθ ⎞ ⎠ = 1/8 r 4 /4 ⎝ sin θ 2 (7) 0 22 .Y (x. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH.Y (x.4 To ﬁnd the constant c.2 0. b) (2) For each value of b. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X. we write P [A] = A y dy = (c/4)y 2 f X.4 0. To calculate P[A].3.2 0.Y (x. Similarly.6 0. y = r sin θ and d x d y = r dr dθ . this corresponds to calculating the row sum across the table of the joint PMF.4 PH.5 0. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0.B (h.B (h. y) d x d y = =c cx y d x dy y 0 2 0 (1) dy 2 0 x 2 /2 1 0 (2) =c (3) = (c/2) Thus c = 1. the marginal PMF of B is 1 PB (b) = h=−1 PH.3 By Theorem 4.2. this corresponds to the column sum down the table of the joint PMF.2 PB (b) 0. y) d x d y = 1. Speciﬁcally.1 0 0.B (h.3 Quiz 4.1 0. y) d x d y (4) To integrate over A. the marginal PMF of H is PH (h) = b=0.

000 l = 7.Quiz 4. 600 0.10 (T =24) 0.05 t = 180 ⎪ ⎪ ⎪ 0. f X (x) = 0. ⎧ ⎪ 0.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0. 592. 90 ⎪ ⎪ ⎨ 0.Y (x. 400 l = 2.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. For each pair of values of L and B. 776. f X (x) = 6 5 1 0 (x + y 2 ) dy = 6 x y + y 3 /3 5 y=1 y=0 6x + 2 6 = (x + 1/3) = 5 5 (2) The complete expression for the PDf of X is f X (x) = (6x + 2)/5 0 ≤ x ≤ 1 0 otherwise (3) By the same method we obtain the marginal PDF for Y .05 (T =180) 0.Y (x. b) l = 518.05 t = 18 ⎪ ⎪ ⎪ 0. we can calculate the time T needed for the transfer.8. the complete expression for the PDF of Y is f Y (y) = Quiz 4.00 (T =540) b = 21.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table.20 (T =36) 0. We can write these down on the table for the joint PMF of L and B as follows: PL .B (l. y) dy (x + y 2 ) d x = 6 2 x /2 + x y 2 5 x=1 x=0 (4) 6 3 + 6y 2 = (1/2 + y 2 ) = 5 5 (5) 5 0 Since f Y (y) = 0 for y < 0 or y > 1.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) . 000 b = 14. For 0 ≤ x ≤ 1. f Y (y) = = ∞ −∞ 6 1 f X. 800 0.05 (T =18) 0.2 t = 36. writing down the PMF of T is straightforward.1 t = 120 PT (t) = ⎪ 0.10 (T =360) b = 28.5 By Theorem 4. For 0 ≤ y ≤ 1.20 (T =90) 0. 400 0.6 (A) The time required for the transfer is T = L/B. y) dy (1) For x < 0 or x > 1.10 (T =120) 0. the marginal PDF of X is f X (x) = ∞ −∞ f X.

we calculate the CDF FW (w) = P[W ≤ w]. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.25) = 4.15 0. As shown below.25) + 22 (0.2 0.5 0. integrating over the region W ≤ w is fairly complex.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs.3 0. 24 t = 40 0.4 PL (l) 0. W = X Y satisﬁes 0 ≤ W ≤ 1. For 0 < w < 1. we ﬁnd the PDF is ⎧ 0 w<0 d FW (w) ⎨ f W (w) = = − ln w 0 ≤ w ≤ 1 ⎩ dw 0 w>1 Quiz 4.25) = 2. PL . Thus f W (0) = 0 and f W (1) = 1. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.5) + 3(0.5. Speciﬁcally.25 (7) (8) (1) (2) (3) .25) + 2(0.15 0.5. The calculus is simpler if we integrate over the region X Y > w.T (l.1 0.(B) First.1 0.6 t = 60 0. Y 1 w w 1 XY > w FW (w) = 1 − P [X Y > w] =1− =1− 1 1 w w/x 1 w (2) (3) (4) (5) (6) dy dx XY = w X (1 − w/x) d x = 1 − x − w ln x|x=1 x=w = 1 − (1 − w + w ln w) = w − w ln w The complete expression for the CDF is ⎧ w<0 ⎨ 0 FW (w) = w − w ln w 0 ≤ w ≤ 1 ⎩ 1 w>1 By taking the derivative of the CDF. Since the second moment of L is E L 2 = 12 (0.25 0. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.5) + 32 (0.

the covariance of L and T is Cov [L . it is straightforward to calculate the various expectations.1) = 96 (4) From Theorem 4.2) + 3(60)(0.15) + 2(40)(0. 25 .T = 0. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L . f X (x) = ∞ −∞ f X.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0. The second moment of T is E T 2 = 402 (0. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40.(2) The expected value of T is E [T ] = 40(0. T ] = 0.3) + 3(40)(0. the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y).4) = 48. for 0 ≤ y ≤ 2. the correlation coefﬁcient is ρ L .15) + 1(60)(0. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. (11) (B) As in the discrete case.Y (x. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96.1) + 2(60)(0.4) = 2400. For 0 ≤ x ≤ 1.6) + 60(0.6) + 602 (0. f Y (y) = ∞ −∞ f X.Y (x. y) d x = 0 2 xy dx = 1 2 x y 2 x=1 = x=0 y 2 (13) The complete expressions for the marginal PDFs are f X (x) = 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs.16(a).

T (3.T (l. y) d x.T |A (l. 60) = 0. T ) = (3. (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X. (2) The ﬁrst and second moments of Y are E [Y ] = E Y2 4 1 2 y dy = 3 −∞ 0 2 ∞ 2 1 = y 2 f Y (y) dy = y 3 dy = 2 −∞ 0 2 y f Y (y) dy = ∞ 2 (18) (19) The variance of Y is Var[Y ] = E[Y 2 ] − (E[Y ])2 = 2 − 16/9 = 2/9. the correlation coefﬁcient is ρ X. (22) (5) Since Cov[X. 40) and (L . T ) = (2.T (3.T (2. dy 1 0 (20) 2 x3 x y d x. Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X.8 (A) Since the event V > 80 occurs only for the pairs (L . P [A] = P [V > 80] = PL . 60).45 By Deﬁnition 4.9.(1) The ﬁrst and second moments of X are E [X ] = E X2 = ∞ −∞ ∞ −∞ x f X (x) d x = 0 1 2x 2 d x = 1 2 3 1 2 (15) (16) (17) x 2 f X (x) d x = 0 2x 3 d x = The variance of X is Var[X ] = E[X 2 ] − (E[X ])2 = 1/18. 60). Quiz 4. 60) + PL . PL . T ) = (3.t) P[A] (1) 0 lt > 80 otherwise (2) . t) = 26 PL . Y ] = 0.Y (x. 40) + PL . (L .Y = 0.

E [V |A] = l t lt PL .We can represent this conditional PMF in the following table: PL . y) = = f X. y) d x d y = = = 60 40 60 40 60 3 80/y xy dx dy 4000 x2 2 3 (8) dy (9) (10) (11) y 4000 80/y 9 3200 y − 2 y 40 4000 2 9 4 3 = − ln ≈ 0. we ﬁrst calculate the probability of the conditioning event. y) /P [B] (x.T |A (l. t) t = 40 t = 60 l=1 0 0 l=2 0 4/9 1/3 2/9 l=3 The conditional expectation of V can be found from the conditional PMF. t) (3) (4) 1 2 1 4 = (2 · 60) + (3 · 40) + (3 · 60) = 133 9 3 9 3 For the conditional variance Var[V |A].801 8 5 2 dy The conditional PDF of X and Y is f X.Y (x.T |A (l.Y |B (x. t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18. P [B] = B f X. 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) . 400 9 3 9 It follows that Var [V |A] = E V 2 |A − (E [V |A])2 = 622 2 9 (7) (B) For continuous random variables X and Y .T |A (l.Y (x. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60. we ﬁrst ﬁnd the conditional second moment E V 2 |A = l t (lt)2 PL .

where K = (4000P[B])−1 . The conditional expectation of W given event B is E [W |B] = =
∞ ∞ −∞ −∞ 60 3 40

x y f X,Y |B (x, y) d x d y K x 2 y2 d x d y y2 x 3
x=3 x=80/y

(14) (15)

= (K /3) = (K /3)

80/y 60 40 60 40

dy

(16) (17) (18)

27y 2 − 803 /y dy
60 40

= (K /3) 9y 3 − 803 ln y The conditional second moment of K given B is E W 2 |B = =
∞ ∞

≈ 120.78

−∞ −∞ 60 3 40

(x y)2 f X,Y |B (x, y) d x d y K x 3 y3 d x d y y3 x 4
x=3 x=80/y

(19) (20)

= (K /4)

80/y 60 40 60 40

dy

(21) (22) ≈ 16, 116.10 (23)

= (K /4)

81y 3 − 804 /y dy
60 40

= (K /4) (81/4)y 4 − 804 ln y It follows that the conditional variance of W given B is

Var [W |B] = E W 2 |B − (E [W |B])2 ≈ 1528.30 Quiz 4.9

(24)

(A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via PA,B (a, b) = PB|A (b|a)PA (a). Incorporating the information from the given conditional PMFs can be confusing, however. Consequently, we can note that A has range S A = {0, 2} and B has range S B = {0, 1}. A table of the joint PMF will include all four possible combinations of A and B. The general form of the table is PA,B (a, b) b=0 b=1 a=0 PB|A (0|0)PA (0) PB|A (1|0)PA (0) PB|A (0|2)PA (2) PB|A (1|2)PA (2) a=2 28

Substituting values from PB|A (b|a) and PA (a), we have b=0 b=1 PA,B (a, b) a=0 (0.8)(0.4) (0.2)(0.4) (0.5)(0.6) (0.5)(0.6) a=2 or PA,B (a, b) b = 0 b = 1 a=0 0.32 0.08 0.3 0.3 a=2

(2) Given the conditional PMF PB|A (b|2), it is easy to calculate the conditional expectation
1

E [B|A = 2] =
b=0

b PB|A (b|2) = (0)(0.5) + (1)(0.5) = 0.5

(1)

(3) From the joint PMF PA,B (a, b), we can calculate the the conditional PMF ⎧ 0.32/0.62 a = 0 PA,B (a, 0) ⎨ PA|B (a|0) = = 0.3/0.62 a = 2 (2) ⎩ PB (0) 0 otherwise ⎧ ⎨ 16/31 a = 0 = 15/31 a = 2 (3) ⎩ 0 otherwise (4) We can calculate the conditional variance Var[A|B = 0] using the conditional PMF PA|B (a|0). First we calculate the conditional expected value E [A|B = 0] =
a

a PA|B (a|0) = 0(16/31) + 2(15/31) = 30/31

(4)

The conditional second moment is E A2 |B = 0 =
a

a 2 PA|B (a|0) = 02 (16/31) + 22 (15/31) = 60/31 (5)

The conditional variance is then Var[A|B = 0] = E A2 |B = 0 − (E [A|B = 0])2 = (B) (1) The joint PDF of X and Y is f X,Y (x, y) = f Y |X (y|x) f X (x) = (2) From the given conditional PDF f Y |X (y|x), f Y |X (y|1/2) = 29 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 6y 0 ≤ y ≤ x, 0 ≤ x ≤ 1 0 otherwise (7) 960 961 (6)

(3) The conditional PDF of Y given X = 1/2 is f X |Y (x|1/2) = f X,Y (x, 1/2)/ f Y (1/2). To ﬁnd f Y (1/2), we integrate the joint PDF. f Y (1/2) = Thus, for 1/2 ≤ x ≤ 1, f X |Y (x|1/2) = f X,Y (x, 1/2) 6(1/2) =2 = f Y (1/2) 3/2 (10)
∞ −∞

f X,1/2 ( ) d x =

1 1/2

6(1/2) d x = 3/2

(9)

(4) From the pervious part, we see that given Y = 1/2, the conditional PDF of X is uniform (1/2, 1). Thus, by the deﬁnition of the uniform (a, b) PDF, Var [X |Y = 1/2] = Quiz 4.10 (A) (1) For random variables X and Y from Example 4.1, we observe that PY (1) = 0.09 and PX (0) = 0.01. However, PX,Y (0, 1) = 0 = PX (0) PY (1) (1) (1 − 1/2)2 1 = 12 48 (11)

Since we have found a pair x, y such that PX,Y (x, y) = PX (x)PY (y), we can conclude that X and Y are dependent. Note that whenever PX,Y (x, y) = 0, independence requires that either PX (x) = 0 or PY (y) = 0. (2) For random variables Q and G from Quiz 4.2, it is not obvious whether they are independent. Unlike X and Y in part (a), there are no obvious pairs q, g that fail the independence requirement. In this case, we calculate the marginal PMFs from the table of the joint PMF PQ,G (q, g) in Quiz 4.2. PQ,G (q, g) g = 0 g = 1 g = 2 g = 3 PQ (q) q=0 0.06 0.18 0.24 0.12 0.60 0.04 0.12 0.16 0.08 0.40 q=1 PG (g) 0.10 0.30 0.40 0.20 Careful study of the table will verify that PQ,G (q, g) = PQ (q)PG (g) for every pair q, g. Hence Q and G are independent. (B) (1) Since X 1 and X 2 are independent, f X 1 ,X 2 (x1 , x2 ) = f X 1 (x1 ) f X 2 (x2 ) = (1 − x1 /2)(1 − x2 /2) 0 ≤ x1 ≤ 2, 0 ≤ x2 ≤ 2 0 otherwise 30 (2) (3)

(2) Let FX (x) denote the CDF of both X 1 and X 2 . The CDF of Z = max(X 1 , X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. That is, P [Z ≤ z] = P [X 1 ≤ z, X 2 ≤ z] = P [X 1 ≤ z] P [X 2 ≤ z] = [FX (z)]2 (4) (5)

To complete the problem, we need to ﬁnd the CDF of each X i . From the PDF f X (x), the CDF is ⎧ x <0 ⎨ 0 x 2 /4 0 ≤ x ≤ 2 FX (x) = f X (y) dy = (6) x−x ⎩ −∞ 1 x >2 Thus for 0 ≤ z ≤ 2, FZ (z) = (z − z 2 /4)2 (7)

The complete expression for the CDF of Z is ⎧ z<0 ⎨ 0 2 /4)2 0 ≤ z ≤ 2 FZ (z) = (z − z ⎩ 1 z>1

(8)

Quiz 4.11 This problem just requires identifying the various terms in Deﬁnition 4.17 and Theorem 4.29. Speciﬁcally, from the problem statement, we know that ρ = 1/2, µ1 = µ X = 0, and that σ1 = σ X = 1, σ2 = σY = 1. (2) (1) Applying these facts to Deﬁnition 4.17, we have 1 2 2 e−2(x −x y+y )/3 . f X,Y (x, y) = √ 3π 2 (3) µ2 = µY = 0, (1)

(2) By Theorem 4.30, the conditional expected value and standard deviation of X given Y = y are 2 E [X |Y = y] = y/2 σ X = σ1 (1 − ρ 2 ) = 3/4. ˜ (4) When Y = y = 2, we see that E[X |Y = 2] = 1 and Var[X |Y = 2] = 3/4. The conditional PDF of X given Y = 2 is simply the Gaussian PDF 1 2 e−2(x−1) /3 . f X |Y (x|2) = √ 3π/2 (5)

31

2.1)). x) PMF. 1) random variable U . x) PMF via Y = xU .25*ones(4.3. Instead. 4. PX (x) = 1/4 x = 1. 2. we can generate a sample value of Y with a discrete uniform (1. . . we use an alternate approach.px. 3. That is. 32 .*rand(m. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1.1). px=0. and an independent uniform (0.4]. x 0 otherwise (1) Given X = x. given X = x. xy=[x’. PY |X (y|x) = 1/x y = 1. Y has a discrete uniform (1. . 0 otherwise. . Also. First we observe that X has the discrete uniform (1.12 One straightforward method is to follow the approach of Example 4.28. 4) PMF.m).Quiz 4. x=finiterv(sx. y=ceil(x.y’].

2 By deﬁnition of A. x2 ) = 0 unless 0 ≤ x 1 ≤ x2 ≤ 1. . Within these constraints. x2 ) = f X 2 . 2. each Yi must be a strictly positive integer. . Y2 = y2 . (1) (2) (3) x2 x2 0 x3 x1 In particular. X 3 − X 2 = y3 ] = P [X 1 = y1 . we have f X 1 . for y1 . .X 2 (x1 . and that f X 1 . X 2 = y2 + y1 .} 0 otherwise (5) Quiz 5. PY (y) = P [Y1 = y1 .X 3 (x2 . 6 d x2 = 6(x3 − x1 ). the complete expression for the joint PMF of Y is PY (y) = (1 − p) p a y y1 .X 3 (x1 . P [C] = 0 1/2 y2 1/2 y4 dy2 0 1/2 dy1 0 dy4 0 1/2 4dy3 = 1/4. we must keep in mind that f X 1 .X 2 (x1 . x3 ) = f X 1 . 6 d x1 = 6x2 . Thus. X 3 = y3 + y2 + y1 ] = (1 − p)3 p y1 +y2 +y3 (1) (2) (3) (4) By deﬁning the vector a = 1 1 1 .X 3 (x1 .Quiz Solutions – Chapter 5 Quiz 5. y2 .3 First we note that each marginal PDF is nonzero only if any subset of the xi obeys the ordering contraints 0 ≤ x 1 ≤ x2 ≤ x3 ≤ 1. x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X (x) d x3 = f X (x) d x1 = f X (x) d x2 = 1 6 d x3 = 6(1 − x2 ). f X 2 .X 3 (x2 . Since 0 < X 1 < X 2 < X 3 . Y2 = X 2 − X 1 and Y3 = X 3 − X 2 . X 2 − X 1 = y2 . x3 ) = 0 unless 0 ≤ x 1 ≤ 33 . x3 ) = 0 unless 0 ≤ x2 ≤ x3 ≤ 1. . 2. y3 ∈ {1. . . y2 . (1) (2) =4 0 y2 dy2 0 y4 dy4 Quiz 5.}. Y1 = X 1 . Y3 = y3 ] = P [X 1 = y1 .1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. y3 ∈ {1. Speciﬁcally.

Y4 (1) 34 . Y2 W= Y3 .4 In the PDF f Y (y). x3 ) = f X 1 . x3 ) d x2 = 1 x1 1 6(1 − x2 ) d x2 = 3(1 − x1 )2 6x2 d x3 = 6x2 (1 − x2 ) 2 6x2 d x2 = 3x3 (7) (8) (9) x2 x3 0 The complete expressions are f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = 3(1 − x1 )2 0 ≤ x1 ≤ 1 0 otherwise 6x2 (1 − x2 ) 0 ≤ x2 ≤ 1 0 otherwise 2 3x3 0 ≤ x3 ≤ 1 0 otherwise (10) (11) (12) Quiz 5.W (v.X 3 (x2 .X 2 (x1 . 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 . the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 .X 3 (x1 . x3 ) d x3 = f X 2 . x2 ) = f X 2 . w) = 4 0 ≤ v1 ≤ v2 ≤ 1. f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 .X 3 (x2 .X 2 (x1 . When 0 ≤ xi ≤ 1 for each xi . x2 ) d x2 = f X 2 . The complete expressions are f X 1 . x3 ) = 6(1 − x2 ) 0 ≤ x1 ≤ x2 ≤ 1 0 otherwise 6x2 0 ≤ x2 ≤ x3 ≤ 1 0 otherwise 6(x3 − x1 ) 0 ≤ x1 ≤ x3 ≤ 1 0 otherwise (4) (5) (6) Now we can ﬁnd the marginal PDFs.x3 ≤ 1. We can separate these constraints by creating the vectors V= The joint PDF of V and W is f V.X 3 (x2 .

3.W (v. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V. Similarly. f W (w) = = 4(1 − w1 ) dw1 = 2 f V.3. . That is. .6) random variable and X 3 is a binomial (5.1) random variable. X 2 is a binomial (5. 0. A and R. If we view each test as a trial with success probability P[L] = 0.1.3)x1 (0.x2 . p2 = 0.We must verify that V and W are independent. f V (v) = = 0 1 f V. the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 .W (v. 1. In ﬁve trials. Quiz 5. w) dv1 dv2 1 0 1 v1 (6) (7) 4 dv2 dv1 = 2 It follows that V and W have PDFs f V (v) = 2 0 ≤ v1 ≤ v2 ≤ 1 . .6)x2 (0.x3 (0. x3 ∈ {0. 1. PX i (x) = pix (1 − pi )5−x x = 0.W (v. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly. for p1 = 0. 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x). 0. 0. .6 and p3 = 0.19. PX (x) = (1) x1 . for 0 ≤ w1 ≤ w2 ≤ 1. w) = f V (v) f W (w). however it is simpler to just start from ﬁrst principles and observe that X 1 is the number of occurrences of L in ﬁve independent tests. . . we see that X 1 is a binomial (n. . For 0 ≤ v1 ≤ v2 ≤ 1. conﬁrming that V and W are independent vectors. . p) = (5.1)x3 x1 + x2 + x3 = 5. each test is a subexperiment with three possible outcomes: L. x2 . 5 0 otherwise 35 5 x (2) .5 (A) Referring to Theorem 1.3) random variable.

PW (2) = PX (1.From the marginal PMFs. we see that X 1 . PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. we can apply Theorem 5. X 2 = w.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. 2.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . 2. or X 3 = w occurs. 3x 3 d x = 3/4. Quiz 5.6)(0. PW (0) = PW (1) = 0. . w = 4. the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. we must use Theorem 5.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 .3(0. 2) + PX (2.6 to ﬁnd the PMF of W .1)2 + 0.1)] 2!2!1! = 0.6)2 (0. we use 3x(1 − x)2 d x = 1/4. and w = 5. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. We start with 36 .288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0.6)2 (0. for w = 3. we need to ﬁnd E[X i X j ] for all i and j. 1) 5![0. Thus. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X . Furthermore. 1. To do so. X 2 and X 3 are not independent.1458 = (3) (4) (5) In addition. Hence. 6x 2 (1 − x) d x = 1/2. 2) + PX (2.6 We start by ﬁnding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5.32 (0. In particular.32 (0. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative.0802 (B) Since each Yi = 2X i + 4.1)2 + 0. f 3 X 2 2 2 2 (1/8)e−(y3 −4)/2 4 ≤ y1 ≤ y2 ≤ y3 = 0 otherwise (9) (10) (6) (7) (8) Note that for other matrices A.

1/4 3/8 ⎦ = 80 1 2 3 3/8 9/16 (17) (18) . x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5.the second moments: E 2 X1 = 0 1 3x 2 (1 − x)2 d x = 1/10. 1/5 2/5 3/5 Vector X has covariance matrix C X = R X − E [X] E [X] ⎡ ⎤ ⎡ ⎤ 1/10 3/20 1/5 1/4 ⎣3/20 3/10 2/5⎦ − ⎣1/2⎦ = 1/5 2/5 3/5 3/4 ⎡ ⎤ ⎡ 1/10 3/20 1/5 1/16 ⎣3/20 3/10 2/5⎦ − ⎣ 1/8 = 1/5 2/5 3/5 3/16 37 (15) (16) 1/4 1/2 3/4 ⎤ ⎡ ⎤ 3 2 1 1/8 3/16 1 ⎣ 2 4 2⎦ . d x1 d x2 d x1 (7) (8) (9) (10) (11) (12) (13) (14) 6x1 x2 (1 − x2 ) d x2 E [X 2 X 3 ] = 0 1 = E [X 1 X 3 ] = 0 2 4 [3x2 − 3x2 ] d x2 = 2/5 1 x1 1 6x1 x3 (x3 − x1 ) d x3 d x1 . x2 ) . 6x 3 (1 − x) d x = 3/10. (4) (5) (6) 2 E X2 = 2 E X3 = 1 0 1 0 Using marginal PDFs from Quiz 5. X has correlation matrix ⎡ ⎤ 1/10 3/20 1/5 R X = ⎣3/20 3/10 2/5⎦ . Summarizing the results.X 2 (x1 . the cross terms are E [X 1 X 2 ] = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 x1 3 4 [x1 − 3x1 + 2x1 ] d x1 = 3/20.3. 1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 . 3x 4 d x = 3/5.

This problem shows that even for fairly simple joint PDFs.0000 0.00002844263128 0. CT=36. rounds off those probabilities. i.99997155736872 0.16 tells us that Y is a 1 dimensional Gaussian vector.1)/31. p=phi((T-80)/sqrt(CY)).8 First.0000 1. A=ones(31.16.5000 0. Var[Y ] = ACT A . function p=julytemps(T). The expected value of Y is µY = µT = 80. Thus.e.m.7 We observe that X = AZ + b where A= 2 1 .18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = . Since T is a Gaussian random vector. Here is the output of julytemps. 1 −1 b= 2 .0.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1. the ﬁrst two lines generate the 31 × 31 covariance matrix CT. Next we calculate Var[Y ]. 1 −1 1 2 (2) Quiz 5. [D1 D2]=ndgrid((1:31)./(1+abs(D1-D2)). 0 (1) It follows from Theorem 5.99999999922010 0. Its just that the M ATLAB’s short format output. or CT . computing the covariance matrix by calculus can be a time consuming task.50000000000000 0.. Quiz 5. Theorem 5.97792616932396 38 . CY=(A’)*CT*A. by Theorem 5. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 . The ﬁnal step is to use the (·) function to calculate P[Y < T ].9779 1. Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0. just a Gaussian random variable.0221 0.(1:31)). invoked with the command format short. In julytemps.m: >> julytemps([70 75 80 85 90 95]) ans = 0.0000. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ].02207383067604 Columns 5 through 6 0.

0. However. ⎥ . the i. c1 ⎦ . ⎥ ⎢ . in this problem. A=ones(31. . We will see in Chapters 9 and 11 that Toeplitz covariance matrices are quite common.1)/31. CY=(A’)*CT*A. . In fact. C X has a special structure.. jth element is CT (i. c30 · · · c1 c0 (2) This covariance matrix is known as a symmetric Toeplitz matrix.The ndgrid function is a useful to way calculate many covariance matrices. p=phi((T-80)/sqrt(CY))./(1+abs(0:30)). 1 + |i − j| (1) If we write out the elements of the covariance matrix. ⎥.. 39 .. M ATLAB has a toeplitz function for generating them. . . function p=julytemps2(T). ⎢ c1 c0 CT = ⎢ . c=36. j) = c|i− j| = 36 . ⎣ . The function julytemps2 use the toeplitz to generate the correlation matrix CT . .. CT=toeplitz(c). we see that ⎡ ⎤ c0 c1 · · · c30 .

Quiz Solutions – Chapter 6 Quiz 6. . . the PDF of W = X + Y is f W (w) = ∞ −∞ f X (w − y) f Y (y) dy = 6 0 w e−3(w−y) e−2y dy (2) Fortunately. f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0. . . . by Theorem 6. .5)2 = 1. the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. For w > 0. 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n . this integral is easy to evaluate. K n are independent.5n (5) Since the rolls are independent. That is.25 Since E[K i ] = 2.5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. the random variables K 1 . .5. . Hence.5 − (2.25n Quiz 6. .2 Random variables X and Y have PDFs f X (x) = 3e−3x x ≥ 0 0 otherwise f Y (y) = 2e−2y y ≥ 0 0 otherwise (1) (6) (4) (2) (3) Since X and Y are nonnegative. (4) 40 . otherwise. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7. a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0. we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2.3.5.1 Let K 1 . . . W = X + Y is nonnegative. . K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. First. By Theorem 6. the variance of the sum equals the sum of the variances.

8 says the MGF of J is φ J (s) = (φ K (s))m = (2) (B) Since the set of α j X j are independent Gaussian random variables. The ﬁrst derivative of φ K (s) is d φ K (s) = 0.8 (4) (5) (6) (7) = 0.2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0. Thus to ﬁnd the PDF of W .2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To ﬁnd higher-order moments. we continue to take derivatives: E K2 = E K3 E K4 d 2 φ K (s) ds 2 d 3 φ K (s) = ds 3 d 4 φ K (s) = ds 4 = 0.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70. Theorem 6.10 says that W is a Gaussian random variable.2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives. we need only ﬁnd the expected value and variance.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6. Theorem 6. Since the expectation of the sum equals the sum of the expectations: E [W ] = α E [X 1 ] + α 2 E [X 2 ] + · · · + α n E [X n ] = 0 41 (3) .2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0.Quiz 6.4 (A) Each K i has MGF φ K (s) = E es K i = es (1 − ens ) es + e2s + · · · + ens = n n(1 − es ) ems (1 − ens )m n m (1 − es )m (1) Since the sequence of K i is independent.2)esk = 0.

1. we can use Math Fact B.5 (1) From Table 6.Since the α j X j are independent. we see that R has the MGF of an exponential (1/5) random variable.1. R has MGF φ R (s) = φ N (ln φ X (s)) = Substituting the expression for φ X (s) yields φ R (s) = 1 5 1 5 1 5 φ X (s) 1 − 4 φ X (s) 5 (2) −s .6 to write Var[W ] = α 2 − α 2n+2 [1 + n(1 − α 2 )] (1 − α 2 )2 (6) (4) (5) 2 With E[W ] = 0 and σW = Var[W ]. we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. 1 − 4 es 5 (1) From Theorem 6. each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 . the variance of the sum equals the sum of the variances: Var[W ] = α 2 Var[X 1 ] + α 4 Var[X 2 ] + · · · + α 2n Var[X n ] = α 2 + 2(α 2 )2 + 3(α 2 )3 + · · · + n(α 2 )n Deﬁning q = α 2 . (3) (2) From Table 6. 1−s φ N (s) = 1 s 5e . The corresponding PDF is f R (r ) = (1/5)e−r/5 r ≥ 0 0 otherwise (4) This quiz is an example of the general result that a geometric sum of exponential random variables is an exponential random variable.12. 42 .

4013 Note that we used Table 3. we use the central limit theorem and Table 3. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0.1 to look up (0.6 (1) The expected access time is E [X ] = ∞ −∞ x f X (x) d x = 0 12 x d x = 6 msec 12 (1) (2) The second moment of the access time is E X2 = ∞ −∞ x 2 f X (x) d x = 0 12 x2 d x = 48 12 (2) The variance of the access time is Var[X ] = E[X 2 ] − (E[X ])2 = 48 − 36 = 12. we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations.25).Quiz 6.0227 (10) (11) (12) 43 . Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence.9773 = 0. the standard deviation of A is σ A = 12 (5) To use the central limit theorem.5987 = 0. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent. (3) Using X i to denote the access time of block i. (6) (7) (8) (9) (5) (4) (3) (6) Once again.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0.

(3) Using the ordinary central limit theorem and Table 3. we ﬁnd that W has expected value and variance E [W ] = 3/λ = 6 Var[W ] = 3/λ2 = 12 (2) (1) By the Central Limit Theorem.5 − 36 − 3 3 = 2 (2. The arrival time of the third train is W = X 1 + X 2 + X 3. X 3 are iid exponential (λ) random variables.5 − 36 30 − 0.66 × 10−5 √ 12 12 (3) 44 .9545 (4) Since K 48 is a discrete random variable. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3. (2) The variance of K 48 is Var[K 48 ] = 48P [V ] (1 − P [V ]) = 48(3/4)(1/4) = 9 Thus K 48 has standard deviation σ K 48 = 3. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0. λ) random variable.8 The train interarrival times X 1 . (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36.11.9687 (4) (5) Quiz 6.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. (1) In Theorem 6. X 2 .Quiz 6.16666) − 1 = 0. From Appendix A. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x).

Quiz 6.0338 s=7/20 (7) (3) Theorem 3.sy).9 One solution to this problem is to follow the approach of Example 6. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.’\itw’.sy=0:100.SY]=ndgrid(sx.sx).(2) To use the Chernoff bound.19: %unifbinom100.5. px=binomialpmf(100. 3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently. pmfplot(sw.*PY. 45 .py). [PX.sw). the Central Limit Theorem approximation grossly underestimates the true probability. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0.’\itP_W(w)’). PW=PX. it should be apparent that the finitepmf function is implementing the convolution of the two PMFs. A graph of the PMF PW (w) appears in Figure 2 With some thought. [SX.PY]=ndgrid(px. sw=unique(SW).0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12.100.pw. SW=SX+SY. pw=finitepmf(SW. By contrast. we note that the MGF of W is φW (s) = The Chernoff bound states that P [W > 20] ≤ min e−20s φ X (s) = min s≥0 s≥0 λ λ−s 3 = 1 (1 − 2s)3 e−20s (1 − 2s)3 (4) (5) To minimize h(s) = e−20s /(1 − 2s)3 . we set the derivative of h(s) to zero: −20(1 − 2s)3 e−20s + 6e−20s (1 − 2s)2 d h(s) = =0 ds (1 − 2s)6 (6) This implies 20(1 − 2s) = 6 or s = 7/20. py=duniformpmf(0.11 says that for any w > 0.0. it is a valid bound.PW.m sx=0:100. the CDF of the Erlang (λ. for λ = 1/2 and w = 20.sy).

5) random variable and a discrete uniform (0.9.0.008 PW(w) 0. 0.006 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200 Figure 2: From Quiz 6. 46 . 100) random variable.004 0.01 0. the PMF PW (w) of the independent sum of a binomial (100.

2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . Since each X i is uniform (0. µW = E X 2 Var[W ] 100 (1) = 1 −1 1 −1 x 2 f X (x) d x = 1/3 x 4 f X (x) d x = 1/5 (2) (3) E W2 = E X4 = Therefore Var[W ] = E[W 2 ] − µ2 = 1/5 − (1/3)2 = 4/45 and the mean square error is W 4/4500 = 0. 12 Thus E[W ] = 3E[X i ] = 45. Mn (X ) has variance Var[Mn (X )] = 1/n. P [W > 75] = P [W − E [W ] > 30] ≤ P [|W − E [W ]| > 30] ≤ 225 Var [W ] 1 = = 2 900 4 30 (3) (4) E [W ] 45 3 = = 75 75 5 (2) Quiz 7.3 Deﬁne the random variable W = (X − µ X )2 . the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 .1. By Theorem 7. (30 − 0)2 Var [X i ] = = 75. and Var[W ] = 3 Var[X i ] = 225.000889. Observe that V100 (X ) = M100 (W ).6. (1) E [X i ] = 15. Hence. 30).Quiz Solutions – Chapter 7 Quiz 7.1 An exponential random variable with expected value 1 also has variance 1. P [W > 75] ≤ (2) By the Chebyshev inequality. By Theorem 7. (1) By the Markov inequality. we need n = 100 samples. 47 . Thus. Quiz 7.

99 conﬁdence is high. we can use a Gaussian approximation for Mn (X ).58)/ n. n n Note that if M100 (X ) = 0. n n (5) (4) √ For the 0.9 or α ≤ 0. √ This implies c n√ 2. 4 n n The 0. we must satisfy c n ≥ 1.99 conﬁdence interval.5 Following the approach of bernoullitraces. 48 (7) (6) .645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ .65 p(1 − p). Since (x) is an increasing function of x.4.58 p(1 − p). we apply Theorem 7.Quiz 7.95 (3) p(1 − p) √ for every value of p. at time k. then the 0.99 conﬁdence interval estimate is 0.41 c≥ √ = √ . Equivalently.65 0. SinceE[X ] = p and Var[X ] = p(1 − p). the 0.25)(2.995.99 conﬁdence interval estimate is 0.4 Assuming the number n of samples is large. In this case.m.4645. Since p(1 − p) ≤ 1/4 for all p. Quiz 7.1. The program bernoullisample.3355 ≤ p ≤ 0. The interval is wide because the 0.m generates graphs the number of traces within one standard error as a function of the time. we require that ≥ c ≥ (0. OK(k) counts the fraction of sample paths that have sample mean within one standard error of p.13 which says that the interval estimate Mn (X ) − c ≤ p ≤ Mn (X ) + c (1) has conﬁdence coefﬁcient 1 − α where α =2−2 √ c n . each sample path having n = 100 Bernoulli traces.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ .e. i. we must have √ c n ≥ 0.01.41 0. the number of trials in each trace. Since p(1 − p) ≤ 1/4 for all p. implying (c n/( p(1− p))) ≥ 0. we have α ≤ 0. p(1 − p) (2) We must ensure for every value of p that 1 − α ≥ 0.9 conﬁdence interval estimate of p is 0. we generate m = 1000 sample paths.645 0. we require that 1.

though perhaps unexpected. stderrmat=stderr*ones(1./nn. The following graph was generated by bernoullisample(100. stderr=sqrt(p*(1-p)).m).m). nn=(1:n)’*ones(1.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.6 0.9 0. plot(1:n.5.n. the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.0. as m gets large.m*n)./sqrt((1:n)’).m.p).8 0. 49 .5): 1 0.m).function OK=bernoullisample(n.2)/m.’-s’).5 0.5000. The unusual sawtooth pattern. OK=sum(abs(MN-p)<stderrmat. is examined in Problem 7. MN=cumsum(x). x=reshape(bernoullirv(p.2.68.OK.7 0.

the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . otherwise k = 0.7. . (4) Thus if we observe at least 214. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x.01. . That is. . This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214.01 It is straightforward to show that r = − ln 1 − (0. For a signiﬁcance level of α = 0.1 From the problem statement. X 2 ≤ x.2 From the problem statement.01)1/15 = 1. . . let R = {X ≤ r }. then we accept hypothesis H1 . FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a signiﬁcance test. From Theorem 8. if we observe X < 1. · · · . we must choose a rejection region for X .Quiz Solutions – Chapter 8 Quiz 8. This implies that for x ≥ 0. . the MAP and ML tests are the same. otherwise (1) (2) 0 Since the two hypotheses are equally likely.6. . (3) k ∈ A1 otherwise. then we reject the hypothesis. . 1. X 15 ≤ x] = [P [X i ≤ x]]15 . Quiz 8. 976 photons. the CDF of the maximum of X 1 . we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0. the conditional PMFs of K are PK |H0 (k) = PK |H1 (k) = 104k e−10 k! 4 (4) (5) 0 106k e−10 k! 6 k = 0. 50 . ln 100 ∗ k ∈ A1 otherwise. 1. A reasonable choice is to reject the hypothesis if X is too small. 975. . .33 Hence.33. each X i has PDF and CDF f X i (x) = e−x x ≥ 0 0 otherwise FX i (x) = 0 x <0 1 − e−x x ≥ 0 (1) Hence.

FM=[P10(:) P01(:)].2). The modiﬁed program. [XX..3’.m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities. %add N volts. X 2 > 0|H0 ] = P E/2 + N1 > 0. This implies the probability of a correct decision is P[C] = P[C|H0 ]. FM5=sqdistroc(v.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d.T). P10=sum((XX+d*(XX.. FM2=sqdistroc(v. 51 ..d.m.4 To generate the ROC.m. .T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts.1).T). [XX.FM5(:.2.1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.0. P[C|H0 ] = P[C|Hi ] for all i.1’. Given H0 .0. sqdistroc. FM5(:. For a QPSK system. X 2 ) ∈ A j for some j = i.m..2’.FM2(:.2). we have P[C] = 2( E/2σ 2 ).1)/m. ’\it d=0.T).3) ylabel(’P_{MISS}’).m.1. Here is the modiﬁed code: function FM=sqdistroc(v. σ ) random variables.FM1(:.T(:)).1)).T).m. legend(’\it d=0.1).TT]=ndgrid(x. the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0.Quiz 8.1)/m.1). N is Gauss(0. Equivalently.’-k’.T(:)).’--k’.3 For the QPSK system. FM2(:. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m. xlabel(’P_{FA}’). FM1=sqdistroc(v.1). .0. x= -v+randn(m.ˆ2)< TT).2). loglog(FM1(:. the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 . a symbol error occurs when si is transmitted but (X 1 .. E/2 + N2 > 0 (1) Because of the symmetry of the signals. Next. it is easier to calculate the probability of a correct decision. we have √ √ P [C] = P [C|H0 ] = P E/2 + N1 > 0 P E/2 + N2 > 0 (2) √ 2 (3) = P N1 > − E/2 √ 2 − E/2 (4) = 1− σ Since (−x) = 1 − of error is (x)..3.TT]=ndgrid(x. Since N1 and N2 are iid Gaussian (0.ˆ2)>TT).. P01=sum((XX+d*(XX. the program sqdistrocplot. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8. FM=[FM1 FM2 FM5].’\it d=0.’:k’). function FM=sqdistrocplot(v.

100000. sqdistrocplot(3.1:3. the commands T=-3:0. 52 .T). 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.2 d=0.T). sqdistrocplot(3.1 d=0.4 with squared distortion.1:3.To see the effect of d.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0. Figure 3: The receiver operating curve for the communications system of Quiz 8. generated the plot shown in Figure 3.100000.

For 0 ≤ x ≤ 1.Y (x. (3) To obtain the conditional PDF f Y |X (y|x). f X (x) = x 1 2(y + x) dy = y 2 + 2x y y=1 y=x = 1 + 2x − 3x 2 (4) (5) For 0 ≤ x ≤ 1. the conditional PDF of Y given X is f Y |X (y|x) = 2(y+x) 1+2x−3x 2 0 x ≤y≤1 otherwise (6) (4) The MMSE estimate of Y given X = x is y M (x) = E [Y |X = x] = ˆ x 1 2y 2 + 2x y dy 1 + 2x − 3x 2 y=1 y=x (7) (8) (9) 2y 3 /3 + x y 2 = 1 + 2x − 3x 2 = 2 + 3x − 5x 3 3 + 6x − 9x 2 53 . y) = f Y (y) 2 3y + 2x 3y 2 0 0≤x ≤y otherwise (2) (2) The minimum mean square error estimate of X given Y = y is x M (y) = E [X |Y = y] = ˆ 0 y 2x 2 2x + 2 3y 3y d x = 5y/9 (3) ˆ Thus the MMSE estimator of X given Y is X M (Y ) = 5Y /9.Quiz Solutions – Chapter 9 Quiz 9.1 (1) First. we need the marginal PDF f X (x). we calculate the marginal PDF for 0 ≤ y ≤ 1: f Y (y) = 0 y 2(y + x) d x = 2x y + x 2 x=y x=0 = 3y 2 (1) This implies the conditional PDF of X given Y is f X |Y (x|y) = f X.

Quiz 9. The conditional PDF of X given R is 1 2 f X |R (x|r ) = √ e−(x+40+40 log10 r ) /128 128π 54 (1) . ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0. Thus Cov[T. E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT.8.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT.R = √ √ σT Cov [T. the correlation coefﬁcient of T and R is ρT.R ) = 9(1 − 3/4) = 9/4 L 2 σT (5) σR R= 2 2 σT 2 2 σT + σ X R= 3 R 4 (6) (7) Quiz 9.R = σT /σ R .4. R] = Var[T ] = 9. the variance of the sum R = T + X is Var[R] = Var[T ] + Var[X ] = 9 + 3 = 12 (3) Since T and R have expected values E[R] = E[T ] = 0. (4) From Deﬁnition 4.3 When R = r .2 (1) Since the expectation of the sum equals the sum of the expectations. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ]. (6) By Theorem 9. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT.4. Cov [T. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9. R] = E [T R] = E [T (T + X )] = E T 2 + E [T X ] (3) (2) (1) Since T and X are independent and have zero expected value.

This minimum occurs when the exponent is zero. 55 . the MAP estimate of R given X = x is the value of r that maximizes f X. we observe that the joint PDF of X and R is f X. However.6 m. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156. we can use Deﬁnition 9. When x ≤ −156. Setting the derivative of f X.3 dB. That is.3 (0. the MAP estimate is 23. (6) rMAP (x) = arg max f X.R (x. ˆ For the MAP estimate. r ) ˆ 0≤r ≤1000 Note that we have included the constraint r ≤ 1000 in the maximization to highlight the fact that under our probability model.R (x. R ≤ 1000 m. which is not possible in our probability model. the MAP estimate takes into account that the distance can never exceed 1000 m. then rMAP (−120) = 123. Hence.1236)10 (9) For example. r ) = f X |R (x|r ) f R (r ) = 106 32π 1 √ r e−(x+40+40 log10 r ) 2 /128 (5) From Theorem 9.From the conditional PDF f X |R (x|r ).R (x.3 −x/40 x ≥ −156. This reﬂects the fact that large values of R are a priori more probable than small values. the above estimate will exceed 1000 m. for very low signal strengths. This corresponds to a distance estimate of rML (−120) = 100 m.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m.2 to write the ML estimate of R given X = x as rML (x) = arg max f X |R (x|r ) ˆ r ≥0 (2) We observe that f X |R (x|r ) is maximized when the exponent (x + 40 + 40 log10 r )2 is minimized. note that a typical ﬁgure for the signal strength might be x = −120 dB.6% larger than the ML estimate. yielding log10 r = −1 − x/40 or rML (x) = (0. r ) with respect to r to zero yields e−(x+40+40 log10 r ) Solving for r yields r = 10 1 25 log10 e −1 2 /128 1− 80 log10 e (x + 40 + 40 log10 r ) = 0 128 (7) 10−x/40 = (0.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. When the measured signal ˆ strength is not too low.6.R (x. r ). if x = −120dB.

we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = . it follows that b∗ = 0. 0 0. (7) (8) Because X and W are independent. To apply Theorem 9.1 (9) . −0. Y2 ] = E [X 2 Y2 ] = E [X 2 (X 2 + W2 )] = E X 2 = 1 2 2 Var[Y2 ] = Var[X 2 ] + Var[W2 ] = E X 2 + E W2 = 1. 2 Cov [X 2 . we need to ﬁnd RY and RYX 2 . the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 .0909 1.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 .1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0.7. Because µ X 2 = µY2 = 0.1 (6) In terms of Theorem 9. we calculate the correlation coefﬁcient ρ X 2 .7.9 .1 −0.9 .4. Finally. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW .Y2 ) = 1 − L Cov [X 2 .1 (2) (3) It follows that a ∗ = 1/1. E[WX ] = 0.Quiz 9.1 0 .9 1. Thus we can apply Theorem 9. Y2 ] . This implies RY = E XX + E WW = RX + RW = In addition. it follows that E[Y] = 0.9 1 RW = 0. n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 .4 ˆ (1) From Theorem 9. −0. to compute the expected square error. Y2 ] 1 =√ σ X 2 σY2 1. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. Similarly. (1) Because E[X] = E[Y] = 0.1 (4) 1 1 = = 0. Note that X and W have correlation matrices RX = 1 −0. E[XW ] = E[X]E[W ] = 0.7. Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 .1.

5 Since X and W have zero expected value. Thus. the correlation matrix of Y is RY = E YY = E (1X + W)(1 X + W ) = 11 E X 2 + 1E X W + E [WX ] 1 + E WW = 11 + RW Note that 11 is a 20 × 20 matrix with every entry equal to 1. This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. (14) (13) Quiz 9.9 RYX 2 = = . (11) 2 1 E X2 By Theorem 9. Since X and W are independent.725 (12) Therefore. ˆ a = R−1 RYX 2 = Y −0. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0.X 2 = 0. The question we must address is what value c minimizes e∗ .0725. jth entry RW (i. j) = c|i− j|−1 .7. Thus E[X 1 X 2 ] −0. This problem is atypical in that one does not usually get L 57 .225Y1 + 0. Y E[WX ] = 0 and E[X W ] = 0 .725Y2 .X 2 − a2rY2 . by ˆ ˆ ˆ Theorem 9.7. X L (Y) = a Y where a = R−1 RYX . ˆ a = R−1 RYX = 11 + RW Y and the optimal linear estimator is ˆ X L (Y) = 1 11 + RW The mean square error is ˆ e∗ = Var[X ] − a RYX = 1 − 1 11 + RW L −1 −1 −1 (1) (2) (3) (4) 1 (5) Y (6) 1 (7) Now we note that RW has i. Thus. Y also has zero expected value.Since X and W are independent vectors. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 .225 0. By the same reasoning.

However. In this case.5 c 1 As we see in the graph. we write a M ATLAB function mquiz9(c) to calculate the MSE for a given c and second function that ﬁnds plots the MSE for a range of values of c. end plot(c.ylabel(’e_Lˆ*’). >> mquiz9minc(c) ans = 0. function cmin=mquiz9minc(c). xlabel(’c’). v1=ones(20. if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent.8 e* L 0. msec=zeros(size(c)). when c is small. If this argument is not clear. In particular.af]=mquiz9(c). cmin=c(optk). [msec(k). We note that the answer is not obviously apparent from Equation (7).99.af]=mquiz9(c(k)). af=(inv(RY))*v1.ˆ((0:19)-1)). 58 . both small values and large values of c result in large MSE.01:0. we will see that the answer is somewhat instructive.4 0. our 20 measurements will be all the same and one measurement is as good as 20 measurements. function [mse. To ﬁnd the optimal value of c. we observe that Var[Wi ] = RW (i. This would suggest that large values of c will also result in poor MSE.msec).to choose the correlation structure of the noise.4500 1 0.6 0. for k=1:length(c).optk]=min(msec).1). the noises Wi have high variance and we would expect our estimator to be poor. RW=toeplitz(c. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0. mse=1-((v1’)*af). i) = 1/c.01:0. RY=(v1*(v1’)) +RW. [msemin. Note in mquiz9 that v1 corresponds to the vector 1 of all ones. Thus. On the other hand. consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1.2 0 0.

s). . D H . we round the temperature to the nearest degree. .01 950 ≤ r ≤ 1050 0 otherwise (1) The probability that a test produces a 1% resistor is p = P [990 ≤ R ≤ 1010] = 1010 990 (0.3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. the number of calls that hang up during the experiment • D1 . . (2) If at every moment in time. the number of new calls that arrive during the experiment • X 1 . (3) If we sample the process in part (a) every T seconds. . then we obtain a discrete time. then we obtain a continuous time. continuous valued process. the number of ongoing calls at the start of the experiment • N . One choice for an alternate set of random variables that would specify m(t.Quiz Solutions – Chapter 10 Quiz 10. continuous valued process when we record the temperature as a continuous waveform over time. . . . X N . Quiz 10.1 There are many correct answers to this question. discrete valued process. the call completion times of the H calls that hang up Quiz 10. the interarrival times of the N new arrivals • H . discrete valued process.01) dr = 0. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time.2 (1) We obtain a continuous time.2 (2) 59 . . s) is • m(0. A correct answer speciﬁes enough random variables to specify the sample path exactly.

. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1... exactly t resistors are tested. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 . 1) random variable. the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0. . (4) From Theorem 2. . a geometric random variable with success probability p has expected value 1/ p. .8)4 (0. Each resistor is a 1% resistor with probability p.2. . . That is.. E[T1 ] = 1/ p = 5. independent of any other resistor. Hence. the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0.X (n) (x1 . 2. This problem is easy if we view each resistor test as an independent trial. .1. 9 otherwise (4) Since p = 0. . Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10.(2) In t seconds. just as in Example 2. (5) Note that once we ﬁnd the ﬁrst 1% resistor. .08192. .11. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1).5. 1. T2 = T1 + T where T is independent and identically distributed to T1 . . . A success occurs on a trial with probability p if we ﬁnd a 1% resistor. . each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10. In this problem. The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1.2) = 0. t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 . . t − 1 followed by a success on trial t. the number of additional trials needed to ﬁnd the second 1% resistor once again has a geometric PMF with expected value 1/ p since each independent trial is a success with probability p. . Consequently..4 Since each X i is a N (0.

13 states that W (t) − W (s) is Gaussian with expected value E [X (t) − X (s)] = and variance E (W (t) − W (s))2 = E (W (t) − W (s))2 α(t − s) = α α (3) E [W (t) − W (s)] =0 √ α (2) Consider s ≤ s √ t. 61 . . . Quiz 10.M2 (m 1 . W (t) − W (s) is independent of W (s ). 1. . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. . 2. . Thus N (t) is not a Poisson process. Since we count only evennumbered arrival for N (t). the expected number of packets in each hour is E[Mi ] = α = 36.Quiz 10. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec. see Theorem 6. λ) random variable. . the ith interarrival time of the N (t) process. X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. X 2 . the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . Since Yi (t). . 1. Since X 1 and X 2 are independent exponential (λ) random variables. m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. denote the interarrival times of the N (t) process. 000.11. otherwise (1) Since M1 and M2 are independent. 1. . has the same PDF as Y1 (t). . . we look at the interarrival times. . .6 To answer whether N (t) is a Poisson process. Y1 is an Erlang (n = 2. Theorem 3. . Since s ≥ s . X (t) − X (s) is independent of X (s ) for all s ≥ s . This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. . This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. Let X 1 .7 First. That is. we can conclude that the interarrival times of N (t) are not exponential random variables. PM1 . ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0.5 The ﬁrst and second hours are nonoverlapping intervals. we note that for t > s. (2) Quiz 10.

Quiz 10. . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. . ... xm ) Since the random sequence is iid. is a stationary random sequence if for all sets of time instants n 1 .X nm +k (x1 . . X 1 .12: R(τ ) ≥ 0 R(τ ) = R(−τ ) |R(τ )| ≤ R(0) (1) (3) (2) (1) (1) R1 (τ ) = e−|τ | meets all three conditions and thus is valid. .. . f X n1 .14. . . 2 (3) R3 (τ ) = e−τ cos τ is not valid because R3 (−2π ) = e2π cos 2π = e2π > 1 = R3 (0) (4) R4 (τ ) = e−τ sin τ also cannot be an autocorrelation function because 2 (2) R4 (π/2) = e−π/2 sin π/2 = e−π/2 > 0 = R4 (0) (3) 62 ... (2) (3) (4) Quiz 10. .. . . (1) To ﬁnd the autocorrelation. .9 From Deﬁnition 10. Since RY (t. f X n1 ... . ..X nm (x1 . . . E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. τ ) = E[Y (t)Y (t + τ )]. . .. . (2) R2 (τ ) = e−τ also is valid. . . τ ).. we have RY (t. Quiz 10. .. .X nm +k (x1 .. xm ) = f X n1 +k . for time instants n 1 + k. . .X nm (x1 .. X 2 . n m and time offset k. f X n1 +k . τ ) = E [(X (t) + N (t)) (X (t + τ ) + N (t + τ ))] = E [X (t)X (t + τ )] + E [X (t)N (t + τ )] + E [X (t + τ )N (t)] + E [N (t)N (t + τ )] = R X (t... we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. . n m + k. τ ) + R N (t.8 First we ﬁnd the expected value µY (t) = µ X (t) + µ N (t) = µ X (t). .10 We must check whether each function R(τ ) meets the conditions of Theorem 10.

suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation. as t gets larger. we conclude that X (t) and Y (t) are not jointly wide sense stationary. To see why this is.12 From the problem statement.11 (1) The autocorrelation of Y (t) is RY (t. R X Y (t.X (t+1) (x0 . Y (t) = X (−t) and X (t) become less and less correlated. In fact. we can conclude that Y (t) is a wide sense stationary process. Quiz 10. τ ) = E [X (t)Y (t + τ )] = E [X (t)X (−t − τ )] = R X (t − (−t − τ )) = R X (2t + τ ) (4) (5) (6) Since R X Y (t. In this case. we see the same second order statistics. E [X (t)] = E [X (t + 1)] = 0 E [X (t)X (t + 1)] = 1/2 Var[X (t)] = Var[X (t + 1)] = 1 The Gaussian random vector X = X (t) X (t + 1) sponding inverse CX = Since 1 1/2 1/2 1 C−1 = X (1) (2) (3) has covariance matrix and corre- 4 1 −1/2 1 3 −1/2 (4) 4 4 2 1 −1/2 x0 2 x − x0 x+ x1 = 1 x1 3 −1/2 3 0 the joint PDF of X (t) and X (t + 1) is the Gaussian vector PDF x C−1 x = x0 x1 X f X (t). τ ) = E [Y (t)Y (t + τ )] = E [X (−t)X (−t − τ )] = R X (−t − (−t − τ )) = R X (τ ) (1) (2) (3) Since E[Y (t)] = E[X (−t)] = µ X . x1 ) = 1 (2π )n/2 [det (CX )]1/2 1 3π 2 e− 3 2 2 2 x0 −x0 x1 +x1 (5) 1 exp − x C−1 x X 2 (6) (7) =√ 63 . we can check whether they are jointly wide sense stationary by seeing if R X Y (t. In this case. τ ) depends on both t and τ .Quiz 10. we see that by viewing a process backwards in time. (2) Since X (t) and Y (t) are both wide sense stationary processes. τ ) is just a function of τ .

120 100 80 M(t) 60 40 20 0 0 10 20 30 40 50 t 60 70 80 90 100 Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10. do not schedule a departure event. block the arrival. • If the head of schedule event is a departure. Call blocking can be implemented by setting the service time of the call to zero so that the call departs as soon as it arrives. – If M(t) = c. we know the system state cannot change until the next scheduled event. when an arrival occurs at time t. check the state M(t). – If M(t) < c. namely arrivals and departures. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled. we cannot generate these vectors all at once. In particular. when M(t) = c. where Sk is an exponential (λ) random variable. increase the system state n by 1.13.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D.13 The simple structure of the switch simulation of Example 10. an exponential (λ) random variable. we must block the call. With the introduction of call blocking. Delete the head-of-schedule event and go to step 2. at discrete time instances. the number of ongoing calls. and schedule a departure to occur at time t + Sn . The program simply executes the event at the head of the schedule. Schedule the ﬁrst arrival to occur at S1 . we need to know that M(t). Start at time t = 0 with an empty system. The blocking switch is an example of a discrete event system. Examine the head-of-schedule event. reduce the system state n by 1. The logic of such a simulation is 1. 64 . Otherwise. 3. Quiz 10. • When the head-of-schedule event is the kth arrival is at time t. A simulation of the system moves from one time instant to the next by maintaining a chronological schedule of future events (arrivals and departures) to be executed. 2. admit the arrival. satisﬁes M(t) < c = 120. The system evolves via a sequence of discrete events.

0.000 minutes.000 minute simulation. plot(t. 65 .0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability.1:5000. However. The 5.b]=simblockswitch(10. One reason our simulation underestimates the blocking probability is that in a 5. for very complicated systems.0048 and 0. The rest of the gap between 0. we use the vector t as the set of time instances at which we inspect the system state. event(i)=1 if the ith scheduled event is an arrival. Thus this would account for only part of the disparity. In most programming languages.0057. we can calculate that the exact blocking probability is Pb = 0. The complete program is shown in Figure 5. generated a simulation lasting 5.93). Nevertheless.120. When the program is passed a vector t. or event(i)=-1 if the ith scheduled event is a departure.t).Thus we know that M(t) will stay the same until then. we will learn that the exact blocking probability is given by Equation (12.” From the Erlang-B formula. we set m(i) to the current switch state. Thus for all times t(i) between the current head-of-schedule event and the next.1. Chapter 12 develops techniques for analyzing and simulating systems described by Markov chains that are much simpler than the discrete event simulation technique shown here.m). we will learn that the blocking switch is an example of an M/M/c/c queue. it is common to implement the event schedule as a linked list where each item in the list has a data structure indicating an event timestamp and the type of the event. We can estimate the probability a call is blocked as b ˆ = 0. In our simulation. a kind of Markov chain. In this case.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. a result known as the “Erlang-B formula. (1) Pb = a+b In Chapter 12. Note that in Chapter 12. the output [m a b] is such that m(i) is the number of ongoing calls at time t(i) while a and b are the number of admits and blocks. roughly the ﬁrst 100 minutes are needed to load up the switch since the switch is idle when the simulation starts at time t = 0. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. this says that roughly the ﬁrst two percent of the simulation time was unusual.a.0048. In M ATLAB. the discrete event simulation is widely-used and often very efﬁcient simulation method. The following instructions t=0:0. [m. a simple (but not elegant) way to do this is to have maintain two vectors: time is a list of timestamps of scheduled events and event is a the list of event types.

event=[event(b4arrival) 1 event(˜b4arrival)]. tmax=max(t). time(1)= [ ].mu.admits. event(1)=[ ]. %total # admits M=zeros(size(t)). while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n. blocks=0.. %total # blocks admits=0. eventnow=event(1). event=[event(b4depart) -1 event(˜b4depart)]..admits.t). b4depart=time<depart.13..3d Admits %10d Blocks %10d’. n=0. n=n+1. % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam.blocks)). %first event is an arrival timenow=0. end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10. if n<c %call admitted admits=admits+1.c.1).1) ]. % next arrival b4arrival=time<arrival. % # in system time=[ exponentialrv(lam. depart=timenow+exponentialrv(mu. timenow=time(1). immed departure disp(sprintf(’Time %10. time=[time(b4arrival) arrival time(˜b4arrival)].function [M. 66 . timenow.1).blocks]=simblockswitch(lam. else blocks=blocks+1. %one more block. event=[ 1 ]. end elseif (eventnow==-1) %departure n=n-1. time=[time(b4depart) depart time(˜b4depart)].

1 By Theorem 11. RY (τ ) = Hence. The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1. we 2 can double check.Quiz Solutions – Chapter 11 Quiz 11. Just to be safe though. we have RY (τ ) = 0 ∞ e−u e−τ −u du = e−τ 0 ∞ 1 e−2u du = e−τ 2 (3) For τ < 0.2. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ).2 The expected value of the output is ∞ ∞ −τ h(u)h(τ + u) du = ∞ −τ 1 e−u e−τ −u du = eτ 2 (4) (5) µY = µ X n=−∞ h n = 0. 67 . For τ < 0.5(1 + −1) = 0 (1) The autocorrelation of the output is 1 1 RY [n] = i=0 j=0 h i h j R X [n + i − j] 1 n=0 0 otherwise (2) (3) = 2R X [n] − R X [n − 1] − R X [n + 1] = 2 Since µY = 0. 1 RY (τ ) = e−|τ | 2 Quiz 11. the autocorrelation function of the output is RY (τ ) = ∞ −∞ ∞ h(u) −∞ h(v)δ(τ + u − v) dv du = ∞ −∞ h(u)h(τ + u) du (2) For τ > 0. we can deduce that RY (τ ) = 1 e−|τ | by symmetry.

each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0.3 By Theorem 11. Since R X [n] = δn . we need to ﬁnd the covariance matrix CY .x 10 8 0. 68 . Thus E[Y] = 0.6 and to use Theorem 11. Fo ﬁnd the PDF of the Gaussian vector Y.5. the identity matrix.8. we obtain RY = HRX H . Moreover. following Theorem 11. it is simpler to observe that Y = HX where X = X 30 X 31 X 32 X 33 X 34 X 35 and ⎡ ⎤ 1 1 1 1 0 0 1 H = ⎣0 1 1 1 1 0⎦ . (1) Despite the fact that R X [k] is an impulse. 4 0 0 1 1 1 1 (2) (3) In this case. In this problem.7. by Theorem 11. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.2 0 −15 −10 −5 0 f 5 10 15 SX(f) 6 4 2 0 −1500−1000 −500 10 R (τ) 5 0 −5 −2 −1 0 τ 1 x 10 2 −3 0 f 500 1000 1500 10 RX(τ) 5 0 −5 −0. Quiz 11.4 0.1 0. RX = I. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process.5.5 to ﬁnd the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j].13 with µX = 0 and A = H. which equals the correlation matrix RY since Y has zero expected value. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11.2 X (a) W = 10 (b) W = 1000 Figure 6: The autocorrelation R X (τ ) and power spectral density S X ( f ) for process X (t) in Quiz 11.2 −0.1 0 τ 0.6 SX(f) 0. or by directly applying Theorem 5.

the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y . X n+1 = 400 400 (4) to ﬁnd the mean square error. Y 2 (5) (6) A disagreeable amount of algebra will show det(CY ) = 3/1024 and that the PDF can be “simpliﬁed” to 16 7 2 7 2 1 2 y33 + y34 + y35 − y33 y34 + y33 y35 − y34 y35 exp −8 f Y (y) = √ 3 12 12 6 6π .81 81 = . Y Quiz 11.9 h = R−1 RXn X n+1 = Xn 0. X n+1 = Xn 0.Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ .4 This quiz is solved using Theorem 11.81 X n−1 R X [2] = .9 R X [0] R X [1] = 0. 0.9 1. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus.13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .9 for the case of k = 1 and M = 2. In this case. L 69 . CY = RY = HH = 16 2 3 4 (4) It follows (very quickly if you use M ATLAB for 3 × 3 matrix inversion) that ⎡ ⎤ 7/12 −1/2 1/12 1 −1/2⎦ .1 0.1 R X [1] R X [0] 0. (7) Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution is that y C−1 y is a very concise representation of the cross-terms in the exponent of f Y (y).1 0. one approach is to follow the method of Example 11.1 1 0.9 400 261 (3) It follows that the ﬁlter is h = 261/400 81/400 and the MMSE linear predictor is 81 261 ˆ X n−1 + Xn.9 R X [1] −1 (1) (2) The MMSE linear ﬁrst order ﬁlter for predicting X n+1 at time n is the ﬁlter h such that ← − 1. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.9 1.

Consulting Table 11.This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters. the mean square error is 1 506 ← − 0. Instead. we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h.81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.5 (1) By Theorem 11.1. graphs of S X ( f ) and R X (τ ) appear in Figure 6.13(b). (13) L 0. In any case. X = X n+1 and ← − ˆ a = h . we obtain ← − ← − ← − e∗ = R X [0] − 2 h RXn X n+1 + h RXn h L (9) (10) ← − with the substitution h = R−1 RXn X n+1 . e∗ = E L ← − X n+1 − h Xn 2 (6) (7) (8) ← − ← − = E (X n+1 − h Xn )(X n+1 − h Xn ) ← − ← − = E (X n+1 − h Xn )(X n+1 − Xn h ) After a bit of algebra. Quiz 11. Since X n+1 = h Xn .1 − = = 0. we obtain Xn e∗ = R X [0] − RXn X n+1 R−1 RXn X n+1 L Xn ← − = R X [0] − h RXn X n+1 (11) (12) Note that this is essentially the same result as Theorem 9.1. we note that 1 f S X ( f ) = 10 rect (2) 2W 2W It follows that the inverse transform of S X ( f ) is sin(2π W τ ) R X (τ ) = 10 sinc(2W τ ) = 10 (3) 2π W τ (3) For W = 10 Hz and W = 1 kHZ.9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9.3487. the average power of X (t) is E X 2 (t) = ∞ −∞ W −W SX ( f ) d f = 5 d f = 10 Watts W (1) (2) The autocorrelation function is the inverse Fourier transform of S X ( f ).7 with Y = Xn . 70 .7 by using the orthoginality property of the LMSE estimator. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 .

From Table 11.1. a0 Consulting with the Fourier transforms in Table 11. R X [n] = 10δ[n].17. (2) Quiz 11. H( f ) = (1) Theorem 11.17. then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus. That is. (This quiz is really lame!) Quiz 11. From Table 11. 71 (5) 2a0 a1 . τ ) = R X Y (τ ) = R X (τ − t0 ). S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11.6 In a sampled system. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ). 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) .8 We solve this quiz using Theorem 11. Let a0 = 5.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . we see that 2 2a0 1 2a0 SX ( f ) = = 2 2 + (2π f )2 a0 a0 a0 + (2π f )2 (2) The RC ﬁlter has impulse response h(t) = a1 e−a1 t u(t). First we need some preliminary facts.7 Since Y (t) = X (t − t0 ).17. R X Y (t.1.Quiz 11.1. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform. Thus the Fourier transform of R X Y (τ ) = R X (τ − t0 ) = g(τ − t0 ) is S X Y ( f ) = S X ( f )e− j2π f t0 . we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 . τ ) = E [X (t)Y (t + τ )] = E [X (t)X (t + τ − t0 )] = R X (τ − t0 ) (1) We see that R X Y (t. if R X [n] = 10δ[n]. where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant.

000 rad/sec. Using partial fractions and the Fourier transform table. some algebra will show that SY ( f ) = where K0 = Thus. 2 K1 = . In particular. we can either use basic calculus and ∞ calculate −∞ SY ( f ) d f directly or we can ﬁnd RY (τ ) as an inverse transform of SY ( f ). SY ( f ) = 2 2 2a0 a0 + (2π f )2 2a1 a1 + (2π f )2 2 a0 K0 K1 + + (2π f )2 a1 + (2π f )2 2 −2a0 a1 2 2 a1 − a0 (8) 2 2a0 a1 2 a1 − a0 . (12) The average power of the Y (t) process is RY (0) = a1 2 = .1. 72 .000 rad/sec and the signal X (t) has most of its its signal energy below 5. 2 2 2a0 2a1 K0 K1 + 2 . a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 .Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. the output signal has almost as much power as the input. the latter method is actually less algebra. (9) (10) Consulting with Table 11. we see that RY (τ ) = K0 K1 a e−a0 |τ | + 2 a1 e−a1 |τ | 2 0 2a0 2a1 (11) Substituting the values of K 0 and K 1 . SY ( f ) = |H ( f )|2 S X ( f ) = 2 2a0 a1 2 2 a1 + (2π f )2 a0 + (2π f )2 2 a1 a1 a1 = 2 (a1 + j2π f ) (a1 − j2π f ) a1 + (2π f )2 (6) (7) (3) To ﬁnd the average power at the ﬁlter output. Since the RC ﬁlter has a 3dB bandwidth of 10.

4 10 104 (4) The noise power spectral density can be written as S N ( f ) = N0 rect f 2B = 1 f rect 2B 2B . decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B. at peace with the derivations.146) and (11.9 This quiz implements an example of Equations (11. R N (0) = Var[N ] = 1. (2) Since R X (τ ) = sinc(2W τ ). The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11. This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B).000 Hz. (2) RY X (τ ) = R X (τ ). Taking Fourier transforms.147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). (6) 73 .Quiz 11. (1) Now we can go on to the quiz.146). (1) Since µ N = 0.147).146) and to calculate the mean square error e L ∗ using Equation (11. we see from Table 11.147).146) and (11. SY X ( f ) = S X ( f ). the optimal ﬁlter is ˆ H( f ) = SX ( f ) = SX ( f ) + SN ( f ) 1 104 1 104 rect + f 104 1 2B rect f 104 rect f 2B . Comment: Since the text omitted the derivations of Equations (11. we note that Example 10.1 that SX ( f ) = 1 f rect . (5) From Equation (11. where W = 5.24 showed that RY (τ ) = R X (τ ) + R N (τ ). it follows that SY ( f ) = S X ( f ) + S N ( f ). Because the noise process N (t) has constant power R N (0) = 1.

ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5. Since the problem asks us to L ﬁnd the largest possible B. In L particular. for all values of B.05. what is happening may not be obvious.000 B (9) To obtain MSE e∗ ≤ 0. S N ( f ) = 1/2B over frequencies | f | < W . The noise power is always Var[N ] = 1 Watt. the PSD S N ( f ) becomes increasingly tall.5 × 104 guarantees e∗ ≤ 0. the MSE is e∗ L = 1 1 104 2B 1 1 −B 104 + 2B B df = 1 104 1 104 + 1 2B = 1 1+ 5. (8) To evaluate the MSE e∗ . Thus as ˆ B descreases. When B ≤ W . L Although this completes the solution to the quiz. L Quiz 11. In this case.10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ). We can go back and consider the case B > W later. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise.16 Hz. The result is that the MSE goes down. The following M ATLAB program generates and plots the functions shown in Figure 8 74 .000/19 = 263. The only thing to keep in mind is to use fftc to transform the autocorrelation R X [ f ] into the power spectral density S X (φ).05. As B is decreased. we note that we can choose B very large and also achieve MSE e∗ = 0.000.ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ). the mean square error of the estimate is e∗ = L = ∞ −∞ ∞ −∞ S X ( f )S N ( f ) df SX ( f ) + SN ( f ) 1 104 1 104 (7) f 2B f 2B rect f 104 f 104 1 2B rect rect rect + 1 2B d f. Two examples of the ﬁlter H ( f ) are shown in Figure 7. the ﬁlter suppresses less of the signal of X (t). when B > W = 5000. let’s suppose B ≤ W . we need to whether B ≤ W .147). The mean square error is e∗ L = 1 1 104 2B 1 1 −5000 104 + 2B 5000 df = 1 2B 1 104 + 1 2B = 1 B 5000 +1 (11) In this case. As B shrinks. From Equation (11. Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. B ≥ 9. but only over a bandwidth B that is decreasing. Finally.05 requires B ≤ 5.

%PSD of Y for M=2 xlabel(’n’). Although these imaginary parts have no computational signiﬁcance. xlabel(’n’).5*[1 1].*((abs(H10)). H2=fft(h2. xlabel(’n’).abs(sx)).abs(SY10)). the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. rx=[2 4 2].9. %impulse/filter response: M=10 SY10=sx. %impulse/filter response: M=2 SY2=SX. Hence. note that the vectors SX.N). they tend to confuse the stem function.N). figure. stem(0:N-1. we generate stem plots of the magnitude of each power spectral density. H10=fft(h10. %autocorrelation and PSD stem(0:N-1.N). the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts. As an aside. In the context of Example 11.* ((abs(H2)).10).ˆ2). the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t).5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11. However.ˆ2). SX=fftc(rx.5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. figure. %mquiz11. Relative to M = 2.ylabel(’S_{Y_2}(n/N)’).m N=32.ylabel(’S_{Y_{10}}(n/N)’). stem(0:N-1. 75 .1 H(f) 0. h2=0. SY2 and SY10 in mquiz11 should all be realvalued vectors.1*ones(1.ylabel(’S_X(n/N)’). h10=0.26.abs(SY2)). when M = 10.

graphs of S X (φ). 76 .10 SX(n/N) 5 0 0 5 10 15 n 20 25 30 35 10 SY (n/N) 2 5 0 0 5 10 15 n 20 25 30 35 10 SY (n/N) 10 5 0 0 5 10 15 n 20 25 30 35 Figure 8: For Quiz 11. and Sφ (n/N ) for M = 10 using an N = 32 point DFT. SY (n/N ) for M = 2.10.

10 0.01 0.2 Quiz 12.6 0.5 0 −0.5 0.6 0 0.1 1 P= 0. the Markov chain and the transition matrix are ⎡ ⎤ 0.6 P = ⎣0.5 1 −0. the ith row of S.2⎦ + (0.9 P X n+1 = 0|X n = 1 = 0.6 0. is the left eigenvector of P satisfying si P = λi si .6 0. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.99 0.99 0.9 (1) Since each X n must be either 0 or 1.2 From the problem statement.4 0.2 0.4 0. we can conclude that P X n+1 = 1|X n = 0 = 0.6 −0.Quiz Solutions – Chapter 12 Quiz 12.2 0.2 0.2 0.2⎦ 1 0 1 0 0.4 0 0 λ3 0.99 P X n+1 = 1|X n = 1 = 0.01 0.2 0.6 0.4 0.4)n ⎣ 0 (4) −0.6 0.2 0.6 0.6 0.6 0.2 −0.5 −0.2 The eigenvalues of P are λ1 = 0 λ2 = 0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.01 0 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 .6 0. From the problem statement.1 The system has two states depending on whether the previous packet was received in error.4 0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.90 (3) Quiz 12.5 1 (3) where si .2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.5 0 0.5 0.

.1π0 and π2 = π1 . the states in C2 are transient.n = P [K > n|K > n − 1] = Pn−1. 1. the system of equations π = π P yields π1 = 0. 6} (1) π1 = 1/12.1 + 0. the states in C2 are never reentered. .0. The states in C2 have period 2. .9 0. Quiz 12. Similarly.4 The communicating classes are C1 = {0. the class C1 is never left. the state n can take on the values 0.1) = 1 It follows that the limiting state probabilities are π0 = 5/6. Quiz 12. 1 … 78 .. 2. 3} C3 = {4..1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 .9 0. Once the system exits C2 . 1} C2 = {2. C1 is a recurrent class. This implies π0 + π1 + π2 = π0 (1 + 0. the states in C3 are recurrent.0 P [K > n] P [K > n − 1] P [K = n] = P [K = n|K > n − 1] = P [K > n − 1] (1) (2) (3) The Markov chain resembles P[K=5] P[K=4] P[K= 1] P[K=2] P[K=3] 0 1 1 1 2 1 3 1 4 . (3) (2) The states in C1 and C3 are aperiodic. π2 = 1/12.1 0 1 1 1 ⎡ ⎤ 0. 5. . Once the system enters a state in C1 . The state transition probabilities are Pn−1. On the other hand. Thus the states in C1 are recurrent. That is.5 At any time t.

From Problem 2. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . The system state is the time until the counter expires. the number of transitions need to return to state 0 is always a multiple of 2. From Equation (4). and we randomly reset the counter to a new value K = k and then we count down k units of time. we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. including state 0. Thus the period of state 0 is d = 2. Quiz 12. we obtain π0 ∞ P[K > k] = 1. n=0 > k] = E[K ]. π1 = π0 P [K = 2] + π2 . . . (2) To ﬁnd the stationary probabilities. . This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. πk−1 = π0 P [K = k] + πk . Since we spend one unit of time in each state. (6) This suggests that πk = π0 P[K > k]. . 2.11.6 (1) By inspection. When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. . we have k − 1 units of time left after the state 0 counter reset.The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 .5. then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. . We verify this pattern by showing that πk = π0 P[K > k] satisﬁes Equation (6): π0 P [K > k − 1] = π0 P [K = k] + π0 P [K > k] . the system is in state 0. When the counter expires. we solve the system of equations π = πP and 3 i=0 πi = 1: π0 = (3/4)π1 + (1/4)π3 π1 = (1/4)π0 + (1/4)π2 π2 = (1/4)π1 + (3/4)π3 1 = π0 + π1 + π2 + π3 79 (1) (2) (3) (4) . Equation (5) implies π2 = π1 − π0 P [K = 2] = π0 (P [K > 1] − P [K = 2]) = π0 P [K > 2] (8) (7) (4) (5) k = 1.

(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0. Lastly. (1) Thus the CDF of T00 satisﬁes FT00 (n) = 1− P[T00 > n] = 1−1/n α . The only difference is the modiﬁed transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1.(1/2) a 1 1 .(3/4) 1 .22.(2/3) a 1 . It follows from the ﬁrst and second equations that π2 = (5/3)π0 and π3 = 2π0 .7 The Markov chain has the same structure as that in Example 12.Solving the second and third equations for π2 and π3 yields π2 = 4π1 − π0 π3 = (4/3)π2 − (1/3)π1 = 5π1 − (4/3)π0 (5) Substituting π3 back into the ﬁrst equation yields π0 = (3/4)π1 + (1/4)π3 = (3/4)π1 + (5/4)π1 − (1/3)π0 (6) This implies π1 = (2/3)π0 . which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α .14 to ﬁnd the limiting probability that the system is in state 0 at time nd: lim P00 (nd) = dπ0 = 3 8 (9) n→∞ Quiz 12. we can use Theorem 12. we choose π0 so the state probabilities sum to 1: 16 2 5 1 = π0 + π1 + π2 + π3 = π0 1 + + + 2 = π0 (7) 3 3 3 It follows that the state probabilities are π0 = 3 16 π1 = 2 16 π2 = 5 16 π3 = 6 16 (8) (3) Since the system starts in state 0 at time 0. nα (2) 80 . To determine whether state 0 is recurrent. we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1.

1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞.) To determine whether the chain is null recurrent or positive recurrent. nα (3) For 0 < α ≤ 1.Thus state 0 is recurrent for all α > 0. we need to calculate E[T00 ]. then all states are transient. we did this by deriving the PMF PT00 (n). all states are recurrent. ( We also note that if α = 0. ∞ 1 E [T00 ] = 2 + . the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 .8 The number of customers in the ”friendly” store is given by the Markov chain (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) 0 (1-p)q 1 (1-p)q ××× i (1-p)q (1-p)q i+1 ××× 81 . On the other hand. In Example 12. Quiz 12.5.24. it will be simpler to use the result of Problem 2. Applying this result. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. for α > 1. Since the chain has only one communicating class.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . the Markov chain is positive recurrent. In this problem. (5) nα n=2 Note that for all n ≥ 2 1 ≤ nα ∞ n n−1 dx xα (6) This implies E [T00 ] ≤ 2 + =2+ n n=2 n−1 ∞ dx 1 dx xα (7) (8) xα x −α+1 =2+ −α + 1 ∞ =2+ 1 1 <∞ α−1 (9) Thus for all α > 1.

we obtain the following useful equations for the stationary distribution.01 2 3 3 3 4 Note that q10 = 3. . i + 2. . α= (1 − p)q Requiring the state probabilities to sum to 1. we have that for α < 1. equivalently. 620 p0 1. the limiting state probabilities are πi = (1 − α)α i . 1. we have that πi = π0 α i where p .}. ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. . . Quiz 12. the limiting state probabilities do not exist.13 with state space partitioned between S = {0. 014. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. . 2.. we note that (1 − p)q is the probability that no new customer arrives. i} and S = {i + 1. . an existing customer gets one unit of service and then departs the store.01 0. . . . p ≥ q/(1 − q). i = 0. 1−α (4) Thus for α < 1. 1. p3 in terms of p2 and so on. 1.01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 . πi p = πi+1 (1 − p)q. From the Markov chain.01 1 3 0. .01 0. By applying Theorem 12.1 since the task completes at rate 3 per msec and the processor reboots at rate 0. .01 p2 = 2 p1 + 3 p3 3. . we see that for any state i ≥ 0. 381 (1) . This implies πi+1 = p πi .1 per msec and the rate to state 0 is the sum of those two rates. (1 − p)q (1) (2) Since Equation (2) holds for i = 0.01 p1 = 2 p0 + 3 p2 5.In the above chain. (5) In addition. for α ≥ 1 or. .9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. 5.01 p3 = 2 p2 + 3 p4 5.

. 2. c n−c c p0 (ρ/c) ρ /c! n = c + 1. .2573 p2 = 0. 443.4151 p1 = 0. . .10 The M/M/c/∞ queue has Markov chain λ λ λ λ λ (2) 0 µ 1 2µ cµ c cµ c+1 cµ From the Markov chain. 401 and the stationary probabilities are p0 = 0. . c (ρ/c) pn−1 n = c + 1. . .1606 p3 = 0. the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. .0655 Quiz 12. . 2. . c + 2. (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 . .1015 p4 = 0.Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. 381/2. . . 014. . c + 2.