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**A Friendly Introduction for Electrical and Computer Engineers
**

SECOND EDITION

MATLAB Function Reference

Roy D. Yates and David J. Goodman

May 22, 2004

This document is a supplemental reference for MATLAB functions described in the text Prob-

ability and Stochastic Processes: A Friendly Introduction for Electrical and Computer Engineers.

This document should be accompanied by matcode.zip, an archive of the corresponding MAT-

LAB .m ﬁles. Here are some points to keep in mind in using these functions.

• The actual programs can be found in the archive matcode.zip or in a directory matcode.

To use the functions, you will need to use the MATLAB command addpath to add this

directory to the path that MATLAB searches for executable .m ﬁles.

• The matcode archive has both general purpose programs for solving probability problems

as well as speciﬁc .m ﬁles associated with examples or quizzes in the text. This manual

describes only the general purpose .m ﬁles in matcode.zip. Other programs in the archive

are described in main text or in the Quiz Solution Manual.

• The MATLAB functions described here are intended as a supplement the text. The code is

not fully commented. Many comments and explanations relating to the code appear in the

text, the Quiz Solution Manual (available on the web) or in the Problem Solution Manual

(available on the web for instructors).

• The code is instructional. The focus is on MATLAB programming techniques to solve prob-

ability problems and to simulate experiments. The code is deﬁnitely not bulletproof; for

example, input range checking is generally neglected.

• This is a work in progress. At the moment (May, 2004), the homework solution manual has

a number of unsolved homework problems. As these solutions require the development of

additional MATLAB functions, these functions will be added to this reference manual.

• 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, revisions both to this document and the collection of MATLAB func-

tions will be posted.

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Functions for Random Variables

bernoullipmf y=bernoullipmf(p,x)

function pv=bernoullipmf(p,x)

%For Bernoulli (p) rv X

%input = vector x

%output = vector pv

%such that pv(i)=Prob(X=x(i))

pv=(1-p)*(x==0) + p*(x==1);

pv=pv(:);

Input: p is the success probability of a Bernoulli

random variable X, x is a vector of possible

sample values

Output: y is a vector with y(i) = P

X

(x(i)).

bernoullicdf y=bernoullicdf(p,x)

function cdf=bernoullicdf(p,x)

%Usage: cdf=bernoullicdf(p,x)

% For Bernoulli (p) rv X,

%given input vector x, output is

%vector pv such that pv(i)=Prob[X<=x(i)]

x=floor(x(:));

allx=0:1;

allcdf=cumsum(bernoullipmf(p,allx));

okx=(x>=0); %x_i < 1 are bad values

x=(okx.*x); %set bad x_i=0

cdf= okx.*allcdf(x); %zeroes out bad x_i

Input: p is the success probability of

a Bernoulli random variable X,

x is a vector of possible sample

values

Output: y is a vector with y(i) =

F

X

(x(i)).

bernoullirv x=bernoullirv(p,m)

function x=bernoullirv(p,m)

%return m samples of bernoulli (p) rv

r=rand(m,1);

x=(r>=(1-p));

Input: p is the success probability of a

Bernoulli random variable X, m is

a positive integer vector of possible

sample values

Output: x is a vector of m independent

sample values of X

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bignomialpmf y=bignomialpmf(n,p,x)

function pmf=bignomialpmf(n,p,x)

%binomial(n,p) rv X,

%input = vector x

%output= vector pmf: pmf(i)=Prob[X=x(i)]

k=(0:n-1)’;

a=log((p/(1-p))*((n-k)./(k+1)));

L0=n*log(1-p);

L=[L0; L0+cumsum(a)];

pb=exp(L);

% pb=[P[X=0] ... P[X=n]]ˆt

x=x(:);

okx =(x>=0).*(x<=n).*(x==floor(x));

x=okx.*x;

pmf=okx.*pb(x+1);

Input: n and p are the parameters of

a binomial (n, p) random vari-

able X, x is a vector of possible

sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

Comment: This function should al-

ways produce the same output

as binomialpmf(n,p,x);

however, the function calcu-

lates the logarithmof the proba-

bility and thismay lead to small

numerical innaccuracy.

binomialcdf y=binomialcdf(n,p,x)

function cdf=binomialcdf(n,p,x)

%Usage: cdf=binomialcdf(n,p,x)

%For binomial(n,p) rv X,

%and input vector x, output is

%vector cdf: cdf(i)=P[X<=x(i)]

x=floor(x(:)); %for noninteger x(i)

allx=0:max(x);

%calculate cdf from 0 to max(x)

allcdf=cumsum(binomialpmf(n,p,allx));

okx=(x>=0); %x(i) < 0 are zero-prob values

x=(okx.*x); %set zero-prob x(i)=0

cdf= okx.*allcdf(x+1); %zero for zero-prob x(i)

Input: n and p are the pa-

rameters of a bino-

mial (n, p) random

variable X, x is a vec-

tor of possible sample

values

Output: y is a vector with

y(i) = F

X

(x(i)).

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binomialpmf y=binomialpmf(n,p,x)

function pmf=binomialpmf(n,p,x)

%binomial(n,p) rv X,

%input = vector x

%output= vector pmf: pmf(i)=Prob[X=x(i)]

if p<0.5

pp=p;

else

pp=1-p;

end

i=0:n-1;

ip= ((n-i)./(i+1))*(pp/(1-pp));

pb=((1-pp)ˆn)*cumprod([1 ip]);

if pp < p

pb=fliplr(pb);

end

pb=pb(:); % pb=[P[X=0] ... P[X=n]]ˆt

x=x(:);

okx =(x>=0).*(x<=n).*(x==floor(x));

x=okx.*x;

pmf=okx.*pb(x+1);

Input: n and p are the parameters of

a binomial (n, p) random vari-

able X, x is a vector of possible

sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

binomialrv x=binomialrv(n,p,m)

function x=binomialrv(n,p,m)

% m binomial(n,p) samples

r=rand(m,1);

cdf=binomialcdf(n,p,0:n);

x=count(cdf,r);

Input: n and p are the parameters of a binomial ran-

dom variable X, m is a positive integer

Output: x is a vector of m independent samples of

random variable X

bivariategausspdf

function f=bivariategausspdf(muX,muY,sigmaX,sigmaY,rho,x,y)

%Usage: f=bivariategausspdf(muX,muY,sigmaX,sigmaY,rho,x,y)

%Evaluate the bivariate Gaussian (muX,muY,sigmaX,sigmaY,rho) PDF

nx=(x-muX)/sigmaX;

ny=(y-muY)/sigmaY;

f=exp(-((nx.ˆ2) +(ny.ˆ2) - (2*rho*nx.*ny))/(2*(1-rhoˆ2)));

f=f/(2*pi*sigmax*sigmay*sqrt(1-rhoˆ2));

Input: Scalar parameters muX,muY,sigmaX,sigmaY,rho of the bivariate Gaussian PDF, scalars

x and y.

Output: f the value of the bivariate Gaussian PDF at x,y.

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duniformcdf y=duniformcdf(k,l,x)

function cdf=duniformcdf(k,l,x)

%Usage: cdf=duniformcdf(k,l,x)

% For discrete uniform (k,l) rv X

% and input vector x, output is

% vector cdf: cdf(i)=Prob[X<=x(i)]

x=floor(x(:)); %for noninteger x_i

allx=k:max(x);

%allcdf = cdf values from 0 to max(x)

allcdf=cumsum(duniformpmf(k,l,allx));

%x_i < k are zero prob values

okx=(x>=k);

%set zero prob x(i)=k

x=((1-okx)*k)+(okx.*x);

%x(i)=0 for zero prob x(i)

cdf= okx.*allcdf(x-k+1);

Input: k and l are the parameters of

a discrete uniform (k, l) random

variable X, x is a vector of pos-

sible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

duniformpmf y=duniformpmf(k,l,x)

function pmf=duniformpmf(k,l,x)

%discrete uniform(k,l) rv X,

%input = vector x

%output= vector pmf: pmf(i)=Prob[X=x(i)]

pmf= (x>=k).*(x<=l).*(x==floor(x));

pmf=pmf(:)/(l-k+1);

Input: k and l are the parameters

of a discrete uniform (k, l) ran-

dom variable X, x is a vector of

possible sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

duniformrv x=duniformrv(k,l,m)

function x=duniformrv(k,l,m)

%returns m samples of a discrete

%uniform (k,l) random variable

r=rand(m,1);

cdf=duniformcdf(k,l,k:l);

x=k+count(cdf,r);

Input: k and l are the parameters of a discrete

uniform (k, l) random variable X, m is a

positive integer

Output: x is a vector of m independent samples

of random variable X

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erlangb pb=erlangb(rho,c)

function pb=erlangb(rho,c);

%Usage: pb=erlangb(rho,c)

%returns the Erlang-B blocking

%probability for sn M/M/c/c

%queue with load rho

pn=exp(-rho)*poissonpmf(rho,0:c);

pb=pn(c+1)/sum(pn);

Input: Offered load rho (ρ = λ/µ), and

the number of servers c of an M/M/c/c

queue.

Output: pb, the blocking probability of the

queue

erlangcdf y=erlangcdf(n,lambda,x)

function F=erlangcdf(n,lambda,x)

F=1.0-poissoncdf(lambda*x,n-1);

Input: n and lambda are the parameters of an

Erlang random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

).

erlangpdf y=erlangpdf(n,lambda,x)

function f=erlangpdf(n,lambda,x)

f=((lambdaˆn)/factorial(n))...

*(x.ˆ(n-1)).*exp(-lambda*x);

Input: n and lambda are the parameters of an

Erlang random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

) =

λ

n

x

n−1

i

e

−λx

i

/(n − 1)!.

erlangrv x=erlangrv(n,lambda,m)

function x=erlangrv(n,lambda,m)

y=exponentialrv(lambda,m*n);

x=sum(reshape(y,m,n),2);

Input: n and lambda are the parameters of an

Erlang random variable X, integer m

Output: Length m vector x such that each x

i

is a

sample of X

exponentialcdf y=exponentialcdf(lambda,x)

function F=exponentialcdf(lambda,x)

F=1.0-exp(-lambda*x);

Input: lambda is the parameter of an ex-

ponential random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

) =

1 − e

−λx

i

.

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exponentialpdf y=exponentialpdf(lambda,x)

function f=exponentialpdf(lambda,x)

f=lambda*exp(-lambda*x);

f=f.*(x>=0);

Input: lambda is the parameter of an ex-

ponential random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

) =

λe

−λx

i

.

exponentialrv x=exponentialrv(lambda,m)

function x=exponentialrv(lambda,m)

x=-(1/lambda)*log(1-rand(m,1));

Input: lambda is the parameter of an expo-

nential random variable X, integer m

Output: Length m vector x such that each x

i

is a sample of X

finitecdf y=finitecdf(sx,p,x)

function cdf=finitecdf(s,p,x)

% finite random variable X:

% vector sx of sample space

% elements {sx(1),sx(2), ...}

% vector px of probabilities

% px(i)=P[X=sx(i)]

% Output is the vector

% cdf: cdf(i)=P[X=x(i)]

cdf=[];

for i=1:length(x)

pxi= sum(p(find(s<=x(i))));

cdf=[cdf; pxi];

end

Input: sx is the range of a ﬁnite random variable

X, px is the corresponding probability as-

signment, x is a vector of possible sample

values

Output: y is a vector with y(i) = F

X

(x(i)).

finitecoeff rho=finitecoeff(SX,SY,PXY)

function rho=finitecoeff(SX,SY,PXY);

%Usage: rho=finitecoeff(SX,SY,PXY)

%Calculate the correlation coefficient rho of

%finite random variables X and Y

ex=finiteexp(SX,PXY); vx=finitevar(SX,PXY);

ey=finiteexp(SY,PXY); vy=finitevar(SY,PXY);

R=finiteexp(SX.*SY,PXY);

rho=(R-ex*ey)/sqrt(vx*vy);

Input: Grids SX, SY and

probability grid PXY de-

scribing the ﬁnite ran-

dom variables X and Y.

Output: rho, the correlation

coefﬁcient of X and Y

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finitecov covxy=finitecov(SX,SY,PXY)

function covxy=finitecov(SX,SY,PXY);

%Usage: cxy=finitecov(SX,SY,PXY)

%returns the covariance of

%finite random variables X and Y

%given by grids SX, SY, and PXY

ex=finiteexp(SX,PXY);

ey=finiteexp(SY,PXY);

R=finiteexp(SX.*SY,PXY);

covxy=R-ex*ey;

Input: Grids SX, SY and probability grid

PXY describing the ﬁnite random

variables X and Y.

Output: covxy, the covariance of X and

Y.

finiteexp ex=finiteexp(sx,px)

function ex=finiteexp(sx,px);

%Usage: ex=finiteexp(sx,px)

%returns the expected value E[X]

%of finite random variable X described

%by samples sx and probabilities px

ex=sum((sx(:)).*(px(:)));

Input: Probability vector px, vector

of samples sx describing random

variable X.

Output: ex, the expected value E[X].

finitepmf y=finitepmf(sx,p,x)

function pmf=finitepmf(sx,px,x)

% finite random variable X:

% vector sx of sample space

% elements {sx(1),sx(2), ...}

% vector px of probabilities

% px(i)=P[X=sx(i)]

% Output is the vector

% pmf: pmf(i)=P[X=x(i)]

pmf=zeros(size(x(:)));

for i=1:length(x)

pmf(i)= sum(px(find(sx==x(i))));

end

Input: sx is the range of a ﬁnite random

variable X, px is the corresponding

probability assignment, x is a vector

of possible sample values

Output: y is a vector with y(i) =

P[X = x(i)].

finiterv x=finiterv(sx,p,m)

function x=finiterv(s,p,m)

% returns m samples

% of finite (s,p) rv

%s=s(:);p=p(:);

r=rand(m,1);

cdf=cumsum(p);

x=s(1+count(cdf,r));

Input: sx is the range of a ﬁnite random variable X, p

is the corresponding probability assignment, m is

positive integer

Output: x is a vector of m sample values y(i) =

F

X

(x(i)).

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finitevar v=finitevar(sx,px)

function v=finitevar(sx,px);

%Usage: ex=finitevar(sx,px)

% returns the variance Var[X]

% of finite random variables X described by

% samples sx and probabilities px

ex2=finiteexp(sx.ˆ2,px);

ex=finiteexp(sx,px);

v=ex2-(exˆ2);

Input: Probability vector px

and vector of samples

sx describing random

variable X.

Output: v, the variance

Var[X].

gausscdf y=gausscdf(mu,sigma,x)

function f=gausscdf(mu,sigma,x)

f=phi((x-mu)/sigma);

Input: mu and sigma are the parameters of an

Guassian random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

) =

((x

i

− µ)/σ).

gausspdf y=gausspdf(mu,sigma,x)

function f=gausspdf(mu,sigma,x)

f=exp(-(x-mu).ˆ2/(2*sigmaˆ2))/...

sqrt(2*pi*sigmaˆ2);

Input: mu and sigma are the parameters of an

Guassian random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

).

gaussrv x=gaussrv(mu,sigma,m)

function x=gaussrv(mu,sigma,m)

x=mu +(sigma*randn(m,1));

Input: mu and sigma are the parameters of an

Gaussian random variable X, integer m

Output: Length m vector x such that each x

i

is a

sample of X

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gaussvector x=gaussvector(mu,C,m)

function x=gaussvector(mu,C,m)

%output: m Gaussian vectors,

%each with mean mu

%and covariance matrix C

if (min(size(C))==1)

C=toeplitz(C);

end

n=size(C,2);

if (length(mu)==1)

mu=mu*ones(n,1);

end

[U,D,V]=svd(C);

x=V*(Dˆ(0.5))*randn(n,m)...

+(mu(:)*ones(1,m));

Input: For a Gaussian (µ

X

, C

X

) random vector X,

gaussvector can be called in two ways:

• C is the n × n covariance matrix, mu is

either a length n vector, or a length 1

scalar, m is an integer.

• C is the length n vector equal to the ﬁrst

row of a symmetric Toeplitz covariance

matrix C

X

, mu is either a length n vec-

tor, or a length 1 scalar, m is an integer.

If mu is a length n vector, then mu is the ex-

pected value vector; otherwise, each element

of X is assumed to have mean mu.

Output: n × m matrix x such that each column

x(:,i) is a sample vector of X

gaussvectorpdf f=gaussvector(mu,C,x)

function f=gaussvectorpdf(mu,C,x)

n=length(x);

z=x(:)-mu(:);

f=exp(-z’*inv(C)*z)/...

sqrt((2*pi)ˆn*det(C));

Input: For a Gaussian (µ

X

, C

X

) random vec-

tor X, mu is a length n vector, C is the

n × n covariance matrix, x is a length n

vector.

Output: f is the Gaussian vector PDF f

X

(x)

evaluated at x.

geometriccdf y=geometriccdf(p,x)

function cdf=geometriccdf(p,x)

% for geometric(p) rv X,

%For input vector x, output is vector

%cdf such that cdf_i=Prob(X<=x_i)

x=(x(:)>=1).*floor(x(:));

cdf=1-((1-p).ˆx);

Input: p is the parameter of a geometric

random variable X, x is a vector of

possible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

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geometricpmf y=geometricpmf(p,x)

function pmf=geometricpmf(p,x)

%geometric(p) rv X

%out: pmf(i)=Prob[X=x(i)]

x=x(:);

pmf= p*((1-p).ˆ(x-1));

pmf= (x>0).*(x==floor(x)).*pmf;

Input: p is the parameter of a geometric random

variable X, x is a vector of possible sample

values

Output: y is a vector with y(i) = P

X

(x(i)).

geometricrv x=geometricrv(p,m)

function x=geometricrv(p,m)

%Usage: x=geometricrv(p,m)

% returns m samples of a geometric (p) rv

r=rand(m,1);

x=ceil(log(1-r)/log(1-p));

Input: p is the parameters of a

geometric random variable

X, m is a positive integer

Output: x is a vector of m inde-

pendent samples of random

variable X

icdfrv x=icdfrv(@icdf,m)

function x=icdfrv(icdfhandle,m)

%Usage: x=icdfrv(@icdf,m)

%returns m samples of rv X

%with inverse CDF icdf.m

u=rand(m,1);

x=feval(icdfhandle,u);

Input: @icdfrv is a “handle” (a kind of pointer)

to a MATLAB function icdf.m that is

MATLAB’s representation of an inverse

CDF F

−1

X

(x) of a random variable X, inte-

ger m

Output: Length m vector x such that each x

i

is a

sample of X

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pascalcdf y=pascalcdf(k,p,x)

function cdf=pascalcdf(k,p,x)

%Usage: cdf=pascalcdf(k,p,x)

%For a pascal (k,p) rv X

%and input vector x, the output

%is a vector cdf such that

% cdf(i)=Prob[X<=x(i)]

x=floor(x(:)); % for noninteger x(i)

allx=k:max(x);

%allcdf holds all needed cdf values

allcdf=cumsum(pascalpmf(k,p,allx));

%x_i < k have zero-prob,

% other values are OK

okx=(x>=k);

%set zero-prob x(i)=k,

%just so indexing is not fouled up

x=(okx.*x) +((1-okx)*k);

cdf= okx.*allcdf(x-k+1);

Input: k and p are the parameters of a Pas-

cal (k, p) random variable X, x is a

vector of possible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

pascalpmf y=pascalpmf(k,p,x)

function pmf=pascalpmf(k,p,x)

%For Pascal (k,p) rv X, and

%input vector x, output is a

%vector pmf: pmf(i)=Prob[X=x(i)]

x=x(:);

n=max(x);

i=(k:n-1)’;

ip= [1 ;(1-p)*(i./(i+1-k))];

%pb=all n-k+1 pascal probs

pb=(pˆk)*cumprod(ip);

okx=(x==floor(x)).*(x>=k);

%set bad x(i)=k to stop bad indexing

x=(okx.*x) + k*(1-okx);

% pmf(i)=0 unless x(i) >= k

pmf=okx.*pb(x-k+1);

Input: k and p are the parameters of a Pas-

cal (k, p) random variable X, x is a

vector of possible sample values

Output: y is a vector with y(i) =

P

X

(x(i)).

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pascalrv x=pascalrv(k,p,m)

function x=pascalrv(k,p,m)

% return m samples of pascal(k,p) rv

r=rand(m,1);

rmax=max(r);

xmin=k;

xmax=ceil(2*(k/p)); %set max range

sx=xmin:xmax;

cdf=pascalcdf(k,p,sx);

while cdf(length(cdf)) <=rmax

xmax=2*xmax;

sx=xmin:xmax;

cdf=pascalcdf(k,p,sx);

end

x=xmin+countless(cdf,r);

Input: k and p are the parameters of a Pas-

cal random variable X, m is a posi-

tive integer

Output: x is a vector of m independent

samples of random variable X

phi y=phi(x)

function y=phi(x)

sq2=sqrt(2);

y= 0.5 + 0.5*erf(x/sq2);

Input: Vector x

Output: Vector y such that y(i) = (x(i)).

poissoncdf y=poissoncdf(alpha,x)

function cdf=poissoncdf(alpha,x)

%output cdf(i)=Prob[X<=x(i)]

x=floor(x(:));

sx=0:max(x);

cdf=cumsum(poissonpmf(alpha,sx));

%cdf from 0 to max(x)

okx=(x>=0);%x(i)<0 -> cdf=0

x=(okx.*x);%set negative x(i)=0

cdf= okx.*cdf(x+1);

%cdf=0 for x(i)<0

Input: alpha is the parameter of a Poisson

(α) random variable X, x is a vector of

possible sample values

Output: y is a vector with y(i) =

F

X

(x(i)).

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poissonpmf y=poissonpmf(alpha,x)

function pmf=poissonpmf(alpha,x)

%Poisson (alpha) rv X,

%out=vector pmf: pmf(i)=P[X=x(i)]

x=x(:);

k=(1:max(x))’;

logfacts =cumsum(log(k));

pb=exp([-alpha; ...

-alpha+ (k*log(alpha))-logfacts]);

okx=(x>=0).*(x==floor(x));

x=okx.*x;

pmf=okx.*pb(x+1);

%pmf(i)=0 for zero-prob x(i)

Input: alpha is the parameter of a

Poisson (α) random variable X, x

is a vector of possible sample val-

ues

Output: y is a vector with y(i) =

P

X

(x(i)).

poissonrv x=poissonrv(alpha,m)

function x=poissonrv(alpha,m)

%return m samples of poisson(alpha) rv X

r=rand(m,1);

rmax=max(r);

xmin=0;

xmax=ceil(2*alpha); %set max range

sx=xmin:xmax;

cdf=poissoncdf(alpha,sx);

%while ( sum(cdf <=rmax) ==(xmax-xmin+1) )

while cdf(length(cdf)) <=rmax

xmax=2*xmax;

sx=xmin:xmax;

cdf=poissoncdf(alpha,sx);

end

x=xmin+countless(cdf,r);

Input: alpha is the parameter of

a Poisson (α) random vari-

able X, m is a positive inte-

ger

Output: x is a vector of m inde-

pendent samples of random

variable X

uniformcdf y=uniformcdf(a,b,x)

function F=uniformcdf(a,b,x)

%Usage: F=uniformcdf(a,b,x)

%returns the CDF of a continuous

%uniform rv evaluated at x

F=x.*((x>=a) & (x<b))/(b-a);

F=f+1.0*(x>=b);

Input: a and ( b) are parameters for continuous

uniform random variable X, vector x

Output: Vector y such that y

i

= F

X

(x

i

)

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uniformpdf y=uniformpdf(a,b,x)

function f=uniformpdf(a,b,x)

%Usage: f=uniformpdf(a,b,x)

%returns the PDF of a continuous

%uniform rv evaluated at x

f=((x>=a) & (x<b))/(b-a);

Input: a and ( b) are parameters for continuous

uniform random variable X, vector x

Output: Vector y such that y

i

= f

X

(x

i

)

uniformrv x=uniformrv(a,b,m)

function x=uniformrv(a,b,m)

%Usage: x=uniformrv(a,b,m)

%Returns m samples of a

%uniform (a,b) random varible

x=a+(b-a)*rand(m,1);

Input: a and ( b) are parameters for continuous uni-

form random variable X, positive integer m

Output: m element vector x such that each x(i) is

a sample of X.

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Functions for Stochastic Processes

brownian w=brownian(alpha,t)

function w=brownian(alpha,t)

%Brownian motion process

%sampled at t(1)<t(2)< ...

t=t(:);

n=length(t);

delta=t-[0;t(1:n-1)];

x=sqrt(alpha*delta).*gaussrv(0,1,n);

w=cumsum(x);

Input: t is a vector holding an ordered se-

quence of inspection times, alpha

is the scaling constant of a Brownian

motion process such that the i th in-

crement has variance α(t

i

− t

i −1

).

Output: w is a vector such that w(i) is

the position at time t(i) of the par-

ticle in Brownian motion.

cmcprob pv=cmcprob(Q,p0,t)

function pv = cmcprob(Q,p0,t)

%Q has zero diagonal rates

%initial state probabilities p0

K=size(Q,1)-1; %max no. state

%check for integer p0

if (length(p0)==1)

p0=((0:K)==p0);

end

R=Q-diag(sum(Q,2));

pv= (p0(:)’*expm(R*t))’;

Input: n × n state transition matrix Q for a

continuous-time ﬁnite Markov chain, length

n vector p0 denoting the initial state proba-

bilities, nonengative scalar t

Output: Length n vector pv such that pv(t) is

the state probability vector at time t of the

Markov chain

Comment: If p0 is a scalar integer, then the sim-

ulation starts in state p0

cmcstatprob pv=cmcstatprob(Q)

function pv = cmcstatprob(Q)

%Q has zero diagonal rates

R=Q-diag(sum(Q,2));

n=size(Q,1);

R(:,1)=ones(n,1);

pv=([1 zeros(1,n-1)]*Rˆ(-1))’;

Input: State transition matrix Q for a continuous-

time ﬁnite Markov chain

Output: pv is the stationary probability vector for

the continuous-time Markov chain

dmcstatprob pv=dmcstatprob(P)

function pv = dmcstatprob(P)

n=size(P,1);

A=(eye(n)-P);

A(:,1)=ones(n,1);

pv=([1 zeros(1,n-1)]*Aˆ(-1))’;

Input: n × n stochastic matrix P representing

a discrete-time aperiodic irreducible ﬁnite

Markov chain

Output: pv is the stationary probability vector.

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poissonarrivals s=poissonarrivals(lambda,T)

function s=poissonarrivals(lambda,T)

%arrival times s=[s(1) ... s(n)]

% s(n)<= T < s(n+1)

n=ceil(1.1*lambda*T);

s=cumsum(exponentialrv(lambda,n));

while (s(length(s))< T),

s_new=s(length(s))+ ...

cumsum(exponentialrv(lambda,n));

s=[s; s_new];

end

s=s(s<=T);

Input: lambda is the arrival rate of a

Poisson process, T marks the end of

an observation interval [0, T].

Output: s=[s(1), ..., s(n)]’ is

a vector such that s(i) is i th arrival

time. Note that length n is a Poisson

random variable with expected value

λT.

Comment: This code is pretty stupid.

There are decidedly better ways to

create a set of arrival times; see Prob-

lem 10.13.5.

poissonprocess N=poissonprocess(lambda,t)

function N=poissonprocess(lambda,t)

%input: rate lambda>0, vector t

%For a sample function of a

%Poisson process of rate lambda,

%N(i) = no. of arrivals by t(i)

s=poissonarrivals(lambda,max(t));

N=count(s,t);

Input: lambda is the arrival rate of a Pois-

son process, t is a vector of “inspec-

tion times’.’

Output: N is a vector such that N(i) is the

number of arrival by inspection time

t(i).

simcmc ST=simcmc(Q,p0,T)

function ST=simcmc(Q,p0,T);

K=size(Q,1)-1; max no. state

%calc average trans. rate

ps=cmcstatprob(Q);

v=sum(Q,2); R=ps’*v;

n=ceil(0.6*T/R);

ST=simcmcstep(Q,p0,2*n);

while (sum(ST(:,2))<T),

s=ST(size(ST,1),1);

p00=Q(1+s,:)/v(1+s);

S=simcmcstep(Q,p00,n);

ST=[ST;S];

end

n=1+sum(cumsum(ST(:,2))<T);

ST=ST(1:n,:);

%truncate last holding time

ST(n,2)=T-sum(ST(1:n-1,2));

Input: state transition matrix Q for a continuous-time

ﬁnite Markov chain, vector p0 denoting the ini-

tial state probabilities, integer n

Output: A simulation of the Markov chain system

over the time interval [0, T]: The output is an

n × 2 matrix ST such that the ﬁrst column

ST(:,1) is the sequence of system states and

the second column ST(:,2) is the amount of

time spent in each state. That is, ST(i,2) is

the amount of time the system spends in state

ST(i,1).

Comment: If p0 is a scalar integer, then the simula-

tion starts in state p0. Note that n, the number

of state occupancy periods, is random.

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simcmcstep S=simcmcstep(Q,p0,n)

function S=simcmcstep(Q,p0,n);

%S=simcmcstep(Q,p0,n)

% Simulate n steps of a cts

% Markov Chain, rate matrix Q,

% init. state probabilities p0

K=size(Q,1)-1; %max no. state

S=zeros(n+1,2);%init allocation

%check for integer p0

if (length(p0)==1)

p0=((0:K)==p0);

end

v=sum(Q,2); %state dep. rates

t=1./v;

P=diag(t)*Q;

S(:,1)=simdmc(P,p0,n);

S(:,2)=t(1+S(:,1)) ...

.*exponentialrv(1,n+1);

Input: State transition matrix Q for a continuous-

time ﬁnite Markov chain, vector p0 denot-

ing the initial state probabilities, integer n

Output: A simulation of n steps of the

continuous-time Markov chain system:

The output is an n × 2 matrix ST such that

the ﬁrst column ST(:,1) is the length n

sequence of system states and the second

column ST(:,2) is the amount of time

spent in each state. That is, ST(i,2) is

the amount of time the system spends in

state ST(i,1).

Comment: If p0 is a scalar integer, then the sim-

ulation starts in state p0. This program is

the basis for simcmc.

simdmc x=simdmc(P,p0,n)

function x=simdmc(P,p0,n)

K=size(P,1)-1; %highest no. state

sx=0:K; %state space

x=zeros(n+1,1); %initialization

if (length(p0)==1) %convert integer p0 to prob vector

p0=((0:K)==p0);

end

x(1)=finiterv(sx,p0,1); %x(m)= state at time m-1

for m=1:n,

x(m+1)=finiterv(sx,P(x(m)+1,:),1);

end

Input: n×n stochastic matrix P which is the state transition matrix of a discrete-time ﬁnite Markov

chain, length n vector p0 denoting the initial state probabilities, integer n.

Output: A simulation of the Markov chain system such that for the length n vector x, x(m) is the

state at time m-1 of the Markov chain.

Comment: If p0 is a scalar integer, then the simulation starts in state p0

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Random Utilities

count n=count(x,y)

function n=count(x,y)

%Usage n=count(x,y)

%n(i)= # elements of x <= y(i)

[MX,MY]=ndgrid(x,y);

%each column of MX = x

%each row of MY = y

n=(sum((MX<=MY),1))’;

Input: Vectors x and y

Output: Vector n such that n(i ) is the number of

elements of x less than or equal to y(i).

countequal n=countequal(x,y)

function n=countequal(x,y)

%Usage: n=countequal(x,y)

%n(j)= # elements of x = y(j)

[MX,MY]=ndgrid(x,y);

%each column of MX = x

%each row of MY = y

n=(sum((MX==MY),1))’;

Input: Vectors x and y

Output: Vector n such that n(i ) is the number of

elements of x equal to y(i).

countless n=countless(x,y)

function n=countless(x,y)

%Usage: n=countless(x,y)

%n(i)= # elements of x < y(i)

[MX,MY]=ndgrid(x,y);

%each column of MX = x

%each row of MY = y

n=(sum((MX<MY),1))’;

Input:

Input: Vectors x and y

Output: Vector n such that n(i ) is the number of

elements of x strictly less than y(i).

dftmat F=dftmat(N)

function F = dftmat(N);

Usage: F=dftmat(N)

%F is the N by N DFT matrix

n=(0:N-1)’;

F=exp((-1.0j)*2*pi*(n*(n’))/N);

Input: Integer N.

Output: F is the N by N discrete Fourier trans-

form matrix

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freqxy fxy=freqxy(xy,SX,SY)

function fxy = freqxy(xy,SX,SY)

%Usage: fxy = freqxy(xy,SX,SY)

%xy is an m x 2 matrix:

%xy(i,:)= ith sample pair X,Y

%Output fxy is a K x 3 matrix:

% [fxy(k,1) fxy(k,2)]

% = kth unique pair [x y] and

% fxy(k,3)= corresp. rel. freq.

%extend xy to include a sample

%for all possible (X,Y) pairs:

xy=[xy; SX(:) SY(:)];

[U,I,J]=unique(xy,’rows’);

N=hist(J,1:max(J))-1;

N=N/sum(N);

fxy=[U N(:)];

%reorder fxy rows to match

%rows of [SX(:) SY(:) PXY(:)]:

fxy=sortrows(fxy,[2 1 3]);

Input: For random variables X and Y, xy is

an m × 2 matrix holding a list of sample

values pairs; yy(i,:) is the i th sample

pair (X, Y). Grids SX and SY represent-

ing the sample space.

Output: fxy is a K × 3 matrix. In each row

[fxy(k,1) fxy(k,2) fxy(k,3)]

[fxy(k,1) fxy(k,2)] is a unique

(X, Y) pair with relative frequency

fxy(k,3).

Comment: Given the grids SX, SY and the

probability grid PXY, a list of random

sample value pairs xy can be simulated

by the commands

S=[SX(:) SY(:)];

xy=finiterv(S,PXY(:),m);

The output fxy is ordered so that the

rows match the ordering of rows in the

matrix

[SX(:) SY(:) PXY(:)].

fftc S=fftc(r,N); S=fftc(r)

function S=fftc(varargin);

%DFT for a signal r

%centered at the origin

%Usage:

% fftc(r,N): N point DFT of r

% fftc(r): length(r) DFT of r

r=varargin{1};

L=1+floor(length(r)/2);

if (nargin>1)

N=varargin{2}(1);

else

N=(2*L)-1;

end

R=fft(r,N);

n=reshape(0:(N-1),size(R));

phase=2*pi*(n/N)*(L-1);

S=R.*exp((1.0j)*phase);

Input: Vector r=[r(1) ... r(2k+1)]

holding the time sequence r

−k

, . . . , r

0

, . . . , r

k

centered around the origin.

Output: S is the DFT of r

Comment: Supports the same calling conventions

as fft.

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pmfplot pmfplot(sx,px,’x’,’y axis text’)

function h=pmfplot(sx,px,xls,yls)

%Usage: pmfplot(sx,px,xls,yls)

%sx and px are vectors, px is the PMF

%xls and yls are x and y label strings

nonzero=find(px);

sx=sx(nonzero); px=px(nonzero);

sx=(sx(:))’; px=(px(:))’;

XM = [sx; sx];

PM=[zeros(size(px)); px];

h=plot(XM,PM,’-k’);

set(h,’LineWidth’,3);

if (nargin==4)

xlabel(xls);

ylabel(yls,’VerticalAlignment’,’Bottom’);

end

xmin=min(sx); xmax=max(sx);

xborder=0.05*(xmax-xmin);

xmax=xmax+xborder;

xmin=xmin-xborder;

ymax=1.1*max(px);

axis([xmin xmax 0 ymax]);

Input: Sample space vector sx

and PMF vector px for ﬁ-

nite random variable PXY,

optional text strings xls

and yls

Output: A plot of the PMF

P

X

(x) in the bar style used

in the text.

rect y=rect(x)

function y=rect(x);

%Usage:y=rect(x);

y=1.0*(abs(x)<0.5);

Input: Vector x

Output: Vector y such that

y

i

= rect(x

i

) =

1 |x

i

| < 0.5

0 otherwise

sinc y=sinc(x)

function y=sinc(x);

xx=x+(x==0);

y=sin(pi*xx)./(pi*xx);

y=((1.0-(x==0)).*y)+ (1.0*(x==0));

Input: Vector x

Output: Vector y such that

y

i

= sinc(x

i

) =

sin(πx

i

)

πx

i

Comment: The code is ugly because it makes

sure to produce the right limit value at

x

i

= 0.

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simplot simplot(S,xlabel,ylabel)

function h=simplot(S,xls,yls);

%h=simplot(S,xlabel,ylabel)

% Plots the output of a simulated state sequence

% If S is N by 1, a discrete time chain is assumed

% with visit times of one unit.

% If S is an N by 2 matrix, a cts time Markov chain

% is assumed where

% S(:,1) = state sequence.

% S(:,2) = state visit times.

% The cumulative sum

% of visit times are transition instances.

% h is a handle to a stairs plot of the state sequence

% vs state transition times

%in case of discrete time simulation

if (size(S,2)==1)

S=[S ones(size(S))];

end

Y=[S(:,1) ; S(size(S,1),1)];

X=cumsum([0 ; S(:,2)]);

h=stairs(X,Y);

if (nargin==3)

xlabel(xls);

ylabel(yls,’VerticalAlignment’,’Bottom’);

end

Input: The simulated state sequence vector S generated by S=simdmc(P,p0,n) or the n × 2

state/time matrix ST generated by either

ST=simcmc(Q,p0,T)

or

ST=simcmcstep(Q,p0,n).

Output: A “stairs” plot showing the sequence of simulation states over time.

Comment: If S is just a state sequence vector, then each stair has equal width. If S is n × 2

state/time matrix ST, then the width of the stair is proportional to the time spent in that state.

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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.

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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.

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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:

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(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.

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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

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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)

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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).

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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)

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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

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(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

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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

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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)

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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

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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.

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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

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(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

√

3π

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

dφ

K

(s)

ds

= 0.2(e

s

+2e

2s

+3e

3s

+4e

4s

) (2)

Evaluating the derivative at s = 0 yields

E [K] =

dφ

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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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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

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(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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

2σ

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

/σ

R

,

ˆ

T

L

(R) =

σ

2

T

σ

2

R

R =

σ

2

T

σ

2

T

+σ

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

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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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

√

2π

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

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

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 .

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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

2π

cos 2π = e

2π

> 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)

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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

√

3π

2

e

−

2

3

_

x

2

0

−x

0

x

1

+x

2

1

_

(7)

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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.

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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.

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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.

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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.

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−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.

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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

√

6π

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)

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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.

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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)

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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.

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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)

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(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

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−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.

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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.

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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

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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

+π

1

+π

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

… ...

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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

+π

1

+π

2

+π

3

(4)

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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

+π

1

+π

2

+π

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)

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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

××× ×××

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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)

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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)

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**Functions for Random Variables
**

bernoullipmf y=bernoullipmf(p,x) Input: p is the success probability of a Bernoulli random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).

function pv=bernoullipmf(p,x) %For Bernoulli (p) rv X %input = vector x %output = vector pv %such that pv(i)=Prob(X=x(i)) pv=(1-p)*(x==0) + p*(x==1); pv=pv(:);

bernoullicdf

y=bernoullicdf(p,x) Input: p is the success probability of a Bernoulli random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).

function cdf=bernoullicdf(p,x) %Usage: cdf=bernoullicdf(p,x) % For Bernoulli (p) rv X, %given input vector x, output is %vector pv such that pv(i)=Prob[X<=x(i)] x=floor(x(:)); allx=0:1; allcdf=cumsum(bernoullipmf(p,allx)); okx=(x>=0); %x_i < 1 are bad values x=(okx.*x); %set bad x_i=0 cdf= okx.*allcdf(x); %zeroes out bad x_i

bernoullirv

x=bernoullirv(p,m) Input: p is the success probability of a Bernoulli random variable X , m is a positive integer vector of possible sample values Output: x is a vector of m independent sample values of X

function x=bernoullirv(p,m) %return m samples of bernoulli (p) rv r=rand(m,1); x=(r>=(1-p));

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Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

bignomialpmf

y=bignomialpmf(n,p,x) Input: n and p are the parameters of a binomial (n, p) random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). Comment: This function should always produce the same output as binomialpmf(n,p,x); however, the function calculates the logarithm of the probability and thismay lead to small numerical innaccuracy.

function pmf=bignomialpmf(n,p,x) %binomial(n,p) rv X, %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] k=(0:n-1)’; a=log((p/(1-p))*((n-k)./(k+1))); L0=n*log(1-p); L=[L0; L0+cumsum(a)]; pb=exp(L); % pb=[P[X=0] ... P[X=n]]ˆt x=x(:); okx =(x>=0).*(x<=n).*(x==floor(x)); x=okx.*x; pmf=okx.*pb(x+1);

binomialcdf

y=binomialcdf(n,p,x) Input: n and p are the parameters of a binomial (n, p) random variable X , x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).

function cdf=binomialcdf(n,p,x) %Usage: cdf=binomialcdf(n,p,x) %For binomial(n,p) rv X, %and input vector x, output is %vector cdf: cdf(i)=P[X<=x(i)] x=floor(x(:)); %for noninteger x(i) allx=0:max(x); %calculate cdf from 0 to max(x) allcdf=cumsum(binomialpmf(n,p,allx)); okx=(x>=0); %x(i) < 0 are zero-prob values x=(okx.*x); %set zero-prob x(i)=0 cdf= okx.*allcdf(x+1); %zero for zero-prob x(i)

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Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).ˆ2) . ny=(y-muY)/sigmaY.sigmaX. Output: f the value of the bivariate Gaussian PDF at x.0:n). pmf=okx.sigmaY. us (United States) Zip Code:71901 .(2*rho*nx.r). Input: Scalar parameters muX.*x. x=count(cdf. x=okx.rho.rho..sigmaY.p) rv X.com Phone:5017621195 binomialpmf y=binomialpmf(n. 4 Address:104 pine meadows loop. P[X=n]]ˆt x=x(:). end pb=pb(:). % pb=[P[X=0] .muY.sigmaX. okx =(x>=0).sigmaY..sigmaY.sigmaX. pb=((1-pp)ˆn)*cumprod([1 ip]).x. p) random variable X .1).p.*pb(x+1).muY. else pp=1-p. m is a positive integer Output: x is a vector of m independent samples of random variable X function x=binomialrv(n.rho of the bivariate Gaussian PDF.y) %Evaluate the bivariate Gaussian (muX.x) %binomial(n. %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] if p<0.Name:joey iwatsuru Email:joeyiwat@yahoo. end i=0:n-1. f=f/(2*pi*sigmax*sigmay*sqrt(1-rhoˆ2)).p) samples r=rand(m.x) Input: n and p are the parameters of a binomial (n.p./(i+1))*(pp/(1-pp)). scalars x and y.muY.ˆ2) +(ny.y) %Usage: f=bivariategausspdf(muX.p. function pmf=binomialpmf(n. AR.p.x. ip= ((n-i). if pp < p pb=fliplr(pb).*(x==floor(x)). cdf=binomialcdf(n. bivariategausspdf function f=bivariategausspdf(muX.rho) PDF nx=(x-muX)/sigmaX.m) Input: n and p are the parameters of a binomial random variable X .sigmaX. hot springs.m) % m binomial(n.5 pp=p.*ny))/(2*(1-rhoˆ2))).y. f=exp(-((nx.muY. binomialrv x=binomialrv(n.*(x<=n).p.

5 Address:104 pine meadows loop. us (United States) Zip Code:71901 .l.*(x<=l). %set zero prob x(i)=k x=((1-okx)*k)+(okx.x) %discrete uniform(k.m) %returns m samples of a discrete %uniform (k.k:l).l.r).l.l. x=k+count(cdf.allx)).l. function cdf=duniformcdf(k.l. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). %allcdf = cdf values from 0 to max(x) allcdf=cumsum(duniformpmf(k. function pmf=duniformpmf(k.l) rv X. %input = vector x %output= vector pmf: pmf(i)=Prob[X=x(i)] pmf= (x>=k). duniformrv x=duniformrv(k.1). pmf=pmf(:)/(l-k+1).x) Input: k and l are the parameters of a discrete uniform (k.l. duniformpmf y=duniformpmf(k.x) % For discrete uniform (k.*(x==floor(x)).l.*allcdf(x-k+1). %x_i < k are zero prob values okx=(x>=k).x) %Usage: cdf=duniformcdf(k.x) Input: k and l are the parameters of a discrete uniform (k. l) random variable X . %for noninteger x_i allx=k:max(x).l) random variable r=rand(m.*x). l) random variable X . cdf=duniformcdf(k.l. hot springs. AR.Name:joey iwatsuru Email:joeyiwat@yahoo.l) rv X % and input vector x. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). output is % vector cdf: cdf(i)=Prob[X<=x(i)] x=floor(x(:)).com Phone:5017621195 duniformcdf y=duniformcdf(k. l) random variable X . m is a positive integer Output: x is a vector of m independent samples of random variable X function x=duniformrv(k. %x(i)=0 for zero prob x(i) cdf= okx.m) Input: k and l are the parameters of a discrete uniform (k.

x) f=((lambdaˆn)/factorial(n)).2).c).Name:joey iwatsuru Email:joeyiwat@yahoo. erlangcdf y=erlangcdf(n. erlangpdf y=erlangpdf(n. us (United States) Zip Code:71901 .x) F=1.ˆ(n-1)).x) Input: n and lambda are the parameters of an Erlang random variable X .m. 6 Address:104 pine meadows loop.0:c).lambda. vector x Output: Vector y such that yi = FX (xi ).com Phone:5017621195 erlangb pb=erlangb(rho.n).lambda. vector x Output: Vector y such that yi = FX (xi ) = 1 − e−λxi .lambda.x) F=1.lambda.0-poissoncdf(lambda*x.c) %returns the Erlang-B blocking %probability for sn M/M/c/c %queue with load rho pn=exp(-rho)*poissonpmf(rho.m*n)..lambda. pb=pn(c+1)/sum(pn). and the number of servers c of an M/M/c/c queue. erlangrv x=erlangrv(n.. exponentialcdf y=exponentialcdf(lambda. integer m Output: Length m vector x such that each xi is a sample of X function x=erlangrv(n. function F=erlangcdf(n.n-1).x) Input: n and lambda are the parameters of an Erlang random variable X . x=sum(reshape(y. vector x Output: Vector y such that yi = f X (xi ) = λn xin−1 e−λxi /(n − 1)!. AR. function f=erlangpdf(n. Output: pb.m) y=exponentialrv(lambda. the blocking probability of the queue function pb=erlangb(rho. *(x.x) Input: lambda is the parameter of an exponential random variable X . function F=exponentialcdf(lambda. hot springs.m) Input: n and lambda are the parameters of an Erlang random variable X . %Usage: pb=erlangb(rho.0-exp(-lambda*x).*exp(-lambda*x).lambda.c) Input: Offered load rho (ρ = λ/µ).

ey=finiteexp(SY.} % vector px of probabilities % px(i)=P[X=sx(i)] % Output is the vector % cdf: cdf(i)=P[X=x(i)] cdf=[]. rho=(R-ex*ey)/sqrt(vx*vy). hot springs.*(x>=0).p. R=finiteexp(SX.PXY). vector x Output: Vector y such that yi = f X (xi ) = λe−λxi . the correlation coefﬁcient of X and Y function rho=finitecoeff(SX..PXY). 7 Address:104 pine meadows loop. vx=finitevar(SX.1)).SY.PXY).m) Input: lambda is the parameter of an exponential random variable X . pxi]. px is the corresponding probability assignment. exponentialrv x=exponentialrv(lambda.SY. Output: rho. function f=exponentialpdf(lambda.PXY) Input: Grids SX. f=f..PXY) %Calculate the correlation coefficient rho of %finite random variables X and Y ex=finiteexp(SX.x) % finite random variable X: % vector sx of sample space % elements {sx(1).PXY). function cdf=finitecdf(s. finitecdf y=finitecdf(sx. end finitecoeff rho=finitecoeff(SX. us (United States) Zip Code:71901 . cdf=[cdf.SY. AR.com Phone:5017621195 exponentialpdf y=exponentialpdf(lambda. %Usage: rho=finitecoeff(SX.p.x) f=lambda*exp(-lambda*x).PXY).PXY). integer m Output: Length m vector x such that each xi is a sample of X function x=exponentialrv(lambda. SY and probability grid PXY describing the ﬁnite random variables X and Y .*SY. vy=finitevar(SY.x) Input: lambda is the parameter of an exponential random variable X .sx(2). for i=1:length(x) pxi= sum(p(find(s<=x(i)))).Name:joey iwatsuru Email:joeyiwat@yahoo.m) x=-(1/lambda)*log(1-rand(m. . x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).x) Input: sx is the range of a ﬁnite random variable X .

x) Input: sx is the range of a ﬁnite random variable X . px is the corresponding probability assignment.} % vector px of probabilities % px(i)=P[X=sx(i)] % Output is the vector % pmf: pmf(i)=P[X=x(i)] pmf=zeros(size(x(:))). . ey=finiteexp(SY. p is the corresponding probability assignment.r)). the expected value E[X ]. vector of samples sx describing random variable X . R=finiteexp(SX. SY.m) % returns m samples % of finite (s. Output: covxy.Name:joey iwatsuru Email:joeyiwat@yahoo. the covariance of X and Y. function pmf=finitepmf(sx.px) %returns the expected value E[X] %of finite random variable X described %by samples sx and probabilities px ex=sum((sx(:)). r=rand(m. function x=finiterv(s. hot springs.p.PXY). and PXY ex=finiteexp(SX. function ex=finiteexp(sx.x) % finite random variable X: % vector sx of sample space % elements {sx(1). finitepmf y=finitepmf(sx. 8 Address:104 pine meadows loop. %Usage: cxy=finitecov(SX.p=p(:). covxy=R-ex*ey. Output: ex.SY.p. end finiterv x=finiterv(sx.1). x=s(1+count(cdf.*(px(:))).SY. %Usage: ex=finiteexp(sx. SY and probability grid PXY describing the ﬁnite random variables X and Y . x is a vector of possible sample values Output: y is a vector with y(i) = P[X = x(i)].PXY) %returns the covariance of %finite random variables X and Y %given by grids SX. m is positive integer Output: x is a vector of m sample values y(i) = FX (x(i)).px.p. cdf=cumsum(p). finiteexp ex=finiteexp(sx.p) rv %s=s(:).com Phone:5017621195 finitecov covxy=finitecov(SX.px) Input: Probability vector px. us (United States) Zip Code:71901 .m) Input: sx is the range of a ﬁnite random variable X .sx(2). function covxy=finitecov(SX.*SY. for i=1:length(x) pmf(i)= sum(px(find(sx==x(i))))..PXY)..PXY). AR.px).PXY) Input: Grids SX.SY.PXY).

function f=gausscdf(mu. us (United States) Zip Code:71901 .m) Input: mu and sigma are the parameters of an Gaussian random variable X .x) f=phi((x-mu)/sigma).px). gausscdf y=gausscdf(mu.1)). %Usage: ex=finitevar(sx.px).sigma. sqrt(2*pi*sigmaˆ2). AR.ˆ2/(2*sigmaˆ2))/.sigma.. the Var[X ]. vector x Output: Vector y such that yi = FX (xi ) = ((xi − µ)/σ ).px) Input: Probability vector px and vector of samples sx describing random variable X .sigma. function f=gausspdf(mu. ex=finiteexp(sx. gausspdf y=gausspdf(mu.Name:joey iwatsuru Email:joeyiwat@yahoo.sigma.sigma.sigma. 9 Address:104 pine meadows loop.px) % returns the variance Var[X] % of finite random variables X described by % samples sx and probabilities px ex2=finiteexp(sx. integer m Output: Length m vector x such that each xi is a sample of X function x=gaussrv(mu.m) x=mu +(sigma*randn(m. vector x Output: Vector y such that yi = f X (xi ). v=ex2-(exˆ2).x) Input: mu and sigma are the parameters of an Guassian random variable X . Output: v.x) Input: mu and sigma are the parameters of an Guassian random variable X .ˆ2. hot springs.x) f=exp(-(x-mu).. gaussrv x=gaussrv(mu.com Phone:5017621195 finitevar v=finitevar(sx. variance function v=finitevar(sx.px).

.1). mu is either a length n vector. CX ) random vector X. CX ) random vector X. AR. otherwise.m). f=exp(-z’*inv(C)*z)/.ˆx)..com Phone:5017621195 gaussvector x=gaussvector(mu.C.5))*randn(n. x is a length n vector. Output: f is the Gaussian vector PDF f X (x) evaluated at x.m) Input: For a Gaussian (µX . or a length 1 scalar. m is an integer. function f=gaussvectorpdf(mu.*floor(x(:)).2). mu is either a length n vector.i) is a sample vector of X function x=gaussvector(mu.C. or a length 1 scalar.. cdf=1-((1-p). m is an integer. x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)). end n=size(C. mu is a length n vector. geometriccdf y=geometriccdf(p. C is the n × n covariance matrix.Name:joey iwatsuru Email:joeyiwat@yahoo. each element of X is assumed to have mean mu.m) %output: m Gaussian vectors. %each with mean mu %and covariance matrix C if (min(size(C))==1) C=toeplitz(C). gaussvectorpdf f=gaussvector(mu.x) n=length(x). +(mu(:)*ones(1.C. %For input vector x.. sqrt((2*pi)ˆn*det(C)).x) Input: p is the parameter of a geometric random variable X . hot springs. z=x(:)-mu(:). then mu is the expected value vector. If mu is a length n vector.x) Input: For a Gaussian (µX . gaussvector can be called in two ways: • C is the n × n covariance matrix.D.C.V]=svd(C). 10 Address:104 pine meadows loop. function cdf=geometriccdf(p. output is vector %cdf such that cdf_i=Prob(X<=x_i) x=(x(:)>=1). end [U. if (length(mu)==1) mu=mu*ones(n. • C is the length n vector equal to the ﬁrst row of a symmetric Toeplitz covariance matrix CX . x=V*(Dˆ(0. us (United States) Zip Code:71901 . Output: n × m matrix x such that each column x(:.m)).x) % for geometric(p) rv X.

geometricrv x=geometricrv(p.m) % returns m samples of a geometric (p) rv r=rand(m. function pmf=geometricpmf(p. pmf= p*((1-p).m) Input: @icdfrv is a “handle” (a kind of pointer) to a M ATLAB function icdf.m) %Usage: x=geometricrv(p. pmf= (x>0).*pmf.u). x=ceil(log(1-r)/log(1-p)). integer m Output: Length m vector x such that each xi is a sample of X function x=icdfrv(icdfhandle. x=feval(icdfhandle.1). m is a positive integer Output: x is a vector of m independent samples of random variable X function x=geometricrv(p.1). 11 Address:104 pine meadows loop. us (United States) Zip Code:71901 .com Phone:5017621195 geometricpmf y=geometricpmf(p.m u=rand(m.m) Input: p is the parameters of a geometric random variable X .ˆ(x-1)).Name:joey iwatsuru Email:joeyiwat@yahoo. hot springs.m) %Usage: x=icdfrv(@icdf.m) %returns m samples of rv X %with inverse CDF icdf. icdfrv x=icdfrv(@icdf. AR.x) Input: p is the parameter of a geometric random variable X . x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).x) %geometric(p) rv X %out: pmf(i)=Prob[X=x(i)] x=x(:).m that is M ATLAB’s representation of an inverse −1 CDF FX (x) of a random variable X .*(x==floor(x)).

%pb=all n-k+1 pascal probs pb=(pˆk)*cumprod(ip).p.*x) + k*(1-okx). x is a vector of possible sample values Output: y is a vector with y(i) = FX (x(i)).*allcdf(x-k+1). okx=(x==floor(x)). %set bad x(i)=k to stop bad indexing x=(okx.Name:joey iwatsuru Email:joeyiwat@yahoo. 12 Address:104 pine meadows loop.p.p. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)). % pmf(i)=0 unless x(i) >= k pmf=okx. hot springs. and %input vector x.p.x) %For Pascal (k. %x_i < k have zero-prob.p) rv X. function pmf=pascalpmf(k.x) %Usage: cdf=pascalcdf(k.*x) +((1-okx)*k). output is a %vector pmf: pmf(i)=Prob[X=x(i)] x=x(:).p) rv X %and input vector x.*(x>=k). ip= [1 . AR. cdf= okx. % other values are OK okx=(x>=k).(1-p)*(i. pascalpmf y=pascalpmf(k.p.x) Input: k and p are the parameters of a Pascal (k.x) Input: k and p are the parameters of a Pascal (k. us (United States) Zip Code:71901 .x) %For a pascal (k. p) random variable X ./(i+1-k))].allx)).p. function cdf=pascalcdf(k. % for noninteger x(i) allx=k:max(x). %just so indexing is not fouled up x=(okx.com Phone:5017621195 pascalcdf y=pascalcdf(k. p) random variable X . %allcdf holds all needed cdf values allcdf=cumsum(pascalpmf(k. the output %is a vector cdf such that % cdf(i)=Prob[X<=x(i)] x=floor(x(:)).*pb(x-k+1). %set zero-prob x(i)=k. n=max(x). i=(k:n-1)’.

p. x is a vector of possible sample values Output: y is a vector with y(i) FX (x(i)). rmax=max(r). xmin=k.*cdf(x+1). end x=xmin+countless(cdf. hot springs.5*erf(x/sq2).com Phone:5017621195 pascalrv x=pascalrv(k.p.p. poissoncdf y=poissoncdf(alpha.%set negative x(i)=0 cdf= okx. xmax=ceil(2*(k/p)). sx=0:max(x). us (United States) Zip Code:71901 .p. %cdf=0 for x(i)<0 13 Address:104 pine meadows loop. = function cdf=poissoncdf(alpha.m) % return m samples of pascal(k. %set max range sx=xmin:xmax. %cdf from 0 to max(x) okx=(x>=0). AR.r).5 + 0. sx=xmin:xmax.m) Input: k and p are the parameters of a Pascal random variable X . phi y=phi(x) Input: Vector x Output: Vector y such that y(i) = (x(i)). while cdf(length(cdf)) <=rmax xmax=2*xmax.sx).sx)).sx). cdf=pascalcdf(k.*x). cdf=pascalcdf(k.1).x) Input: alpha is the parameter of a Poisson (α) random variable X .%x(i)<0 -> cdf=0 x=(okx.Name:joey iwatsuru Email:joeyiwat@yahoo.p) rv r=rand(m. y= 0. function y=phi(x) sq2=sqrt(2). m is a positive integer Output: x is a vector of m independent samples of random variable X function x=pascalrv(k. cdf=cumsum(poissonpmf(alpha.x) %output cdf(i)=Prob[X<=x(i)] x=floor(x(:)).

-alpha+ (k*log(alpha))-logfacts]).0*(x>=b). vector x Output: Vector y such that yi = FX (xi ) function F=uniformcdf(a.sx). %pmf(i)=0 for zero-prob x(i) poissonrv x=poissonrv(alpha.b.com Phone:5017621195 poissonpmf y=poissonpmf(alpha.x) Input: a and ( b) are parameters for continuous uniform random variable X .Name:joey iwatsuru Email:joeyiwat@yahoo.. . end x=xmin+countless(cdf. x=okx.x) %Poisson (alpha) rv X. hot springs. %set max range sx=xmin:xmax. pb=exp([-alpha. %while ( sum(cdf <=rmax) ==(xmax-xmin+1) ) while cdf(length(cdf)) <=rmax xmax=2*xmax. xmin=0. F=f+1. uniformcdf y=uniformcdf(a. x is a vector of possible sample values Output: y is a vector with y(i) = PX (x(i)).*x.r).*((x>=a) & (x<b))/(b-a).m) %return m samples of poisson(alpha) rv X r=rand(m.sx).1).x) %returns the CDF of a continuous %uniform rv evaluated at x F=x. xmax=ceil(2*alpha). function pmf=poissonpmf(alpha. sx=xmin:xmax. rmax=max(r). pmf=okx.m) Input: alpha is the parameter of a Poisson (α) random variable X . k=(1:max(x))’.*pb(x+1). cdf=poissoncdf(alpha.b. okx=(x>=0). AR.x) Input: alpha is the parameter of a Poisson (α) random variable X . m is a positive integer Output: x is a vector of m independent samples of random variable X function x=poissonrv(alpha.b..x) %Usage: F=uniformcdf(a. cdf=poissoncdf(alpha. logfacts =cumsum(log(k)).*(x==floor(x)). 14 Address:104 pine meadows loop. %out=vector pmf: pmf(i)=P[X=x(i)] x=x(:). us (United States) Zip Code:71901 .

b. us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo. function x=uniformrv(a. hot springs.m) %Usage: x=uniformrv(a. vector x Output: Vector y such that yi = f X (xi ) function f=uniformpdf(a. positive integer m Output: m element vector x such that each x(i) is a sample of X .b.b.b.x) %returns the PDF of a continuous %uniform rv evaluated at x f=((x>=a) & (x<b))/(b-a).b.m) %Returns m samples of a %uniform (a.x) Input: a and ( b) are parameters for continuous uniform random variable X . AR.m) Input: a and ( b) are parameters for continuous uniform random variable X .1).x) %Usage: f=uniformpdf(a. uniformrv x=uniformrv(a.b) random varible x=a+(b-a)*rand(m. 15 Address:104 pine meadows loop.com Phone:5017621195 uniformpdf y=uniformpdf(a.b.

R(:. pv=([1 zeros(1. x=sqrt(alpha*delta). function w=brownian(alpha. function pv = dmcstatprob(P) n=size(P..t) Input: t is a vector holding an ordered sequence of inspection times. A(:.1)=ones(n.2)). A=(eye(n)-P).Name:joey iwatsuru Email:joeyiwat@yahoo.1)-1. t=t(:).2)).1).p0. pv= (p0(:)’*expm(R*t))’. AR. Output: w is a vector such that w(i) is the position at time t(i) of the particle in Brownian motion. cmcprob pv=cmcprob(Q.1).*gaussrv(0. us (United States) Zip Code:71901 .t) %Q has zero diagonal rates %initial state probabilities p0 K=size(Q. hot springs. then the simulation starts in state p0 function pv = cmcprob(Q. 16 Address:104 pine meadows loop.1)..p0. pv=([1 zeros(1. w=cumsum(x).1)=ones(n.t) Input: n × n state transition matrix Q for a continuous-time ﬁnite Markov chain.n). dmcstatprob pv=dmcstatprob(P) Input: n × n stochastic matrix P representing a discrete-time aperiodic irreducible ﬁnite Markov chain Output: pv is the stationary probability vector. alpha is the scaling constant of a Brownian motion process such that the ith increment has variance α(ti − ti−1 ).t(1:n-1)].com Phone:5017621195 Functions for Stochastic Processes brownian w=brownian(alpha. n=size(Q.t) %Brownian motion process %sampled at t(1)<t(2)< .1.n-1)]*Rˆ(-1))’.1). cmcstatprob pv=cmcstatprob(Q) Input: State transition matrix Q for a continuoustime ﬁnite Markov chain Output: pv is the stationary probability vector for the continuous-time Markov chain function pv = cmcstatprob(Q) %Q has zero diagonal rates R=Q-diag(sum(Q. state %check for integer p0 if (length(p0)==1) p0=((0:K)==p0). n=length(t). delta=t-[0.n-1)]*Aˆ(-1))’. nonengative scalar t Output: Length n vector pv such that pv(t) is the state probability vector at time t of the Markov chain Comment: If p0 is a scalar integer. end R=Q-diag(sum(Q. %max no. length n vector p0 denoting the initial state probabilities.

13. ST=[ST. hot springs. while (sum(ST(:. cumsum(exponentialrv(lambda. N=count(s. end n=1+sum(cumsum(ST(:. s(n)] % s(n)<= T < s(n+1) n=ceil(1.p0. p00=Q(1+s. state %calc average trans.T) %arrival times s=[s(1) .t) Input: lambda is the arrival rate of a Poisson process. rate ps=cmcstatprob(Q).1).p0.Name:joey iwatsuru Email:joeyiwat@yahoo. Comment: If p0 is a scalar integer..2))<T).1*lambda*T).2) is the amount of time spent in each state. AR. of arrivals by t(i) s=poissonarrivals(lambda. %N(i) = no.t).2)=T-sum(ST(1:n-1.’ Output: N is a vector such that N(i) is the number of arrival by inspection time t(i). That is. while (s(length(s))< T). Input: lambda is the arrival rate of a Poisson process. 17 Address:104 pine meadows loop. K=size(Q..2))<T). . Note that length n is a Poisson random variable with expected value λT .. %truncate last holding time ST(n. function ST=simcmc(Q. n=ceil(0. integer n Output: A simulation of the Markov chain system over the time interval [0.. s=[s. max no.max(t)).2) is the amount of time the system spends in state ST(i.6*T/R). T marks the end of an observation interval [0. the number of state occupancy periods.n). poissonprocess N=poissonprocess(lambda.:).t) %input: rate lambda>0. vector t %For a sample function of a %Poisson process of rate lambda..n)).1). simcmc ST=simcmc(Q.p00. S=simcmcstep(Q. s_new=s(length(s))+ .S].1). ST=simcmcstep(Q. vector p0 denoting the initial state probabilities. see Problem 10. t is a vector of “inspection times’.T). There are decidedly better ways to create a set of arrival times.5. Comment: This code is pretty stupid. Note that n. v=sum(Q.T) Input: state transition matrix Q for a continuous-time ﬁnite Markov chain.. ST=ST(1:n. ST(i.1) is the sequence of system states and the second column ST(:. s=ST(size(ST.1)-1. end s=s(s<=T). then the simulation starts in state p0.:)/v(1+s).p0. Output: s=[s(1). T ]: The output is an n × 2 matrix ST such that the ﬁrst column ST(:.n)).2)). is random. s(n)]’ is a vector such that s(i) is ith arrival time. T ].2).2*n).. s=cumsum(exponentialrv(lambda. us (United States) Zip Code:71901 . s_new]. function N=poissonprocess(lambda.com Phone:5017621195 poissonarrivals s=poissonarrivals(lambda. R=ps’*v.T) function s=poissonarrivals(lambda.

1). then the simulation starts in state p0 18 Address:104 pine meadows loop.1)-1..n). %state space x=zeros(n+1.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 .p0. x(m) is the state at time m-1 of the Markov chain. Comment: If p0 is a scalar integer.1)=simdmc(P.1)-1. then the simulation starts in state p0.2) is the amount of time spent in each state.1).n+1).n) Input: State transition matrix Q for a continuoustime ﬁnite Markov chain.2). %initialization if (length(p0)==1) %convert integer p0 to prob vector p0=((0:K)==p0). % init. %S=simcmcstep(Q.n) function x=simdmc(P. %highest no. vector p0 denoting the initial state probabilities.1). %state dep./v.1)) . integer n Output: A simulation of n steps of the continuous-time Markov chain system: The output is an n × 2 matrix ST such that the ﬁrst column ST(:.1) is the length n sequence of system states and the second column ST(:. hot springs. rate matrix Q.2). function S=simcmcstep(Q.n) % Simulate n steps of a cts % Markov Chain. %max no. S(:.p0.2)=t(1+S(:. %x(m)= state at time m-1 for m=1:n.p0. That is.p0. rates t=1.com Phone:5017621195 simcmcstep S=simcmcstep(Q.1). integer n.n). simdmc x=simdmc(P.%init allocation %check for integer p0 if (length(p0)==1) p0=((0:K)==p0). state sx=0:K.n) K=size(P. state probabilities p0 K=size(Q.p0.p0. state S=zeros(n+1. This program is the basis for simcmc.*exponentialrv(1.p0. length n vector p0 denoting the initial state probabilities. x(m+1)=finiterv(sx. end Input: n ×n stochastic matrix P which is the state transition matrix of a discrete-time ﬁnite Markov chain. ST(i.:).. end v=sum(Q. P=diag(t)*Q.P(x(m)+1. Comment: If p0 is a scalar integer. Output: A simulation of the Markov chain system such that for the length n vector x. end x(1)=finiterv(sx.2) is the amount of time the system spends in state ST(i. S(:. AR. .

1))’.y) %Usage: n=countless(x.y) %Usage: n=countequal(x.MY]=ndgrid(x.y).1))’. function n=countequal(x. us (United States) Zip Code:71901 . function n=countless(x.Name:joey iwatsuru Email:joeyiwat@yahoo. dftmat F=dftmat(N) Input: Integer N .com Phone:5017621195 Random Utilities count n=count(x. %each column of MX = x %each row of MY = y n=(sum((MX<=MY).y). function n=count(x.1))’. countequal n=countequal(x.y).MY]=ndgrid(x. countless n=countless(x.y) Input: Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x strictly less than y(i).y) Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x less than or equal to y(i). %each column of MX = x %each row of MY = y n=(sum((MX==MY). 19 Address:104 pine meadows loop. hot springs.y) %Usage n=count(x.y) %n(j)= # elements of x = y(j) [MX. %each column of MX = x %each row of MY = y n=(sum((MX<MY). F=exp((-1. AR.y) %n(i)= # elements of x < y(i) [MX.0j)*2*pi*(n*(n’))/N). Usage: F=dftmat(N) %F is the N by N DFT matrix n=(0:N-1)’.MY]=ndgrid(x. Output: F is the N by N discrete Fourier transform matrix function F = dftmat(N).y) %n(i)= # elements of x <= y(i) [MX.y) Input: Vectors x and y Output: Vector n such that n(i) is the number of elements of x equal to y(i).

rel.2)] % = kth unique pair [x y] and % fxy(k. L=1+floor(length(r)/2). us (United States) Zip Code:71901 .[2 1 3]).’rows’).1) fxy(k. r(2k+1)] holding the time sequence r−k . .3).I. function S=fftc(varargin). The output fxy is ordered so that the rows match the ordering of rows in the matrix [SX(:) fftc S=fftc(r. xy is an m × 2 matrix holding a list of sample values pairs. %DFT for a signal r %centered at the origin %Usage: % fftc(r.3)] [fxy(k. rk centered around the origin. Output: fxy is a K × 3 matrix. n=reshape(0:(N-1).SY) %xy is an m x 2 matrix: %xy(i.m). .SY) Input: For random variables X and Y . .0j)*phase). .3)= corresp. Y ). N=hist(J. 20 Address:104 pine meadows loop. . S=R.J]=unique(xy. .Y) pairs: xy=[xy.. SY(:) PXY(:)].SY) %Usage: fxy = freqxy(xy.1) fxy(k. yy(i. . N=N/sum(N).:)= ith sample pair X. Comment: Given the grids SX. [U. r0 .SX.1:max(J))-1. freq.SX.1) fxy(k. end R=fft(r. xy=finiterv(S. %extend xy to include a sample %for all possible (X.Y %Output fxy is a K x 3 matrix: % [fxy(k.:) is the ith sample pair (X. SY and the probability grid PXY. AR. Output: S is the DFT of r Comment: Supports the same calling conventions as fft. S=fftc(r) Input: Vector r=[r(1) .2) fxy(k. if (nargin>1) N=varargin{2}(1).*exp((1. function fxy = freqxy(xy.size(R)).Name:joey iwatsuru Email:joeyiwat@yahoo. hot springs.com Phone:5017621195 freqxy fxy=freqxy(xy.SX. Y ) pair with relative frequency fxy(k. . fxy=[U N(:)].N).2)] is a unique (X.N).N): N point DFT of r % fftc(r): length(r) DFT of r r=varargin{1}.PXY(:). SX(:) SY(:)]. %reorder fxy rows to match %rows of [SX(:) SY(:) PXY(:)]: fxy=sortrows(fxy. else N=(2*L)-1. In each row [fxy(k. phase=2*pi*(n/N)*(L-1). a list of random sample value pairs xy can be simulated by the commands S=[SX(:) SY(:)]. Grids SX and SY representing the sample space..

px.5). axis([xmin xmax 0 ymax]).05*(xmax-xmin). px=px(nonzero). set(h.3). XM = [sx. y=sin(pi*xx).0*(abs(x)<0.’Bottom’). y=1. AR. ylabel(yls. sx=sx(nonzero). sx].PM. y=((1. xmin=xmin-xborder. xx=x+(x==0). h=plot(XM.5 0 otherwise function y=rect(x). function h=pmfplot(sx.0*(x==0)). if (nargin==4) xlabel(xls). %Usage:y=rect(x). PM=[zeros(size(px)). Comment: The code is ugly because it makes sure to produce the right limit value at xi = 0. sx=(sx(:))’. 21 Address:104 pine meadows loop.’LineWidth’.*y)+ (1./(pi*xx).0-(x==0)). hot springs.yls) %Usage: pmfplot(sx. xmax=max(sx).xls.’x’.Name:joey iwatsuru Email:joeyiwat@yahoo.px.com Phone:5017621195 pmfplot pmfplot(sx.’y axis text’) Input: Sample space vector sx and PMF vector px for ﬁnite random variable PXY. xmax=xmax+xborder. end xmin=min(sx). ymax=1.’-k’). px=(px(:))’.1*max(px). xborder=0. px].yls) %sx and px are vectors.px. px is the PMF %xls and yls are x and y label strings nonzero=find(px). optional text strings xls and yls Output: A plot of the PMF PX (x) in the bar style used in the text. us (United States) Zip Code:71901 . sinc y=sinc(x) Input: Vector x Output: Vector y such that yi = sinc(xi ) = sin(π xi ) π xi function y=sinc(x).’VerticalAlignment’.xls. rect y=rect(x) Input: Vector x Output: Vector y such that yi = rect(xi ) = 1 |xi | < 0.

% The cumulative sum % of visit times are transition instances. Output: A “stairs” plot showing the sequence of simulation states over time. 22 Address:104 pine meadows loop. a cts time Markov chain % is assumed where % S(:.1). Comment: If S is just a state sequence vector.2)==1) S=[S ones(size(S))].2)]). S(size(S.Y). us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo.xls.T) or ST=simcmcstep(Q. If S is n × 2 state/time matrix ST.p0.com Phone:5017621195 simplot simplot(S. then the width of the stair is proportional to the time spent in that state.’Bottom’).1)]. AR. ylabel(yls.n).xlabel.1) = state sequence. X=cumsum([0 .xlabel. end Y=[S(:. then each stair has equal width.2) = state visit times.1) . a discrete time chain is assumed % with visit times of one unit. if (nargin==3) xlabel(xls).yls).’VerticalAlignment’.ylabel) function h=simplot(S.ylabel) % Plots the output of a simulated state sequence % If S is N by 1. %h=simplot(S. % S(:.p0.n) or the n × 2 state/time matrix ST generated by either ST=simcmc(Q. h=stairs(X. end Input: The simulated state sequence vector S generated by S=simdmc(P. S(:. % If S is an N by 2 matrix. hot springs. % h is a handle to a stairs plot of the state sequence % vs state transition times %in case of discrete time simulation if (size(S.p0.

2004 • The M ATLAB section quizzes at the end of each chapter use programs available for download as the archive matcode. 1 Address:104 pine meadows loop.zip.edu. Nevertheless. Also available is a manual probmatlab.pdf describing the general purpose .Name:joey iwatsuru Email:joeyiwat@yahoo. please send email to ryates@winlab. This archive has programs of general purpose programs for solving probability problems as well as speciﬁc . hot springs.zip. AR. • We have made a substantial effort to check the solution to every quiz. Goodman May 22.m ﬁles in matcode. corrected solutions will be posted at the website. Yates and David J. a probability close to unity) that errors will be found.com Phone:5017621195 Probability and Stochastic Processes A Friendly Introduction for Electrical and Computer Engineers Second Edition Quiz Solutions Roy D. If you ﬁnd errors or have suggestions or comments. there is a nonzero probability (in fact. When errors are found.m ﬁles associated with examples or quizzes in the text.rutgers. us (United States) Zip Code:71901 .

However. dvv. ddv. vdd. ddd} (6) B3 = {vdv. vvd. The pair A4 and B4 are not mutually exclusive since dvd belongs to A4 and B4 . vdd. The pair A3 and B3 are mutually exclusive but not collectively exhaustive. dvd} (4) R ∩ M (6) T c − M (7) A4 = {vvv. hot springs. dvd. dvd} (4) B2 = {vdv. Ai and Bi are mutually exclusive if Ai ∩ Bi = φ. we can simply check for these properties. 2 Address:104 pine meadows loop.1 In the Venn diagrams for parts (a)-(g) below. A4 and B4 are collectively exhaustive.com Phone:5017621195 Quiz Solutions – Chapter 1 Quiz 1. ddv} (8) B4 = {ddd. vdv. ddd} (3) A2 = {vvv.2 (1) A1 = {vvv. vdv. ddv. dvv. vvd. dvd. ddd} (5) A3 = {vvv.Name:joey iwatsuru Email:joeyiwat@yahoo. Since we have written down each pair Ai and Bi above. 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. Also. vdd} (2) B1 = {dvv. The pair A2 and B2 are mutually exclusive and collectively exhaustive. vvd. dvd. The pair A1 and B1 are mutually exclusive and collectively exhaustive. AR. ddv. vdd} Recall that Ai and Bi are collectively exhaustive if Ai ∪ Bi = S. the shaded area represents the indicated set. us (United States) Zip Code:71901 .

.25 B 0.82 Quiz 1. and DL.35 ? The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1. s100 }] = 21 × 0.4 We can describe this experiment by the event space consisting of the four possible events V B. .18 (5) P[T ≥ 80] = P[{s80 .35 = 0. . hot springs. . .42 (6) P[T < 90] = P[{s51 . .02 = 0. s59 }] = 9 × 0.22 (4) P[F] = P[{s51 .62 (8) P[student passes] = P[{s60 .3 There are exactly 50 equally likely outcomes: s51 through s100 . We represent these events in the table: V D L 0.02 = 0. .35 and that P[DL] = 0. (1) P[{s79 }] = 0.02. . P [V ] = 0.05 Finding the various probabilities is now straightforward: 3 Address:104 pine meadows loop. s100 }] = 11 × 0.35 0. .25.com Phone:5017621195 Quiz 1.7 = P [V L] + P [V B] P [L] = 0.35 0.02 = 0.78 (7) P[a C grade or better] = P[{s70 . we can conclude that P[V B] = 0. . s89 }] = 39 × 0.02 = 0. . s52 . V L. . .05 and the complete table is V D L 0. Each of these outcomes has probability 0. AR.35 ? B ? ? In a roundabout way. .02 = 0. s100 }] = 31 × 0. .02 = 0. . This allows us to ﬁll in two more table entries: V D L 0. . .35 0. This implies P[D B] = 0.02 (2) P[{s100 }] = 0.Name:joey iwatsuru Email:joeyiwat@yahoo. .6 = P [V L] + P [DL] (1) (2) Since P[V L] = 0. . the problem statement tells us how to ﬁll in the table. . In particular. us (United States) Zip Code:71901 .35. .6 − 0.25 B 0. . s100 }] = 41 × 0.02 (3) P[A] = P[{s90 . D B. .

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

(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

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 1.6 In this experiment, there are four outcomes with probabilities P[{vv}] = (0.8)2 = 0.64 P[{dv}] = (0.2)(0.8) = 0.16 P[{vd}] = (0.8)(0.2) = 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 Next, we observe that P [N V ≥ 1] = P [{vd, dv, vv}] = 0.96 Finally, we make the comparison P [N V = 2] P [N V ≥ 1] = (0.64)(0.96) = P [N V = 2, N V ≥ 1] which shows the two events are dependent. (2) The probability of the joint event is P [N V ≥ 1, C1 = v] = P [{vd, vv}] = 0.80 From part (a), P[N V ≥ 1] = 0.96. Further, P[C1 = v] = 0.8 so that P [N V ≥ 1] P [C1 = v] = (0.96)(0.8) = 0.768 = P [N V ≥ 1, C1 = v] 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, {C2 = v}, and the ﬁrst call is a data call, {C1 = d} are independent events. Just to be sure, we can do the calculations to check: P [C1 = d, C2 = v] = P [{dv}] = 0.16 (6) Since P[C1 = d]P[C2 = 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 [C2 = v, N V is even] = P [{vv}] = 0.64 Also, each event has probability P [C2 = v] = P [{dv, vv}] = 0.8, P [N V is even] = P [{dd, vv}] = 0.68 (8) Thus, P[C2 = v]P[N V is even] = (0.8)(0.68) = 0.544. Since P[C2 = v, N V is even] = 0.544, the events are dependent. 5 (7) (5) (4) (3) (2) (1)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 1.7 Let Fi denote the event that that the user is found on page i. The tree for the experiment is

0.8 ¨ F1 0.8 ¨ F2 0.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0.2 0.2 0.2

The user is found unless all three paging attempts fail. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 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 subexperiment has two possible outcomes: 0 and 1. Thus by the fundamental principle of counting, there are 2 × 2 × 2 × 2 = 24 = 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 = 6 ways to do this. Hence, there are six code words with exactly two zeroes. 2 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 N a code word is M . For N = 8 and M = 3, there are 8 = 56 code words. 3 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 Sk,100−k = 100 k 6

k

(1 − )100−k

(1)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

99) (2) The probability a packet is decoded correctly is just P [C] = P S0. The probability that a chip works is P[C] = pn .4) ..99) 8 = 0.10 Since the chip works only if all n transistors work. Second. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.01.3700 9 97 P S2.01) (0. X(i)=1 if ﬂip i was heads.3660 P S1.4).98 = 4950(0. 0.100 + P S1. Lastly.100 = (1 − )100 = (0.1849 P S3. Y=hist(X. and X(i)=3) is ﬂip i landed on the edge. + (3*(R>0. then X(i)=1.9)) . The module works if either 8 chips work or 9 chips work. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip.. hot springs.99)100 = 0. 700(0. To see how this works. we use the hist function to count how many occurences of each possible value of X(i).4. 7 Address:104 pine meadows loop.97 = 161. we note there are three cases: • If R(i) <= 0. 8 P [C9 ] = (P [C])9 = p 9n . Since transistor failures are independent of each other. P S0. That is.99 + P S2.4. • If 0. the transistors in the chip are like devices in series..01)(0. us (United States) Zip Code:71901 .1:3) (1) (2) (3) For a M ATLAB simulation. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ).97 = 0. chip failures are also independent.9 < R(i).99 = 100(0.0610 (6) Quiz 1.com Phone:5017621195 For = 0.4 < R(i) and R(i)<=0.5 and 0.*(R<=0. then X(i)=2. then X(i)=3.9819 = 0.99) 2 3 99 (2) (3) (4) (5) = 0.Name:joey iwatsuru Email:joeyiwat@yahoo. Let Ck denote the event that exactly k chips work. + (2*(R>0. AR.100). X(i)=2 if ﬂip i was tails.1.9. we ﬁrst generate a vector R of 100 random numbers.11 R=rand(1.01) (0. These three cases will have probabilities 0.. X=(R<= 0. • If 0.9)).98 + P S3.

with probability p. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0.0387 8 (2) Address:104 pine meadows loop. the trial is a success.5 0.2 (1) To ﬁnd c. hot springs.24 2.0 0.” Each bit is in error.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11.5 0.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success. Now that we have found c.9)9 = 0.1)(0. the remaining parts are straightforward.Name:joey iwatsuru Email:joeyiwat@yahoo. Now we can interpret each experiment in the generic context of independent trials. Similar to Example 2. 2. we recall that the PMF must sum to 1. that is. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1.com Phone:5017621195 Quiz Solutions – Chapter 2 Quiz 2. AR. .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. That is. 0 otherwise (1) (2) If p = 0. 3 G 0.24 2. (1) The random variable X is the number of trials up to and including the ﬁrst success. .36 3. us (United States) Zip Code:71901 . .1 The sample space.11. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2.

15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3.25.99)99 + = 0. (3) The random variable Y is the number of successes in 100 independent trials. (1) P[Y < 1] = FY (1− ) = 0 9 Address:104 pine meadows loop. Thus Z has the Pascal PMF (see Example 2. .25)3 (0.13. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0. P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0.0645 2 (10) Quiz 2. we must keep in + mind that when FY (y) has a discontinuity at y0 .75)9 = 0. That is.01.01)2 (0. However.9207 100 (0. FY (y) takes the upper value FY (y0 ). (6) If p = 0. 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.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0.99)98 = 0.. us (United States) Zip Code:71901 .910 = 0. .4 Each of these probabilities can be read off the CDF FY (y). 4. AR.com Phone:5017621195 The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x). However.1. This x=10 sum is not too hard to calculate. . 5.Name:joey iwatsuru Email:joeyiwat@yahoo. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0. P[X ≥ 10] = 0. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly.99)100 + 100(0.3487. Just as in Example 2.01)(0.01)2 (0. hot springs.

we can draw the following tree: N =0 •T =120 0.7 c = 25 PC (c) = 0.1¨¨ ¨ ¨ ¨ 0.3 t = 75.3 N =3 •T =75 From the tree.Name:joey iwatsuru Email:joeyiwat@yahoo.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T . we have a data call and C = 40.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).3) = 29. This corresponds to the PMF ⎧ ⎨ 0.6 = 0.6 (1) As a function of N . us (United States) Zip Code:71901 . we can write down the PMF of T : ⎧ ⎨ 0.8 = 0.8 = 0 Quiz 2.7) + 40(0.3.3 N =2 •T =90 r rr 0. AR. a call is a voice call and C = 25. 90.3) + 120(0.7.3$$N =1 •T =105 $ (2) (1) $ $$ ¨¨$ rr rr0. hot springs.6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.com Phone:5017621195 (2) P[Y ≤ 1] = FY (1) = 0.1) = 62 (2) (3) (4) 10 Address:104 pine meadows loop. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.5 (1) With probability 0. with probability 0.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0.5 cents Quiz 2. Otherwise.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0. 105 PT (t) = 0.8 − 0.

1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1.10.44 = 0.8 The PMF PN (n) allows to calculate each of the desired quantities.663.7 (1) Using Deﬁnition 2.1) + 1(0. E[M] = 4. (3) 11 Address:104 pine meadows loop.2) + 8(0.4) + 22 (0. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0. AR.Name:joey iwatsuru Email:joeyiwat@yahoo.4)2 = 0.5) = 1.4) + 2(0.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.14. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.com Phone:5017621195 Quiz 2.2) + 4(0. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.4 − (1.3) + 3(0.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2.8 (3) Since E[A] = 2.3) + 6(0. g(E[A]) = g(2) = 4.1) + 12 (0. us (United States) Zip Code:71901 .5) = 2.8 = g(E[A]). The two quantities are different because g(A) is not of the form α A + β.1) = 4.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0. Quiz 2. However.4) + 4(0.4) + 2(0. hot springs.

us (United States) Zip Code:71901 .10 (the law of total probability).com Phone:5017621195 Quiz 2. . .15625 12 Address:104 pine meadows loop. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4.19375) + n=6 n(0. 2. 50 = 0(0. 3.8 n = 6. 5 = 0.00625) (11) (12) = 3. hot springs. . 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. calculating conditional expectations is easy. 7. 4. . 3.155 n = 1. . From Theorem 1. 3. .8 n = 1. . 4. 5 = 0.02(0. 2. we learn that the conditional PMF of N given the event I is 0. 4. . 10 ⎩ 0 otherwise ⎧ ⎨ 0.005/0. 2. 7. 2.19375 n = 1.005)(5) = 0. . 2.25) ⎩ 0 otherwise ⎧ ⎨ 0. 3.02(0.2(0.00625 n = 6.155)(5) + (0. 4.02 n = 1. 5 = 0. 2.25) n = 1. 3.75) + 0. 10 ⎩ 0 otherwise (5) Once we have the conditional PMF. 8. . 9.17. 7. 8. E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0.155/0. 7. AR. the conditional PMF of N given the event T is PN |T (n) = 0.2 n = 1.75) + 0.Name:joey iwatsuru Email:joeyiwat@yahoo. 5 n = 6. .9 (1) From the problem statement.005 n = 6.80 (6) By Theorem 2. 9. . the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0. 4.

i)=cumsum(X).75684 (16) (17) Quiz 2.19375) + 2 (14) (15) = 55(0. M=zeros(k. us (United States) Zip Code:71901 .5). .15625)2 = 2. AR.i) of M holds a sequence m 1 . 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. 2. .00625) = 12.71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12. Each time samplemean(k) is called produces a random output. for i=1:5. The ith column M(:. m 2 . end. .Name:joey iwatsuru Email:joeyiwat@yahoo. hot springs.19375) + 330(0. M(:.k). plot(K. Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1./K. m k . .71875 − (3. K=(1:k)’. k. .10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1. .10.00625) n=6 = n=1 n (0. What is observed in these ﬁgures is that for small n. . m n is fairly random but as n gets 13 Address:104 pine meadows loop. X=duniformrv(0.com Phone:5017621195 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. . function M=samplemean(k).M).

m n gets close to E[X ] = 5. hot springs. Although each sequence m 1 . m 2 .com Phone:5017621195 large. 14 Address:104 pine meadows loop. us (United States) Zip Code:71901 . the sequences always converges to E[X ].Name:joey iwatsuru Email:joeyiwat@yahoo. This random convergence is analyzed in Chapter 7. . AR. that we generate is random. . .

hot springs.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF. us (United States) Zip Code:71901 .2 0. we use ∞ the fact that −∞ f X (x) d x = 1. To ﬁnd c. λ = 1/2) PDF 0.Name:joey iwatsuru Email:joeyiwat@yahoo. AR. 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 > 1.5)/4 = 5/8 Quiz 3.com Phone:5017621195 Quiz Solutions – Chapter 3 Quiz 3.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 Address:104 pine meadows loop.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).1 The CDF of Y is 1 FY(y) 0.5) = 1 − (1.5] = 1 − FY (1. 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 = 2.5] = 1 − P[Y ≤ 1.

0 otherwise.e. (3) 16 Address:104 pine meadows loop. 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. hot springs. (9) (10) Quiz 3. (4) Similarly.Name:joey iwatsuru Email:joeyiwat@yahoo. (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. we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0. f Y (y) = f Y (−y)). For x ≥ 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.. P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . (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. AR.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. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 . us (United States) Zip Code:71901 .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).com Phone:5017621195 (2) To ﬁnd the CDF FX (x).

Name:joey iwatsuru Email:joeyiwat@yahoo. The only valid solution with a < b is √ a = 3 − 3 3. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). To ﬁnd a and b.4 (1) When X is an exponential (λ) random variable. f X (x) = 0 otherwise. We start with the sketches. it is important to remember that as the standard deviation increases. b) random variable. (4) (2) We know X is a uniform (a.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. (4) The standard deviation of Y is σY = Quiz 3.6 to write E [X ] = This implies a + b = 6. the peak value of the Gaussian PDF goes down. However. fY(y) 0. us (United States) Zip Code:71901 . hot springs. we must have λ = 1/3. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3.com Phone:5017621195 (3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5.2. Quiz 3. E[X ] = 1/λ and Var[X ] = 1/λ2 .2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 Address:104 pine meadows loop.4 0. we apply Theorem 3. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0. (5) (z) function and Table 3. 0 otherwise. 12 (2) √ b − a = ±6 3. Since E[X ] = 3 and Var[X ] = 9. AR. √ b = 3 + 3 3. (1) √ Var[Y ] = √ 3/5.1 (1) The PDFs of X and Y are shown below. a+b =3 2 Var[X ] = (b − a)2 = 9.

(2) Quiz 3.383.0401.com Phone:5017621195 (2) Since X is Gaussian (0. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1. ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1. P[Y > 3. The resulting PDF is 0. 1). 1). ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1. (2) P[X < 1] = FX (1− ) = 1/2.33 × 10−4 . P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0.5 ) = Q(1.75) = 0 x 2 ⎧ x < −1.5] = Q(3. since X is Gaussian (0.Name:joey iwatsuru Email:joeyiwat@yahoo. (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y). 2). 2). (5) Since Y is Gaussian (0. us (United States) Zip Code:71901 .5 0 −2 (1.5 fX(x) 0. hot springs. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1.5] = Q( 3.5) = 2. AR. P[X > 3. (3) Since Y is Gaussian (0. ⎩ 0 otherwise.6826. P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0.75) = 1 − 2 0. Quiz 3.6 The CDF of X is 1 FX(x) 0. 2 (4) (1) (2) (4) Again. ⎩ 1 x ≥ 1.7 18 Address:104 pine meadows loop.

com Phone:5017621195 (1) Since X is always nonnegative. 1. Finally.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . because Y ≤ 1.6 . (1) The complete CDF of X is 1 F (x) 0. ⎨ 0 2 /4 0 ≤ y < 1. the complete expression for the CDF of Y is 1 F (y) 0. FY (y) = y−y ⎩ 1 y ≥ 1. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. the PDF is zero. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4.5 f (y) 1 0. FX (x) = x−x ⎩ 1 x > 2. (5) 0. for 0 ≤ x ≤ 2. Using the CDF FX (x). ⎨ 0 2 /4 0 ≤ x ≤ 2. Also. for 0 < y < 1. Also. us (United States) Zip Code:71901 . Y is also nonnegative.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1]. Lastly. AR. we obtain the PDF f Y (y). hot springs. FY (y) = 1 for all y ≥ 1. (4) By taking the derivative of FY (y). FX (x) = 0 for x < 0. (3) (3) Since X is nonnegative.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0. 19 Address:104 pine meadows loop.5 0 −1 Y (4) 0 As expected. Note that when y < 0 or y > 1.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3.Name:joey iwatsuru Email:joeyiwat@yahoo. Thus FY (y) = 0 for y < 0.

lambda=1/3. 0 otherwise. AR. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3. while (i<m). i=i+1. us (United States) Zip Code:71901 . end end A second method exploits the fact that if T is an exponential (λ) random variable.1). 20 Address:104 pine meadows loop. 0 otherwise. t=zeros(m. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0.9 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.com Phone:5017621195 (2) From Deﬁnition 3. then T = T + 2 has PDF f T (t) = f T |T >2 (t).0+exponentialrv(1/3. In this case the command t=2. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9. = otherwise.15. 1/2 8 < y ≤ 10.m) generates the vector t. (3) (5) From the conditional PDF f Y |Y ≤6 (y). 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 1/6 0 ≤ y ≤ 6. 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. (1) 1 dy = 0.15.2 .1). x=exponentialrv(lambda. 2 (5) Quiz 3. = otherwise.Name:joey iwatsuru Email:joeyiwat@yahoo. 10 (2) (4) From Deﬁnition 3. if (x>2) t(i+1)=x. hot springs. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8.

(4) FX. y) = P[X ≤ ∞.G (0. g) (6) (7) = 0.24 + 0. Y ≤ ∞] = 1. 1) + PQ. (2) FX.G (0. Quiz 4.G (0.Y (∞. AR. Y ≤ −∞] = 0 since Y cannot take on the value −∞.Name:joey iwatsuru Email:joeyiwat@yahoo. (1) The probability that Q = 0 is P [Q = 0] = PQ. us (United States) Zip Code:71901 .12 = 0.16 + 0.6 (2) The probability that Q = G is P [Q = G] = PQ.G (1.18 + 0. (1) FX.16 + 0.G (q. ∞) = P[X ≤ ∞.G (0. 2) = P[X ≤ −∞.Y (∞.G (0. g) (4) (5) = 0.08 = 0.08 = 0. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. 0) + PQ. Y ≤ y] = P[Y ≤ y] = FY (y).G (q.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.1. 2) + PQ. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.06 + 0.2 From the joint PMF of Q and G given in the table.24 + 0.12 + 0.24 + 0.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ.12 + 0.18 + 0. 0) + PQ. 3) = 0.1 Each value of the joint CDF can be found by considering the corresponding probability. −∞) = P[X ≤ ∞.Y (−∞. This result is given in Theorem 4. (3) FX.Y (∞. hot springs.com Phone:5017621195 Quiz Solutions – Chapter 4 Quiz 4. 1) = 0.78 21 Address:104 pine meadows loop.

2 PB (b) 0. b) (1) For each value of h.2 0.2.3 Quiz 4. 2 0 0 2 1 f X. y = r sin θ and d x d y = r dr dθ . y) d x d y (4) To integrate over A.Y (x. To calculate P[A].2 0.B (h.1 0. the marginal PMF of B is 1 PB (b) = h=−1 PH.3.Y (x. we write P [A] = A y dy = (c/4)y 2 f X.4 0. us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo.2 h=0 h=1 0.1 0 0. AR. this corresponds to the column sum down the table of the joint PMF. b) (2) For each value of b. y) d x d y = 1.1 0 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 Address:104 pine meadows loop.4 To ﬁnd the constant c.B (h. we convert to polar coordinates using the substitutions x = r cos θ . 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. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X.6 0.4 PH. the marginal PMF of H is PH (h) = b=0.com Phone:5017621195 Quiz 4. Similarly.B (h.Y (x.1 0. this corresponds to calculating the row sum across the table of the joint PMF. Speciﬁcally.3 By Theorem 4. hot springs. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH.5 0.

AR. 400 l = 2.05 (T =18) 0. We can write these down on the table for the joint PMF of L and B as follows: PL .B (l. y) dy (1) For x < 0 or x > 1. f Y (y) = = ∞ −∞ 6 1 f X.10 (T =360) b = 28. 90 ⎪ ⎪ ⎨ 0. writing down the PMF of T is straightforward. For each pair of values of L and B. For 0 ≤ y ≤ 1. For 0 ≤ x ≤ 1.com Phone:5017621195 Quiz 4.1 t = 120 PT (t) = ⎪ 0.05 t = 18 ⎪ ⎪ ⎪ 0.10 (T =24) 0. 800 0.05 t = 180 ⎪ ⎪ ⎪ 0.8.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0. b) l = 518.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) Address:104 pine meadows loop. 776. 600 0.Y (x. the complete expression for the PDF of Y is f Y (y) = Quiz 4. the marginal PDF of X is f X (x) = ∞ −∞ f X. us (United States) Zip Code:71901 . ⎧ ⎪ 0. 000 l = 7. 400 0.Y (x.5 By Theorem 4.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0.10 (T =120) 0.00 (T =540) b = 21.6 (A) The time required for the transfer is T = L/B. 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 > 1.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table. hot springs.20 (T =90) 0.05 (T =180) 0. 592.20 (T =36) 0.Name:joey iwatsuru Email:joeyiwat@yahoo. we can calculate the time T needed for the transfer. 000 b = 14. f X (x) = 0. 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 .2 t = 36.

25) = 4.1 0.2 0.T (l. 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. Speciﬁcally. us (United States) Zip Code:71901 .5.3 0.25) = 2. 24 t = 40 0.1 0. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1.15 0.5.6 t = 60 0. hot springs.5) + 3(0. As shown below. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.Name:joey iwatsuru Email:joeyiwat@yahoo. For 0 < w < 1.com Phone:5017621195 (B) First. the variance of L is Var [L] = E L 2 − (E [L])2 = 0. integrating over the region W ≤ w is fairly complex.25 (7) (8) (1) (2) (3) Address:104 pine meadows loop. we ﬁnd the PDF is ⎧ 0 w<0 d FW (w) ⎨ f W (w) = = − ln w 0 ≤ w ≤ 1 ⎩ dw 0 w>1 Quiz 4.4 PL (l) 0. we calculate the CDF FW (w) = P[W ≤ w].5) + 32 (0.25) + 22 (0.5 0. AR.15 0.25 0. Since the second moment of L is E L 2 = 12 (0.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs. Thus f W (0) = 0 and f W (1) = 1. W = X Y satisﬁes 0 ≤ W ≤ 1. PL . The calculus is simpler if we integrate over the region X Y > w.25) + 2(0.

f X (x) = ∞ −∞ f X.15) + 1(60)(0. For 0 ≤ x ≤ 1.16(a).15) + 2(40)(0.4) = 2400. the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y).1) = 96 (4) From Theorem 4.Name:joey iwatsuru Email:joeyiwat@yahoo. for 0 ≤ y ≤ 2.com Phone:5017621195 (2) The expected value of T is E [T ] = 40(0.4) = 48. the covariance of L and T is Cov [L . AR.6) + 60(0. The second moment of T is E T 2 = 402 (0. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .2) + 3(60)(0. us (United States) Zip Code:71901 . 25 Address:104 pine meadows loop. 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. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40.Y (x. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. hot springs. f Y (y) = ∞ −∞ f X.6) + 602 (0.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0.3) + 3(40)(0.Y (x. T ] = 0.T = 0. (11) (B) As in the discrete case. the correlation coefﬁcient is ρ L .1) + 2(60)(0. it is straightforward to calculate the various expectations.

us (United States) Zip Code:71901 .Y (x. Y ] = 0.9. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X. (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X.T (2. Quiz 4.45 By Deﬁnition 4.com Phone:5017621195 (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.T |A (l. AR.8 (A) Since the event V > 80 occurs only for the pairs (L .t) P[A] (1) 0 lt > 80 otherwise (2) Address:104 pine meadows loop.T (l. hot springs. P [A] = P [V > 80] = PL . dy 1 0 (20) 2 x3 x y d x. 40) and (L . Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. T ) = (2.Name:joey iwatsuru Email:joeyiwat@yahoo. 60) = 0. 40) + PL . 60) + PL . (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. 60). y) d x.T (3. (22) (5) Since Cov[X. t) = 26 PL . (L . T ) = (3.Y = 0. T ) = (3. PL .T (3. 60).

t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18.801 8 5 2 dy The conditional PDF of X and Y is f X. we ﬁrst calculate the probability of the conditioning event. P [B] = B f X. 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. AR. 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 .Y (x.Y (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. y) = = f X. 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].T |A (l.Y |B (x. y) /P [B] (x. 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) Address:104 pine meadows loop.T |A (l. hot springs.com Phone:5017621195 We can represent this conditional PMF in the following table: PL . we ﬁrst ﬁnd the conditional second moment E V 2 |A = l t (lt)2 PL .T |A (l. E [V |A] = l t lt PL . y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 .

78 −∞ −∞ 60 3 40 (x y)2 f X.B (a. 1}.Y |B (x. The conditional expectation of W given event B is E [W |B] = = ∞ ∞ −∞ −∞ 60 3 40 x y f X. we can note that A has range S A = {0. 116. AR.com Phone:5017621195 where K = (4000P[B])−1 . however.9 (24) (A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via PA. b) = PB|A (b|a)PA (a).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. 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 Address:104 pine meadows loop. Incorporating the information from the given conditional PMFs can be confusing. 2} and B has range S B = {0. The general form of the table is PA. hot springs.30 Quiz 4.Name:joey iwatsuru Email:joeyiwat@yahoo.B (a. A table of the joint PMF will include all four possible combinations of A and B.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. us (United States) Zip Code:71901 . 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. Consequently.

8)(0. us (United States) Zip Code:71901 .3 a=2 (2) Given the conditional PMF PB|A (b|2). we have b=0 b=1 PA.6) (0. 0) ⎨ PA|B (a|0) = = 0. b) b = 0 b = 1 a=0 0. hot springs. f Y |X (y|1/2) = 29 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 6y 0 ≤ y ≤ x.3 0.B (a.B (a.Name:joey iwatsuru Email:joeyiwat@yahoo.5)(0.com Phone:5017621195 Substituting values from PB|A (b|a) and PA (a).2)(0.5 (1) (3) From the joint PMF PA.6) a=2 or PA. AR.Y (x.32/0.4) (0. y) = f Y |X (y|x) f X (x) = (2) From the given conditional PDF f Y |X (y|x).B (a.5) + (1)(0. 0 ≤ x ≤ 1 0 otherwise (7) 960 961 (6) Address:104 pine meadows loop. b) a=0 (0.32 0.3/0. 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.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).B (a. b).4) (0. we can calculate the the conditional PMF ⎧ 0. it is easy to calculate the conditional expectation 1 E [B|A = 2] = b=0 b PB|A (b|2) = (0)(0.5) = 0.62 a = 0 PA.5)(0.08 0.

we integrate the joint PDF.Y (x.com Phone:5017621195 (3) The conditional PDF of Y given X = 1/2 is f X |Y (x|1/2) = f X.1. 0 ≤ x2 ≤ 2 0 otherwise 30 (2) (3) Address:104 pine meadows loop. (2) For random variables Q and G from Quiz 4.20 Careful study of the table will verify that PQ. 1) = 0 = PX (0) PY (1) (1) (1 − 1/2)2 1 = 12 48 (11) Since we have found a pair x.Y (x.08 0. PX.40 0. we observe that PY (1) = 0.12 0. 1/2)/ f Y (1/2).09 and PX (0) = 0. 1/2) 6(1/2) =2 = f Y (1/2) 3/2 (10) ∞ −∞ f X.Y (0.01.60 0. g) in Quiz 4. hot springs. g. g) g = 0 g = 1 g = 2 g = 3 PQ (q) q=0 0. g that fail the independence requirement. Note that whenever PX. f Y (1/2) = Thus. (B) (1) Since X 1 and X 2 are independent.2. by the deﬁnition of the uniform (a.G (q. there are no obvious pairs q. we can conclude that X and Y are dependent. Unlike X and Y in part (a). y) = 0.G (q. Var [X |Y = 1/2] = Quiz 4. it is not obvious whether they are independent. PQ.Y (x.G (q.10 0.X 2 (x1 . 1).18 0.04 0. Hence Q and G are independent.12 0.Y (x. To ﬁnd f Y (1/2). Thus.10 (A) (1) For random variables X and Y from Example 4. b) PDF. the conditional PDF of X is uniform (1/2. AR.Name:joey iwatsuru Email:joeyiwat@yahoo. f X |Y (x|1/2) = f X. y) = PX (x)PY (y). for 1/2 ≤ x ≤ 1.24 0. we calculate the marginal PMFs from the table of the joint PMF PQ.06 0. g) = PQ (q)PG (g) for every pair q. us (United States) Zip Code:71901 . f X 1 .30 0. independence requires that either PX (x) = 0 or PY (y) = 0.16 0. x2 ) = f X 1 (x1 ) f X 2 (x2 ) = (1 − x1 /2)(1 − x2 /2) 0 ≤ x1 ≤ 2.1/2 ( ) d x = 1 1/2 6(1/2) d x = 3/2 (9) (4) From the pervious part. However. y such that PX. In this case.2. we see that given Y = 1/2.40 q=1 PG (g) 0.

˜ (4) When Y = y = 2. from the problem statement.com Phone:5017621195 (2) Let FX (x) denote the CDF of both X 1 and X 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. y) = √ 3π 2 (3) µ2 = µY = 0. X 2 ≤ z] = P [X 1 ≤ z] P [X 2 ≤ z] = [FX (z)]2 (4) (5) To complete the problem.Name:joey iwatsuru Email:joeyiwat@yahoo. 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. us (United States) Zip Code:71901 . (2) (1) Applying these facts to Deﬁnition 4. and that σ1 = σ X = 1. (1) (2) By Theorem 4.17 and Theorem 4. we need to ﬁnd the CDF of each X i .29. hot springs.Y (x.17. The conditional PDF of X given Y = 2 is simply the Gaussian PDF 1 2 e−2(x−1) /3 . That is. From the PDF f X (x). AR. we see that E[X |Y = 2] = 1 and Var[X |Y = 2] = 3/4. we have 1 2 2 e−2(x −x y+y )/3 . P [Z ≤ z] = P [X 1 ≤ z. µ1 = µ X = 0.30. X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. f X |Y (x|2) = √ 3π/2 (5) 31 Address:104 pine meadows loop. The CDF of Z = max(X 1 . 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. we know that ρ = 1/2. σ2 = σY = 1. f X. Speciﬁcally.

x=finiterv(sx.25*ones(4. That is. 3. . hot springs. Also.y’].*rand(m.m). x) PMF. . First we observe that X has the discrete uniform (1. 4) PMF. PY |X (y|x) = 1/x y = 1. Y has a discrete uniform (1. 2.1)). 1) random variable U . x) PMF via Y = xU .12 One straightforward method is to follow the approach of Example 4. given X = x.28. 32 Address:104 pine meadows loop. x 0 otherwise (1) Given X = x. we use an alternate approach. y=ceil(x. xy=[x’. 4. PX (x) = 1/4 x = 1. we can generate a sample value of Y with a discrete uniform (1. px=0.com Phone:5017621195 Quiz 4. AR. Instead. us (United States) Zip Code:71901 .px.Name:joey iwatsuru Email:joeyiwat@yahoo.3. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1.4]. .2. .1). and an independent uniform (0. 0 otherwise.

Thus. x2 ) = 0 unless 0 ≤ x 1 ≤ x2 ≤ 1. we have f X 1 . Speciﬁcally.2 By deﬁnition of A. Y1 = X 1 .}. and that f X 1 .X 3 (x1 .Name:joey iwatsuru Email:joeyiwat@yahoo. . f X 2 . x2 ) = f X 2 . each Yi must be a strictly positive integer.X 2 (x1 .X 2 (x1 . X 2 = y2 + y1 . the complete expression for the joint PMF of Y is PY (y) = (1 − p) p a y y1 . P [C] = 0 1/2 y2 1/2 y4 dy2 0 1/2 dy1 0 dy4 0 1/2 4dy3 = 1/4. X 2 − X 1 = y2 . 6 d x1 = 6x2 . we must keep in mind that f X 1 . . Within these constraints.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. . for y1 .X 3 (x2 . Y2 = y2 .X 3 (x2 . AR. Y2 = X 2 − X 1 and Y3 = X 3 − X 2 .} 0 otherwise (5) Quiz 5. 2. (1) (2) =4 0 y2 dy2 0 y4 dy4 Quiz 5. X 3 − X 2 = y3 ] = P [X 1 = y1 . Since 0 < X 1 < X 2 < X 3 . (1) (2) (3) x2 x2 0 x3 x1 In particular. 2. us (United States) Zip Code:71901 . y3 ∈ {1. x3 ) = f X 1 . . PY (y) = P [Y1 = y1 . x3 ) = 0 unless 0 ≤ x 1 ≤ 33 Address:104 pine meadows loop.X 3 (x1 . y2 . 6 d x2 = 6(x3 − x1 ). Y3 = y3 ] = P [X 1 = y1 . X 3 = y3 + y2 + y1 ] = (1 − p)3 p y1 +y2 +y3 (1) (2) (3) (4) By deﬁning the vector a = 1 1 1 . . .1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X (x) d x3 = f X (x) d x1 = f X (x) d x2 = 1 6 d x3 = 6(1 − x2 ). x3 ) = 0 unless 0 ≤ x2 ≤ x3 ≤ 1. y3 ∈ {1. y2 .com Phone:5017621195 Quiz Solutions – Chapter 5 Quiz 5. hot springs.

X 3 (x2 . 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 . w) = 4 0 ≤ v1 ≤ v2 ≤ 1. x2 ) d x2 = f X 2 . We can separate these constraints by creating the vectors V= The joint PDF of V and W is f V. the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 . hot springs. us (United States) Zip Code:71901 . The complete expressions are f X 1 . When 0 ≤ xi ≤ 1 for each xi .X 2 (x1 .X 3 (x1 .X 2 (x1 . 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. x3 ) d x3 = f X 2 . Y2 W= Y3 .W (v. x3 ) = f X 1 .4 In the PDF f Y (y).X 3 (x2 . f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 .com Phone:5017621195 x3 ≤ 1.X 3 (x2 . 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.Name:joey iwatsuru Email:joeyiwat@yahoo. AR. x2 ) = f X 2 . Y4 (1) 34 Address:104 pine meadows loop.

.W (v. If we view each test as a trial with success probability P[L] = 0.1. 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x). 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 . the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . In ﬁve trials. . X 2 is a binomial (5. p) = (5. . for 0 ≤ w1 ≤ w2 ≤ 1.3.3)x1 (0. hot springs. 0. 0. . f V (v) = = 0 1 f V. f W (w) = = 4(1 − w1 ) dw1 = 2 f V.com Phone:5017621195 We must verify that V and W are independent.Name:joey iwatsuru Email:joeyiwat@yahoo.6) random variable and X 3 is a binomial (5.x3 (0. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly.1) random variable. Similarly. we see that X 1 is a binomial (n.3.5 (A) Referring to Theorem 1.6 and p3 = 0.19. w) = f V (v) f W (w). conﬁrming that V and W are independent vectors. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V. . 5 0 otherwise 35 5 x (2) Address:104 pine meadows loop. each test is a subexperiment with three possible outcomes: L. p2 = 0. PX i (x) = pix (1 − pi )5−x x = 0.3) random variable.1)x3 x1 + x2 + x3 = 5. 1. A and R. x2 . AR. For 0 ≤ v1 ≤ v2 ≤ 1. 0. x3 ∈ {0. Quiz 5. . 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. . for p1 = 0.W (v. us (United States) Zip Code:71901 .x2 . .W (v. That is. 1. PX (x) = (1) x1 .6)x2 (0.

for w = 3. Thus. PW (0) = PW (1) = 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.32 (0. Quiz 5. hot springs. We start with 36 Address:104 pine meadows loop.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . 1) 5![0. 2) + PX (2. we can apply Theorem 5. 6x 2 (1 − x) d x = 1/2. PW (2) = PX (1. 3x 3 d x = 3/4. X 2 and X 3 are not independent.Name:joey iwatsuru Email:joeyiwat@yahoo. w = 4.com Phone:5017621195 From the marginal PMFs.1)] 2!2!1! = 0.6 We start by ﬁnding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5.32 (0. 2.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 . since X 1 + X 2 + X 3 = 5 and since each X i is non-negative.1458 = (3) (4) (5) In addition.0802 (B) Since each Yi = 2X i + 4.3(0. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. 2) + PX (2.1)2 + 0.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. Hence. we use 3x(1 − x)2 d x = 1/4. Furthermore. we need to ﬁnd E[X i X j ] for all i and j.1)2 + 0. and w = 5. . In particular.6)2 (0. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. X 2 = w. 1. the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated.6 to ﬁnd the PMF of W . AR. To do so.6)2 (0. we must use Theorem 5. or X 3 = w occurs. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X . us (United States) Zip Code:71901 . we see that X 1 .6)(0. 2.

hot springs.X 2 (x1 . 6x 3 (1 − x) d x = 3/10. us (United States) Zip Code:71901 . 1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 .com Phone:5017621195 the second moments: E 2 X1 = 0 1 3x 2 (1 − x)2 d x = 1/10.Name:joey iwatsuru Email:joeyiwat@yahoo. x2 ) . x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5.3. Summarizing the results. the cross terms are E [X 1 X 2 ] = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 x1 3 4 [x1 − 3x1 + 2x1 ] d x1 = 3/20. AR. (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⎦ . 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 . 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⎦ . 3x 4 d x = 3/5. 1/4 3/8 ⎦ = 80 1 2 3 3/8 9/16 (17) (18) Address:104 pine meadows loop.

The ﬁnal step is to use the (·) function to calculate P[Y < T ]. Var[Y ] = ACT A .m. Here is the output of julytemps.m: >> julytemps([70 75 80 85 90 95]) ans = 0. or CT .Name:joey iwatsuru Email:joeyiwat@yahoo.8 First. function p=julytemps(T). invoked with the command format short.99997155736872 0. Its just that the M ATLAB’s short format output.9779 1. In julytemps. The expected value of Y is µY = µT = 80.50000000000000 0. the ﬁrst two lines generate the 31 × 31 covariance matrix CT.. Since T is a Gaussian random vector.0000 0. 1 −1 1 2 (2) Quiz 5. hot springs.com Phone:5017621195 This problem shows that even for fairly simple joint PDFs.18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = . just a Gaussian random variable. p=phi((T-80)/sqrt(CY)).16.(1:31)). A=ones(31. rounds off those probabilities.0221 0. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 .0. Quiz 5.0000 1.99999999922010 0.02207383067604 Columns 5 through 6 0. CT=36.1)/31.16 tells us that Y is a 1 dimensional Gaussian vector. us (United States) Zip Code:71901 ./(1+abs(D1-D2)). 1 −1 b= 2 .00002844263128 0. AR.5000 0.97792616932396 38 Address:104 pine meadows loop. [D1 D2]=ndgrid((1:31). The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ]. Next we calculate Var[Y ]. CY=(A’)*CT*A. 0 (1) It follows from Theorem 5. Theorem 5. Thus. by Theorem 5.0000.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.e. computing the covariance matrix by calculus can be a time consuming task.7 We observe that X = AZ + b where A= 2 1 . Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0. i.

M ATLAB has a toeplitz function for generating them. . ⎥ ⎢ . ⎢ c1 c0 CT = ⎢ .Name:joey iwatsuru Email:joeyiwat@yahoo. we see that ⎡ ⎤ c0 c1 · · · c30 . c30 · · · c1 c0 (2) This covariance matrix is known as a symmetric Toeplitz matrix. j) = c|i− j| = 36 . function p=julytemps2(T). C X has a special structure.com Phone:5017621195 The ndgrid function is a useful to way calculate many covariance matrices. us (United States) Zip Code:71901 ../(1+abs(0:30)).. A=ones(31. We will see in Chapters 9 and 11 that Toeplitz covariance matrices are quite common. . jth element is CT (i. In fact. ⎥. . . 39 Address:104 pine meadows loop. . ⎥ . However. CT=toeplitz(c).. in this problem.0.. the i. hot springs. 1 + |i − j| (1) If we write out the elements of the covariance matrix. ⎣ . c1 ⎦ . CY=(A’)*CT*A. The function julytemps2 use the toeplitz to generate the correlation matrix CT . p=phi((T-80)/sqrt(CY)).1)/31. AR. c=36.

the variance of the sum equals the sum of the variances.Name:joey iwatsuru Email:joeyiwat@yahoo.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7.5. a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0. That is.com Phone:5017621195 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. (4) 40 Address:104 pine meadows loop. By Theorem 6. f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0.5 − (2. the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. . otherwise. K n are independent.5n (5) Since the rolls are independent. First. W = X + Y is nonnegative. the random variables K 1 . we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2. .25 Since E[K i ] = 2. . . by Theorem 6.1 Let K 1 . this integral is easy to evaluate. K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. . . hot springs. .3. Hence.5)2 = 1. . . 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n .5. us (United States) Zip Code:71901 . .5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. AR.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. For w > 0. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1.25n Quiz 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) Address:104 pine meadows loop. The ﬁrst derivative of φ K (s) is d φ K (s) = 0. us (United States) Zip Code:71901 .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.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70.4 (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. hot springs.2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To ﬁnd higher-order moments.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6.Name:joey iwatsuru Email:joeyiwat@yahoo. AR.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0.com Phone:5017621195 Quiz 6.8 (4) (5) (6) (7) = 0. 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. Theorem 6.2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0. we need only ﬁnd the expected value and variance. Theorem 6.10 says that W is a Gaussian random variable.2)esk = 0. Thus to ﬁnd the PDF of W .2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0.

com Phone:5017621195 Since the α j X j are independent.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 . 42 Address:104 pine meadows loop. hot springs.12. we can use Math Fact B. 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 − 4 es 5 (1) From Theorem 6. 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. us (United States) Zip Code:71901 . we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. we see that R has the MGF of an exponential (1/5) random variable.Name:joey iwatsuru Email:joeyiwat@yahoo. AR. each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 .5 (1) From Table 6.1. 1−s φ N (s) = 1 s 5e .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 A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations. (3) Using X i to denote the access time of block i. hot springs. we use the central limit theorem and Table 3. (6) (7) (8) (9) (5) (4) (3) (6) Once again.com Phone:5017621195 Quiz 6. the standard deviation of A is σ A = 12 (5) To use the central limit theorem.5987 = 0.25).0227 (10) (11) (12) 43 Address:104 pine meadows loop. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0.9773 = 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 = 12.1 to look up (0.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . AR.1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0.4013 Note that we used Table 3. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent.

From Appendix A.Name:joey iwatsuru Email:joeyiwat@yahoo.16666) − 1 = 0. (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 = 3.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x). (1) In Theorem 6. AR. The arrival time of the third train is W = X 1 + X 2 + X 3. X 3 are iid exponential (λ) random variables. λ) random variable.com Phone:5017621195 Quiz 6. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0.5 − 36 30 − 0.9687 (4) (5) Quiz 6. hot springs. we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3.8 The train interarrival times X 1 . X 2 .66 × 10−5 √ 12 12 (3) 44 Address:104 pine meadows loop. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36. 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. (3) Using the ordinary central limit theorem and Table 3. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2.5 − 36 − 3 3 = 2 (2. us (United States) Zip Code:71901 .9545 (4) Since K 48 is a discrete random variable. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0.11.

m sx=0:100.9 One solution to this problem is to follow the approach of Example 6. py=duniformpmf(0. the Central Limit Theorem approximation grossly underestimates the true probability.sx).sw).sy=0:100.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12.0. Quiz 6.11 says that for any w > 0. 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 . SW=SX+SY. us (United States) Zip Code:71901 . P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0.*PY. px=binomialpmf(100. AR.5.sy). PW=PX. [SX. A graph of the PMF PW (w) appears in Figure 2 With some thought. pmfplot(sw.PW.0338 s=7/20 (7) (3) Theorem 3. for λ = 1/2 and w = 20.pw.’\itw’. 45 Address:104 pine meadows loop.py). it is a valid bound. 3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently.100. pw=finitepmf(SW. sw=unique(SW).sy). the CDF of the Erlang (λ. By contrast.19: %unifbinom100. it should be apparent that the finitepmf function is implementing the convolution of the two PMFs.PY]=ndgrid(px.SY]=ndgrid(sx. 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.com Phone:5017621195 (2) To use the Chernoff bound. hot springs. [PX. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.’\itP_W(w)’).Name:joey iwatsuru Email:joeyiwat@yahoo.

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

0.01 0.008 PW(w) 0.006 0.004 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200

Figure 2: From Quiz 6.9, the PMF PW (w) of the independent sum of a binomial (100, 0.5) random variable and a discrete uniform (0, 100) random variable.

46

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

**Quiz Solutions – Chapter 7
**

Quiz 7.1 An exponential random variable with expected value 1 also has variance 1. By Theorem 7.1, Mn (X ) has variance Var[Mn (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), (30 − 0)2 Var [X i ] = = 75. (1) E [X i ] = 15, 12 Thus E[W ] = 3E[X i ] = 45, and Var[W ] = 3 Var[X i ] = 225. (1) By the Markov inequality, P [W > 75] ≤ (2) By the Chebyshev inequality, 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 . Observe that V100 (X ) = M100 (W ). By Theorem 7.6, the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 . Thus, 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 = 0.000889.

47

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195

Quiz 7.4 Assuming the number n of samples is large, we can use a Gaussian approximation for Mn (X ). SinceE[X ] = p and Var[X ] = p(1 − p), we apply Theorem 7.13 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 . 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 ≥ 0.95 (3) p(1 − p) √ for every value of p. Since (x) is an increasing function of x, we must satisfy c n ≥ 1.65 p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that 1.65 0.41 c≥ √ = √ . 4 n n The 0.9 conﬁdence interval estimate of p is 0.41 0.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n (5) (4)

√ For the 0.99 conﬁdence interval, we have α ≤ 0.01, implying (c n/( p(1− p))) ≥ 0.995. √ This implies c n√ 2.58 p(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 0.645 0.645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n Note that if M100 (X ) = 0.4, then the 0.99 conﬁdence interval estimate is 0.3355 ≤ p ≤ 0.4645. 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 program 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 (7) (6)

Address:104 pine meadows loop, hot springs, AR, us (United States) Zip Code:71901

m). The unusual sawtooth pattern. OK=sum(abs(MN-p)<stderrmat. stderr=sqrt(p*(1-p)).2)/m. hot springs.2. x=reshape(bernoullirv(p. stderrmat=stderr*ones(1. AR. the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0. is examined in Problem 7.6 0.7 0. as m gets large.8 0. though perhaps unexpected.OK.5): 1 0.5 0. 49 Address:104 pine meadows loop.m).m.n.9 0. us (United States) Zip Code:71901 . MN=cumsum(x).68.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.Name:joey iwatsuru Email:joeyiwat@yahoo.m*n).’-s’).m). nn=(1:n)’*ones(1. The following graph was generated by bernoullisample(100./sqrt((1:n)’).0.5000.5.com Phone:5017621195 function OK=bernoullisample(n. plot(1:n.p)./nn.

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. 1. 975. hot springs. . . . . ln 100 ∗ k ∈ A1 otherwise. This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214. AR. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x. .33. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0.01)1/15 = 1. let R = {X ≤ r }.Name:joey iwatsuru Email:joeyiwat@yahoo. 1.01 It is straightforward to show that r = − ln 1 − (0. For a signiﬁcance level of α = 0. . 50 Address:104 pine meadows loop.33 Hence. · · · . (3) k ∈ A1 otherwise. (4) Thus if we observe at least 214.com Phone:5017621195 Quiz Solutions – Chapter 8 Quiz 8. then we accept hypothesis H1 . us (United States) Zip Code:71901 .1 From the problem statement. A reasonable choice is to reject the hypothesis if X is too small. then we reject the hypothesis. FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a signiﬁcance test. .2 From the problem statement. the CDF of the maximum of X 1 . X 15 ≤ x] = [P [X i ≤ x]]15 . .7. X 2 ≤ x. the MAP and ML tests are the same. otherwise k = 0. if we observe X < 1. otherwise (1) (2) 0 Since the two hypotheses are equally likely. This implies that for x ≥ 0. 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. That is. Quiz 8. we must choose a rejection region for X . 976 photons.6. .01. . the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) . From Theorem 8.

3’. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m. loglog(FM1(:.. P01=sum((XX+d*(XX. FM5=sqdistroc(v. P10=sum((XX+d*(XX.2. Here is the modiﬁed code: function FM=sqdistroc(v.1. σ ) random variables.FM5(:. FM1=sqdistroc(v.2).ˆ2)< TT)...1). E/2 + N2 > 0 (1) Because of the symmetry of the signals.0.m. the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0. AR.1).2). FM=[P10(:) P01(:)].’:k’).m. Given H0 . X 2 ) ∈ A j for some j = i. Next. %add N volts. 51 Address:104 pine meadows loop. The modiﬁed program.Name:joey iwatsuru Email:joeyiwat@yahoo.3.TT]=ndgrid(x.2). For a QPSK system.T). P[C|H0 ] = P[C|Hi ] for all i.1’.0. X 2 > 0|H0 ] = P E/2 + N1 > 0.T). x= -v+randn(m.m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities. Since N1 and N2 are iid Gaussian (0. ’\it d=0..’-k’. FM=[FM1 FM2 FM5].ˆ2)>TT). sqdistroc.TT]=ndgrid(x.0. .FM1(:..3) ylabel(’P_{MISS}’).’--k’. it is easier to calculate the probability of a correct decision. This implies the probability of a correct decision is P[C] = P[C|H0 ].1)). us (United States) Zip Code:71901 .1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.1)/m.T).T(:)).FM2(:.3 For the QPSK system.d... the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 . 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). FM5(:.’\it d=0. .1)/m. xlabel(’P_{FA}’). we have P[C] = 2( E/2σ 2 ).1).m.1).4 To generate the ROC.m. function FM=sqdistrocplot(v. a symbol error occurs when si is transmitted but (X 1 .m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d. legend(’\it d=0. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8.com Phone:5017621195 Quiz 8.m.T(:)). [XX.T). FM2=sqdistroc(v. hot springs. the program sqdistrocplot. FM2(:. N is Gauss(0. [XX.2’. Equivalently.T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts.

10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0. sqdistrocplot(3.4 with squared distortion.T). us (United States) Zip Code:71901 . sqdistrocplot(3.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0.com Phone:5017621195 To see the effect of d.Name:joey iwatsuru Email:joeyiwat@yahoo.100000. the commands T=-3:0.1:3. 52 Address:104 pine meadows loop.1:3.1 d=0. AR. generated the plot shown in Figure 3. Figure 3: The receiver operating curve for the communications system of Quiz 8.100000.T).2 d=0. hot springs.

we need the marginal PDF f X (x). hot springs. 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 Address:104 pine meadows loop.com Phone:5017621195 Quiz Solutions – Chapter 9 Quiz 9.Name:joey iwatsuru Email:joeyiwat@yahoo.1 (1) First.Y (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. 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. AR. (3) To obtain the conditional PDF f Y |X (y|x). us (United States) Zip Code:71901 . For 0 ≤ x ≤ 1. 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.

the correlation coefﬁcient of T and R is ρT.2 (1) Since the expectation of the sum equals the sum of the expectations. E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent.R = √ √ σT Cov [T.Name:joey iwatsuru Email:joeyiwat@yahoo. Thus Cov[T.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and 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. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT. ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0. us (United States) Zip Code:71901 . (4) From Deﬁnition 4. (6) By Theorem 9. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 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. hot springs.4. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT.4.3 When R = r . Cov [T. R] = Var[T ] = 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) Address:104 pine meadows loop.R = σT /σ R . E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ]. 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. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64. AR.com Phone:5017621195 Quiz 9.8.

the MAP estimate is 23.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. we observe that the joint PDF of X and R is f X.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. hot springs. 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.R (x. we can use Deﬁnition 9.6. ˆ For the MAP estimate. When the measured signal ˆ strength is not too low. which is not possible in our probability model. That is. AR.R (x. 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. R ≤ 1000 m. note that a typical ﬁgure for the signal strength might be x = −120 dB. Hence.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. the MAP estimate takes into account that the distance can never exceed 1000 m. if x = −120dB. 55 Address:104 pine meadows loop. r ).6 m.6% larger than the ML estimate. This corresponds to a distance estimate of rML (−120) = 100 m.com Phone:5017621195 From the conditional PDF f X |R (x|r ).R (x. 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. Setting the derivative of f X.1236)10 (9) For example. then rMAP (−120) = 123.Name:joey iwatsuru Email:joeyiwat@yahoo. (6) rMAP (x) = arg max f X. When x ≤ −156. This reﬂects the fact that large values of R are a priori more probable than small values.R (x. for very low signal strengths. This minimum occurs when the exponent is zero. the above estimate will exceed 1000 m.3 −x/40 x ≥ −156. yielding log10 r = −1 − x/40 or rML (x) = (0.3 dB.3 (0. the MAP estimate of R given X = x is the value of r that maximizes f X. However. us (United States) Zip Code:71901 . the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156.

Y2 ] .Y2 ) = 1 − L Cov [X 2 .9 1 RW = 0.1 (6) In terms of Theorem 9. n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 . 0 0. E[XW ] = E[X]E[W ] = 0. the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . (1) Because E[X] = E[Y] = 0.Name:joey iwatsuru Email:joeyiwat@yahoo. hot springs. Finally.7.4 ˆ (1) From Theorem 9. Because µ X 2 = µY2 = 0.9 . it follows that b∗ = 0. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW .com Phone:5017621195 Quiz 9.1.4.1 (4) 1 1 = = 0. Thus we can apply Theorem 9.1 0 .0909 1. −0. This implies RY = E XX + E WW = RX + RW = In addition.1 (2) (3) It follows that a ∗ = 1/1.9 . Similarly. To apply Theorem 9. 2 Cov [X 2 . Y2 ] 1 =√ σ X 2 σY2 1.9 1. it follows that E[Y] = 0.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. we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = . Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 . −0. us (United States) Zip Code:71901 . we calculate the correlation coefﬁcient ρ X 2 . AR. we need to ﬁnd RY and RYX 2 .7. to compute the expected square error. Note that X and W have correlation matrices RX = 1 −0.7.1 −0. (7) (8) Because X and W are independent. E[WX ] = 0.1 (9) Address:104 pine meadows loop. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. 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.

E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. Thus E[X 1 X 2 ] −0. (14) (13) Quiz 9.Name:joey iwatsuru Email:joeyiwat@yahoo.725Y2 . This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. AR. the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 .X 2 − a2rY2 . j) = c|i− j|−1 . ˆ a = R−1 RYX 2 = Y −0. by ˆ ˆ ˆ Theorem 9.X 2 = 0.9 RYX 2 = = .225 0. Y E[WX ] = 0 and E[X W ] = 0 . X L (Y) = a Y where a = R−1 RYX . us (United States) Zip Code:71901 . jth entry RW (i. Y also has zero expected value. hot springs. Thus. Since X and W are independent. The question we must address is what value c minimizes e∗ .225Y1 + 0.com Phone:5017621195 Since X and W are independent vectors. This problem is atypical in that one does not usually get L 57 Address:104 pine meadows loop.0725. Thus. By the same reasoning. (11) 2 1 E X2 By Theorem 9.7. 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. 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.725 (12) Therefore.7.5 Since X and W have zero expected value.

[msemin.1). In this case.5 c 1 As we see in the graph. Note in mquiz9 that v1 corresponds to the vector 1 of all ones. when c is small. cmin=c(optk).msec). In particular. both small values and large values of c result in large MSE.01:0.af]=mquiz9(c). 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.99. xlabel(’c’). function cmin=mquiz9minc(c).4500 1 0. end plot(c.optk]=min(msec). if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent.ˆ((0:19)-1)). hot springs. v1=ones(20. the noises Wi have high variance and we would expect our estimator to be poor.com Phone:5017621195 to choose the correlation structure of the noise. our 20 measurements will be all the same and one measurement is as good as 20 measurements.2 0 0. af=(inv(RY))*v1.6 0. for k=1:length(c). RW=toeplitz(c. RY=(v1*(v1’)) +RW. msec=zeros(size(c)).ylabel(’e_Lˆ*’). Thus. consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1. we will see that the answer is somewhat instructive. [msec(k). However. us (United States) Zip Code:71901 . >> mquiz9minc(c) ans = 0. This would suggest that large values of c will also result in poor MSE. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0.8 e* L 0.Name:joey iwatsuru Email:joeyiwat@yahoo. i) = 1/c. We note that the answer is not obviously apparent from Equation (7). 58 Address:104 pine meadows loop. AR.4 0. If this argument is not clear. we observe that Var[Wi ] = RW (i.af]=mquiz9(c(k)). To ﬁnd the optimal value of c. function [mse. On the other hand.01:0. mse=1-((v1’)*af).

(4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time.Name:joey iwatsuru Email:joeyiwat@yahoo.1 There are many correct answers to this question. D H . discrete valued process. .2 (2) 59 Address:104 pine meadows loop. One choice for an alternate set of random variables that would specify m(t. . X N . (2) If at every moment in time. . (3) If we sample the process in part (a) every T seconds. AR. Quiz 10. . discrete valued process.com Phone:5017621195 Quiz Solutions – Chapter 10 Quiz 10. s).2 (1) We obtain a continuous time. hot springs. the number of ongoing calls at the start of the experiment • N . us (United States) Zip Code:71901 .01) dr = 0. the call completion times of the H calls that hang up Quiz 10. continuous valued process when we record the temperature as a continuous waveform over time. the number of calls that hang up during the experiment • D1 . then we obtain a discrete time. . .3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0. s) is • m(0. continuous valued process. then we obtain a continuous time. we round the temperature to the nearest degree. A correct answer speciﬁes enough random variables to specify the sample path exactly. . the interarrival times of the N new arrivals • H . the number of new calls that arrive during the experiment • X 1 . .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.

each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10.4 Since each X i is a N (0. . .2. independent of any other 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.Name:joey iwatsuru Email:joeyiwat@yahoo.1. T2 = T1 + T where T is independent and identically distributed to T1 . In this problem. 2. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). 1) random variable. E[T1 ] = 1/ p = 5. . A success occurs on a trial with probability p if we ﬁnd a 1% resistor. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 Address:104 pine meadows loop.8)4 (0. AR.. t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 .X (n) (x1 .08192. . That is. . . the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0. .11. 1. . . The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1.. .. . (5) Note that once we ﬁnd the ﬁrst 1% resistor. . 9 otherwise (4) Since p = 0. hot springs. . (4) From Theorem 2. . t − 1 followed by a success on trial t. just as in Example 2. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. Consequently. exactly t resistors are tested. Each resistor is a 1% resistor with probability p. a geometric random variable with success probability p has expected value 1/ p. the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0.. This problem is easy if we view each resistor test as an independent trial. Hence. Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10.5. us (United States) Zip Code:71901 .com Phone:5017621195 (2) In t seconds.2) = 0.

m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. denote the interarrival times 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. us (United States) Zip Code:71901 . . Since we count only evennumbered arrival for N (t).5 The ﬁrst and second hours are nonoverlapping intervals.com Phone:5017621195 Quiz 10. (2) Quiz 10. 1. . the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. 1. AR. . PM1 . Y1 is an Erlang (n = 2. . Let X 1 .7 First. we look at the interarrival times. That is.11. Thus N (t) is not a Poisson process. Since Yi (t). This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s . . Theorem 3. .Name:joey iwatsuru Email:joeyiwat@yahoo. Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. 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[Mi ] = α = 36. Quiz 10. we can conclude that the interarrival times of N (t) are not exponential random variables. Since X 1 and X 2 are independent exponential (λ) random variables.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. . see Theorem 6.M2 (m 1 . . we note that for t > s. W (t) − W (s) is independent of W (s ). 000. . hot springs. . . . otherwise (1) Since M1 and M2 are independent. X (t) − X (s) is independent of X (s ) for all s ≥ s . the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. 61 Address:104 pine meadows loop. . X 2 . 2. Since s ≥ s . 1. λ) random variable. has the same PDF as Y1 (t).6 To answer whether N (t) is a Poisson process. the ith interarrival time of the N (t) process. ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. .

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. . . Since RY (t. 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. . . X 1 .. f X n1 +k . (2) (3) (4) Quiz 10.X nm (x1 . .X nm +k (x1 ... (1) To ﬁnd the autocorrelation.Name:joey iwatsuru Email:joeyiwat@yahoo.. for time instants n 1 + k. . . . . . . f X n1 . τ ). τ ) + R N (t. .10 We must check whether each function R(τ ) meets the conditions of Theorem 10.. f X n1 . X 2 . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. n m + k.... τ ) = E[Y (t)Y (t + τ )]. . hot springs. E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. n m and time offset k. us (United States) Zip Code:71901 . ..X nm +k (x1 . . we have RY (t.... xm ) Since the random sequence is iid.. . xm ) = f X n1 +k .. . . .14. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. . . is a stationary random sequence if for all sets of time instants n 1 . . Quiz 10. (2) R2 (τ ) = e−τ also is valid.. . .9 From Deﬁnition 10. 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 Address:104 pine meadows loop. AR. . .8 First we ﬁnd the expected value µY (t) = µ X (t) + µ N (t) = µ X (t).. we observe that since X (t) and N (t) are independent and since N (t) has zero expected value.com Phone:5017621195 Quiz 10. .X nm (x1 .

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 . as t gets larger. τ ) is just a function of τ .com Phone:5017621195 Quiz 10. (2) Since X (t) and Y (t) are both wide sense stationary processes. we see the same second order statistics. hot springs.11 (1) The autocorrelation of Y (t) is RY (t. us (United States) Zip Code:71901 .X (t+1) (x0 . we see that by viewing a process backwards in time. suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation.Name:joey iwatsuru Email:joeyiwat@yahoo. In this case. we conclude that X (t) and Y (t) are not jointly wide sense stationary. In fact. 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). we can check whether they are jointly wide sense stationary by seeing if R X Y (t.12 From the problem statement. R X Y (t. τ ) depends on both t and τ . 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. Y (t) = X (−t) and X (t) become less and less correlated. AR. In this case. Quiz 10. we can conclude that Y (t) is a wide sense stationary process. 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 Address:104 pine meadows loop. To see why this is.

Quiz 10. hot springs. 64 Address:104 pine meadows loop. – If M(t) = c. Start at time t = 0 with an empty system. we must block the call. at discrete time instances.com Phone:5017621195 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. when M(t) = c. we know the system state cannot change until the next scheduled event. an exponential (λ) random variable. us (United States) Zip Code:71901 . do not schedule a departure event. The blocking switch is an example of a discrete event system. 3. and schedule a departure to occur at time t + Sn .28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. • When the head-of-schedule event is the kth arrival is at time t. when an arrival occurs at time t.13. 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. we cannot generate these vectors all at once. – If M(t) < c. block the arrival. • If the head of schedule event is a departure. The system evolves via a sequence of discrete events. namely arrivals and departures. With the introduction of call blocking. 2. 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. reduce the system state n by 1. Examine the head-of-schedule event.Name:joey iwatsuru Email:joeyiwat@yahoo. The program simply executes the event at the head of the schedule. satisﬁes M(t) < c = 120. increase the system state n by 1. In particular. AR. The logic of such a simulation is 1. Schedule the ﬁrst arrival to occur at S1 . check the state M(t). Delete the head-of-schedule event and go to step 2. the number of ongoing calls. admit the arrival.13 The simple structure of the switch simulation of Example 10. Otherwise. where Sk is an exponential (λ) random variable. we need to know that M(t). After the head-of-schedule event is completed and any new events (departures in this system) are scheduled.

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 5. We can estimate the probability a call is blocked as b ˆ = 0.1.0. Nevertheless. we will learn that the blocking switch is an example of an M/M/c/c queue.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls.t). we set m(i) to the current switch state. we will learn that the exact blocking probability is given by Equation (12. 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 our simulation. Thus for all times t(i) between the current head-of-schedule event and the next. AR. The rest of the gap between 0. the discrete event simulation is widely-used and often very efﬁcient simulation method. we use the vector t as the set of time instances at which we inspect the system state. plot(t. The following instructions t=0:0.a. a kind of Markov chain.b]=simblockswitch(10. The complete program is shown in Figure 5. 65 Address:104 pine meadows loop. or event(i)=-1 if the ith scheduled event is a departure.0048. (1) Pb = a+b In Chapter 12.120. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. Thus this would account for only part of the disparity. However. for very complicated systems. [m.” From the Erlang-B formula. us (United States) Zip Code:71901 . event(i)=1 if the ith scheduled event is an arrival.com Phone:5017621195 Thus we know that M(t) will stay the same until then. this says that roughly the ﬁrst two percent of the simulation time was unusual. we can calculate that the exact blocking probability is Pb = 0. generated a simulation lasting 5. 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. One reason our simulation underestimates the blocking probability is that in a 5.000 minutes.1:5000. In most programming languages. When the program is passed a vector t.m). 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. 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.0057. In this case. a result known as the “Erlang-B formula. Note that in Chapter 12.0048 and 0.000 minute simulation. In M ATLAB.93).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. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4.

%total # admits M=zeros(size(t)).. event=[event(b4arrival) 1 event(˜b4arrival)]. event=[ 1 ]. eventnow=event(1). % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam. while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n.. event=[event(b4depart) -1 event(˜b4depart)].com Phone:5017621195 function [M. else blocks=blocks+1. %one more block. time=[time(b4depart) depart time(˜b4depart)].mu. hot springs.blocks]=simblockswitch(lam. tmax=max(t). timenow=time(1). time=[time(b4arrival) arrival time(˜b4arrival)].blocks)).1) ]. immed departure disp(sprintf(’Time %10.admits.Name:joey iwatsuru Email:joeyiwat@yahoo.1). us (United States) Zip Code:71901 . n=0.1).c. end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10. timenow. event(1)=[ ]. % # in system time=[ exponentialrv(lam. if n<c %call admitted admits=admits+1.t). 66 Address:104 pine meadows loop. b4depart=time<depart. blocks=0. end elseif (eventnow==-1) %departure n=n-1. %first event is an arrival timenow=0. AR. % next arrival b4arrival=time<arrival.admits..3d Admits %10d Blocks %10d’. time(1)= [ ].13. n=n+1. depart=timenow+exponentialrv(mu. %total # blocks admits=0.

AR. we 2 can double check. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ). The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1. hot springs. 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. Just to be safe though.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. 67 Address:104 pine meadows loop.Name:joey iwatsuru Email:joeyiwat@yahoo.com Phone:5017621195 Quiz Solutions – Chapter 11 Quiz 11.2. we can deduce that RY (τ ) = 1 e−|τ | by symmetry. RY (τ ) = Hence.1 By Theorem 11. 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. For τ < 0.2 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. us (United States) Zip Code:71901 .

Since R X [n] = δn . (1) Despite the fact that R X [k] is an impulse. Quiz 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⎦ .com Phone:5017621195 x 10 8 0.5 to ﬁnd the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j].Name:joey iwatsuru Email:joeyiwat@yahoo. Thus E[Y] = 0.6 SX(f) 0. or by directly applying Theorem 5. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process. Fo ﬁnd the PDF of the Gaussian vector Y. by Theorem 11. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0.1 0. we obtain RY = HRX H . RX = I. us (United States) Zip Code:71901 .3 By Theorem 11. In this problem.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 −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. AR. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.5.1 0 τ 0.5.7.13 with µX = 0 and A = H. 4 0 0 1 1 1 1 (2) (3) In this case. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11. 68 Address:104 pine meadows loop. we need to ﬁnd the covariance matrix CY .8.4 0.2 −0. hot springs. the identity matrix. Moreover. following Theorem 11. which equals the correlation matrix RY since Y has zero expected value.6 and to use Theorem 11.

AR. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus.1 0.81 81 = . L 69 Address:104 pine meadows loop.1 0. X n+1 = 400 400 (4) to ﬁnd the mean square error. In this case. 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 .9 1. us (United States) Zip Code:71901 .1 1 0. hot springs.com Phone:5017621195 Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ . the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y .13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 . X n+1 = Xn 0.Name:joey iwatsuru Email:joeyiwat@yahoo.1 R X [1] R X [0] 0.9 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 ← − 1.9 for the case of k = 1 and M = 2. Y Quiz 11.81 X n−1 R X [2] = .9 1.9 R X [0] R X [1] = 0. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1. one approach is to follow the method of Example 11.9 h = R−1 RXn X n+1 = Xn 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.4 This quiz is solved using Theorem 11. (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). 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⎦ . 0.

hot springs.3487. In any case. the mean square error is 1 506 ← − 0. 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 . we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h.com Phone:5017621195 This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters. 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. Consulting Table 11. (13) L 0.81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.7 by using the orthoginality property of the LMSE estimator.13(b).1. Quiz 11. AR. 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 ).9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1.1 − = = 0.5 (1) By Theorem 11. 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. Since X n+1 = h Xn . us (United States) Zip Code:71901 . 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. X = X n+1 and ← − ˆ a = h . Instead. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9.7 with Y = Xn . 70 Address:104 pine meadows loop. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 .1. graphs of S X ( f ) and R X (τ ) appear in Figure 6.Name:joey iwatsuru Email:joeyiwat@yahoo.

6 In a sampled system. Let a0 = 5. That is.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . a0 Consulting with the Fourier transforms in Table 11.1. From Table 11. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) Address:104 pine meadows loop. hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. us (United States) Zip Code:71901 . 71 (5) 2a0 a1 . (This quiz is really lame!) Quiz 11. From Table 11. 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 . R X [n] = 10δ[n]. 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). where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform. 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.7 Since Y (t) = X (t − t0 ).17.1. if R X [n] = 10δ[n]. AR.17. H( f ) = (1) Theorem 11.1. First we need some preliminary facts. R X Y (t. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ).com Phone:5017621195 Quiz 11. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 . then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus.17. (2) Quiz 11. τ ) = R X Y (τ ) = R X (τ − t0 ).8 We solve this quiz using Theorem 11.

Using partial fractions and the Fourier transform table. 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 .000 rad/sec and the signal X (t) has most of its its signal energy below 5.com Phone:5017621195 Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. 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 ).1. AR. us (United States) Zip Code:71901 .000 rad/sec. 2 2 2a0 2a1 K0 K1 + 2 .Name:joey iwatsuru Email:joeyiwat@yahoo. the output signal has almost as much power as the input. we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 . 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. In particular. some algebra will show that SY ( f ) = where K0 = Thus. Since the RC ﬁlter has a 3dB bandwidth of 10. 2 K1 = . the latter method is actually less algebra. (12) The average power of the Y (t) process is RY (0) = a1 2 = . (9) (10) Consulting with Table 11. hot springs. 72 Address:104 pine meadows loop. a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. 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 .

decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B.146). it follows that SY ( f ) = S X ( f ) + S N ( f ).000 Hz.147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). AR. Because the noise process N (t) has constant power R N (0) = 1. (6) 73 Address:104 pine meadows loop. (2) RY X (τ ) = R X (τ ).146) and (11. 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 . (2) Since R X (τ ) = sinc(2W τ ).Name:joey iwatsuru Email:joeyiwat@yahoo. 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 . Taking Fourier transforms. This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B). at peace with the derivations. (1) Since µ N = 0. where W = 5. (5) From Equation (11.147). Comment: Since the text omitted the derivations of Equations (11.147).146) and (11. R N (0) = Var[N ] = 1. us (United States) Zip Code:71901 . we note that Example 10.146) and to calculate the mean square error e L ∗ using Equation (11.24 showed that RY (τ ) = R X (τ ) + R N (τ ). hot springs. The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11.com Phone:5017621195 Quiz 11. SY X ( f ) = S X ( f ).9 This quiz implements an example of Equations (11. (1) Now we can go on to the quiz.1 that SX ( f ) = 1 f rect . we see from Table 11.

05. In L particular.com Phone:5017621195 ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ). S N ( f ) = 1/2B over frequencies | f | < W . In this case. we note that we can choose B very large and also achieve MSE e∗ = 0. AR. (8) To evaluate the MSE e∗ . The Wiener ﬁlter removes the noise that is outside the band of the desired signal.Name:joey iwatsuru Email:joeyiwat@yahoo.05 requires B ≤ 5.10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ). 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. L Although this completes the solution to the quiz. L Quiz 11. for all values of B. As B shrinks. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise. 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. the ﬁlter suppresses less of the signal of X (t). 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. 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). what is happening may not be obvious.147). We can go back and consider the case B > W later. Since the problem asks us to L ﬁnd the largest possible B.5 × 104 guarantees e∗ ≤ 0. Finally.16 Hz.000. B ≥ 9. From Equation (11. As B is decreased.000 B (9) To obtain MSE e∗ ≤ 0. us (United States) Zip Code:71901 . let’s suppose B ≤ W . The noise power is always Var[N ] = 1 Watt. The result is that the MSE goes down.05. but only over a bandwidth B that is decreasing. Thus as ˆ B descreases. hot springs. ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5. Two examples of the ﬁlter H ( f ) are shown in Figure 7. the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B. we need to whether B ≤ W . The following M ATLAB program generates and plots the functions shown in Figure 8 74 Address:104 pine meadows loop.000/19 = 263. Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. when B > W = 5000. the PSD S N ( f ) becomes increasingly tall. When B ≤ W .

26. we generate stem plots of the magnitude of each power spectral density.abs(SY2)). %mquiz11. SY2 and SY10 in mquiz11 should all be realvalued vectors. %impulse/filter response: M=2 SY2=SX.ylabel(’S_{Y_2}(n/N)’). %PSD of Y for M=2 xlabel(’n’). h2=0. stem(0:N-1.Name:joey iwatsuru Email:joeyiwat@yahoo. the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t).ˆ2). the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts. xlabel(’n’). h10=0.*((abs(H10)). As an aside. stem(0:N-1.N). figure. figure. However. H2=fft(h2.N). they tend to confuse the stem function. %impulse/filter response: M=10 SY10=sx. when M = 10. xlabel(’n’).5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. 75 Address:104 pine meadows loop.m N=32.ˆ2).10). Although these imaginary parts have no computational signiﬁcance.N). rx=[2 4 2].ylabel(’S_{Y_{10}}(n/N)’). us (United States) Zip Code:71901 .abs(sx)). H10=fft(h10.9. In the context of Example 11.abs(SY10)).5*[1 1]. note that the vectors SX.1*ones(1.* ((abs(H2)). the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. hot springs. Relative to M = 2. SX=fftc(rx.5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11. AR.ylabel(’S_X(n/N)’). Hence. %autocorrelation and PSD stem(0:N-1.com Phone:5017621195 1 H(f) 0.

AR.Name:joey iwatsuru Email:joeyiwat@yahoo. 76 Address:104 pine meadows loop. SY (n/N ) for M = 2. graphs of S X (φ).10. and Sφ (n/N ) for M = 10 using an N = 32 point DFT. hot springs. us (United States) Zip Code:71901 .com Phone:5017621195 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.

2 0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0. us (United States) Zip Code:71901 .4 0 0 λ3 0.6 −0.5 0 −0.9 P X n+1 = 0|X n = 1 = 0.10 0. From the problem statement.2⎦ + (0.9 (1) Since each X n must be either 0 or 1.6 0. the Markov chain and the transition matrix are ⎡ ⎤ 0.99 P X n+1 = 1|X n = 1 = 0.2⎦ 1 0 1 0 0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.5 0.6 0.5 1 (3) where si .2 0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.6 0.1 1 P= 0. the ith row of S.2 From the problem statement.5 1 −0.01 0 0.2 0.Name:joey iwatsuru Email:joeyiwat@yahoo.90 (3) Quiz 12.6 0 0.4)n ⎣ 0 (4) −0.6 P = ⎣0.01 0.6 0. we can conclude that P X n+1 = 1|X n = 0 = 0.5 0 0.6 0.4 0.5 −0.2 −0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 Address:104 pine meadows loop.4 0.com Phone:5017621195 Quiz Solutions – Chapter 12 Quiz 12.99 0.2 0. AR.6 0.01 0.4 0.6 0.99 0.1 The system has two states depending on whether the previous packet was received in error.6 0.2 0.2 Quiz 12. hot springs.6 0. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.4 0.5 0.2 0. is the left eigenvector of P satisfying si P = λi si .

C1 is a recurrent class. Quiz 12. . π2 = 1/12. 1 … 78 Address:104 pine meadows loop.Name:joey iwatsuru Email:joeyiwat@yahoo. the states in C2 are never reentered. the states in C2 are transient.1π0 and π2 = π1 . . Quiz 12. Thus the states in C1 are recurrent. the class C1 is never left. .1 + 0. The states in C2 have period 2.1 0 1 1 1 ⎡ ⎤ 0. (3) (2) The states in C1 and C3 are aperiodic.1) = 1 It follows that the limiting state probabilities are π0 = 5/6.com Phone:5017621195 0... 5. AR. 1} C2 = {2. 1.5 At any time t. 6} (1) π1 = 1/12. Once the system exits C2 . The state transition probabilities are Pn−1. That is. 3} C3 = {4..1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . hot springs. This implies π0 + π1 + π2 = π0 (1 + 0. the system of equations π = π P yields π1 = 0.4 The communicating classes are C1 = {0. Similarly. On the other hand.n = P [K > n|K > n − 1] = Pn−1. the state n can take on the values 0. us (United States) Zip Code:71901 . Once the system enters a state in C1 .9 0. 2. the states in C3 are recurrent.9 0.0 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 .

us (United States) Zip Code:71901 . including state 0. n=0 > k] = E[K ]. AR. π1 = π0 P [K = 2] + π2 . we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly.Name:joey iwatsuru Email:joeyiwat@yahoo. . . From Problem 2.com Phone:5017621195 The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 . 2. Thus the period of state 0 is d = 2. . the number of transitions need to return to state 0 is always a multiple of 2. 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] . . Since we spend one unit of time in each state. (2) To ﬁnd the stationary probabilities. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . hot springs. This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns.11. From Equation (4). πk−1 = π0 P [K = k] + πk . . 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) Address:104 pine meadows loop.5. we obtain π0 ∞ P[K > k] = 1. . we have k − 1 units of time left after the state 0 counter reset. and we randomly reset the counter to a new value K = k and then we count down k units of time. 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 = 1.6 (1) By inspection. When the counter expires. then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. the system is in state 0. The system state is the time until the counter expires. When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. Quiz 12. (6) This suggests that πk = π0 P[K > k].

7 The Markov chain has the same structure as that in Example 12.(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0. which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α .(2/3) a 1 . hot springs.Name:joey iwatsuru Email:joeyiwat@yahoo. nα (2) 80 Address:104 pine meadows loop. The only difference is the modiﬁed transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1. we can use Theorem 12. us (United States) Zip Code:71901 .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. AR.(1/2) a 1 1 . we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1.com Phone:5017621195 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 . Lastly. To determine whether state 0 is recurrent.(3/4) 1 . (1) Thus the CDF of T00 satisﬁes FT00 (n) = 1− P[T00 > n] = 1−1/n α .22. It follows from the ﬁrst and second equations that π2 = (5/3)π0 and π3 = 2π0 . 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.

In Example 12. Applying this result. hot springs. us (United States) Zip Code:71901 .Name:joey iwatsuru Email:joeyiwat@yahoo. In this problem. ( We also note that if α = 0.24. Since the chain has only one communicating class. all states are recurrent. On the other hand. for α > 1. ∞ 1 E [T00 ] = 2 + . AR. 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞.com Phone:5017621195 Thus state 0 is recurrent for all α > 0. it will be simpler to use the result of Problem 2.8 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 Address:104 pine meadows loop. nα (3) For 0 < α ≤ 1.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . we need to calculate E[T00 ].) To determine whether the chain is null recurrent or positive recurrent. we did this by deriving the PMF PT00 (n).5. then all states are transient. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. the Markov chain is positive recurrent. (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. Quiz 12. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 .

Name:joey iwatsuru Email:joeyiwat@yahoo. 1. 2.}. . p ≥ q/(1 − q). . From the Markov chain. i = 0. This implies πi+1 = p πi . . we have that πi = π0 α i where p . . 014. . i} and S = {i + 1. we see that for any state i ≥ 0. p3 in terms of p2 and so on. we obtain the following useful equations for the stationary distribution. By applying Theorem 12. 1. i + 2.13 with state space partitioned between S = {0. equivalently. 1−α (4) Thus for α < 1. . (1 − p)q (1) (2) Since Equation (2) holds for i = 0. (5) In addition.. . . 381 (1) Address:104 pine meadows loop. us (United States) Zip Code:71901 . 5.com Phone:5017621195 In the above chain. the limiting state probabilities do not exist. an existing customer gets one unit of service and then departs the store. hot springs.01 p3 = 2 p2 + 3 p4 5.01 0. . we note that (1 − p)q is the probability that no new customer arrives.01 p2 = 2 p1 + 3 p3 3.01 2 3 3 3 4 Note that q10 = 3. α= (1 − p)q Requiring the state probabilities to sum to 1. . AR. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628.1 since the task completes at rate 3 per msec and the processor reboots at rate 0. πi p = πi+1 (1 − p)q. . we have that for α < 1. 620 p0 1. ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. the limiting state probabilities are πi = (1 − α)α i . 1.01 1 3 0.01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 .9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. .1 per msec and the rate to state 0 is the sum of those two rates. Quiz 12.01 p1 = 2 p0 + 3 p2 5. for α ≥ 1 or.01 0. .

. 2. . . 401 and the stationary probabilities are p0 = 0. 014. . . c n−c c p0 (ρ/c) ρ /c! n = c + 1.Name:joey iwatsuru Email:joeyiwat@yahoo. .2573 p2 = 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. c + 2. . . hot springs. AR. the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. 381/2.com Phone:5017621195 Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. .1015 p4 = 0. (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1.1606 p3 = 0. c (ρ/c) pn−1 n = c + 1. us (United States) Zip Code:71901 . c + 2. .4151 p1 = 0. . . 2. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 Address:104 pine meadows loop. .0655 Quiz 12. 443. .

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