# Probability and Stochastic Processes

A Friendly Introduction for Electrical and Computer Engineers
Second Edition
Quiz Solutions
Roy D. Yates and David J. Goodman
May 22, 2004
• The MATLAB section quizzes at the end of each chapter use programs available for
download as the archive matcode.zip. This archive has programs of general pur-
pose programs for solving probability problems as well as speciﬁc .m ﬁles associated
with examples or quizzes in the text. Also available is a manual probmatlab.pdf
describing the general purpose .m ﬁles in matcode.zip.
• We have made a substantial effort to check the solution to every quiz. Nevertheless,
there is a nonzero probability (in fact, a probability close to unity) that errors will be
found. If you ﬁnd errors or have suggestions or comments, please send email to
ryates@winlab.rutgers.edu.
When errors are found, corrected solutions will be posted at the website.
1
Quiz Solutions – Chapter 1
Quiz 1.1
In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated
set.
M
O
T
M
O
T
M
O
T
(1) R = T
c
(2) M ∪ O (3) M ∩ O
M
O
T
M
O
T
M
O
T
(4) R ∪ M (4) R ∩ M (6) T
c
− M
Quiz 1.2
(1) A
1
= {vvv, vvd, vdv, vdd}
(2) B
1
= {dvv, dvd, ddv, ddd}
(3) A
2
= {vvv, vvd, dvv, dvd}
(4) B
2
= {vdv, vdd, ddv, ddd}
(5) A
3
= {vvv, ddd}
(6) B
3
= {vdv, dvd}
(7) A
4
= {vvv, vvd, vdv, dvv, vdd, dvd, ddv}
(8) B
4
= {ddd, ddv, dvd, vdd}
Recall that A
i
and B
i
are collectively exhaustive if A
i
∪ B
i
= S. Also, A
i
and B
i
are
mutually exclusive if A
i
∩ B
i
= φ. Since we have written down each pair A
i
and B
i
above,
we can simply check for these properties.
The pair A
1
and B
1
are mutually exclusive and collectively exhaustive. The pair A
2
and
B
2
are mutually exclusive and collectively exhaustive. The pair A
3
and B
3
are mutually
exclusive but not collectively exhaustive. The pair A
4
and B
4
are not mutually exclusive
since dvd belongs to A
4
and B
4
. However, A
4
and B
4
are collectively exhaustive.
2
Quiz 1.3
There are exactly 50 equally likely outcomes: s
51
through s
100
. Each of these outcomes
has probability 0.02.
(1) P[{s
79
}] = 0.02
(2) P[{s
100
}] = 0.02
(3) P[A] = P[{s
90
, . . . , s
100
}] = 11 ×0.02 = 0.22
(4) P[F] = P[{s
51
, . . . , s
59
}] = 9 ×0.02 = 0.18
(5) P[T ≥ 80] = P[{s
80
, . . . , s
100
}] = 21 ×0.02 = 0.42
(6) P[T < 90] = P[{s
51
, s
52
, . . . , s
89
}] = 39 ×0.02 = 0.78
(7) P[a C grade or better] = P[{s
70
, . . . , s
100
}] = 31 ×0.02 = 0.62
(8) P[student passes] = P[{s
60
, . . . , s
100
}] = 41 ×0.02 = 0.82
Quiz 1.4
We can describe this experiment by the event space consisting of the four possible
events V B, V L, DB, and DL. We represent these events in the table:
V D
L 0.35 ?
B ? ?
In a roundabout way, the problem statement tells us how to ﬁll in the table. In particular,
P [V] = 0.7 = P [V L] + P [V B] (1)
P [L] = 0.6 = P [V L] + P [DL] (2)
Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 −
0.35 = 0.25. This allows us to ﬁll in two more table entries:
V D
L 0.35 0.25
B 0.35 ?
The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1.
This implies P[DB] = 0.05 and the complete table is
V D
L 0.35 0.25
B 0.35 0.05
Finding the various probabilities is now straightforward:
3
(1) P[DL] = 0.25
(2) P[D ∪ L] = P[V L] + P[DL] + P[DB] = 0.35 +0.25 +0.05 = 0.65.
(3) P[V B] = 0.35
(4) P[V ∪ L] = P[V] + P[L] − P[V L] = 0.7 +0.6 −0.35 = 0.95
(5) P[V ∪ D] = P[S] = 1
(6) P[LB] = P[LL
c
] = 0
Quiz 1.5
(1) The probability of exactly two voice calls is
P [N
V
= 2] = P [{vvd, vdv, dvv}] = 0.3 (1)
(2) The probability of at least one voice call is
P [N
V
≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] (2)
= 6(0.1) +0.2 = 0.8 (3)
An easier way to get the same answer is to observe that
P [N
V
≥ 1] = 1 − P [N
V
< 1] = 1 − P [N
V
= 0] = 1 − P [{ddd}] = 0.8 (4)
(3) The conditional probability of two voice calls followed by a data call given that there
were two voice calls is
P [{vvd} |N
V
= 2] =
P [{vvd} , N
V
= 2]
P [N
V
= 2]
=
P [{vvd}]
P [N
V
= 2]
=
0.1
0.3
=
1
3
(5)
(4) The conditional probability of two data calls followed by a voice call given there
were two voice calls is
P [{ddv} |N
V
= 2] =
P [{ddv} , N
V
= 2]
P [N
V
= 2]
= 0 (6)
The joint event of the outcome ddv and exactly two voice calls has probability zero
since there is only one voice call in the outcome ddv.
(5) The conditional probability of exactly two voice calls given at least one voice call is
P [N
V
= 2|N
v
≥ 1] =
P [N
V
= 2, N
V
≥ 1]
P [N
V
≥ 1]
=
P [N
V
= 2]
P [N
V
≥ 1]
=
0.3
0.8
=
3
8
(7)
(6) The conditional probability of at least one voice call given there were exactly two
voice calls is
P [N
V
≥ 1|N
V
= 2] =
P [N
V
≥ 1, N
V
= 2]
P [N
V
= 2]
=
P [N
V
= 2]
P [N
V
= 2]
= 1 (8)
Given that there were two voice calls, there must have been at least one voice call.
4
Quiz 1.6
In this experiment, there are four outcomes with probabilities
P[{vv}] = (0.8)
2
= 0.64 P[{vd}] = (0.8)(0.2) = 0.16
P[{dv}] = (0.2)(0.8) = 0.16 P[{dd}] = (0.2)
2
= 0.04
When checking the independence of any two events A and B, it’s wise to avoid intuition
and simply check whether P[AB] = P[A]P[B]. Using the probabilities of the outcomes,
we now can test for the independence of events.
(1) First, we calculate the probability of the joint event:
P [N
V
= 2, N
V
≥ 1] = P [N
V
= 2] = P [{vv}] = 0.64 (1)
Next, we observe that
P [N
V
≥ 1] = P [{vd, dv, vv}] = 0.96 (2)
Finally, we make the comparison
P [N
V
= 2] P [N
V
≥ 1] = (0.64)(0.96) = P [N
V
= 2, N
V
≥ 1] (3)
which shows the two events are dependent.
(2) The probability of the joint event is
P [N
V
≥ 1, C
1
= v] = P [{vd, vv}] = 0.80 (4)
From part (a), P[N
V
≥ 1] = 0.96. Further, P[C
1
= v] = 0.8 so that
P [N
V
≥ 1] P [C
1
= v] = (0.96)(0.8) = 0.768 = P [N
V
≥ 1, C
1
= v] (5)
Hence, the events are dependent.
(3) The problem statement that the calls were independent implies that the events the
second call is a voice call, {C
2
= v}, and the ﬁrst call is a data call, {C
1
= d} are
independent events. Just to be sure, we can do the calculations to check:
P [C
1
= d, C
2
= v] = P [{dv}] = 0.16 (6)
Since P[C
1
= d]P[C
2
= v] = (0.2)(0.8) = 0.16, we conﬁrm that the events are
independent. Note that this shouldn’t be surprising since we used the information that
the calls were independent in the problem statement to determine the probabilities of
the outcomes.
(4) The probability of the joint event is
P [C
2
= v, N
V
is even] = P [{vv}] = 0.64 (7)
Also, each event has probability
P [C
2
= v] = P [{dv, vv}] = 0.8, P [N
V
is even] = P [{dd, vv}] = 0.68 (8)
Thus, P[C
2
= v]P[N
V
is even] = (0.8)(0.68) = 0.544. Since P[C
2
= v, N
V
is even] =
0.544, the events are dependent.
5
Quiz 1.7
Let F
i
denote the event that that the user is found on page i . The tree for the experiment
is
¨
¨
¨
¨
¨
¨
F
1
0.8
F
c
1
0.2
¨
¨
¨
¨
¨
¨
F
2
0.8
F
c
2
0.2
¨
¨
¨
¨
¨
¨
F
3
0.8
F
c
3
0.2
The user is found unless all three paging attempts fail. Thus the probability the user is
found is
P [F] = 1 − P
_
F
c
1
F
c
2
F
c
3
_
= 1 −(0.2)
3
= 0.992 (1)
Quiz 1.8
(1) We can view choosing each bit in the code word as a subexperiment. Each subex-
periment has two possible outcomes: 0 and 1. Thus by the fundamental principle of
counting, there are 2 ×2 ×2 ×2 = 2
4
= 16 possible code words.
(2) An experiment that can yield all possible code words with two zeroes is to choose
which 2 bits (out of 4 bits) will be zero. The other two bits then must be ones. There
are
_
4
2
_
= 6 ways to do this. Hence, there are six code words with exactly two zeroes.
For this problem, it is also possible to simply enumerate the six code words:
1100, 1010, 1001, 0101, 0110, 0011.
(3) When the ﬁrst bit must be a zero, then the ﬁrst subexperiment of choosing the ﬁrst
bit has only one outcome. For each of the next three bits, we have two choices. In
this case, there are 1 ×2 ×2 ×2 = 8 ways of choosing a code word.
(4) For the constant ratio code, we can specify a code word by choosing M of the bits to
be ones. The other N −M bits will be zeroes. The number of ways of choosing such
a code word is
_
N
M
_
. For N = 8 and M = 3, there are
_
8
3
_
= 56 code words.
Quiz 1.9
(1) In this problem, k bits received in error is the same as k failures in 100 trials. The
failure probability is = 1 − p and the success probability is 1 − = p. That is, the
probability of k bits in error and 100 −k correctly received bits is
P
_
S
k,100−k
_
=
_
100
k
_

k
(1 −)
100−k
(1)
6
For = 0.01,
P
_
S
0,100
_
= (1 −)
100
= (0.99)
100
= 0.3660 (2)
P
_
S
1,99
_
= 100(0.01)(0.99)
99
= 0.3700 (3)
P
_
S
2,98
_
= 4950(0.01)
2
(0.99)
9
8 = 0.1849 (4)
P
_
S
3,97
_
= 161, 700(0.01)
3
(0.99)
97
= 0.0610 (5)
(2) The probability a packet is decoded correctly is just
P [C] = P
_
S
0,100
_
+ P
_
S
1,99
_
+ P
_
S
2,98
_
+ P
_
S
3,97
_
= 0.9819 (6)
Quiz 1.10
Since the chip works only if all n transistors work, the transistors in the chip are like
devices in series. The probability that a chip works is P[C] = p
n
.
The module works if either 8 chips work or 9 chips work. Let C
k
denote the event that
exactly k chips work. Since transistor failures are independent of each other, chip failures
are also independent. Thus each P[C
k
] has the binomial probability
P [C
8
] =
_
9
8
_
(P [C])
8
(1 − P [C])
9−8
= 9p
8n
(1 − p
n
), (1)
P [C
9
] = (P [C])
9
= p
9n
. (2)
The probability a memory module works is
P [M] = P [C
8
] + P [C
9
] = p
8n
(9 −8p
n
) (3)
Quiz 1.11
R=rand(1,100);
X=(R<= 0.4) ...
+ (2*(R>0.4).*(R<=0.9)) ...
+ (3*(R>0.9));
Y=hist(X,1:3)
For a MATLAB simulation, we ﬁrst gen-
erate a vector R of 100 random numbers.
Second, we generate vector X as a func-
tion of R to represent the 3 possible out-
comes of a ﬂip. That is, X(i)=1 if ﬂip i
was heads, X(i)=2 if ﬂip i was tails, and
X(i)=3) is ﬂip i landed on the edge.
To see how this works, we note there are three cases:
• If R(i) <= 0.4, then X(i)=1.
• If 0.4 < R(i) and R(i)<=0.9, then X(i)=2.
• If 0.9 < R(i), then X(i)=3.
These three cases will have probabilities 0.4, 0.5 and 0.1. Lastly, we use the hist function
to count how many occurences of each possible value of X(i).
7
Quiz Solutions – Chapter 2
Quiz 2.1
The sample space, probabilities and corresponding grades for the experiment are
Outcome P[·] G
BB 0.36 3.0
BC 0.24 2.5
CB 0.24 2.5
CC 0.16 2
Quiz 2.2
(1) To ﬁnd c, we recall that the PMF must sum to 1. That is,
3

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

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

x=10
P
X
(x). This
sum is not too hard to calculate. However, its even easier to observe that X ≥ 10 if
the ﬁrst 10 bits are transmitted correctly. That is,
P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)
10
(3)
For p = 0.1, P[X ≥ 10] = 0.9
10
= 0.3487.
(3) The random variable Y is the number of successes in 100 independent trials. Just as
in Example 2.13, Y has the binomial PMF
P
Y
(y) =
_
100
y
_
p
y
(1 − p)
100−y
(4)
If p = 0.01, the probability of exactly 2 errors is
P [Y = 2] = P
Y
(2) =
_
100
2
_
(0.01)
2
(0.99)
98
= 0.1849 (5)
(4) The probability of no more than 2 errors is
P [Y ≤ 2] = P
Y
(0) + P
Y
(1) + P
Y
(2) (6)
= (0.99)
100
+100(0.01)(0.99)
99
+
_
100
2
_
(0.01)
2
(0.99)
98
(7)
= 0.9207 (8)
(5) Random variable Z is the number of trials up to and including the third success. Thus
Z has the Pascal PMF (see Example 2.15)
P
Z
(z) =
_
z −1
2
_
p
3
(1 − p)
z−3
(9)
Note that P
Z
(z) > 0 for z = 3, 4, 5, . . ..
(6) If p = 0.25, the probability that the third error occurs on bit 12 is
P
Z
(12) =
_
11
2
_
(0.25)
3
(0.75)
9
= 0.0645 (10)
Quiz 2.4
Each of these probabilities can be read off the CDF F
Y
(y). However, we must keep in
mind that when F
Y
(y) has a discontinuity at y
0
, F
Y
(y) takes the upper value F
Y
(y
+
0
).
(1) P[Y < 1] = F
Y
(1

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

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

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

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

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



$N=1 0.3        N=2 0.3 •T=120 •T=105 •T=90 •T=75 From the tree, we can write down the PMF of T: P T (t ) = 0.3 t = 75, 90, 105 0.1 t = 120 0 otherwise (2) From the PMF P T (t ), the expected value of T is E [T] = 75P T (75) +90P T (90) +105P T (105) +120P T (120) (3) = (75 +90 +105)(0.3) +120(0.1) = 62 (4) 10 Quiz 2.7 (1) Using Deﬁnition 2.14, the expected number of applications is E [A] = 4 a=1 aP A (a) = 1(0.4) +2(0.3) +3(0.2) +4(0.1) = 2 (1) (2) The number of memory chips is M = g(A) where g(A) = 4 A = 1, 2 6 A = 3 8 A = 4 (2) (3) By Theorem 2.10, the expected number of memory chips is E [M] = 4 a=1 g(A)P A (a) = 4(0.4) +4(0.3) +6(0.2) +8(0.1) = 4.8 (3) Since E[A] = 2, g(E[A]) = g(2) = 4. However, E[M] = 4.8 = g(E[A]). The two quantities are different because g(A) is not of the form αA +β. Quiz 2.8 The PMF P N (n) allows to calculate each of the desired quantities. (1) The expected value of N is E [N] = 2 n=0 nP N (n) = 0(0.1) +1(0.4) +2(0.5) = 1.4 (1) (2) The second moment of N is E _ N 2 _ = 2 n=0 n 2 P N (n) = 0 2 (0.1) +1 2 (0.4) +2 2 (0.5) = 2.4 (2) (3) The variance of N is Var[N] = E _ N 2 _ −(E [N]) 2 = 2.4 −(1.4) 2 = 0.44 (3) (4) The standard deviation is σ N = Var[N] = 0.44 = 0.663. 11 Quiz 2.9 (1) From the problem statement, we learn that the conditional PMF of N given the event I is P N|I (n) = _ 0.02 n = 1, 2, . . . , 50 0 otherwise (1) (2) Also from the problem statement, the conditional PMF of N given the event T is P N|T (n) = _ 0.2 n = 1, 2, 3, 4, 5 0 otherwise (2) (3) The problem statement tells us that P[T] = 1 − P[I ] = 3/4. From Theorem 1.10 (the law of total probability), we ﬁnd the PMF of N is P N (n) = P N|T (n) P [T] + P N|I (n) P [I ] (3) = 0.2(0.75) +0.02(0.25) n = 1, 2, 3, 4, 5 0(0.75) +0.02(0.25) n = 6, 7, . . . , 50 0 otherwise (4) = 0.155 n = 1, 2, 3, 4, 5 0.005 n = 6, 7, . . . , 50 0 otherwise (5) (4) First we ﬁnd P [N ≤ 10] = 10 n=1 P N (n) = (0.155)(5) +(0.005)(5) = 0.80 (6) By Theorem 2.17, the conditional PMF of N given N ≤ 10 is P N|N≤10 (n) = _ P N (n) P[N≤10] n ≤ 10 0 otherwise (7) = 0.155/0.8 n = 1, 2, 3, 4, 5 0.005/0.8 n = 6, 7, 8, 9, 10 0 otherwise (8) = 0.19375 n = 1, 2, 3, 4, 5 0.00625 n = 6, 7, 8, 9, 10 0 otherwise (9) (5) Once we have the conditional PMF, calculating conditional expectations is easy. E [N|N ≤ 10] = n nP N|N≤10 (n) (10) = 5 n=1 n(0.19375) + 10 n=6 n(0.00625) (11) = 3.15625 (12) 12 0 50 100 0 2 4 6 8 10 0 500 1000 0 2 4 6 8 10 (a) samplemean(100) (b) samplemean(1000) Figure 1: Two examples of the output of samplemean(k) (6) To ﬁnd the conditional variance, we ﬁrst ﬁnd the conditional second moment E _ N 2 |N ≤ 10 _ = n n 2 P N|N≤10 (n) (13) = 5 n=1 n 2 (0.19375) + 10 n=6 n 2 (0.00625) (14) = 55(0.19375) +330(0.00625) = 12.71875 (15) The conditional variance is Var[N|N ≤ 10] = E _ N 2 |N ≤ 10 _ −(E [N|N ≤ 10]) 2 (16) = 12.71875 −(3.15625) 2 = 2.75684 (17) Quiz 2.10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1, 2, . . . , k. The i th column M(:,i) of M holds a sequence m 1 , m 2 , . . . , m k . function M=samplemean(k); K=(1:k)’; M=zeros(k,5); for i=1:5, X=duniformrv(0,10,k); M(:,i)=cumsum(X)./K; end; plot(K,M); Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1. Each time samplemean(k) is called produces a random output. What is observed in these ﬁgures is that for small n, m n is fairly random but as n gets 13 large, m n gets close to E[X] = 5. Although each sequence m 1 , m 2 , . . . that we generate is random, the sequences always converges to E[X]. This random convergence is analyzed in Chapter 7. 14 Quiz Solutions – Chapter 3 Quiz 3.1 The CDF of Y is 0 2 4 0 0.5 1 y F Y ( y ) F Y (y) = 0 y < 0 y/4 0 ≤ y ≤ 4 1 y > 4 (1) From the CDF F Y (y), we can calculate the probabilities: (1) P[Y ≤ −1] = F Y (−1) = 0 (2) P[Y ≤ 1] = F Y (1) = 1/4 (3) P[2 < Y ≤ 3] = F Y (3) − F Y (2) = 3/4 −2/4 = 1/4 (4) P[Y > 1.5] = 1 − P[Y ≤ 1.5] = 1 − F Y (1.5) = 1 −(1.5)/4 = 5/8 Quiz 3.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF. To ﬁnd c, we use the fact that _ −∞ f X (x) dx = 1. We will evaluate this integral using integration by parts: _ −∞ f X (x) dx = _ 0 cxe −x/2 dx (1) = −2cxe −x/2 ¸ ¸ ¸ 0 . ,, . =0 + _ 0 2ce −x/2 dx (2) = −4ce −x/2 ¸ ¸ ¸ 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2, λ = 1/2) PDF 0 5 10 15 0 0.1 0.2 x f X ( x ) f X (x) = _ (x/4)e −x/2 x ≥ 0 0 otherwise (4) 15 (2) To ﬁnd the CDF F X (x), we ﬁrst note X is a nonnegative random variable so that F X (x) = 0 for all x < 0. For x ≥ 0, F X (x) = _ x 0 f X (y) dy = _ x 0 y 4 e −y/2 dy (5) = − y 2 e −y/2 ¸ ¸ ¸ x 0 _ x 0 1 2 e −y/2 dy (6) = 1 − x 2 e −x/2 −e −x/2 (7) The complete expression for the CDF is 0 5 10 15 0 0.5 1 x F X ( x ) F X (x) = _ 1 − _ x 2 +1 _ e −x/2 x ≥ 0 0 otherwise (8) (3) From the CDF F X (x), P [0 ≤ X ≤ 4] = F X (4) − F X (0) = 1 −3e −2 . (9) (4) Similarly, P [−2 ≤ X ≤ 2] = F X (2) − F X (−2) = 1 −3e −1 . (10) Quiz 3.3 The PDF of Y is −2 0 2 0 1 2 3 y f Y ( y ) f Y (y) = _ 3y 2 /2 −1 ≤ y ≤ 1, 0 otherwise. (1) (1) The expected value of Y is E [Y] = _ −∞ y f Y (y) dy = _ 1 −1 (3/2)y 3 dy = (3/8)y 4 ¸ ¸ ¸ 1 −1 = 0. (2) Note that the above calculation wasn’t really necessary because E[Y] = 0 whenever the PDF f Y (y) is an even function (i.e., f Y (y) = f Y (−y)). (2) The second moment of Y is E _ Y 2 _ = _ −∞ y 2 f Y (y) dy = _ 1 −1 (3/2)y 4 dy = (3/10)y 5 ¸ ¸ ¸ 1 −1 = 3/5. (3) 16 (3) The variance of Y is Var[Y] = E _ Y 2 _ −(E [Y]) 2 = 3/5. (4) (4) The standard deviation of Y is σ Y = Var[Y] = 3/5. Quiz 3.4 (1) When X is an exponential (λ) random variable, E[X] = 1/λ and Var[X] = 1/λ 2 . Since E[X] = 3 and Var[X] = 9, we must have λ = 1/3. The PDF of X is f X (x) = _ (1/3)e −x/3 x ≥ 0, 0 otherwise. (1) (2) We know X is a uniform (a, b) random variable. To ﬁnd a and b, we apply Theo- rem 3.6 to write E [X] = a +b 2 = 3 Var[X] = (b −a) 2 12 = 9. (2) This implies a +b = 6, b −a = ±6 3. (3) The only valid solution with a < b is a = 3 −3 3, b = 3 +3 3. (4) The complete expression for the PDF of X is f X (x) = _ 1/(6 3) 3 −3 3 ≤ x < 3 +3 3, 0 otherwise. (5) Quiz 3.5 Each of the requested probabilities can be calculated using (z) function and Table 3.1 or Q(z) and Table 3.2. We start with the sketches. (1) The PDFs of X and Y are shown below. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). However, it is important to remember that as the standard deviation increases, the peak value of the Gaussian PDF goes down. −5 0 5 0 0.2 0.4 x y f X ( x ) f Y ( y ) ← f X (x) ← f Y (y) 17 (2) Since X is Gaussian (0, 1), P [−1 < X ≤ 1] = F X (1) − F X (−1) (1) = (1) −(−1) = 2(1) −1 = 0.6826. (2) (3) Since Y is Gaussian (0, 2), P [−1 < Y ≤ 1] = F Y (1) − F Y (−1) (3) = _ 1 σ Y _ _ −1 σ Y _ = 2 _ 1 2 _ −1 = 0.383. (4) (4) Again, since X is Gaussian (0, 1), P[X > 3.5] = Q(3.5) = 2.33 ×10 −4 . (5) Since Y is Gaussian (0, 2), P[Y > 3.5] = Q( 3.5 2 ) = Q(1.75) = 1 − (1.75) = 0.0401. Quiz 3.6 The CDF of X is −2 0 2 0 0.5 1 x F X ( x ) F X (x) = 0 x < −1, (x +1)/4 −1 ≤ x < 1, 1 x ≥ 1. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = F X (1) = 1. (2) P[X < 1] = F X (1 ) = 1/2. (3) P[X = 1] = F X (1 + ) − F X (1 ) = 1 −1/2 = 1/2. (4) We ﬁnd the PDF f Y (y) by taking the derivative of F Y (y). The resulting PDF is −2 0 2 0 0.5 x f X ( x ) 0.5 f X (x) = 1/4 −1 ≤ x < 1, (1/2)δ(x −1) x = 1, 0 otherwise. (2) Quiz 3.7 18 (1) Since X is always nonnegative, F X (x) = 0 for x < 0. Also, F X (x) = 1 for x ≥ 2 since its always true that x ≤ 2. Lastly, for 0 ≤ x ≤ 2, F X (x) = _ x −∞ f X (y) dy = _ x 0 (1 − y/2) dy = x − x 2 /4. (1) The complete CDF of X is −1 0 1 2 3 0 0.5 1 x F X ( x ) F X (x) = 0 x < 0, x − x 2 /4 0 ≤ x ≤ 2, 1 x > 2. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − F X (1) = 1 −3/4 = 1/4. (3) (3) Since X is nonnegative, Y is also nonnegative. Thus F Y (y) = 0 for y < 0. Also, because Y ≤ 1, F Y (y) = 1 for all y ≥ 1. Finally, for 0 < y < 1, F Y (y) = P [Y ≤ y] = P [X ≤ y] = F X (y) . (4) Using the CDF F X (x), the complete expression for the CDF of Y is −1 0 1 2 3 0 0.5 1 y F Y ( y ) F Y (y) = 0 y < 0, y − y 2 /4 0 ≤ y < 1, 1 y ≥ 1. (5) As expected, we see that the jump in F Y (y) at y = 1 is exactly equal to P[Y = 1]. (4) By taking the derivative of F Y (y), we obtain the PDF f Y (y). Note that when y < 0 or y > 1, the PDF is zero. −1 0 1 2 3 0 0.5 1 1.5 y f Y ( y ) 0.25 f Y (y) = _ 1 − y/2 +(1/4)δ(y −1) 0 ≤ y ≤ 1 0 otherwise (6) Quiz 3.8 (1) P[Y ≤ 6] = _ 6 −∞ f Y (y) dy = _ 6 0 (1/10) dy = 0.6 . 19 (2) From Deﬁnition 3.15, the conditional PDF of Y given Y ≤ 6 is f Y|Y≤6 (y) = _ f Y (y) P[Y≤6] y ≤ 6, 0 otherwise, = _ 1/6 0 ≤ y ≤ 6, 0 otherwise. (1) (3) The probability Y > 8 is P [Y > 8] = _ 10 8 1 10 dy = 0.2 . (2) (4) From Deﬁnition 3.15, the conditional PDF of Y given Y > 8 is f Y|Y>8 (y) = _ f Y (y) P[Y>8] y > 8, 0 otherwise, = _ 1/2 8 < y ≤ 10, 0 otherwise. (3) (5) From the conditional PDF f Y|Y≤6 (y), we can calculate the conditional expectation E [Y|Y ≤ 6] = _ −∞ y f Y|Y≤6 (y) dy = _ 6 0 y 6 dy = 3. (4) (6) From the conditional PDF f Y|Y>8 (y), we can calculate the conditional expectation E [Y|Y > 8] = _ −∞ y f Y|Y>8 (y) dy = _ 10 8 y 2 dy = 9. (5) Quiz 3.9 A natural way to produce random variables with PDF f T|T>2 (t ) is to generate samples of T with PDF f T (t ) and then to discard those samples which fail to satisfy the condition T > 2. Here is a MATLAB function that uses this method: function t=t2rv(m) i=0;lambda=1/3; t=zeros(m,1); while (i<m), x=exponentialrv(lambda,1); if (x>2) t(i+1)=x; i=i+1; end end A second method exploits the fact that if T is an exponential (λ) random variable, then T = T +2 has PDF f T (t ) = f T|T>2 (t ). In this case the command t=2.0+exponentialrv(1/3,m) generates the vector t. 20 Quiz Solutions – Chapter 4 Quiz 4.1 Each value of the joint CDF can be found by considering the corresponding probability. (1) F X,Y (−∞, 2) = P[X ≤ −∞, Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞. (2) F X,Y (∞, ∞) = P[X ≤ ∞, Y ≤ ∞] = 1. This result is given in Theorem 4.1. (3) F X,Y (∞, y) = P[X ≤ ∞, Y ≤ y] = P[Y ≤ y] = F Y (y). (4) F X,Y (∞, −∞) = P[X ≤ ∞, Y ≤ −∞] = 0 since Y cannot take on the value −∞. Quiz 4.2 From the joint PMF of Q and G given in the table, we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. (1) The probability that Q = 0 is P [Q = 0] = P Q,G (0, 0) + P Q,G (0, 1) + P Q,G (0, 2) + P Q,G (0, 3) (1) = 0.06 +0.18 +0.24 +0.12 = 0.6 (2) (2) The probability that Q = G is P [Q = G] = P Q,G (0, 0) + P Q,G (1, 1) = 0.18 (3) (3) The probability that G > 1 is P [G > 1] = 3 g=2 1 q=0 P Q,G (q, g) (4) = 0.24 +0.16 +0.12 +0.08 = 0.6 (5) (4) The probability that G > Q is P [G > Q] = 1 q=0 3 g=q+1 P Q,G (q, g) (6) = 0.18 +0.24 +0.12 +0.16 +0.08 = 0.78 (7) 21 Quiz 4.3 By Theorem 4.3, the marginal PMF of H is P H (h) = b=0,2,4 P H,B (h, b) (1) For each value of h, this corresponds to calculating the row sum across the table of the joint PMF. Similarly, the marginal PMF of B is P B (b) = 1 h=−1 P H,B (h, b) (2) For each value of b, this corresponds to the column sum down the table of the joint PMF. The easiest way to calculate these marginal PMFs is to simply sum each row and column: P H,B (h, b) b = 0 b = 2 b = 4 P H (h) h = −1 0 0.4 0.2 0.6 h = 0 0.1 0 0.1 0.2 h = 1 0.1 0.1 0 0.2 P B (b) 0.2 0.5 0.3 (3) Quiz 4.4 To ﬁnd the constant c, we apply _ −∞ _ −∞ f X,Y (x, y) dx dy = 1. Speciﬁcally, _ −∞ _ −∞ f X,Y (x, y) dx dy = _ 2 0 _ 1 0 cxy dx dy (1) = c _ 2 0 y _ x 2 /2 ¸ ¸ ¸ 1 0 _ dy (2) = (c/2) _ 2 0 y dy = (c/4)y 2 ¸ ¸ ¸ 2 0 = c (3) Thus c = 1. To calculate P[A], we write P [A] = __ A f X,Y (x, y) dx dy (4) To integrate over A, we convert to polar coordinates using the substitutions x = r cos θ, y = r sin θ and dx dy = r dr dθ, yielding Y X 1 1 2 A P [A] = _ π/2 0 _ 1 0 r 2 sin θ cos θ r dr dθ (5) = _ _ 1 0 r 3 dr __ _ π/2 0 sin θ cos θ dθ _ (6) = _ r 4 /4 ¸ ¸ ¸ 1 0 _ sin 2 θ 2 ¸ ¸ ¸ ¸ ¸ π/2 0 = 1/8 (7) 22 Quiz 4.5 By Theorem 4.8, the marginal PDF of X is f X (x) = _ −∞ f X,Y (x, y) dy (1) For x < 0 or x > 1, f X (x) = 0. For 0 ≤ x ≤ 1, f X (x) = 6 5 _ 1 0 (x + y 2 ) dy = 6 5 _ xy + y 3 /3 ¸ ¸ y=1 y=0 = 6 5 (x +1/3) = 6x +2 5 (2) The complete expression for the PDf of X is f X (x) = _ (6x +2)/5 0 ≤ x ≤ 1 0 otherwise (3) By the same method we obtain the marginal PDF for Y. For 0 ≤ y ≤ 1, f Y (y) = _ −∞ f X,Y (x, y) dy (4) = 6 5 _ 1 0 (x + y 2 ) dx = 6 5 _ x 2 /2 + xy 2 ¸ ¸ x=1 x=0 = 6 5 (1/2 + y 2 ) = 3 +6y 2 5 (5) Since f Y (y) = 0 for y < 0 or y > 1, the complete expression for the PDF of Y is f Y (y) = _ (3 +6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) Quiz 4.6 (A) The time required for the transfer is T = L/B. For each pair of values of L and B, we can calculate the time T needed for the transfer. We can write these down on the table for the joint PMF of L and B as follows: P L,B (l, b) b = 14, 400 b = 21, 600 b = 28, 800 l = 518, 400 0.20 (T=36) 0.10 (T=24) 0.05 (T=18) l = 2, 592, 000 0.05 (T=180) 0.10 (T=120) 0.20 (T=90) l = 7, 776, 000 0.00 (T=540) 0.10 (T=360) 0.20 (T=270) From the table, writing down the PMF of T is straightforward. P T (t ) = 0.05 t = 18 0.1 t = 24 0.2 t = 36, 90 0.1 t = 120 0.05 t = 180 0.2 t = 270 0.1 t = 360 0 otherwise (1) 23 (B) First, we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1, W = XY satisﬁes 0 ≤ W ≤ 1. Thus f W (0) = 0 and f W (1) = 1. For 0 < w < 1, we calculate the CDF F W (w) = P[W ≤ w]. As shown below, integrating over the region W ≤ w is fairly complex. The calculus is simpler if we integrate over the region XY > w. Speciﬁcally, Y X 1 1 XY > w w w XY = w F W (w) = 1 − P [XY > w] (2) = 1 − _ 1 w _ 1 w/x dy dx (3) = 1 − _ 1 w (1 −w/x) dx (4) = 1 − _ x −wln x| x=1 x=w _ (5) = 1 −(1 −w +wln w) = w −wln w (6) The complete expression for the CDF is F W (w) = 0 w < 0 w −wln w 0 ≤ w ≤ 1 1 w > 1 (7) By taking the derivative of the CDF, we ﬁnd the PDF is f W (w) = d F W (w) dw = 0 w < 0 −ln w 0 ≤ w ≤ 1 0 w > 1 (8) Quiz 4.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs. P L,T (l, t ) t = 40 t = 60 P L (l) l = 1 0.15 0.1 0.25 l = 2 0.3 0.2 0.5 l = 3 0.15 0.1 0.25 P T (t ) 0.6 0.4 (1) The expected value of L is E [L] = 1(0.25) +2(0.5) +3(0.25) = 2. (1) Since the second moment of L is E _ L 2 _ = 1 2 (0.25) +2 2 (0.5) +3 2 (0.25) = 4.5, (2) the variance of L is Var [L] = E _ L 2 _ −(E [L]) 2 = 0.5. (3) 24 (2) The expected value of T is E [T] = 40(0.6) +60(0.4) = 48. (4) The second moment of T is E _ T 2 _ = 40 2 (0.6) +60 2 (0.4) = 2400. (5) Thus Var[T] = E _ T 2 _ −(E [T]) 2 = 2400 −48 2 = 96. (6) (3) The correlation is E [LT] = t =40,60 3 l=1 lt P LT (lt ) (7) = 1(40)(0.15) +2(40)(0.3) +3(40)(0.15) (8) +1(60)(0.1) +2(60)(0.2) +3(60)(0.1) (9) = 96 (10) (4) From Theorem 4.16(a), the covariance of L and T is Cov [L, T] = E [LT] − E [L] E [T] = 96 −2(48) = 0 (11) (5) Since Cov[L, T] = 0, the correlation coefﬁcient is ρ L,T = 0. (B) As in the discrete case, the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y). For 0 ≤ x ≤ 1, f X (x) = _ −∞ f X,Y (x, y) dy = _ 2 0 xy dy = 1 2 xy 2 ¸ ¸ ¸ ¸ y=2 y=0 = 2x (12) Similarly, for 0 ≤ y ≤ 2, f Y (y) = _ −∞ f X,Y (x, y) dx = _ 2 0 xy dx = 1 2 x 2 y ¸ ¸ ¸ ¸ x=1 x=0 = y 2 (13) The complete expressions for the marginal PDFs are f X (x) = _ 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = _ y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs, it is straightforward to calculate the various expectations. 25 (1) The ﬁrst and second moments of X are E [X] = _ −∞ x f X (x) dx = _ 1 0 2x 2 dx = 2 3 (15) E _ X 2 _ = _ −∞ x 2 f X (x) dx = _ 1 0 2x 3 dx = 1 2 (16) (17) The variance of X is Var[X] = E[X 2 ] −(E[X]) 2 = 1/18. (2) The ﬁrst and second moments of Y are E [Y] = _ −∞ y f Y (y) dy = _ 2 0 1 2 y 2 dy = 4 3 (18) E _ Y 2 _ = _ −∞ y 2 f Y (y) dy = _ 2 0 1 2 y 3 dy = 2 (19) The variance of Y is Var[Y] = E[Y 2 ] −(E[Y]) 2 = 2 −16/9 = 2/9. (3) The correlation of X and Y is E [XY] = _ −∞ _ −∞ xy f X,Y (x, y) dx, dy (20) = _ 1 0 _ 2 0 x 2 y 2 dx, dy = x 3 3 ¸ ¸ ¸ ¸ 1 0 y 3 3 ¸ ¸ ¸ ¸ 2 0 = 8 9 (21) (4) The covariance of X and Y is Cov [X, Y] = E [XY] − E [X] E [Y] = 8 9 _ 2 3 __ 4 3 _ = 0. (22) (5) Since Cov[X, Y] = 0, the correlation coefﬁcient is ρ X,Y = 0. Quiz 4.8 (A) Since the event V > 80 occurs only for the pairs (L, T) = (2, 60), (L, T) = (3, 40) and (L, T) = (3, 60), P [A] = P [V > 80] = P L,T (2, 60) + P L,T (3, 40) + P L,T (3, 60) = 0.45 (1) By Deﬁnition 4.9, P L,T| A (l, t ) = _ P L,T (l,t ) P[A] lt > 80 0 otherwise (2) 26 We can represent this conditional PMF in the following table: P L,T| A (l, t ) t = 40 t = 60 l = 1 0 0 l = 2 0 4/9 l = 3 1/3 2/9 The conditional expectation of V can be found from the conditional PMF. E [V| A] = l t lt P L,T| A (l, t ) (3) = (2 · 60) 4 9 +(3 · 40) 1 3 +(3 · 60) 2 9 = 133 1 3 (4) For the conditional variance Var[V| A], we ﬁrst ﬁnd the conditional second moment E _ V 2 | A _ = l t (lt ) 2 P L,T| A (l, t ) (5) = (2 · 60) 2 4 9 +(3 · 40) 2 1 3 +(3 · 60) 2 2 9 = 18, 400 (6) It follows that Var [V| A] = E _ V 2 | A _ −(E [V| A]) 2 = 622 2 9 (7) (B) For continuous random variables X and Y, we ﬁrst calculate the probability of the conditioning event. P [B] = __ B f X,Y (x, y) dx dy = _ 60 40 _ 3 80/y xy 4000 dx dy (8) = _ 60 40 y 4000 _ x 2 2 ¸ ¸ ¸ ¸ 3 80/y _ dy (9) = _ 60 40 y 4000 _ 9 2 3200 y 2 _ dy (10) = 9 8 4 5 ln 3 2 ≈ 0.801 (11) The conditional PDF of X and Y is f X,Y|B (x, y) = _ f X,Y (x, y) /P [B] (x, y) ∈ B 0 otherwise (12) = _ Kxy 40 ≤ y ≤ 60, 80/y ≤ x ≤ 3 0 otherwise (13) 27 where K = (4000P[B]) −1 . The conditional expectation of W given event B is E [W|B] = _ −∞ _ −∞ xy f X,Y|B (x, y) dx dy (14) = _ 60 40 _ 3 80/y Kx 2 y 2 dx dy (15) = (K/3) _ 60 40 y 2 x 3 ¸ ¸ ¸ x=3 x=80/y dy (16) = (K/3) _ 60 40 _ 27y 2 −80 3 /y _ dy (17) = (K/3) _ 9y 3 −80 3 ln y ¸ ¸ 60 40 ≈ 120.78 (18) The conditional second moment of K given B is E _ W 2 |B _ = _ −∞ _ −∞ (xy) 2 f X,Y|B (x, y) dx dy (19) = _ 60 40 _ 3 80/y Kx 3 y 3 dx dy (20) = (K/4) _ 60 40 y 3 x 4 ¸ ¸ ¸ x=3 x=80/y dy (21) = (K/4) _ 60 40 _ 81y 3 −80 4 /y _ dy (22) = (K/4) _ (81/4)y 4 −80 4 ln y ¸ ¸ 60 40 ≈ 16, 116.10 (23) It follows that the conditional variance of W given B is Var [W|B] = E _ W 2 |B _ −(E [W|B]) 2 ≈ 1528.30 (24) Quiz 4.9 (A) (1) The joint PMF of A and B can be found from the marginal and conditional PMFs via P A,B (a, b) = P B| A (b|a)P A (a). Incorporating the information from the given conditional PMFs can be confusing, however. Consequently, we can note that A has range S A = {0, 2} and B has range S B = {0, 1}. A table of the joint PMF will include all four possible combinations of A and B. The general form of the table is P A,B (a, b) b = 0 b = 1 a = 0 P B| A (0|0)P A (0) P B| A (1|0)P A (0) a = 2 P B| A (0|2)P A (2) P B| A (1|2)P A (2) 28 Substituting values from P B| A (b|a) and P A (a), we have P A,B (a, b) b = 0 b = 1 a = 0 (0.8)(0.4) (0.2)(0.4) a = 2 (0.5)(0.6) (0.5)(0.6) or P A,B (a, b) b = 0 b = 1 a = 0 0.32 0.08 a = 2 0.3 0.3 (2) Given the conditional PMF P B| A (b|2), it is easy to calculate the conditional expectation E [B| A = 2] = 1 b=0 bP B| A (b|2) = (0)(0.5) +(1)(0.5) = 0.5 (1) (3) From the joint PMF P A,B (a, b), we can calculate the the conditional PMF P A|B (a|0) = P A,B (a, 0) P B (0) = 0.32/0.62 a = 0 0.3/0.62 a = 2 0 otherwise (2) = 16/31 a = 0 15/31 a = 2 0 otherwise (3) (4) We can calculate the conditional variance Var[A|B = 0] using the conditional PMF P A|B (a|0). First we calculate the conditional expected value E [A|B = 0] = a aP A|B (a|0) = 0(16/31) +2(15/31) = 30/31 (4) The conditional second moment is E _ A 2 |B = 0 _ = a a 2 P A|B (a|0) = 0 2 (16/31) +2 2 (15/31) = 60/31 (5) The conditional variance is then Var[A|B = 0] = E _ A 2 |B = 0 _ −(E [A|B = 0]) 2 = 960 961 (6) (B) (1) The joint PDF of X and Y is f X,Y (x, y) = f Y|X (y|x) f X (x) = _ 6y 0 ≤ y ≤ x, 0 ≤ x ≤ 1 0 otherwise (7) (2) From the given conditional PDF f Y|X (y|x), f Y|X (y|1/2) = _ 8y 0 ≤ y ≤ 1/2 0 otherwise (8) 29 (3) The conditional PDF of Y given X = 1/2 is f X|Y (x|1/2) = f X,Y (x, 1/2)/f Y (1/2). To ﬁnd f Y (1/2), we integrate the joint PDF. f Y (1/2) = _ −∞ f X,1/2 ( ) dx = _ 1 1/2 6(1/2) dx = 3/2 (9) Thus, for 1/2 ≤ x ≤ 1, f X|Y (x|1/2) = f X,Y (x, 1/2) f Y (1/2) = 6(1/2) 3/2 = 2 (10) (4) From the pervious part, we see that given Y = 1/2, the conditional PDF of X is uniform (1/2, 1). Thus, by the deﬁnition of the uniform (a, b) PDF, Var [X|Y = 1/2] = (1 −1/2) 2 12 = 1 48 (11) Quiz 4.10 (A) (1) For random variables X and Y from Example 4.1, we observe that P Y (1) = 0.09 and P X (0) = 0.01. However, P X,Y (0, 1) = 0 = P X (0) P Y (1) (1) Since we have found a pair x, y such that P X,Y (x, y) = P X (x)P Y (y), we can conclude that X and Y are dependent. Note that whenever P X,Y (x, y) = 0, independence requires that either P X (x) = 0 or P Y (y) = 0. (2) For random variables Q and G from Quiz 4.2, it is not obvious whether they are independent. Unlike X and Y in part (a), there are no obvious pairs q, g that fail the independence requirement. In this case, we calculate the marginal PMFs from the table of the joint PMF P Q,G (q, g) in Quiz 4.2. P Q,G (q, g) g = 0 g = 1 g = 2 g = 3 P Q (q) q = 0 0.06 0.18 0.24 0.12 0.60 q = 1 0.04 0.12 0.16 0.08 0.40 P G (g) 0.10 0.30 0.40 0.20 Careful study of the table will verify that P Q,G (q, g) = P Q (q)P G (g) for every pair q, g. Hence Q and G are independent. (B) (1) Since X 1 and X 2 are independent, f X 1 ,X 2 (x 1 , x 2 ) = f X 1 (x 1 ) f X 2 (x 2 ) (2) = _ (1 − x 1 /2)(1 − x 2 /2) 0 ≤ x 1 ≤ 2, 0 ≤ x 2 ≤ 2 0 otherwise (3) 30 (2) Let F X (x) denote the CDF of both X 1 and X 2 . The CDF of Z = max(X 1 , X 2 ) is found by observing that Z ≤ z iff X 1 ≤ z and X 2 ≤ z. That is, P [Z ≤ z] = P [X 1 ≤ z, X 2 ≤ z] (4) = P [X 1 ≤ z] P [X 2 ≤ z] = [F X (z)] 2 (5) To complete the problem, we need to ﬁnd the CDF of each X i . From the PDF f X (x), the CDF is F X (x) = _ x −∞ f X (y) dy = 0 x < 0 x − x 2 /4 0 ≤ x ≤ 2 1 x > 2 (6) Thus for 0 ≤ z ≤ 2, F Z (z) = (z − z 2 /4) 2 (7) The complete expression for the CDF of Z is F Z (z) = 0 z < 0 (z − z 2 /4) 2 0 ≤ z ≤ 2 1 z > 1 (8) Quiz 4.11 This problem just requires identifying the various terms in Deﬁnition 4.17 and Theo- rem 4.29. Speciﬁcally, from the problem statement, we know that ρ = 1/2, µ 1 = µ X = 0, µ 2 = µ Y = 0, (1) and that σ 1 = σ X = 1, σ 2 = σ Y = 1. (2) (1) Applying these facts to Deﬁnition 4.17, we have f X,Y (x, y) = 1 2 e −2(x 2 −xy+y 2 )/3 . (3) (2) By Theorem 4.30, the conditional expected value and standard deviation of X given Y = y are E [X|Y = y] = y/2 ˜ σ X = σ 2 1 (1 −ρ 2 ) = _ 3/4. (4) When Y = y = 2, we see that E[X|Y = 2] = 1 and Var[X|Y = 2] = 3/4. The conditional PDF of X given Y = 2 is simply the Gaussian PDF f X|Y (x|2) = 1 3π/2 e −2(x−1) 2 /3 . (5) 31 Quiz 4.12 One straightforward method is to follow the approach of Example 4.28. Instead, we use an alternate approach. First we observe that X has the discrete uniform (1, 4) PMF. Also, given X = x, Y has a discrete uniform (1, x) PMF. That is, P X (x) = _ 1/4 x = 1, 2, 3, 4, 0 otherwise, P Y|X (y|x) = _ 1/x y = 1, . . . , x 0 otherwise (1) Given X = x, and an independent uniform (0, 1) random variable U, we can generate a sample value of Y with a discrete uniform (1, x) PMF via Y = xU. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1;2;3;4]; px=0.25*ones(4,1); x=finiterv(sx,px,m); y=ceil(x.*rand(m,1)); xy=[x’;y’]; 32 Quiz Solutions – Chapter 5 Quiz 5.1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. Speciﬁcally, P [C] = _ 1/2 0 dy 2 _ y 2 0 dy 1 _ 1/2 0 dy 4 _ y 4 0 4dy 3 (1) = 4 _ _ 1/2 0 y 2 dy 2 __ _ 1/2 0 y 4 dy 4 _ = 1/4. (2) Quiz 5.2 By deﬁnition of A, Y 1 = X 1 , Y 2 = X 2 −X 1 and Y 3 = X 3 −X 2 . Since 0 < X 1 < X 2 < X 3 , each Y i must be a strictly positive integer. Thus, for y 1 , y 2 , y 3 ∈ {1, 2, . . .}, P Y (y) = P [Y 1 = y 1 , Y 2 = y 2 , Y 3 = y 3 ] (1) = P [X 1 = y 1 , X 2 − X 1 = y 2 , X 3 − X 2 = y 3 ] (2) = P [X 1 = y 1 , X 2 = y 2 + y 1 , X 3 = y 3 + y 2 + y 1 ] (3) = (1 − p) 3 p y 1 +y 2 +y 3 (4) By deﬁning the vector a = _ 1 1 1 _ , the complete expression for the joint PMF of Y is P Y (y) = _ (1 − p) p a y y 1 , y 2 , y 3 ∈ {1, 2, . . .} 0 otherwise (5) Quiz 5.3 First we note that each marginal PDF is nonzero only if any subset of the x i obeys the ordering contraints 0 ≤ x 1 ≤ x 2 ≤ x 3 ≤ 1. Within these constraints, we have f X 1 ,X 2 (x 1 , x 2 ) = _ −∞ f X (x) dx 3 = _ 1 x 2 6 dx 3 = 6(1 − x 2 ), (1) f X 2 ,X 3 (x 2 , x 3 ) = _ −∞ f X (x) dx 1 = _ x 2 0 6 dx 1 = 6x 2 , (2) f X 1 ,X 3 (x 1 , x 3 ) = _ −∞ f X (x) dx 2 = _ x 3 x 1 6 dx 2 = 6(x 3 − x 1 ). (3) In particular, we must keep in mind that f X 1 ,X 2 (x 1 , x 2 ) = 0 unless 0 ≤ x 1 ≤ x 2 ≤ 1, f X 2 ,X 3 (x 2 , x 3 ) = 0 unless 0 ≤ x 2 ≤ x 3 ≤ 1, and that f X 1 ,X 3 (x 1 , x 3 ) = 0 unless 0 ≤ x 1 33 x 3 ≤ 1. The complete expressions are f X 1 ,X 2 (x 1 , x 2 ) = _ 6(1 − x 2 ) 0 ≤ x 1 ≤ x 2 ≤ 1 0 otherwise (4) f X 2 ,X 3 (x 2 , x 3 ) = _ 6x 2 0 ≤ x 2 ≤ x 3 ≤ 1 0 otherwise (5) f X 1 ,X 3 (x 1 , x 3 ) = _ 6(x 3 − x 1 ) 0 ≤ x 1 ≤ x 3 ≤ 1 0 otherwise (6) Now we can ﬁnd the marginal PDFs. When 0 ≤ x i ≤ 1 for each x i , f X 1 (x 1 ) = _ −∞ f X 1 ,X 2 (x 1 , x 2 ) dx 2 = _ 1 x 1 6(1 − x 2 ) dx 2 = 3(1 − x 1 ) 2 (7) f X 2 (x 2 ) = _ −∞ f X 2 ,X 3 (x 2 , x 3 ) dx 3 = _ 1 x 2 6x 2 dx 3 = 6x 2 (1 − x 2 ) (8) f X 3 (x 3 ) = _ −∞ f X 2 ,X 3 (x 2 , x 3 ) dx 2 = _ x 3 0 6x 2 dx 2 = 3x 2 3 (9) The complete expressions are f X 1 (x 1 ) = _ 3(1 − x 1 ) 2 0 ≤ x 1 ≤ 1 0 otherwise (10) f X 2 (x 2 ) = _ 6x 2 (1 − x 2 ) 0 ≤ x 2 ≤ 1 0 otherwise (11) f X 3 (x 3 ) = _ 3x 2 3 0 ≤ x 3 ≤ 1 0 otherwise (12) Quiz 5.4 In the PDF f Y (y), the components have dependencies as a result of the ordering con- straints Y 1 ≤ Y 2 and Y 3 ≤ Y 4 . We can separate these constraints by creating the vectors V = _ Y 1 Y 2 _ , W = _ Y 3 Y 4 _ . (1) The joint PDF of V and W is f V,W (v, w) = _ 4 0 ≤ v 1 ≤ v 2 ≤ 1, 0 ≤ w 1 ≤ w 2 ≤ 1 0 otherwise (2) 34 We must verify that V and W are independent. For 0 ≤ v 1 ≤ v 2 ≤ 1, f V (v) = __ f V,W (v, w) dw 1 dw 2 (3) = _ 1 0 _ _ 1 w 1 4 dw 2 _ dw 1 (4) = _ 1 0 4(1 −w 1 ) dw 1 = 2 (5) Similarly, for 0 ≤ w 1 ≤ w 2 ≤ 1, f W (w) = __ f V,W (v, w) dv 1 dv 2 (6) = _ 1 0 _ _ 1 v 1 4 dv 2 _ dv 1 = 2 (7) It follows that V and W have PDFs f V (v) = _ 2 0 ≤ v 1 ≤ v 2 ≤ 1 0 otherwise , f W (w) = _ 2 0 ≤ w 1 ≤ w 2 ≤ 1 0 otherwise (8) It is easy to verify that f V,W (v, w) = f V (v) f W (w), conﬁrming that V and W are indepen- dent vectors. Quiz 5.5 (A) Referring to Theorem 1.19, each test is a subexperiment with three possible out- comes: L, A and R. In ﬁve trials, the vector X = _ X 1 X 2 X 3 _ indicating the number of outcomes of each subexperiment has the multinomial PMF P X (x) = _ 5 x 1 ,x 2 ,x 3 _ (0.3) x 1 (0.6) x 2 (0.1) x 3 x 1 + x 2 + x 3 = 5; x 1 , x 2 , x 3 ∈ {0, 1, . . . , 5} 0 otherwise (1) We can ﬁnd the marginal PMF for each X i from the joint PMF P X (x); however it is simpler to just start from ﬁrst principles and observe that X 1 is the number of occurrences of L in ﬁve independent tests. If we view each test as a trial with success probability P[L] = 0.3, we see that X 1 is a binomial (n, p) = (5, 0.3) random variable. Similarly, X 2 is a binomial (5, 0.6) random variable and X 3 is a binomial (5, 0.1) random variable. That is, for p 1 = 0.3, p 2 = 0.6 and p 3 = 0.1, P X i (x) = _ _ 5 x _ p x i (1 − p i ) 5−x x = 0, 1, . . . , 5 0 otherwise (2) 35 From the marginal PMFs, we see that X 1 , X 2 and X 3 are not independent. Hence, we must use Theorem 5.6 to ﬁnd the PMF of W. In particular, since X 1 + X 2 + X 3 = 5 and since each X i is non-negative, P W (0) = P W (1) = 0. Furthermore, P W (2) = P X (1, 2, 2) + P X (2, 1, 2) + P X (2, 2, 1) (3) = 5![0.3(0.6) 2 (0.1) 2 +0.3 2 (0.6)(0.1) 2 +0.3 2 (0.6) 2 (0.1)] 2!2!1! (4) = 0.1458 (5) In addition, for w = 3, w = 4, and w = 5, the event W = w occurs if and only if one of the mutually exclusive events X 1 = w, X 2 = w, or X 3 = w occurs. Thus, P W (3) = P X 1 (3) + P X 2 (3) + P X 3 (3) = 0.486 (6) P W (4) = P X 1 (4) + P X 2 (4) + P X 3 (4) = 0.288 (7) P W (5) = P X 1 (5) + P X 2 (5) + P X 3 (5) = 0.0802 (8) (B) Since each Y i = 2X i +4, we can apply Theorem 5.10 to write f Y (y) = 1 2 3 f X _ y 1 −4 2 , y 2 −4 2 , y 3 −4 2 _ (9) = _ (1/8)e −(y 3 −4)/2 4 ≤ y 1 ≤ y 2 ≤ y 3 0 otherwise (10) Note that for other matrices A, the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. Quiz 5.6 We start by ﬁnding the components E[X i ] = _ −∞ x f X i (x) dx of µ X . To do so, we use the marginal PDFs f X i (x) found in Quiz 5.3: E [X 1 ] = _ 1 0 3x(1 − x) 2 dx = 1/4, (1) E [X 2 ] = _ 1 0 6x 2 (1 − x) dx = 1/2, (2) E [X 3 ] = _ 1 0 3x 3 dx = 3/4. (3) To ﬁnd the correlation matrix R X , we need to ﬁnd E[X i X j ] for all i and j . We start with 36 the second moments: E _ X 2 1 _ = _ 1 0 3x 2 (1 − x) 2 dx = 1/10. (4) E _ X 2 2 _ = _ 1 0 6x 3 (1 − x) dx = 3/10. (5) E _ X 2 3 _ = _ 1 0 3x 4 dx = 3/5. (6) Using marginal PDFs from Quiz 5.3, the cross terms are E [X 1 X 2 ] = _ −∞ _ −∞ x 1 x 2 f X 1 ,X 2 (x 1 , x 2 ) , dx 1 dx 2 (7) = _ 1 0 _ _ 1 x 1 6x 1 x 2 (1 − x 2 ) dx 2 _ dx 1 (8) = _ 1 0 [x 1 −3x 3 1 +2x 4 1 ] dx 1 = 3/20. (9) E [X 2 X 3 ] = _ 1 0 _ 1 x 2 6x 2 2 x 3 dx 3 dx 2 (10) = _ 1 0 [3x 2 2 −3x 4 2 ] dx 2 = 2/5 (11) E [X 1 X 3 ] = _ 1 0 _ 1 x 1 6x 1 x 3 (x 3 − x 1 ) dx 3 dx 1 . (12) = _ 1 0 _ (2x 1 x 3 3 −3x 2 1 x 2 3 ) ¸ ¸ ¸ x 3 =1 x 3 =x 1 _ dx 1 (13) = _ 1 0 [2x 1 −3x 2 1 + x 4 1 ] dx 1 = 1/5. (14) Summarizing the results, X has correlation matrix R X = 1/10 3/20 1/5 3/20 3/10 2/5 1/5 2/5 3/5 . (15) Vector X has covariance matrix C X = R X − E [X] E [X] (16) = 1/10 3/20 1/5 3/20 3/10 2/5 1/5 2/5 3/5 1/4 1/2 3/4 _ 1/4 1/2 3/4 _ (17) = 1/10 3/20 1/5 3/20 3/10 2/5 1/5 2/5 3/5 1/16 1/8 3/16 1/8 1/4 3/8 3/16 3/8 9/16 = 1 80 3 2 1 2 4 2 1 2 3 . (18) 37 This problemshows that even for fairly simple joint PDFs, computing the covariance matrix by calculus can be a time consuming task. Quiz 5.7 We observe that X = AZ +b where A = _ 2 1 1 −1 _ , b = _ 2 0 _ . (1) It follows from Theorem 5.18 that µ X = b and that C X = AA = _ 2 1 1 −1 _ _ 2 1 1 −1 _ = _ 5 1 1 2 _ . (2) Quiz 5.8 First, we observe that Y = AT where A = _ 1/31 1/31 · · · 1/31 _ . Since T is a Gaussian random vector, Theorem 5.16 tells us that Y is a 1 dimensional Gaussian vector, i.e., just a Gaussian random variable. The expected value of Y is µ Y = µ T = 80. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y]. Thus, by Theorem 5.16, Var[Y] = AC T A . function p=julytemps(T); [D1 D2]=ndgrid((1:31),(1:31)); CT=36./(1+abs(D1-D2)); A=ones(31,1)/31.0; CY=(A’)*CT*A; p=phi((T-80)/sqrt(CY)); In julytemps.m, the ﬁrst two lines gen- erate the 31 ×31 covariance matrix CT, or C T . Next we calculate Var[Y]. The ﬁnal step is to use the (·) function to calculate P[Y < T]. Here is the output of julytemps.m: >> julytemps([70 75 80 85 90 95]) ans = 0.0000 0.0221 0.5000 0.9779 1.0000 1.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.0000. Its just that the MATLAB’s short format output, invoked with the command format short, rounds off those probabilities. Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0.00002844263128 0.02207383067604 0.50000000000000 0.97792616932396 Columns 5 through 6 0.99997155736872 0.99999999922010 38 The ndgrid function is a useful to way calculate many covariance matrices. However, in this problem, C X has a special structure; the i, j th element is C T (i, j ) = c |i −j | = 36 1 +|i − j | . (1) If we write out the elements of the covariance matrix, we see that C T = c 0 c 1 · · · c 30 c 1 c 0 . . . . . . . . . . . . . . . c 1 c 30 · · · c 1 c 0 . (2) This covariance matrix is known as a symmetric Toeplitz matrix. We will see in Chap- ters 9 and 11 that Toeplitz covariance matrices are quite common. In fact, MATLAB has a toeplitz function for generating them. The function julytemps2 use the toeplitz to generate the correlation matrix C T . function p=julytemps2(T); c=36./(1+abs(0:30)); CT=toeplitz(c); A=ones(31,1)/31.0; CY=(A’)*CT*A; p=phi((T-80)/sqrt(CY)); 39 Quiz Solutions – Chapter 6 Quiz 6.1 Let K 1 , . . . , K n denote a sequence of iid random variables each with PMF P K (k) = _ 1/4 k = 1, . . . , 4 0 otherwise (1) We can write W n in the form of W n = K 1 + · · · + K n . First, we note that the ﬁrst two moments of K i are E [K i ] = (1 +2 +3 +4)/4 = 2.5 (2) E _ K 2 i _ = (1 2 +2 2 +3 2 +4 2 )/4 = 7.5 (3) Thus the variance of K i is Var[K i ] = E _ K 2 i _ −(E [K i ]) 2 = 7.5 −(2.5) 2 = 1.25 (4) Since E[K i ] = 2.5, the expected value of W n is E [W n ] = E [K 1 ] +· · · + E [K n ] = nE [K i ] = 2.5n (5) Since the rolls are independent, the random variables K 1 , . . . , K n are independent. Hence, by Theorem 6.3, the variance of the sum equals the sum of the variances. That is, Var[W n ] = Var[K 1 ] +· · · +Var[K n ] = 1.25n (6) Quiz 6.2 Random variables X and Y have PDFs f X (x) = _ 3e −3x x ≥ 0 0 otherwise f Y (y) = _ 2e −2y y ≥ 0 0 otherwise (1) Since X and Y are nonnegative, W = X +Y is nonnegative. By Theorem 6.5, the PDF of W = X +Y is f W (w) = _ −∞ f X (w − y) f Y (y) dy = 6 _ w 0 e −3(w−y) e −2y dy (2) Fortunately, this integral is easy to evaluate. For w > 0, f W (w) = e −3w e y ¸ ¸ w 0 = 6 _ e −2w −e −3w _ (3) Since f W (w) = 0 for w < 0, a conmplete expression for the PDF of W is f W (w) = _ 6e −2w _ 1 −e −w _ w ≥ 0, 0 otherwise. (4) 40 Quiz 6.3 The MGF of K is φ K (s) = E _ e s K _ == 4 k=0 (0.2)e sk = 0.2 _ 1 +e s +e 2s +e 3s +e 4s _ (1) We ﬁnd the moments by taking derivatives. The ﬁrst derivative of φ K (s) is K (s) ds = 0.2(e s +2e 2s +3e 3s +4e 4s ) (2) Evaluating the derivative at s = 0 yields E [K] = K (s) ds ¸ ¸ ¸ ¸ s=0 = 0.2(1 +2 +3 +4) = 2 (3) To ﬁnd higher-order moments, we continue to take derivatives: E _ K 2 _ = d 2 φ K (s) ds 2 ¸ ¸ ¸ ¸ s=0 = 0.2(e s +4e 2s +9e 3s +16e 4s ) ¸ ¸ ¸ s=0 = 6 (4) E _ K 3 _ = d 3 φ K (s) ds 3 ¸ ¸ ¸ ¸ s=0 = 0.2(e s +8e 2s +27e 3s +64e 4s ) ¸ ¸ ¸ s=0 = 20 (5) E _ K 4 _ = d 4 φ K (s) ds 4 ¸ ¸ ¸ ¸ s=0 = 0.2(e s +16e 2s +81e 3s +256e 4s ) ¸ ¸ ¸ s=0 = 70.8 (6) (7) Quiz 6.4 (A) Each K i has MGF φ K (s) = E _ e s K i _ = e s +e 2s +· · · +e ns n = e s (1 −e ns ) n(1 −e s ) (1) Since the sequence of K i is independent, Theorem 6.8 says the MGF of J is φ J (s) = (φ K (s)) m = e ms (1 −e ns ) m n m (1 −e s ) m (2) (B) Since the set of α j X j are independent Gaussian random variables, Theorem 6.10 says that W is a Gaussian random variable. Thus to ﬁnd the PDF of W, we need only ﬁnd the expected value and variance. Since the expectation of the sum equals the sum of the expectations: E [W] = αE [X 1 ] +α 2 E [X 2 ] +· · · +α n E [X n ] = 0 (3) 41 Since the α j X j are independent, the variance of the sum equals the sum of the vari- ances: Var[W] = α 2 Var[X 1 ] +α 4 Var[X 2 ] +· · · +α 2n Var[X n ] (4) = α 2 +2(α 2 ) 2 +3(α 2 ) 3 +· · · +n(α 2 ) n (5) Deﬁning q = α 2 , we can use Math Fact B.6 to write Var[W] = α 2 −α 2n+2 [1 +n(1 −α 2 )] (1 −α 2 ) 2 (6) With E[W] = 0 and σ 2 W = Var[W], we can write the PDF of W as f W (w) = 1 _ 2πσ 2 W e −w 2 /2σ 2 W (7) Quiz 6.5 (1) From Table 6.1, each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 1 −s , φ N (s) = 1 5 e s 1 − 4 5 e s . (1) From Theorem 6.12, R has MGF φ R (s) = φ N (ln φ X (s)) = 1 5 φ X (s) 1 − 4 5 φ X (s) (2) Substituting the expression for φ X (s) yields φ R (s) = 1 5 1 5 −s . (3) (2) From Table 6.1, we see that R has the MGF of an exponential (1/5) random variable. The corresponding PDF is f R (r) = _ (1/5)e −r/5 r ≥ 0 0 otherwise (4) This quiz is an example of the general result that a geometric sum of exponential random variables is an exponential random variable. 42 Quiz 6.6 (1) The expected access time is E [X] = _ −∞ x f X (x) dx = _ 12 0 x 12 dx = 6 msec (1) (2) The second moment of the access time is E _ X 2 _ = _ −∞ x 2 f X (x) dx = _ 12 0 x 2 12 dx = 48 (2) The variance of the access time is Var[X] = E[X 2 ] −(E[X]) 2 = 48 −36 = 12. (3) Using X i to denote the access time of block i , we can write A = X 1 + X 2 +· · · + X 12 (3) Since the expectation of the sum equals the sum of the expectations, E [A] = E [X 1 ] +· · · + E [X 12 ] = 12E [X] = 72 msec (4) (4) Since the X i are independent, Var[A] = Var[X 1 ] +· · · +Var[X 12 ] = 12 Var[X] = 144 (5) Hence, the standard deviation of A is σ A = 12 (5) To use the central limit theorem, we write P [A > 75] = 1 − P [A ≤ 75] (6) = 1 − P _ A − E [A] σ A 75 − E [A] σ A _ (7) ≈ 1 − _ 75 −72 12 _ (8) = 1 −0.5987 = 0.4013 (9) Note that we used Table 3.1 to look up (0.25). (6) Once again, we use the central limit theorem and Table 3.1 to estimate P [A < 48] = P _ A − E [A] σ A < 48 − E [A] σ A _ (10) _ 48 −72 12 _ (11) = 1 −(2) = 1 −0.9773 = 0.0227 (12) 43 Quiz 6.7 Random variable K n has a binomial distribution for n trials and success probability P[V] = 3/4. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V] = 36. (2) The variance of K 48 is Var[K 48 ] = 48P [V] (1 − P [V]) = 48(3/4)(1/4) = 9 (1) Thus K 48 has standard deviation σ K 48 = 3. (3) Using the ordinary central limit theorem and Table 3.1 yields P [30 ≤ K 48 ≤ 42] ≈ _ 42 −36 3 _ _ 30 −36 3 _ = (2) −(−2) (2) Recalling that (−x) = 1 −(x), we have P [30 ≤ K 48 ≤ 42] ≈ 2(2) −1 = 0.9545 (3) (4) Since K 48 is a discrete random variable, we can use the De Moivre-Laplace approx- imation to estimate P [30 ≤ K 48 ≤ 42] ≈ _ 42 +0.5 −36 3 _ _ 30 −0.5 −36 3 _ (4) = 2(2.16666) −1 = 0.9687 (5) Quiz 6.8 The train interarrival times X 1 , X 2 , X 3 are iid exponential (λ) random variables. The arrival time of the third train is W = X 1 + X 2 + X 3 . (1) In Theorem 6.11, we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3, λ) random variable. From Appendix A, we ﬁnd that W has expected value and variance E [W] = 3/λ = 6 Var[W] = 3/λ 2 = 12 (2) (1) By the Central Limit Theorem, P [W > 20] = P _ W −6 12 > 20 −6 12 _ ≈ Q(7/ 3) = 2.66 ×10 −5 (3) 44 (2) To use the Chernoff bound, we note that the MGF of W is φ W (s) = _ λ λ −s _ 3 = 1 (1 −2s) 3 (4) The Chernoff bound states that P [W > 20] ≤ min s≥0 e −20s φ X (s) = min s≥0 e −20s (1 −2s) 3 (5) To minimize h(s) = e −20s /(1 −2s) 3 , we set the derivative of h(s) to zero: dh(s) ds = −20(1 −2s) 3 e −20s +6e −20s (1 −2s) 2 (1 −2s) 6 = 0 (6) This implies 20(1 − 2s) = 6 or s = 7/20. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e −20s (1 −2s) 3 ¸ ¸ ¸ ¸ s=7/20 = (10/3) 3 e −7 = 0.0338 (7) (3) Theorem 3.11 says that for any w > 0, the CDF of the Erlang (λ, 3) random variable W satisﬁes F W (w) = 1 − 2 k=0 (λw) k e −λw k! (8) Equivalently, for λ = 1/2 and w = 20, P [W > 20] = 1 − F W (20) (9) = e −10 _ 1 + 10 1! + 10 2 2! _ = 61e −10 = 0.0028 (10) Although the Chernoff bound is relatively weak in that it overestimates the proba- bility by roughly a factor of 12, it is a valid bound. By contrast, the Central Limit Theorem approximation grossly underestimates the true probability. Quiz 6.9 One solution to this problem is to follow the approach of Example 6.19: %unifbinom100.m sx=0:100;sy=0:100; px=binomialpmf(100,0.5,sx); py=duniformpmf(0,100,sy); [SX,SY]=ndgrid(sx,sy); [PX,PY]=ndgrid(px,py); SW=SX+SY; PW=PX.*PY; sw=unique(SW); pw=finitepmf(SW,PW,sw); pmfplot(sw,pw,’\itw’,’\itP_W(w)’); A graph of the PMF P W (w) appears in Figure 2 With some thought, it should be apparent that the finitepmf function is implementing the convolution of the two PMFs. 45 0 20 40 60 80 100 120 140 160 180 200 0 0.002 0.004 0.006 0.008 0.01 w P W ( w ) Figure 2: From Quiz 6.9, the PMF P W (w) of the independent sum of a binomial (100, 0.5) random variable and a discrete uniform (0, 100) random variable. 46 Quiz Solutions – Chapter 7 Quiz 7.1 An exponential random variable with expected value 1 also has variance 1. By Theo- rem 7.1, M n (X) has variance Var[M n (X)] = 1/n. Hence, we need n = 100 samples. Quiz 7.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . Since each X i is uniform (0, 30), E [X i ] = 15, Var [X i ] = (30 −0) 2 12 = 75. (1) Thus E[W] = 3E[X i ] = 45, and Var[W] = 3 Var[X i ] = 225. (1) By the Markov inequality, P [W > 75] ≤ E [W] 75 = 45 75 = 3 5 (2) (2) By the Chebyshev inequality, P [W > 75] = P [W − E [W] > 30] (3) ≤ P [|W − E [W]| > 30] ≤ Var [W] 30 2 = 225 900 = 1 4 (4) Quiz 7.3 Deﬁne the random variable W = (X − µ X ) 2 . Observe that V 100 (X) = M 100 (W). By Theorem 7.6, the mean square error is E _ (M 100 (W) −µ W ) 2 _ = Var[W] 100 (1) Observe that µ X = 0 so that W = X 2 . Thus, µ W = E _ X 2 _ = _ 1 −1 x 2 f X (x) dx = 1/3 (2) E _ W 2 _ = E _ X 4 _ = _ 1 −1 x 4 f X (x) dx = 1/5 (3) Therefore Var[W] = E[W 2 ] − µ 2 W = 1/5 − (1/3) 2 = 4/45 and the mean square error is 4/4500 = 0.000889. 47 Quiz 7.4 Assuming the number n of samples is large, we can use a Gaussian approximation for M n (X). SinceE[X] = p and Var[X] = p(1 − p), we apply Theorem 7.13 which says that the interval estimate M n (X) −c ≤ p ≤ M n (X) +c (1) has conﬁdence coefﬁcient 1 −α where α = 2 −2 _ c n p(1 − p) _ . (2) We must ensure for every value of p that 1 − α ≥ 0.9 or α ≤ 0.1. Equivalently, we must have _ c n p(1 − p) _ ≥ 0.95 (3) for every value of p. Since (x) is an increasing function of x, we must satisfy c n ≥ 1.65p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that c ≥ 1.65 4 n = 0.41 n . (4) The 0.9 conﬁdence interval estimate of p is M n (X) − 0.41 n ≤ p ≤ M n (X) + 0.41 n . (5) For the 0.99 conﬁdence interval, we have α ≤ 0.01, implying (c n/( p(1−p))) ≥ 0.995. This implies c n ≥ 2.58p(1 − p). Since p(1 − p) ≤ 1/4 for all p, we require that c ≥ (0.25)(2.58)/ n. In this case, the 0.99 conﬁdence interval estimate is M n (X) − 0.645 n ≤ p ≤ M n (X) + 0.645 n . (6) Note that if M 100 (X) = 0.4, then the 0.99 conﬁdence interval estimate is 0.3355 ≤ p ≤ 0.4645. (7) The interval is wide because the 0.99 conﬁdence is high. Quiz 7.5 Following the approach of bernoullitraces.m, we generate m = 1000 sample paths, each sample path having n = 100 Bernoulli traces. at time k, OK(k) counts the fraction of sample paths that have sample mean within one standard error of p. The pro- gram bernoullisample.m generates graphs the number of traces within one standard error as a function of the time, i.e. the number of trials in each trace. 48 function OK=bernoullisample(n,m,p); x=reshape(bernoullirv(p,m*n),n,m); nn=(1:n)’*ones(1,m); MN=cumsum(x)./nn; stderr=sqrt(p*(1-p))./sqrt((1:n)’); stderrmat=stderr*ones(1,m); OK=sum(abs(MN-p)<stderrmat,2)/m; plot(1:n,OK,’-s’); The following graph was generated by bernoullisample(100,5000,0.5): 0 10 20 30 40 50 60 70 80 90 100 0.4 0.5 0.6 0.7 0.8 0.9 1 As we would expect, as m gets large, the fraction of traces within one standard error ap- proaches 2(1) −1 ≈ 0.68. The unusual sawtooth pattern, though perhaps unexpected, is examined in Problem 7.5.2. 49 Quiz Solutions – Chapter 8 Quiz 8.1 From the problem statement, each X i has PDF and CDF f X i (x) = _ e −x x ≥ 0 0 otherwise F X i (x) = _ 0 x < 0 1 −e −x x ≥ 0 (1) Hence, the CDF of the maximum of X 1 , . . . , X 15 obeys F X (x) = P [X ≤ x] = P [X 1 ≤ x, X 2 ≤ x, · · · , X 15 ≤ x] = [P [X i ≤ x]] 15 . (2) This implies that for x ≥ 0, F X (x) = _ F X i (x) _ 15 = _ 1 −e −x _ 15 (3) To design a signiﬁcance test, we must choose a rejection region for X. A reasonable choice is to reject the hypothesis if X is too small. That is, let R = {X ≤ r}. For a signiﬁcance level of α = 0.01, we obtain α = P [X ≤ r] = (1 −e −r ) 15 = 0.01 (4) It is straightforward to show that r = −ln _ 1 −(0.01) 1/15 _ = 1.33 (5) Hence, if we observe X < 1.33, then we reject the hypothesis. Quiz 8.2 From the problem statement, the conditional PMFs of K are P K|H 0 (k) = _ 10 4k e −10 4 k! k = 0, 1, . . . 0 otherwise (1) P K|H 1 (k) = _ 10 6k e −10 6 k! k = 0, 1, . . . 0 otherwise (2) Since the two hypotheses are equally likely, the MAP and ML tests are the same. From Theorem 8.6, the ML hypothesis rule is k ∈ A 0 if P K|H 0 (k) ≥ P K|H 1 (k) ; k ∈ A 1 otherwise. (3) This rule simpliﬁes to k ∈ A 0 if k ≤ k = 10 6 −10 4 ln 100 = 214, 975.7; k ∈ A 1 otherwise. (4) Thus if we observe at least 214, 976 photons, then we accept hypothesis H 1 . 50 Quiz 8.3 For the QPSK system, a symbol error occurs when s i is transmitted but (X 1 , X 2 ) ∈ A j for some j = i . For a QPSK system, it is easier to calculate the probability of a correct decision. Given H 0 , the conditional probability of a correct decision is P [C|H 0 ] = P [X 1 > 0, X 2 > 0|H 0 ] = P _ E/2 + N 1 > 0, E/2 + N 2 > 0 _ (1) Because of the symmetry of the signals, P[C|H 0 ] = P[C|H i ] for all i . This implies the probability of a correct decision is P[C] = P[C|H 0 ]. Since N 1 and N 2 are iid Gaussian (0, σ) random variables, we have P [C] = P [C|H 0 ] = P _ E/2 + N 1 > 0 _ P _ E/2 + N 2 > 0 _ (2) = _ P _ N 1 > − E/2 __ 2 (3) = _ 1 − _ E/2 σ __ 2 (4) Since (−x) = 1 − (x), we have P[C] = 2 ( _ E/2σ 2 ). Equivalently, the probability of error is P ERR = 1 − P [C] = 1 − 2 _ _ E 2 _ (5) Quiz 8.4 To generate the ROC, the existing program sqdistor already calculates this miss probability P MISS = P 01 and the false alarm probability P FA = P 10 . The modiﬁed pro- gram, sqdistroc.m is essentially the same as sqdistor except the output is a ma- trix FM whose columns are the false alarm and miss probabilities. Next, the program sqdistrocplot.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d. Here is the modiﬁed code: function FM=sqdistroc(v,d,m,T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts, %add N volts, N is Gauss(0,1) %add d(v+N)ˆ2 distortion %receive 1 if x>T, otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m,1)); [XX,TT]=ndgrid(x,T(:)); P01=sum((XX+d*(XX.ˆ2)< TT),1)/m; x= -v+randn(m,1); [XX,TT]=ndgrid(x,T(:)); P10=sum((XX+d*(XX.ˆ2)>TT),1)/m; FM=[P10(:) P01(:)]; function FM=sqdistrocplot(v,m,T); FM1=sqdistroc(v,0.1,m,T); FM2=sqdistroc(v,0.2,m,T); FM5=sqdistroc(v,0.3,m,T); FM=[FM1 FM2 FM5]; loglog(FM1(:,1),FM1(:,2),’-k’, ... FM2(:,1),FM2(:,2),’--k’, ... FM5(:,1),FM5(:,2),’:k’); legend(’\it d=0.1’,’\it d=0.2’,... ’\it d=0.3’,3) ylabel(’P_{MISS}’); xlabel(’P_{FA}’); 51 To see the effect of d, the commands T=-3:0.1:3; sqdistrocplot(3,100000,T); generated the plot shown in Figure 3. 10 −5 10 −4 10 −3 10 −2 10 −1 10 0 10 −5 10 −4 10 −3 10 −2 10 −1 10 0 P M I S S P FA d=0.1 d=0.2 d=0.3 T=-3:0.1:3; sqdistrocplot(3,100000,T); Figure 3: The receiver operating curve for the communications system of Quiz 8.4 with squared distortion. 52 Quiz Solutions – Chapter 9 Quiz 9.1 (1) First, we calculate the marginal PDF for 0 ≤ y ≤ 1: f Y (y) = _ y 0 2(y + x) dx = 2xy + x 2 ¸ ¸ ¸ x=y x=0 = 3y 2 (1) This implies the conditional PDF of X given Y is f X|Y (x|y) = f X,Y (x, y) f Y (y) = _ 2 3y + 2x 3y 2 0 ≤ x ≤ y 0 otherwise (2) (2) The minimum mean square error estimate of X given Y = y is ˆ x M (y) = E [X|Y = y] = _ y 0 _ 2x 3y + 2x 2 3y 2 _ dx = 5y/9 (3) Thus the MMSE estimator of X given Y is ˆ X M (Y) = 5Y/9. (3) To obtain the conditional PDF f Y|X (y|x), we need the marginal PDF f X (x). For 0 ≤ x ≤ 1, f X (x) = _ 1 x 2(y + x) dy = y 2 +2xy ¸ ¸ ¸ y=1 y=x = 1 +2x −3x 2 (4) (5) For 0 ≤ x ≤ 1, the conditional PDF of Y given X is f Y|X (y|x) = _ 2(y+x) 1+2x−3x 2 x ≤ y ≤ 1 0 otherwise (6) (4) The MMSE estimate of Y given X = x is ˆ y M (x) = E [Y|X = x] = _ 1 x 2y 2 +2xy 1 +2x −3x 2 dy (7) = 2y 3 /3 + xy 2 1 +2x −3x 2 ¸ ¸ ¸ ¸ y=1 y=x (8) = 2 +3x −5x 3 3 +6x −9x 2 (9) 53 Quiz 9.2 (1) Since the expectation of the sum equals the sum of the expectations, E [R] = E [T] + E [X] = 0 (1) (2) Since T and X are independent, the variance of the sum R = T + X is Var[R] = Var[T] +Var[X] = 9 +3 = 12 (2) (3) Since T and R have expected values E[R] = E[T] = 0, Cov [T, R] = E [T R] = E [T(T + X)] = E _ T 2 _ + E [T X] (3) Since T and X are independent and have zero expected value, E[T X] = E[T]E[X] = 0 and E[T 2 ] = Var[T]. Thus Cov[T, R] = Var[T] = 9. (4) From Deﬁnition 4.8, the correlation coefﬁcient of T and R is ρ T,R = Cov [T, R] Var[R] Var[T] = σ T σ R = 3/2 (4) (5) From Theorem 9.4, the optimum linear estimate of T given R is ˆ T L (R) = ρ T,R σ T σ R (R − E [R]) + E [T] (5) Since E[R] = E[T] = 0 and ρ T,R = σ T R , ˆ T L (R) = σ 2 T σ 2 R R = σ 2 T σ 2 T 2 X R = 3 4 R (6) Hence a = 3/4 and b = 0. (6) By Theorem 9.4, the mean square error of the linear estimate is e L = Var[T](1 −ρ 2 T,R ) = 9(1 −3/4) = 9/4 (7) Quiz 9.3 When R = r, the conditional PDF of X = Y −40−40 log 10 r is Gaussian with expected value −40 −40 log 10 r and variance 64. The conditional PDF of X given R is f X|R (x|r) = 1 128π e −(x+40+40 log 10 r) 2 /128 (1) 54 From the conditional PDF f X|R (x|r), we can use Deﬁnition 9.2 to write the ML estimate of R given X = x as ˆ r ML (x) = arg max r≥0 f X|R (x|r) (2) We observe that f X|R (x|r) is maximized when the exponent (x + 40 + 40 log 10 r) 2 is minimized. This minimum occurs when the exponent is zero, yielding log 10 r = −1 − x/40 (3) or ˆ r ML (x) = (0.1)10 −x/40 m (4) If the result doesn’t look correct, note that a typical ﬁgure for the signal strength might be x = −120 dB. This corresponds to a distance estimate of ˆ r ML (−120) = 100 m. For the MAP estimate, we observe that the joint PDF of X and R is f X,R (x, r) = f X|R (x|r) f R (r) = 1 10 6 32π re −(x+40+40 log 10 r) 2 /128 (5) From Theorem 9.6, the MAP estimate of R given X = x is the value of r that maximizes f X,R (x, r). That is, ˆ r MAP (x) = arg max 0≤r≤1000 f X,R (x, r) (6) Note that we have included the constraint r ≤ 1000 in the maximization to highlight the fact that under our probability model, R ≤ 1000 m. Setting the derivative of f X,R (x, r) with respect to r to zero yields e −(x+40+40 log 10 r) 2 /128 _ 1 − 80 log 10 e 128 (x +40 +40 log 10 r) _ = 0 (7) Solving for r yields r = 10 _ 1 25 log 10 e −1 _ 10 −x/40 = (0.1236)10 −x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. When x ≤ −156.3 dB, the above estimate will exceed 1000 m, which is not possible in our probability model. Hence, the complete description of the MAP estimate is ˆ r MAP (x) = _ 1000 x < −156.3 (0.1236)10 −x/40 x ≥ −156.3 (9) For example, if x = −120dB, then ˆ r MAP (−120) = 123.6 m. When the measured signal strength is not too low, the MAP estimate is 23.6% larger than the ML estimate. This re- ﬂects the fact that large values of R are a priori more probable than small values. However, for very low signal strengths, the MAP estimate takes into account that the distance can never exceed 1000 m. 55 Quiz 9.4 (1) From Theorem 9.4, the LMSE estimate of X 2 given Y 2 is ˆ X 2 (Y 2 ) = a Y 2 +b where a = Cov [X 2 , Y 2 ] Var[Y 2 ] , b = µ X 2 −a µ Y 2 . (1) Because E[X] = E[Y] = 0, Cov [X 2 , Y 2 ] = E [X 2 Y 2 ] = E [X 2 (X 2 + W 2 )] = E _ X 2 2 _ = 1 (2) Var[Y 2 ] = Var[X 2 ] +Var[W 2 ] = E _ X 2 2 _ + E _ W 2 2 _ = 1.1 (3) It follows that a = 1/1.1. Because µ X 2 = µ Y 2 = 0, it follows that b = 0. Finally, to compute the expected square error, we calculate the correlation coefﬁcient ρ X 2 ,Y 2 = Cov [X 2 , Y 2 ] σ X 2 σ Y 2 = 1 1.1 (4) The expected square error is e L = Var[X 2 ](1 −ρ 2 X 2 ,Y 2 ) = 1 − 1 1.1 = 1 11 = 0.0909 (5) (2) Since Y = X + W and E[X] = E[W] = 0, it follows that E[Y] = 0. Thus we can apply Theorem 9.7. Note that X and W have correlation matrices R X = _ 1 −0.9 −0.9 1 _ , R W = _ 0.1 0 0 0.1 _ . (6) In terms of Theorem 9.7, n = 2 and we wish to estimate X 2 given the observation vector Y = _ Y 1 Y 2 _ . To apply Theorem 9.7, we need to ﬁnd R Y and R YX 2 . R Y = E _ YY _ = E _ (X +W)(X +W ) _ (7) = E _ XX +XW +WX +WW _ . (8) Because Xand Ware independent, E[XW ] = E[X]E[W ] = 0. Similarly, E[WX ] = 0. This implies R Y = E _ XX _ + E _ WW _ = R X +R W = _ 1.1 −0.9 −0.9 1.1 _ . (9) In addition, we need to ﬁnd R YX 2 = E [YX 2 ] = _ E [Y 1 X 2 ] E [Y 2 X 2 ] _ = _ E [(X 1 + W 1 )X 2 ] E [(X 2 + W 2 )X 2 ] _ . (10) 56 Since Xand Ware independent vectors, E[W 1 X 2 ] = E[W 1 ]E[X 2 ] = 0 and E[W 2 X 2 ] = 0. Thus R YX 2 = _ E[X 1 X 2 ] E _ X 2 2 _ _ = _ −0.9 1 _ . (11) By Theorem 9.7, ˆ a = R −1 Y R YX 2 = _ −0.225 0.725 _ (12) Therefore, the optimum linear estimator of X 2 given Y 1 and Y 2 is ˆ X L = ˆ a Y = −0.225Y 1 +0.725Y 2 . (13) The mean square error is Var [X 2 ] − ˆ a R YX 2 = Var [X] −a 1 r Y 1 ,X 2 −a 2 r Y 2 ,X 2 = 0.0725. (14) Quiz 9.5 Since X and W have zero expected value, Y also has zero expected value. Thus, by Theorem 9.7, ˆ X L (Y) = ˆ a Y where ˆ a = R −1 Y R YX . Since X and W are independent, E[WX] = 0 and E[XW ] = 0 . This implies R YX = E [YX] = E [(1X +W)X] = 1E _ X 2 _ = 1. (1) By the same reasoning, the correlation matrix of Y is R Y = E _ YY _ = E _ (1X +W)(1 X +W ) _ (2) = 11 E _ X 2 _ +1E _ XW _ + E [WX] 1 + E _ WW _ (3) = 11 +R W (4) Note that 11 is a 20 ×20 matrix with every entry equal to 1. Thus, ˆ a = R −1 Y R YX = _ 11 +R W _ −1 1 (5) and the optimal linear estimator is ˆ X L (Y) = 1 _ 11 +R W _ −1 Y (6) The mean square error is e L = Var[X] − ˆ a R YX = 1 −1 _ 11 +R W _ −1 1 (7) Now we note that R W has i, j th entry R W (i, j ) = c |i −j |−1 . The question we must address is what value c minimizes e L . This problem is atypical in that one does not usually get 57 to choose the correlation structure of the noise. However, we will see that the answer is somewhat instructive. We note that the answer is not obviously apparent from Equation (7). In particular, we observe that Var[W i ] = R W (i, i ) = 1/c. Thus, when c is small, the noises W i have high variance and we would expect our estimator to be poor. On the other hand, if c is large W i and W j are highly correlated and the separate measurements of X are very dependent. This would suggest that large values of c will also result in poor MSE. If this argument is not clear, consider the extreme case in which every W i and W j have correlation coefﬁcient ρ i j = 1. In this case, our 20 measurements will be all the same and one measurement is as good as 20 measurements. To ﬁnd the optimal value of c, we write a MATLAB function mquiz9(c) to calculate the MSE for a given c and second function that ﬁnds plots the MSE for a range of values of c. function [mse,af]=mquiz9(c); v1=ones(20,1); RW=toeplitz(c.ˆ((0:19)-1)); RY=(v1*(v1’)) +RW; af=(inv(RY))*v1; mse=1-((v1’)*af); function cmin=mquiz9minc(c); msec=zeros(size(c)); for k=1:length(c), [msec(k),af]=mquiz9(c(k)); end plot(c,msec); xlabel(’c’);ylabel(’e_Lˆ*’); [msemin,optk]=min(msec); cmin=c(optk); Note in mquiz9 that v1 corresponds to the vector 1 of all ones. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0.01:0.01:0.99; >> mquiz9minc(c) ans = 0.4500 0 0.5 1 0.2 0.4 0.6 0.8 1 c e L * As we see in the graph, both small values and large values of c result in large MSE. 58 Quiz Solutions – Chapter 10 Quiz 10.1 There are many correct answers to this question. A correct answer speciﬁes enough random variables to specify the sample path exactly. One choice for an alternate set of random variables that would specify m(t, s) is • m(0, s), the number of ongoing calls at the start of the experiment • N, the number of new calls that arrive during the experiment • X 1 , . . . , X N , the interarrival times of the N new arrivals • H, the number of calls that hang up during the experiment • D 1 , . . . , D H , the call completion times of the H calls that hang up Quiz 10.2 (1) We obtain a continuous time, continuous valued process when we record the temper- ature as a continuous waveform over time. (2) If at every moment in time, we round the temperature to the nearest degree, then we obtain a continuous time, discrete valued process. (3) If we sample the process in part (a) every T seconds, then we obtain a discrete time, continuous valued process. (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time, discrete valued process. Quiz 10.3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r) = _ 0.01 950 ≤ r ≤ 1050 0 otherwise (1) The probability that a test produces a 1% resistor is p = P [990 ≤ R ≤ 1010] = _ 1010 990 (0.01) dr = 0.2 (2) 59 (2) In t seconds, exactly t resistors are tested. Each resistor is a 1% resistor with proba- bility p, independent of any other resistor. Consequently, the number of 1% resistors found has the binomial PMF P N(t ) (n) = _ _ t n _ p n (1 − p) t −n n = 0, 1, . . . , t 0 otherwise (3) (3) First we will ﬁnd the PMF of T 1 . This problem is easy if we view each resistor test as an independent trial. A success occurs on a trial with probability p if we ﬁnd a 1% resistor. The ﬁrst 1% resistor is found at time T 1 = t if we observe failures on trials 1, . . . , t − 1 followed by a success on trial t . Hence, just as in Example 2.11, T 1 has the geometric PMF P T 1 (t ) = _ (1 − p) t −1 p t = 1, 2, . . . 9 otherwise (4) Since p = 0.2, the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is P T 1 (5) = (0.8) 4 (0.2) = 0.08192. (4) From Theorem 2.5, a geometric random variable with success probability p has ex- pected value 1/p. In this problem, E[T 1 ] = 1/p = 5. (5) Note that once we ﬁnd the ﬁrst 1% resistor, the number of additional trials needed to ﬁnd the second 1% resistor once again has a geometric PMF with expected value 1/p since each independent trial is a success with probability p. That is, T 2 = T 1 + T where T is independent and identically distributed to T 1 . Thus E [T 2 |T 1 = 10] = E [T 1 |T 1 = 10] + E _ T |T 1 = 10 _ (5) = 10 + E _ T _ = 10 +5 = 15 (6) Quiz 10.4 Since each X i is a N(0, 1) random variable, each X i has PDF f X(i ) (x) = 1 e −x 2 /2 (1) By Theorem 10.1, the joint PDF of X = _ X 1 · · · X n _ is f X (x) = f X(1),...,X(n) (x 1 , . . . , x n ) = k i =1 f X (x i ) = 1 (2π) n/2 e −(x 2 1 +···+x 2 n )/2 (2) 60 Quiz 10.5 The ﬁrst and second hours are nonoverlapping intervals. Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec, the expected number of packets in each hour is E[M i ] = α = 36, 000. This implies M 1 and M 2 are independent Poisson random variables each with PMF P M i (m) = _ α m e −α m! m = 0, 1, 2, . . . 0 otherwise (1) Since M 1 and M 2 are independent, the joint PMF of M 1 and M 2 is P M 1 ,M 2 (m 1 , m 2 ) = P M 1 (m 1 ) P M 2 (m 2 ) = α m 1 +m 2 e −2α m 1 !m 2 ! m 1 = 0, 1, . . . ; m 2 = 0, 1, . . . , 0 otherwise. (2) Quiz 10.6 To answer whether N (t ) is a Poisson process, we look at the interarrival times. Let X 1 , X 2 , . . . denote the interarrival times of the N(t ) process. Since we count only even- numbered arrival for N (t ), the time until the ﬁrst arrival of the N (t ) is Y 1 = X 1 + X 2 . Since X 1 and X 2 are independent exponential (λ) random variables, Y 1 is an Erlang (n = 2, λ) random variable; see Theorem 6.11. Since Y i (t ), the i th interarrival time of the N (t ) process, has the same PDF as Y 1 (t ), we can conclude that the interarrival times of N (t ) are not exponential random variables. Thus N (t ) is not a Poisson process. Quiz 10.7 First, we note that for t > s, X(t ) − X(s) = W(t ) − W(s) α (1) Since W(t ) −W(s) is a Gaussian random variable, Theorem 3.13 states that W(t ) −W(s) is Gaussian with expected value E [X(t ) − X(s)] = E [W(t ) − W(s)] α = 0 (2) and variance E _ (W(t ) − W(s)) 2 _ = E _ (W(t ) − W(s)) 2 _ α = α(t −s) α (3) Consider s ≤ s < t . Since s ≥ s , W(t ) − W(s) is independent of W(s ). This implies [W(t ) − W(s)]/ α is independent of W(s )/ α for all s ≥ s . That is, X(t ) − X(s) is independent of X(s ) for all s ≥ s . Thus X(t ) is a Brownian motion process with variance Var[X(t )] = t . 61 Quiz 10.8 First we ﬁnd the expected value µ Y (t ) = µ X (t ) +µ N (t ) = µ X (t ). (1) To ﬁnd the autocorrelation, we observe that since X(t ) and N(t ) are independent and since N(t ) has zero expected value, E[X(t )N(t )] = E[X(t )]E[N(t )] = 0. Since R Y (t, τ) = E[Y(t )Y(t +τ)], we have R Y (t, τ) = E [(X(t ) + N(t )) (X(t +τ) + N(t +τ))] (2) = E [X(t )X(t +τ)] + E [X(t )N(t +τ)] + E [X(t +τ)N(t )] + E [N(t )N(t +τ)] (3) = R X (t, τ) + R N (t, τ). (4) Quiz 10.9 From Deﬁnition 10.14, X 1 , X 2 , . . . is a stationary random sequence if for all sets of time instants n 1 , . . . , n m and time offset k, f X n 1 ,...,X n m (x 1 , . . . , x m ) = f X n 1 +k ,...,X n m +k (x 1 , . . . , x m ) (1) Since the random sequence is iid, f X n 1 ,...,X n m (x 1 , . . . , x m ) = f X (x 1 ) f X (x 2 ) · · · f X (x m ) (2) Similarly, for time instants n 1 +k, . . . , n m +k, f X n 1 +k ,...,X n m +k (x 1 , . . . , x m ) = f X (x 1 ) f X (x 2 ) · · · f X (x m ) (3) We can conclude that the iid random sequence is stationary. Quiz 10.10 We must check whether each function R(τ) meets the conditions of Theorem 10.12: R(τ) ≥ 0 R(τ) = R(−τ) |R(τ)| ≤ R(0) (1) (1) R 1 (τ) = e −|τ| meets all three conditions and thus is valid. (2) R 2 (τ) = e −τ 2 also is valid. (3) R 3 (τ) = e −τ cos τ is not valid because R 3 (−2π) = e cos 2π = e > 1 = R 3 (0) (2) (4) R 4 (τ) = e −τ 2 sin τ also cannot be an autocorrelation function because R 4 (π/2) = e −π/2 sin π/2 = e −π/2 > 0 = R 4 (0) (3) 62 Quiz 10.11 (1) The autocorrelation of Y(t ) is R Y (t, τ) = E [Y(t )Y(t +τ)] (1) = E [X(−t )X(−t −τ)] (2) = R X (−t −(−t −τ)) = R X (τ) (3) Since E[Y(t )] = E[X(−t )] = µ X , we can conclude that Y(t ) is a wide sense stationary process. In fact, we see that by viewing a process backwards in time, we see the same second order statistics. (2) Since X(t ) and Y(t ) are both wide sense stationary processes, we can check whether they are jointly wide sense stationary by seeing if R XY (t, τ) is just a function of τ. In this case, R XY (t, τ) = E [X(t )Y(t +τ)] (4) = E [X(t )X(−t −τ)] (5) = R X (t −(−t −τ)) = R X (2t +τ) (6) Since R XY (t, τ) depends on both t and τ, we conclude that X(t ) and Y(t ) are not jointly wide sense stationary. To see why this is, suppose R X (τ) = e −|τ| so that samples of X(t ) far apart in time have almost no correlation. In this case, as t gets larger, Y(t ) = X(−t ) and X(t ) become less and less correlated. Quiz 10.12 From the problem statement, E [X(t )] = E [X(t +1)] = 0 (1) E [X(t )X(t +1)] = 1/2 (2) Var[X(t )] = Var[X(t +1)] = 1 (3) The Gaussian random vector X = _ X(t ) X(t +1) _ has covariance matrix and corre- sponding inverse C X = _ 1 1/2 1/2 1 _ C −1 X = 4 3 _ 1 −1/2 −1/2 1 _ (4) Since x C −1 X x = _ x 0 x 1 _ 4 3 _ 1 −1/2 −1/2 1 _ _ x 0 x 1 _ = 4 3 _ x 2 0 − x 0 x + x 2 1 _ (5) the joint PDF of X(t ) and X(t +1) is the Gaussian vector PDF f X(t ),X(t +1) (x 0 , x 1 ) = 1 (2π) n/2 [det (C X )] 1/2 exp _ 1 2 x C −1 X x _ (6) = 1 2 e 2 3 _ x 2 0 −x 0 x 1 +x 2 1 _ (7) 63 0 10 20 30 40 50 60 70 80 90 100 0 20 40 60 80 100 120 t M ( t ) Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10.13. Quiz 10.13 The simple structure of the switch simulation of Example 10.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. With the introduction of call blocking. we cannot generate these vectors all at once. In particular, when an arrival occurs at time t , we need to know that M(t ), the number of ongoing calls, satisﬁes M(t ) < c = 120. Otherwise, when M(t ) = c, we must block the call. Call blocking can be implemented by setting the service time of the call to zero so that the call departs as soon as it arrives. The blocking switch is an example of a discrete event system. The system evolves via a sequence of discrete events, namely arrivals and departures, at discrete time instances. A simulation of the system moves from one time instant to the next by maintaining a chrono- logical schedule of future events (arrivals and departures) to be executed. The program simply executes the event at the head of the schedule. The logic of such a simulation is 1. Start at time t = 0 with an empty system. Schedule the ﬁrst arrival to occur at S 1 , an exponential (λ) random variable. 2. Examine the head-of-schedule event. • When the head-of-schedule event is the kth arrival is at time t , check the state M(t ). – If M(t ) < c, admit the arrival, increase the system state n by 1, and sched- ule a departure to occur at time t + S n , where S k is an exponential (λ) random variable. – If M(t ) = c, block the arrival, do not schedule a departure event. • If the head of schedule event is a departure, reduce the system state n by 1. 3. Delete the head-of-schedule event and go to step 2. After the head-of-schedule event is completed and any new events (departures in this sys- tem) are scheduled, we know the system state cannot change until the next scheduled event. 64 Thus we know that M(t ) will stay the same until then. In our simulation, we use the vector t as the set of time instances at which we inspect the system state. Thus for all times t(i) between the current head-of-schedule event and the next, we set m(i) to the current switch state. The complete program is shown in Figure 5. In most programming languages, it is common to implement the event schedule as a linked list where each item in the list has a data structure indicating an event timestamp and the type of the event. In MATLAB, a simple (but not elegant) way to do this is to have maintain two vectors: time is a list of timestamps of scheduled events and event is a the list of event types. In this case, event(i)=1 if the i th scheduled event is an arrival, or event(i)=-1 if the i th sched- uled event is a departure. When the program is passed a vector t, the output [m a b] is such that m(i) is the number of ongoing calls at time t(i) while a and b are the number of admits and blocks. The following instructions t=0:0.1:5000; [m,a,b]=simblockswitch(10,0.1,120,t); plot(t,m); generated a simulation lasting 5,000 minutes. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. The 5,000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. We can estimate the probability a call is blocked as ˆ P b = b a +b = 0.0048. (1) In Chapter 12, we will learn that the exact blocking probability is given by Equation (12.93), a result known as the “Erlang-B formula.” From the Erlang-B formula, we can calculate that the exact blocking probability is P b = 0.0057. One reason our simulation underesti- mates the blocking probability is that in a 5,000 minute simulation, roughly the ﬁrst 100 minutes are needed to load up the switch since the switch is idle when the simulation starts at time t = 0. However, this says that roughly the ﬁrst two percent of the simulation time was unusual. Thus this would account for only part of the disparity. The rest of the gap between 0.0048 and 0.0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability. Note that in Chapter 12, we will learn that the blocking switch is an example of an M/M/c/c queue, a kind of Markov chain. Chapter 12 develops techniques for analyzing and simulating systems described by Markov chains that are much simpler than the discrete event simulation technique shown here. Nevertheless, for very complicated systems, the discrete event simulation is widely-used and often very efﬁcient simulation method. 65 function [M,admits,blocks]=simblockswitch(lam,mu,c,t); blocks=0; %total # blocks admits=0; %total # admits M=zeros(size(t)); n=0; % # in system time=[ exponentialrv(lam,1) ]; event=[ 1 ]; %first event is an arrival timenow=0; tmax=max(t); while (timenow<tmax) M((timenow<=t)&(t<time(1)))=n; timenow=time(1); eventnow=event(1); event(1)=[ ]; time(1)= [ ]; % clear current event if (eventnow==1) % arrival arrival=timenow+exponentialrv(lam,1); % next arrival b4arrival=time<arrival; event=[event(b4arrival) 1 event(˜b4arrival)]; time=[time(b4arrival) arrival time(˜b4arrival)]; if n<c %call admitted admits=admits+1; n=n+1; depart=timenow+exponentialrv(mu,1); b4depart=time<depart; event=[event(b4depart) -1 event(˜b4depart)]; time=[time(b4depart) depart time(˜b4depart)]; else blocks=blocks+1; %one more block, immed departure disp(sprintf(’Time %10.3d Admits %10d Blocks %10d’,... timenow,admits,blocks)); end elseif (eventnow==-1) %departure n=n-1; end end Figure 5: Discrete event simulation of the blocking switch of Quiz 10.13. 66 Quiz Solutions – Chapter 11 Quiz 11.1 By Theorem 11.2, µ Y = µ X _ −∞ h(t )dt = 2 _ 0 e −t dt = 2 (1) Since R X (τ) = δ(τ), the autocorrelation function of the output is R Y (τ) = _ −∞ h(u) _ −∞ h(v)δ(τ +u −v) dv du = _ −∞ h(u)h(τ +u) du (2) For τ > 0, we have R Y (τ) = _ 0 e −u e −τ−u du = e −τ _ 0 e −2u du = 1 2 e −τ (3) For τ < 0, we can deduce that R Y (τ) = 1 2 e −|τ| by symmetry. Just to be safe though, we can double check. For τ < 0, R Y (τ) = _ −τ h(u)h(τ +u) du = _ −τ e −u e −τ−u du = 1 2 e τ (4) Hence, R Y (τ) = 1 2 e −|τ| (5) Quiz 11.2 The expected value of the output is µ Y = µ X n=−∞ h n = 0.5(1 +−1) = 0 (1) The autocorrelation of the output is R Y [n] = 1 i =0 1 j =0 h i h j R X [n +i − j ] (2) = 2R X [n] − R X [n −1] − R X [n +1] = _ 1 n = 0 0 otherwise (3) Since µ Y = 0, The variance of Y n is Var[Y n ] = E[Y 2 n ] = R Y [0] = 1. 67 −15 −10 −5 0 5 10 15 0 0.2 0.4 0.6 f S X ( f ) −1500−1000 −500 0 500 1000 1500 0 2 4 6 8 x 10 f S X ( f ) −0.2 −0.1 0 0.1 0.2 −5 0 5 10 τ R X ( τ ) −2 −1 0 1 2 x 10 −3 −5 0 5 10 τ R X ( τ ) (a) W = 10 (b) W = 1000 Figure 6: The autocorrelation R X (τ) and power spectral density S X ( f ) for process X(t ) in Quiz 11.5. Quiz 11.3 By Theorem 11.8, Y = _ Y 33 Y 34 Y 35 _ is a Gaussian random vector since X n is a Gaussian random process. Moreover, by Theorem 11.5, each Y n has expected value E[Y n ] = µ X n=−∞ h n = 0. Thus E[Y] = 0. Fo ﬁnd the PDF of the Gaussian vector Y, we need to ﬁnd the covariance matrix C Y , which equals the correlation matrix R Y since Y has zero expected value. One way to ﬁnd the R Y is to observe that R Y has the Toeplitz structure of Theorem 11.6 and to use Theorem 11.5 to ﬁnd the autocorrelation function R Y [n] = i =−∞ j =−∞ h i h j R X [n +i − j ]. (1) Despite the fact that R X [k] is an impulse, using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n +i − j = 0. In this problem, it is simpler to observe that Y = HX where X = _ X 30 X 31 X 32 X 33 X 34 X 35 _ (2) and H = 1 4 1 1 1 1 0 0 0 1 1 1 1 0 0 0 1 1 1 1 . (3) In this case, following Theorem 11.7, or by directly applying Theorem 5.13 with µ X = 0 and A = H, we obtain R Y = HR X H . Since R X [n] = δ n , R X = I, the identity matrix. 68 Thus C Y = R Y = HH = 1 16 4 3 2 3 4 3 2 3 4 . (4) It follows (very quickly if you use MATLAB for 3 ×3 matrix inversion) that C −1 Y = 16 7/12 −1/2 1/12 −1/2 1 −1/2 1/12 −1/2 7/12 . (5) Thus, the PDF of Y is f Y (y) = 1 (2π) 3/2 [det (C Y )] 1/2 exp _ 1 2 y C −1 Y y _ . (6) A disagreeable amount of algebra will show det(C Y ) = 3/1024 and that the PDF can be “simpliﬁed” to f Y (y) = 16 3 exp _ −8 _ 7 12 y 2 33 + y 2 34 + 7 12 y 2 35 − y 33 y 34 + 1 6 y 33 y 35 − y 34 y 35 __ . (7) Equation (7) shows that one of the nicest features of the multivariate Gaussian distribution is that y C −1 Y y is a very concise representation of the cross-terms in the exponent of f Y (y). Quiz 11.4 This quiz is solved using Theorem 11.9 for the case of k = 1 and M = 2. In this case, X n = _ X n−1 X n _ and R X n = _ R X [0] R X [1] R X [1] R X [0] _ = _ 1.1 0.9 0.9 1.1 _ (1) and R X n X n+1 = E __ X n−1 X n _ X n+1 _ = _ R X [2] R X [1] _ = _ 0.81 0.9 _ . (2) The MMSE linear ﬁrst order ﬁlter for predicting X n+1 at time n is the ﬁlter h such that ←− h = R −1 X n R X n X n+1 = _ 1.1 0.9 0.9 1.1 _ −1 _ 0.81 0.9 _ = 1 400 _ 81 261 _ . (3) It follows that the ﬁlter is h = _ 261/400 81/400 _ and the MMSE linear predictor is ˆ X n+1 = 81 400 X n−1 + 261 400 X n . (4) to ﬁnd the mean square error, one approach is to follow the method of Example 11.13 and to directly calculate e L = E _ (X n+1 ˆ X n+1 ) 2 _ . (5) 69 This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters. Instead, we can derive the mean square error for an arbitary prediction ﬁlter h. Since ˆ X n+1 = ←− h X n , e L = E _ _ X n+1 ←− h X n _ 2 _ (6) = E _ (X n+1 ←− h X n )(X n+1 ←− h X n ) _ (7) = E _ (X n+1 ←− h X n )(X n+1 −X n ←− h ) _ (8) After a bit of algebra, we obtain e L = R X [0] −2 ←− h R X n X n+1 + ←− h R X n ←− h (9) (10) with the substitution ←− h = R −1 X n R X n X n+1 , we obtain e L = R X [0] −R X n X n+1 R −1 X n R X n X n+1 (11) = R X [0] − ←− h R X n X n+1 (12) Note that this is essentially the same result as Theorem 9.7 with Y = X n , X = X n+1 and ˆ a = ←− h . It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9.7 by using the orthoginality property of the LMSE estimator. In any case, the mean square error is e L = R X [0] − ←− h R X n X n+1 = 1.1 − 1 400 _ 81 261 _ _ 0.81 0.9 _ = 506 1451 = 0.3487. (13) recalling that the blind estimate would yield a mean square error of Var[X] = 1.1, we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 . Quiz 11.5 (1) By Theorem 11.13(b), the average power of X(t ) is E _ X 2 (t ) _ = _ −∞ S X ( f ) d f = _ W −W 5 W d f = 10 Watts (1) (2) The autocorrelation function is the inverse Fourier transform of S X ( f ). Consulting Table 11.1, we note that S X ( f ) = 10 1 2W rect _ f 2W _ (2) It follows that the inverse transform of S X ( f ) is R X (τ) = 10 sinc(2Wτ) = 10 sin(2πWτ) 2πWτ (3) (3) For W = 10 Hz and W = 1 kHZ, graphs of S X ( f ) and R X (τ) appear in Figure 6. 70 Quiz 11.6 In a sampled system, the discrete time impulse δ[n] has a ﬂat discrete Fourier transform. That is, if R X [n] = 10δ[n], then S X (φ) = n=−∞ 10δ[n]e −j 2πφn = 10 (1) Thus, R X [n] = 10δ[n]. (This quiz is really lame!) Quiz 11.7 Since Y(t ) = X(t −t 0 ), R XY (t, τ) = E [X(t )Y(t +τ)] = E [X(t )X(t +τ −t 0 )] = R X (τ −t 0 ) (1) We see that R XY (t, τ) = R XY (τ) = R X (τ − t 0 ). From Table 11.1, we recall the prop- erty that g(τ − τ 0 ) has Fourier transform G( f )e −j 2π f τ 0 . Thus the Fourier transform of R XY (τ) = R X (τ −t 0 ) = g(τ −t 0 ) is S XY ( f ) = S X ( f )e −j 2π f t 0 . (2) Quiz 11.8 We solve this quiz using Theorem 11.17. First we need some preliminary facts. Let a 0 = 5,000 so that R X (τ) = 1 a 0 a 0 e −a 0 |τ| . (1) Consulting with the Fourier transforms in Table 11.1, we see that S X ( f ) = 1 a 0 2a 2 0 a 2 0 +(2π f ) 2 = 2a 0 a 2 0 +(2π f ) 2 (2) The RC ﬁlter has impulse response h(t ) = a 1 e −a 1 t u(t ), where u(t ) is the unit step function and a 1 = 1/RC where RC = 10 −4 is the ﬁlter time constant. From Table 11.1, H( f ) = a 1 a 1 + j 2π f (3) (1) Theorem 11.17, S XY ( f ) = H( f )S X ( f ) = 2a 0 a 1 [a 1 + j 2π f ] _ a 2 0 +(2π f ) 2 _. (4) (2) Again by Theorem 11.17, S Y ( f ) = H ( f )S XY ( f ) = |H( f )| 2 S X ( f ). (5) 71 Note that |H( f )| 2 = H( f )H ( f ) = a 1 (a 1 + j 2π f ) a 1 (a 1 − j 2π f ) = a 2 1 a 2 1 +(2π f ) 2 (6) Thus, S Y ( f ) = |H( f )| 2 S X ( f ) = 2a 0 a 2 1 _ a 2 1 +(2π f ) 2 _ _ a 2 0 +(2π f ) 2 _ (7) (3) To ﬁnd the average power at the ﬁlter output, we can either use basic calculus and calculate _ −∞ S Y ( f ) d f directly or we can ﬁnd R Y (τ) as an inverse transform of S Y ( f ). Using partial fractions and the Fourier transform table, the latter method is actually less algebra. In particular, some algebra will show that S Y ( f ) = K 0 a 2 0 +(2π f ) 2 + K 1 a 1 +(2π f ) 2 (8) where K 0 = 2a 0 a 2 1 a 2 1 −a 2 0 , K 1 = −2a 0 a 2 1 a 2 1 −a 2 0 . (9) Thus, S Y ( f ) = K 0 2a 2 0 2a 2 0 a 2 0 +(2π f ) 2 + K 1 2a 2 1 2a 2 1 a 1 +(2π f ) 2 . (10) Consulting with Table 11.1, we see that R Y (τ) = K 0 2a 2 0 a 0 e −a 0 |τ| + K 1 2a 2 1 a 1 e −a 1 |τ| (11) Substituting the values of K 0 and K 1 , we obtain R Y (τ) = a 2 1 e −a 0 |τ| −a 0 a 1 e −a 1 |τ| a 2 1 −a 2 0 . (12) The average power of the Y(t ) process is R Y (0) = a 1 a 1 +a 0 = 2 3 . (13) Note that the input signal has average power R X (0) = 1. Since the RC ﬁlter has a 3dB bandwidth of 10,000 rad/sec and the signal X(t ) has most of its its signal energy below 5,000 rad/sec, the output signal has almost as much power as the input. 72 Quiz 11.9 This quiz implements an example of Equations (11.146) and (11.147) for a system in which we ﬁlter Y(t ) = X(t ) + N(t ) to produce an optimal linear estimate of X(t ). The solution to this quiz is just to ﬁnd the ﬁlter ˆ H( f ) using Equation (11.146) and to calculate the mean square error e L ∗ using Equation (11.147). Comment: Since the text omitted the derivations of Equations (11.146) and (11.147), we note that Example 10.24 showed that R Y (τ) = R X (τ) + R N (τ), R Y X (τ) = R X (τ). (1) Taking Fourier transforms, it follows that S Y ( f ) = S X ( f ) + S N ( f ), S Y X ( f ) = S X ( f ). (2) Now we can go on to the quiz, at peace with the derivations. (1) Since µ N = 0, R N (0) = Var[N] = 1. This implies R N (0) = _ −∞ S N ( f ) d f = _ B −B N 0 d f = 2N 0 B (3) Thus N 0 = 1/(2B). Because the noise process N(t ) has constant power R N (0) = 1, decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B. (2) Since R X (τ) = sinc(2Wτ), where W = 5,000 Hz, we see from Table 11.1 that S X ( f ) = 1 10 4 rect _ f 10 4 _ . (4) The noise power spectral density can be written as S N ( f ) = N 0 rect _ f 2B _ = 1 2B rect _ f 2B _ , (5) From Equation (11.146), the optimal ﬁlter is ˆ H( f ) = S X ( f ) S X ( f ) + S N ( f ) = 1 10 4 rect _ f 10 4 _ 1 10 4 rect _ f 10 4 _ + 1 2B rect _ f 2B _. (6) 73 (3) We produce the output ˆ X(t ) by passing the noisy signal Y(t ) through the ﬁlter ˆ H( f ). From Equation (11.147), the mean square error of the estimate is e L = _ −∞ S X ( f )S N ( f ) S X ( f ) + S N ( f ) d f (7) = _ −∞ 1 10 4 rect _ f 10 4 _ 1 2B rect _ f 2B _ 1 10 4 rect _ f 10 4 _ + 1 2B rect _ f 2B _ d f. (8) To evaluate the MSE e L , we need to whether B ≤ W. Since the problem asks us to ﬁnd the largest possible B, let’s suppose B ≤ W. We can go back and consider the case B > W later. When B ≤ W, the MSE is e L = _ B −B 1 10 4 1 2B 1 10 4 + 1 2B d f = 1 10 4 1 10 4 + 1 2B = 1 1 + 5,000 B (9) To obtain MSE e L ≤ 0.05 requires B ≤ 5,000/19 = 263.16 Hz. Although this completes the solution to the quiz, what is happening may not be obvious. The noise power is always Var[N] = 1 Watt, for all values of B. As B is decreased, the PSD S N ( f ) becomes increasingly tall, but only over a bandwidth B that is decreasing. Thus as B descreases, the ﬁlter ˆ H( f ) makes an increasingly deep and narrow notch at frequencies | f | ≤ B. Two examples of the ﬁlter ˆ H( f ) are shown in Figure 7. As B shrinks, the ﬁlter suppresses less of the signal of X(t ). The result is that the MSE goes down. Finally, we note that we can choose B very large and also achieve MSE e L = 0.05. In particular, when B > W = 5000, S N ( f ) = 1/2B over frequencies | f | < W. In this case, the Wiener ﬁlter ˆ H( f ) is an ideal (ﬂat) lowpass ﬁlter ˆ H( f ) = 1 10 4 1 10 4 + 1 2B | f | < 5,000, 0 otherwise. (10) Thus increasing B spreads the constant 1 watt of power of N(t ) over more bandwidth. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. The mean square error is e L = _ 5000 −5000 1 10 4 1 2B 1 10 4 + 1 2B d f = 1 2B 1 10 4 + 1 2B = 1 B 5000 +1 (11) In this case, B ≥ 9.5 ×10 4 guarantees e L ≤ 0.05. Quiz 11.10 It is fairly straightforward to ﬁnd S X (φ) and S Y (φ). The only thing to keep in mind is to use fftc to transform the autocorrelation R X [ f ] into the power spectral density S X (φ). The following MATLAB program generates and plots the functions shown in Figure 8 74 −5000 −2000 0 2000 5000 0 0.5 1 f H ( f ) −5000 −2000 0 2000 5000 0 0.5 1 f H ( f ) B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11.9. %mquiz11.m N=32; rx=[2 4 2]; SX=fftc(rx,N); %autocorrelation and PSD stem(0:N-1,abs(sx)); xlabel(’n’);ylabel(’S_X(n/N)’); h2=0.5*[1 1]; H2=fft(h2,N); %impulse/filter response: M=2 SY2=SX.* ((abs(H2)).ˆ2); figure; stem(0:N-1,abs(SY2)); %PSD of Y for M=2 xlabel(’n’);ylabel(’S_{Y_2}(n/N)’); h10=0.1*ones(1,10); H10=fft(h10,N); %impulse/filter response: M=10 SY10=sx.*((abs(H10)).ˆ2); figure; stem(0:N-1,abs(SY10)); xlabel(’n’);ylabel(’S_{Y_{10}}(n/N)’); Relative to M = 2, when M = 10, the ﬁlter H(φ) ﬁlters out almost all of the high frequency components of X(t ). In the context of Example 11.26, the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. As an aside, note that the vectors SX, SY2 and SY10 in mquiz11 should all be real- valued vectors. However, the ﬁnite numerical precision of MATLAB results in tiny imagi- nary parts. Although these imaginary parts have no computational signiﬁcance, they tend to confuse the stem function. Hence, we generate stem plots of the magnitude of each power spectral density. 75 0 5 10 15 20 25 30 35 0 5 10 n S X ( n / N ) 0 5 10 15 20 25 30 35 0 5 10 n S Y 2 ( n / N ) 0 5 10 15 20 25 30 35 0 5 10 n S Y 1 0 ( n / N ) Figure 8: For Quiz 11.10, graphs of S X (φ), S Y (n/N) for M = 2, and S φ (n/N) for M = 10 using an N = 32 point DFT. 76 Quiz Solutions – Chapter 12 Quiz 12.1 The system has two states depending on whether the previous packet was received in error. From the problem statement, we are given the conditional probabilities P _ X n+1 = 0|X n = 0 _ = 0.99 P _ X n+1 = 1|X n = 1 _ = 0.9 (1) Since each X n must be either 0 or 1, we can conclude that P _ X n+1 = 1|X n = 0 _ = 0.01 P _ X n+1 = 0|X n = 1 _ = 0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0 1 0.01 0.1 0.99 0.9 P = _ 0.99 0.01 0.10 0.90 _ (3) Quiz 12.2 From the problem statement, the Markov chain and the transition matrix are 0 1 1 0.6 0.2 0.2 0.6 0.4 0.6 0.4 P = 0.4 0.6 0 0.2 0.6 0.2 0 0.6 0.4 (1) The eigenvalues of P are λ 1 = 0 λ 2 = 0.4 λ 3 = 1 (2) We can diagonalize P into P = S −1 DS = −0.6 0.5 1 0.4 0 1 −0.6 −0.5 1 λ 1 0 0 0 λ 2 0 0 0 λ 3 −0.5 1 −0.5 1 0 −1 0.2 0.6 0.2 (3) where s i , the i th row of S, is the left eigenvector of P satisfying s i P = λ i s i . Algebra will verify that the n-step transition matrix is P n = S −1 D n S = 0.2 0.6 0.2 0.2 0.6 0.2 0.2 0.6 0.2 +(0.4) n 0.5 0 −0.5 0 0 0 −0.5 0 0.5 (4) Quiz 12.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 2 0 1 0.9 0.1 1 1 P = 0.9 0.1 0 0 0 1 1 0 0 (1) With π = _ π 0 π 1 π 2 _ , the system of equations π = π P yields π 1 = 0.1π 0 and π 2 = π 1 . This implies π 0 1 2 = π 0 (1 +0.1 +0.1) = 1 (2) It follows that the limiting state probabilities are π 0 = 5/6, π 1 = 1/12, π 2 = 1/12. (3) Quiz 12.4 The communicating classes are C 1 = {0, 1} C 2 = {2, 3} C 3 = {4, 5, 6} (1) The states in C 1 and C 3 are aperiodic. The states in C 2 have period 2. Once the system enters a state in C 1 , the class C 1 is never left. Thus the states in C 1 are recurrent. That is, C 1 is a recurrent class. Similarly, the states in C 3 are recurrent. On the other hand, the states in C 2 are transient. Once the system exits C 2 , the states in C 2 are never reentered. Quiz 12.5 At any time t , the state n can take on the values 0, 1, 2, . . .. The state transition proba- bilities are P n−1,n = P [K > n|K > n −1] = P [K > n] P [K > n −1] (1) P n−1,0 = P [K = n|K > n −1] = P [K = n] P [K > n −1] (2) (3) The Markov chain resembles 0 1 P K=2 [ ] P K= [ 1] 3 4 P K=4 [ ] 2 P K=3 [ ] P K=5 [ ] 1 1 1 1 1 … ... 78 The stationary probabilities satisfy π 0 = π 0 P [K = 1] +π 1 , (4) π 1 = π 0 P [K = 2] +π 2 , (5) . . . π k−1 = π 0 P [K = k] +π k , k = 1, 2, . . . (6) From Equation (4), we obtain π 1 = π 0 (1 − P [K = 1]) = π 0 P [K > 1] (7) Similarly, Equation (5) implies π 2 = π 1 −π 0 P [K = 2] = π 0 (P [K > 1] − P [K = 2]) = π 0 P [K > 2] (8) This suggests that π k = π 0 P[K > k]. We verify this pattern by showing that π k = π 0 P[K > k] satisﬁes Equation (6): π 0 P [K > k −1] = π 0 P [K = k] +π 0 P [K > k] . (9) When we apply k=0 π k = 1, we obtain π 0 n=0 P[K > k] = 1. From Problem 2.5.11, we recall that k=0 P[K > k] = E[K]. This implies π n = P [K > n] E [K] (10) This Markov chain models repeated random countdowns. The system state is the time until the counter expires. When the counter expires, the system is in state 0, and we randomly reset the counter to a new value K = k and then we count down k units of time. Since we spend one unit of time in each state, including state 0, we have k −1 units of time left after the state 0 counter reset. If we have a random variable W such that the PMF of W satisﬁes P W (n) = π n , then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. Quiz 12.6 (1) By inspection, the number of transitions need to return to state 0 is always a multiple of 2. Thus the period of state 0 is d = 2. (2) To ﬁnd the stationary probabilities, we solve the system of equations π = πP and 3 i =0 π i = 1: π 0 = (3/4)π 1 +(1/4)π 3 (1) π 1 = (1/4)π 0 +(1/4)π 2 (2) π 2 = (1/4)π 1 +(3/4)π 3 (3) 1 = π 0 1 2 3 (4) 79 Solving the second and third equations for π 2 and π 3 yields π 2 = 4π 1 −π 0 π 3 = (4/3)π 2 −(1/3)π 1 = 5π 1 −(4/3)π 0 (5) Substituting π 3 back into the ﬁrst equation yields π 0 = (3/4)π 1 +(1/4)π 3 = (3/4)π 1 +(5/4)π 1 −(1/3)π 0 (6) This implies π 1 = (2/3)π 0 . It follows from the ﬁrst and second equations that π 2 = (5/3)π 0 and π 3 = 2π 0 . Lastly, we choose π 0 so the state probabilities sum to 1: 1 = π 0 1 2 3 = π 0 _ 1 + 2 3 + 5 3 +2 _ = 16 3 π 0 (7) It follows that the state probabilities are π 0 = 3 16 π 1 = 2 16 π 2 = 5 16 π 3 = 6 16 (8) (3) Since the system starts in state 0 at time 0, we can use Theorem 12.14 to ﬁnd the limiting probability that the system is in state 0 at time nd: lim n→∞ P 00 (nd) = dπ 0 = 3 8 (9) Quiz 12.7 The Markov chain has the same structure as that in Example 12.22. The only difference is the modiﬁed transition rates: 0 1 1 3 4 ( ) 2/3 a 1 - ( ) 2/3 a ( ) 3/4 a 1 - 3/4 ( ) a ( ) 4/5 a 1 - 4/5 ( ) a 2 ( ) 1/2 a 1- 1/2 ( ) a The event T 00 > n occurs if the system reaches state n before returning to state 0, which occurs with probability P [T 00 > n] = 1 × _ 1 2 _ α × _ 2 3 _ α ×· · · × _ n −1 n _ α = _ 1 n _ α . (1) Thus the CDF of T 00 satisﬁes F T 00 (n) = 1−P[T 00 > n] = 1−1/n α . To determine whether state 0 is recurrent, we observe that for all α > 0 P [V 00 ] = lim n→∞ F T 00 (n) = lim n→∞ 1 − 1 n α = 1. (2) 80 Thus state 0 is recurrent for all α > 0. Since the chain has only one communicating class, all states are recurrent. ( We also note that if α = 0, then all states are transient.) To determine whether the chain is null recurrent or positive recurrent, we need to calcu- late E[T 00 ]. In Example 12.24, we did this by deriving the PMF P T 00 (n). In this problem, it will be simpler to use the result of Problem 2.5.11 which says that k=0 P[K > k] = E[K] for any non-negative integer-valued random variable K. Applying this result, the expected time to return to state 0 is E [T 00 ] = n=0 P [T 00 > n] = 1 + n=1 1 n α . (3) For 0 < α ≤ 1, 1/n α ≥ 1/n and it follows that E [T 00 ] ≥ 1 + n=1 1 n = ∞. (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. On the other hand, for α > 1, E [T 00 ] = 2 + n=2 1 n α . (5) Note that for all n ≥ 2 1 n α _ n n−1 dx x α (6) This implies E [T 00 ] ≤ 2 + n=2 _ n n−1 dx x α (7) = 2 + _ 1 dx x α (8) = 2 + x −α+1 −α +1 ¸ ¸ ¸ ¸ 1 = 2 + 1 α −1 < ∞ (9) Thus for all α > 1, the Markov chain is positive recurrent. Quiz 12.8 The number of customers in the ”friendly” store is given by the Markov chain 1 i i+1 p p p ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( )( ) 1-p 1-q ( ) 1-p q ( ) 1-p q ( ) 1-p q ( ) 1-p q 0 ××× ××× 81 In the above chain, we note that (1 − p)q is the probability that no new customer arrives, an existing customer gets one unit of service and then departs the store. By applying Theorem 12.13 with state space partitioned between S = {0, 1, . . . , i } and S = {i +1, i +2, . . .}, we see that for any state i ≥ 0, π i p = π i +1 (1 − p)q. (1) This implies π i +1 = p (1 − p)q π i . (2) Since Equation (2) holds for i = 0, 1, . . ., we have that π i = π 0 α i where α = p (1 − p)q . (3) Requiring the state probabilities to sum to 1, we have that for α < 1, i =0 π i = π 0 i =0 α i = π 0 1 −α = 1. (4) Thus for α < 1, the limiting state probabilities are π i = (1 −α)α i , i = 0, 1, 2, . . . (5) In addition, for α ≥ 1 or, equivalently, p ≥ q/(1 − q), the limiting state probabilities do not exist. Quiz 12.9 The continuous time Markov chain describing the processor is 0 1 2 3.01 3 4 2 3 2 3 2 2 3 0.01 0.01 0.01 Note that q 10 = 3.1 since the task completes at rate 3 per msec and the processor reboots at rate 0.1 per msec and the rate to state 0 is the sum of those two rates. From the Markov chain, we obtain the following useful equations for the stationary distribution. 5.01p 1 = 2p 0 +3p 2 5.01p 2 = 2p 1 +3p 3 5.01p 3 = 2p 2 +3p 4 3.01p 4 = 2p 3 We can solve these equations by working backward and solving for p 4 in terms of p 3 , p 3 in terms of p 2 and so on, yielding p 4 = 20 31 p 3 p 3 = 620 981 p 2 p 2 = 19620 31431 p 1 p 1 = 628, 620 1, 014, 381 p 0 (1) 82 Applying p 0 + p 1 + p 2 + p 3 + p 4 = 1 yields p 0 = 1, 014, 381/2, 443, 401 and the stationary probabilities are p 0 = 0.4151 p 1 = 0.2573 p 2 = 0.1606 p 3 = 0.1015 p 4 = 0.0655 (2) Quiz 12.10 The M/M/c/∞queue has Markov chain c c+1 1 0 λ λ λ λ λ µ 2µ cµ cµ cµ From the Markov chain, the stationary probabilities must satisfy p n = _ (ρ/n) p n−1 n = 1, 2, . . . , c (ρ/c) p n−1 n = c +1, c +2, . . . (1) It is straightforward to show that this implies p n = _ p 0 ρ n /n! n = 1, 2, . . . , c p 0 (ρ/c) n−c ρ c /c! n = c +1, c +2, . . . (2) The requirement that n=0 p n = 1 yields p 0 = _ c n=0 ρ n /n! + ρ c c! ρ/c 1 −ρ/c _ −1 (3) 83 Quiz Solutions – Chapter 1 Quiz 1.1 In the Venn diagrams for parts (a)-(g) below, the shaded area represents the indicated set. M T O M T O M T O (1) R = T c (2) M ∪ O (3) M ∩ O M T O M T O M T O (4) R ∪ M Quiz 1.2 (1) A1 = {vvv, vvd, vdv, vdd} (2) B1 = {dvv, dvd, ddv, ddd} (3) A2 = {vvv, vvd, dvv, dvd} (4) B2 = {vdv, vdd, ddv, ddd} (5) A3 = {vvv, ddd} (6) B3 = {vdv, dvd} (4) R ∩ M (6) T c − M (7) A4 = {vvv, vvd, vdv, dvv, vdd, dvd, ddv} (8) B4 = {ddd, ddv, dvd, vdd} Recall that Ai and Bi are collectively exhaustive if Ai ∪ Bi = S. Also, Ai and Bi are mutually exclusive if Ai ∩ Bi = φ. Since we have written down each pair Ai and Bi above, we can simply check for these properties. The pair A1 and B1 are mutually exclusive and collectively exhaustive. The pair A2 and B2 are mutually exclusive and collectively exhaustive. The pair A3 and B3 are mutually exclusive but not collectively exhaustive. The pair A4 and B4 are not mutually exclusive since dvd belongs to A4 and B4 . However, A4 and B4 are collectively exhaustive. 2 Quiz 1.3 There are exactly 50 equally likely outcomes: s51 through s100 . Each of these outcomes has probability 0.02. (1) P[{s79 }] = 0.02 (2) P[{s100 }] = 0.02 (3) P[A] = P[{s90 , . . . , s100 }] = 11 × 0.02 = 0.22 (4) P[F] = P[{s51 , . . . , s59 }] = 9 × 0.02 = 0.18 (5) P[T ≥ 80] = P[{s80 , . . . , s100 }] = 21 × 0.02 = 0.42 (6) P[T < 90] = P[{s51 , s52 , . . . , s89 }] = 39 × 0.02 = 0.78 (7) P[a C grade or better] = P[{s70 , . . . , s100 }] = 31 × 0.02 = 0.62 (8) P[student passes] = P[{s60 , . . . , s100 }] = 41 × 0.02 = 0.82 Quiz 1.4 We can describe this experiment by the event space consisting of the four possible events V B, V L, D B, and DL. We represent these events in the table: V D L 0.35 ? B ? ? In a roundabout way, the problem statement tells us how to ﬁll in the table. In particular, P [V ] = 0.7 = P [V L] + P [V B] P [L] = 0.6 = P [V L] + P [DL] (1) (2) Since P[V L] = 0.35, we can conclude that P[V B] = 0.35 and that P[DL] = 0.6 − 0.35 = 0.25. This allows us to ﬁll in two more table entries: V D L 0.35 0.25 B 0.35 ? The remaining table entry is ﬁlled in by observing that the probabilities must sum to 1. This implies P[D B] = 0.05 and the complete table is V D L 0.35 0.25 B 0.35 0.05 Finding the various probabilities is now straightforward: 3 (1) P[DL] = 0.25 (2) P[D ∪ L] = P[V L] + P[DL] + P[D B] = 0.35 + 0.25 + 0.05 = 0.65. (3) P[V B] = 0.35 (4) P[V ∪ L] = P[V ] + P[L] − P[V L] = 0.7 + 0.6 − 0.35 = 0.95 (5) P[V ∪ D] = P[S] = 1 (6) P[L B] = P[L L c ] = 0 Quiz 1.5 (1) The probability of exactly two voice calls is P [N V = 2] = P [{vvd, vdv, dvv}] = 0.3 (2) The probability of at least one voice call is P [N V ≥ 1] = P [{vdd, dvd, ddv, vvd, vdv, dvv, vvv}] = 6(0.1) + 0.2 = 0.8 An easier way to get the same answer is to observe that P [N V ≥ 1] = 1 − P [N V < 1] = 1 − P [N V = 0] = 1 − P [{ddd}] = 0.8 (4) (2) (3) (1) (3) The conditional probability of two voice calls followed by a data call given that there were two voice calls is 1 P [{vvd} , N V = 2] P [{vvd}] 0.1 = (5) = = P [{vvd} |N V = 2] = P [N V = 2] P [N V = 2] 0.3 3 (4) The conditional probability of two data calls followed by a voice call given there were two voice calls is P [{ddv} , N V = 2] P [{ddv} |N V = 2] = =0 (6) P [N V = 2] The joint event of the outcome ddv and exactly two voice calls has probability zero since there is only one voice call in the outcome ddv. (5) The conditional probability of exactly two voice calls given at least one voice call is P [N V = 2, N V ≥ 1] P [N V = 2] 0.3 3 = = = (7) P [N V = 2|Nv ≥ 1] = P [N V ≥ 1] P [N V ≥ 1] 0.8 8 (6) The conditional probability of at least one voice call given there were exactly two voice calls is P [N V ≥ 1, N V = 2] P [N V = 2] P [N V ≥ 1|N V = 2] = = =1 (8) P [N V = 2] P [N V = 2] Given that there were two voice calls, there must have been at least one voice call. 4 8) = 0.96. 5 (7) (5) (4) (3) (2) (1) .8)(0. N V ≥ 1] which shows the two events are dependent. the events are dependent. 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.64 Next. C1 = v] = P [{vd. we now can test for the independence of events.8. {C2 = v}. N V is even] = 0.8)(0.16 (6) Since P[C1 = d]P[C2 = v] = (0. we calculate the probability of the joint event: P [N V = 2.2)(0. dv. (2) The probability of the joint event is P [N V ≥ 1.768 = P [N V ≥ 1. we can do the calculations to check: P [C1 = d. it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B]. Just to be sure.8) = 0. P[C1 = v] = 0. (4) The probability of the joint event is P [C2 = v. (1) First.2)(0. (3) The problem statement that the calls were independent implies that the events the second call is a voice call. N V is even] = P [{vv}] = 0.96)(0.8) = 0. vv}] = 0. vv}] = 0.68) = 0. Since P[C2 = v. each event has probability P [C2 = v] = P [{dv.8)2 = 0. we make the comparison P [N V = 2] P [N V ≥ 1] = (0. C1 = v] Hence. Further. N V ≥ 1] = P [N V = 2] = P [{vv}] = 0. we conﬁrm that the events are independent.96 Finally.544. the events are dependent.16 P[{dd}] = (0.04 When checking the independence of any two events A and B.16 P[{vd}] = (0. vv}] = 0.2)2 = 0. P[C2 = v]P[N V is even] = (0.6 In this experiment.2) = 0.64 P[{dv}] = (0. C2 = v] = P [{dv}] = 0.Quiz 1.544.96) = P [N V = 2.68 (8) Thus. P [N V is even] = P [{dd. we observe that P [N V ≥ 1] = P [{vd.8 so that P [N V ≥ 1] P [C1 = v] = (0.64)(0. Using the probabilities of the outcomes.80 From part (a). {C1 = d} are independent events. and the ﬁrst call is a data call. there are four outcomes with probabilities P[{vv}] = (0. P[N V ≥ 1] = 0. vv}] = 0.64 Also.16. it is also possible to simply enumerate the six code words: 1100.992 (1) Quiz 1. there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. 0110.7 Let Fi denote the event that that the user is found on page i. 0101. In this case.8 ¨ F2 0. Thus by the fundamental principle of counting. there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word. there are 8 = 56 code words. Each subexperiment has two possible outcomes: 0 and 1. Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0. 0011. (4) For the constant ratio code.2)3 = 0. The failure probability is = 1 − p and the success probability is 1 − = p. the probability of k bits in error and 100 − k correctly received bits is P Sk. 2 For this problem. Hence.Quiz 1.100−k = 100 k 6 k (1 − )100−k (1) . That is. we have two choices.2 0. For each of the next three bits. The other N − M bits will be zeroes. 3 Quiz 1.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0. The other two bits then must be ones. 1001. 1010.9 (1) In this problem. (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. (3) When the ﬁrst bit must be a zero. there are six code words with exactly two zeroes.8 (1) We can view choosing each bit in the code word as a subexperiment. k bits received in error is the same as k failures in 100 trials.8 ¨ F1 0.2 0. The number of ways of choosing such N a code word is M .2 The user is found unless all three paging attempts fail. For N = 8 and M = 3. we can specify a code word by choosing M of the bits to be ones. There are 4 = 6 ways to do this. then the ﬁrst subexperiment of choosing the ﬁrst bit has only one outcome. The tree for the experiment is 0. 01) (0.10 Since the chip works only if all n transistors work.100 + P S1.01)(0.97 = 161. Second. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ).99) (2) The probability a packet is decoded correctly is just P [C] = P S0. Let Ck denote the event that exactly k chips work.1.98 = 4950(0.9)) .For = 0.01) (0.99)100 = 0. we use the hist function to count how many occurences of each possible value of X(i).3700 9 97 P S2.9 < R(i). 0. X(i)=2 if ﬂip i was tails.4) .97 = 0.3660 P S1. • If 0.01.11 R=rand(1.100 = (1 − )100 = (0. then X(i)=2. we note there are three cases: • If R(i) <= 0.. + (2*(R>0.4.1849 P S3. The module works if either 8 chips work or 9 chips work.. we ﬁrst generate a vector R of 100 random numbers. Y=hist(X.4. These three cases will have probabilities 0. The probability that a chip works is P[C] = pn . That is.5 and 0. P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.99) 8 = 0..100).1:3) (1) (2) (3) For a M ATLAB simulation. X(i)=1 if ﬂip i was heads. 7 .4). • If 0.*(R<=0. + (3*(R>0. and X(i)=3) is ﬂip i landed on the edge. P S0.98 + P S3.. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip. X=(R<= 0. 700(0. Lastly. To see how this works. the transistors in the chip are like devices in series.99 + P S2.0610 (6) Quiz 1.99) 2 3 99 (2) (3) (4) (5) = 0. then X(i)=1.9.4 < R(i) and R(i)<=0. Since transistor failures are independent of each other. 8 P [C9 ] = (P [C])9 = p 9n .9819 = 0.99 = 100(0. then X(i)=3.9)). chip failures are also independent. 5 0. we recall that the PMF must sum to 1.0 0. 2. Now that we have found c. (1) The random variable X is the number of trials up to and including the ﬁrst success. with probability p.Quiz Solutions – Chapter 2 Quiz 2. That is. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2. the remaining parts are straightforward.0387 8 (2) .24 2. 0 otherwise (1) (2) If p = 0. Similar to Example 2.9)9 = 0. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1. . .2 (1) To ﬁnd c.1 The sample space. .16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11.1.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success.5 0. (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. 3 G 0. the trial is a success.36 3.” Each bit is in error. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0.24 2.1)(0.11. Now we can interpret each experiment in the generic context of independent trials. that is. This x=10 sum is not too hard to calculate. the probability that the third error occurs on bit 12 is PZ (12) = 11 (0.13.. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0.99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly.01)2 (0. (3) The random variable Y is the number of successes in 100 independent trials. P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0. .99)98 = 0.99)100 + 100(0.15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3. Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0. 4.910 = 0. (6) If p = 0.9207 100 (0. 5. P[X ≥ 10] = 0. (1) P[Y < 1] = FY (1− ) = 0 9 .0645 2 (10) Quiz 2.01)(0.4 Each of these probabilities can be read off the CDF FY (y).01.The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x).1.25)3 (0. Just as in Example 2.99)99 + = 0.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0.01)2 (0. However. However.25. . FY (y) takes the upper value FY (y0 ).75)9 = 0. Thus Z has the Pascal PMF (see Example 2. we must keep in + mind that when FY (y) has a discontinuity at y0 . .3487. That is. we can write down the PMF of T : ⎧ ⎨ 0.1¨¨ ¨ ¨ ¨ 0. we have a data call and C = 40.8 = 0 Quiz 2.3) = 29.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0. with probability 0.5 (1) With probability 0.3 t = 75.7 c = 25 PC (c) = 0.8 − 0.3 N =2 •T =90 r rr 0. This corresponds to the PMF ⎧ ⎨ 0.6 = 0.6 (1) As a function of N .3$$N =1 •T =105 (2) (1)$$ ¨¨$  rr   rr0.3 N =3 •T =75 From the tree. Otherwise.7.(2) P[Y ≤ 1] = FY (1) = 0.3) + 120(0.8 = 0. 105 PT (t) = 0. 90. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.1) = 62 (2) (3) (4) 10 .7) + 40(0.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0.3. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T .5 cents Quiz 2.1 t = 120 ⎩ 0 otherwise From the PMF PT (t).6 (6) P[Y = 3] = P[Y ≤ 3] − P[Y < 3] = FY (3+ ) − FY (3− ) = 0.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0. a call is a voice call and C = 25. we can draw the following tree: N =0 •T =120 0.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.

8 (3) Since E[A] = 2.1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1. (3) 11 . the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.663.4) + 4(0.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2.7 (1) Using Deﬁnition 2.4) + 2(0. g(E[A]) = g(2) = 4.4)2 = 0.4) + 22 (0.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.8 = g(E[A]).8 The PMF PN (n) allows to calculate each of the desired quantities. E[M] = 4.44 = 0.2) + 8(0. Quiz 2.4) + 2(0.44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.2) + 4(0.1) = 4. However. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2.4 − (1.5) = 1. The two quantities are different because g(A) is not of the form α A + β.3) + 3(0.3) + 6(0.10.Quiz 2.14.5) = 2.1) + 12 (0.1) + 1(0. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.

.8 n = 6. 3. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4.17. 7. 9. . .Quiz 2.005 n = 6. 4.155 n = 1. 3. .15625 12 . 7. 3. .9 (1) From the problem statement.02 n = 1. 4.8 n = 1. 5 = 0. 7.25) n = 1.02(0. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0.80 (6) By Theorem 2. .10 (the law of total probability). 8. . 4.155/0. 50 = 0(0. 9. 10 ⎩ 0 otherwise ⎧ ⎨ 0. 5 = 0.02(0.005/0.00625 n = 6. 3.75) + 0. .2(0. 3. 4. . 4. . 7. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0.005)(5) = 0. From Theorem 1.19375) + n=6 n(0.75) + 0. calculating conditional expectations is easy. 10 ⎩ 0 otherwise (5) Once we have the conditional PMF. 2.155)(5) + (0. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0. . 5 n = 6. 5 = 0. 8. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. 2.19375 n = 1. 2. 2. . 2.2 n = 1. E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0. 2.25) ⎩ 0 otherwise ⎧ ⎨ 0.00625) (11) (12) = 3. the conditional PMF of N given the event T is PN |T (n) = 0. we learn that the conditional PMF of N given the event I is 0.

M). Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 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 (0.00625) = 12.75684 (16) (17) Quiz 2.5). Each time samplemean(k) is called produces a random output.00625) n=6 = n=1 n (0.19375) + 330(0. K=(1:k)’. . . .10. m 2 . end. .71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12.i) of M holds a sequence m 1 .10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1.10 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.71875 − (3. . .19375) + 2 (14) (15) = 55(0. M=zeros(k.15625)2 = 2. What is observed in these ﬁgures is that for small n. plot(K. The ith column M(:. function M=samplemean(k). k. for i=1:5. M(:. . m k .k). m n is fairly random but as n gets 13 . X=duniformrv(0. 2./K.i)=cumsum(X).

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

we use ∞ the fact that −∞ f X (x) d x = 1.5) = 1 − (1.5] = 1 − P[Y ≤ 1.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 .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). To ﬁnd c.2 0.Quiz Solutions – Chapter 3 Quiz 3.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF.5)/4 = 5/8 Quiz 3.1 The CDF of Y is 1 FY(y) 0. 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. 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. λ = 1/2) PDF 0.5] = 1 − FY (1.

P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 .e.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). (9) (10) Quiz 3.(2) To ﬁnd the CDF FX (x).. For x ≥ 0. we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0. (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. 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) 0.3 The PDF of Y is 3 fY(y) 2 1 0 −2 0 y 2 f Y (y) = 3y 2 /2 −1 ≤ y ≤ 1. (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. 0 otherwise. P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 . (2) Note that the above calculation wasn’t really necessary because E[Y ] = 0 whenever the PDF f Y (y) is an even function (i. (3) 16 . (4) Similarly. f Y (y) = f Y (−y)).

it is important to remember that as the standard deviation increases.4 (1) When X is an exponential (λ) random variable. we apply Theorem 3. To ﬁnd a and b. The only valid solution with a < b is √ a = 3 − 3 3. (4) The standard deviation of Y is σY = Quiz 3. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0. (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. (5) (z) function and Table 3. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 . Since E[X ] = 3 and Var[X ] = 9.1 (1) The PDFs of X and Y are shown below.4 0. E[X ] = 1/λ and Var[X ] = 1/λ2 . The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y). We start with the sketches. we must have λ = 1/3. fY(y) 0.6 to write E [X ] = This implies a + b = 6. f X (x) = 0 otherwise. 12 (2) √ b − a = ±6 3. 0 otherwise. (1) √ Var[Y ] = √ 3/5. √ b = 3 + 3 3. Quiz 3. a+b =3 2 Var[X ] = (b − a)2 = 9.2. the peak value of the Gaussian PDF goes down. However. b) random variable.(3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5.

(2) Quiz 3. ⎩ 0 otherwise. (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 < 1.7 18 .75) = 1 − 2 0. 2 (4) (1) (2) (4) Again. (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y). P[Y > 3.5 ) = Q(1. (2) P[X < 1] = FX (1− ) = 1/2.33 × 10−4 . 1).383. P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0. 2). P[X > 3. since X is Gaussian (0.5) = 2.6 The CDF of X is 1 FX(x) 0. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2.5 0 −2 (1.5] = Q(3.5] = Q( 3. (3) Since Y is Gaussian (0.0401.75) = 0 x 2 ⎧ x < −1. ⎩ 1 x ≥ 1. (5) Since Y is Gaussian (0. 2).(2) Since X is Gaussian (0. The resulting PDF is 0. 1).6826. P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0.5 0 −2 0 x 2 ⎧ −1 ≤ x < 1.5 fX(x) 0. Quiz 3.

the PDF is zero. FX (x) = x−x ⎩ 1 x > 2.25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4. for 0 < y < 1.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0.5 f (y) 1 0. (5) 0. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1]. Finally. (1) The complete CDF of X is 1 F (x) 0. (4) By taking the derivative of FY (y). 19 . FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . FX (x) = 0 for x < 0. Also.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0. (3) (3) Since X is nonnegative.(1) Since X is always nonnegative. FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. Lastly.5 0 −1 Y (4) 0 As expected. the complete expression for the CDF of Y is 1 F (y) 0. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4. 1. FY (y) = 1 for all y ≥ 1. ⎨ 0 2 /4 0 ≤ x ≤ 2. FY (y) = y−y ⎩ 1 y ≥ 1. Note that when y < 0 or y > 1.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. Thus FY (y) = 0 for y < 0. because Y ≤ 1.6 . ⎨ 0 2 /4 0 ≤ y < 1. Y is also nonnegative. Also. we obtain the PDF f Y (y). Using the CDF FX (x). for 0 ≤ x ≤ 2.

t=zeros(m.15. if (x>2) t(i+1)=x. 1/6 0 ≤ y ≤ 6. In this case the command t=2. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8.m) generates the vector t. i=i+1. then T = T + 2 has PDF f T (t) = f T |T >2 (t).0+exponentialrv(1/3.15. (3) (5) From the conditional PDF f Y |Y ≤6 (y). end end A second method exploits the fact that if T is an exponential (λ) random variable.2 . = otherwise. 2 (5) Quiz 3.1). 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 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. = otherwise. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 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.lambda=1/3. we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9. 10 (2) (4) From Deﬁnition 3. (1) 1 dy = 0.(2) From Deﬁnition 3. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0. 0 otherwise. while (i<m). x=exponentialrv(lambda. 1/2 8 < y ≤ 10. 0 otherwise. 20 .1).

G (0.G (q.Quiz Solutions – Chapter 4 Quiz 4. (3) FX. 1) + PQ.Y (∞.G (q.Y (∞. y) = P[X ≤ ∞. 3) = 0.12 + 0.G (0.Y (−∞. g) (4) (5) = 0.2 From the joint PMF of Q and G given in the table. 2) + PQ. (4) FX. (2) FX. This result is given in Theorem 4. 1) = 0.1 Each value of the joint CDF can be found by considering the corresponding probability.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.G (0.18 + 0. Y ≤ y] = P[Y ≤ y] = FY (y). (1) The probability that Q = 0 is P [Q = 0] = PQ.16 + 0.24 + 0.24 + 0.1. 0) + PQ.16 + 0. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.12 + 0.08 = 0. 0) + PQ. (1) FX.6 (2) The probability that Q = G is P [Q = G] = PQ. Y ≤ −∞] = 0 since Y cannot take on the value −∞. g) (6) (7) = 0. Quiz 4.78 21 .18 + 0. 2) = P[X ≤ −∞. ∞) = P[X ≤ ∞.06 + 0.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ. Y ≤ ∞] = 1.Y (∞.G (1.12 = 0.G (0. −∞) = P[X ≤ ∞.08 = 0.G (0.24 + 0.

y) d x d y = 1.B (h. this corresponds to calculating the row sum across the table of the joint PMF.4 PH.4 To ﬁnd the constant c.2 0. y = r sin θ and d x d y = r dr dθ . we convert to polar coordinates using the substitutions x = r cos θ .2 h=0 h=1 0.3.3 Quiz 4. 2 0 0 2 1 f X.1 0. 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. Similarly.1 0 0. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X. y) d x d y (4) To integrate over A. the marginal PMF of B is 1 PB (b) = h=−1 PH.6 0.1 0. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH.5 0. Speciﬁcally.B (h.3 By Theorem 4. b) (2) For each value of b.2.Y (x. this corresponds to the column sum down the table of the joint PMF.Quiz 4.4 0.B (h. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0.2 0. the marginal PMF of H is PH (h) = b=0.Y (x. we write P [A] = A y dy = (c/4)y 2 f X.2 PB (b) 0.Y (x. b) (1) For each value of h. 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 . To calculate P[A].1 0 0.

b) l = 518. y) dy (1) For x < 0 or x > 1. 000 l = 7.1 t = 120 PT (t) = ⎪ 0. For 0 ≤ y ≤ 1. 800 0. ⎧ ⎪ 0.05 (T =18) 0. 400 l = 2. we can calculate the time T needed for the transfer.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0. 600 0.05 t = 180 ⎪ ⎪ ⎪ 0. We can write these down on the table for the joint PMF of L and B as follows: PL .10 (T =24) 0. 400 0.Quiz 4.Y (x. 592. the marginal PDF of X is f X (x) = ∞ −∞ f X.05 t = 18 ⎪ ⎪ ⎪ 0. 000 b = 14.10 (T =360) b = 28.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table. For 0 ≤ x ≤ 1. 776.20 (T =36) 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 . writing down the PMF of T is straightforward.5 By Theorem 4. 90 ⎪ ⎪ ⎨ 0.10 (T =120) 0. the complete expression for the PDF of Y is f Y (y) = Quiz 4. For each pair of values of L and B.20 (T =90) 0.Y (x.2 t = 36.00 (T =540) b = 21.05 (T =180) 0.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) . f Y (y) = = ∞ −∞ 6 1 f X.B (l.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 > 1.8.2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. f X (x) = 0.

25 0.1 0.2 0. For 0 < w < 1.5 0. 24 t = 40 0.5.4 PL (l) 0.15 0.5) + 3(0.(B) First.3 0.T (l. Speciﬁcally. Since the second moment of L is E L 2 = 12 (0. PL .25) = 4.25) + 2(0. As shown below. integrating over the region W ≤ w is fairly complex. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1. The calculus is simpler if we integrate over the region X Y > w.5) + 32 (0. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.25 (7) (8) (1) (2) (3) .25) + 22 (0. we calculate the CDF FW (w) = P[W ≤ w].25) = 2. 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.15 0. 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. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs.1 0.5. Thus f W (0) = 0 and f W (1) = 1. W = X Y satisﬁes 0 ≤ W ≤ 1.6 t = 60 0.

Y (x. y) d x = 0 2 xy dx = 1 2 x y 2 x=1 = x=0 y 2 (13) The complete expressions for the marginal PDFs are f X (x) = 2x 0 ≤ x ≤ 1 0 otherwise f Y (y) = y/2 0 ≤ y ≤ 2 0 otherwise (14) From the marginal PDFs.Y (x.15) + 2(40)(0. the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y). f X (x) = ∞ −∞ f X. Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96. For 0 ≤ x ≤ 1.2) + 3(60)(0. the covariance of L and T is Cov [L . for 0 ≤ y ≤ 2.4) = 48.6) + 602 (0. it is straightforward to calculate the various expectations.15) + 1(60)(0. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .T = 0. the correlation coefﬁcient is ρ L . The second moment of T is E T 2 = 402 (0.6) + 60(0. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly.4) = 2400. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40. (11) (B) As in the discrete case.3) + 3(40)(0. T ] = 0.1) = 96 (4) From Theorem 4. 25 . f Y (y) = ∞ −∞ f X.(2) The expected value of T is E [T ] = 40(0.1) + 2(60)(0.16(a).60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0.

t) = 26 PL . 60) = 0. T ) = (3. T ) = (2.45 By Deﬁnition 4. dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X.8 (A) Since the event V > 80 occurs only for the pairs (L . (22) (5) Since Cov[X.(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.Y (x. dy 1 0 (20) 2 x3 x y d x. Y ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0. 60). y) d x. 60).T (3. PL .T (2. T ) = (3. 40) and (L . (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. P [A] = P [V > 80] = PL .T (l. 60) + PL . (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X. 40) + PL . Y ] = 0.9. the correlation coefﬁcient is ρ X.t) P[A] (1) 0 lt > 80 otherwise (2) .T |A (l.T (3. (L . Quiz 4.Y = 0.

T |A (l. t) (5) (6) 4 1 2 = (2 · 60)2 + (3 · 40)2 + (3 · 60)2 = 18. y) ∈ B 0 otherwise K x y 40 ≤ y ≤ 60. we ﬁrst ﬁnd the conditional second moment E V 2 |A = l t (lt)2 PL .We can represent this conditional PMF in the following table: PL . t) (3) (4) 1 2 1 4 = (2 · 60) + (3 · 40) + (3 · 60) = 133 9 3 9 3 For the conditional variance Var[V |A].801 8 5 2 dy The conditional PDF of X and Y is f X. we ﬁrst calculate the probability of the conditioning event.T |A (l. y) /P [B] (x.Y (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.T |A (l. 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. E [V |A] = l t lt PL .Y |B (x. 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 . 80/y ≤ x ≤ 3 0 otherwise 27 (12) (13) . y) = = f X. P [B] = B f X.Y (x.

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

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

(14) (15)

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

80/y 60 40 60 40

dy

(16) (17) (18)

27y 2 − 803 /y dy
60 40

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

≈ 120.78

−∞ −∞ 60 3 40

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

(19) (20)

= (K /4)

80/y 60 40 60 40

dy

(21) (22) ≈ 16, 116.10 (23)

= (K /4)

81y 3 − 804 /y dy
60 40

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

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

(24)

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

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

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

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

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

(1)

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

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

(4)

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

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

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

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

f X,1/2 ( ) d x =

1 1/2

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

(9)

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

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

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

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

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

(8)

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

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

31

we can generate a sample value of Y with a discrete uniform (1.1).m). 2.1)).2. 32 . given X = x. 3. and an independent uniform (0. PY |X (y|x) = 1/x y = 1.25*ones(4. . x 0 otherwise (1) Given X = x. .Quiz 4. xy=[x’. px=0. Y has a discrete uniform (1. . 4.4]. 4) PMF. y=ceil(x. PX (x) = 1/4 x = 1. 1) random variable U . x) PMF via Y = xU . That is. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1. Also. x=finiterv(sx.28. we use an alternate approach.3.y’]. x) PMF.*rand(m.px. .12 One straightforward method is to follow the approach of Example 4. 0 otherwise. First we observe that X has the discrete uniform (1. Instead.

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

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

. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly.W (v.1. 5 0 otherwise 35 5 x (2) . p) = (5.1) random variable. . .W (v. 1. for 0 ≤ w1 ≤ w2 ≤ 1. 0. . the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . Quiz 5.3. That is.6) random variable and X 3 is a binomial (5.3)x1 (0. w) = f V (v) f W (w). . however it is simpler to just start from ﬁrst principles and observe that X 1 is the number of occurrences of L in ﬁve independent tests. 0. In ﬁve trials. .6)x2 (0. X 2 is a binomial (5. For 0 ≤ v1 ≤ v2 ≤ 1. 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x). we see that X 1 is a binomial (n.6 and p3 = 0. Similarly. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V. . 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 .W (v. If we view each test as a trial with success probability P[L] = 0.3. PX (x) = (1) x1 .x2 . 1. for p1 = 0. x3 ∈ {0.We must verify that V and W are independent.x3 (0.1)x3 x1 + x2 + x3 = 5. conﬁrming that V and W are independent vectors. f V (v) = = 0 1 f V. PX i (x) = pix (1 − pi )5−x x = 0.5 (A) Referring to Theorem 1. 0. each test is a subexperiment with three possible outcomes: L.19. f W (w) = = 4(1 − w1 ) dw1 = 2 f V. A and R. . x2 . p2 = 0.3) random variable.

3x 3 d x = 3/4.1)2 + 0.0802 (B) Since each Yi = 2X i + 4. Thus. 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. 6x 2 (1 − x) d x = 1/2. we can apply Theorem 5. we need to ﬁnd E[X i X j ] for all i and j.1)2 + 0. 2) + PX (2.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0. 2) + PX (2. Hence. we see that X 1 .3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . We start with 36 . X 2 and X 3 are not independent. w = 4. In particular.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 5.6)2 (0. we must use Theorem 5. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative. PW (0) = PW (1) = 0. 2.6 to ﬁnd the PMF of W .486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X .32 (0. for w = 3.6)2 (0. Furthermore. X 2 = w. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. Quiz 5. 1. 2. To do so. 1) 5![0.1458 = (3) (4) (5) In addition.6)(0.From the marginal PMFs. or X 3 = w occurs. PW (2) = PX (1.3(0.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 .32 (0. the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. and w = 5. . we use 3x(1 − x)2 d x = 1/4.

1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 . 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) . X has correlation matrix ⎡ ⎤ 1/10 3/20 1/5 R X = ⎣3/20 3/10 2/5⎦ . Summarizing the results. x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5. the cross terms are E [X 1 X 2 ] = = = 0 ∞ ∞ −∞ −∞ 1 1 0 1 x1 3 4 [x1 − 3x1 + 2x1 ] d x1 = 3/20.the second moments: E 2 X1 = 0 1 3x 2 (1 − x)2 d x = 1/10. (4) (5) (6) 2 E X2 = 2 E X3 = 1 0 1 0 Using marginal PDFs from Quiz 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 .X 2 (x1 . x2 ) . 6x 3 (1 − x) d x = 3/10.3.

e. rounds off those probabilities.16 tells us that Y is a 1 dimensional Gaussian vector. 1 −1 1 2 (2) Quiz 5. CT=36. CY=(A’)*CT*A.(1:31)).0. Since T is a Gaussian random vector. 0 (1) It follows from Theorem 5.02207383067604 Columns 5 through 6 0.0221 0. p=phi((T-80)/sqrt(CY)).99999999922010 0. In julytemps.97792616932396 38 . i.0000 0. Theorem 5.0000 1.m. the ﬁrst two lines generate the 31 × 31 covariance matrix CT. by Theorem 5. A=ones(31./(1+abs(D1-D2)). [D1 D2]=ndgrid((1:31). Its just that the M ATLAB’s short format output. Thus. invoked with the command format short. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 .9779 1.16. The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ].18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = . function p=julytemps(T).This problem shows that even for fairly simple joint PDFs..99997155736872 0.50000000000000 0. computing the covariance matrix by calculus can be a time consuming task. Var[Y ] = ACT A . Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0.8 First. 1 −1 b= 2 . The ﬁnal step is to use the (·) function to calculate P[Y < T ].7 We observe that X = AZ + b where A= 2 1 .5000 0.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1.0000.1)/31. Next we calculate Var[Y ]. or CT . Here is the output of julytemps. The expected value of Y is µY = µT = 80. just a Gaussian random variable.00002844263128 0. Quiz 5.m: >> julytemps([70 75 80 85 90 95]) ans = 0.

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

the variance of the sum equals the sum of the variances. That is. First. otherwise. Hence.5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1. . a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0.25n Quiz 6. this integral is easy to evaluate. .5. . K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. K n are independent. . .Quiz Solutions – Chapter 6 Quiz 6. For w > 0. the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2. f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0.5n (5) Since the rolls are independent.5)2 = 1. 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n .5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7. .25 Since E[K i ] = 2. By Theorem 6.3.5. .1 Let K 1 . W = X + Y is nonnegative. .5 − (2. the random variables K 1 . . 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 . . by Theorem 6.2 Random variables X and Y have PDFs f X (x) = 3e−3x x ≥ 0 0 otherwise f Y (y) = 2e−2y y ≥ 0 0 otherwise (1) (6) (4) (2) (3) Since X and Y are nonnegative. . .

2)esk = 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 = 0.2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0. Theorem 6.2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70. Thus to ﬁnd the PDF of W .10 says that W is a Gaussian random variable.2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives. 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) . The ﬁrst derivative of φ K (s) is d φ K (s) = 0.4 (A) Each K i has MGF φ K (s) = E es K i = es (1 − ens ) es + e2s + · · · + ens = n n(1 − es ) ems (1 − ens )m n m (1 − es )m (1) Since the sequence of K i is independent.2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To ﬁnd higher-order moments.2(es + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0. Theorem 6.8 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.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0.Quiz 6.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6. we need only ﬁnd the expected value and variance.8 (4) (5) (6) (7) = 0.

5 (1) From Table 6.1. 42 . 1−s φ N (s) = 1 s 5e .1. the variance of the sum equals the sum of the variances: Var[W ] = α 2 Var[X 1 ] + α 4 Var[X 2 ] + · · · + α 2n Var[X n ] = α 2 + 2(α 2 )2 + 3(α 2 )3 + · · · + n(α 2 )n Deﬁning q = α 2 .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 ]. each X i has MGF φ X (s) and random variable N has MGF φ N (s) where φ X (s) = 1 . 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. we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6. (3) (2) From Table 6. 1 − 4 es 5 (1) From Theorem 6. we see that R has the MGF of an exponential (1/5) random variable.12. 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 . we can use Math Fact B.Since the α j X j are independent.

1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 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. (3) Using X i to denote the access time of block i.25). we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations.Quiz 6. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0.4013 Note that we used Table 3. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. (6) (7) (8) (9) (5) (4) (3) (6) Once again. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent.0227 (10) (11) (12) 43 .5987 = 0. the standard deviation of A is σ A = 12 (5) To use the central limit theorem. we use the central limit theorem and Table 3.9773 = 0.

we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3. (2) The variance of K 48 is Var[K 48 ] = 48P [V ] (1 − P [V ]) = 48(3/4)(1/4) = 9 Thus K 48 has standard deviation σ K 48 = 3.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. (1) In Theorem 6. X 3 are iid exponential (λ) random variables. From Appendix A. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36.9687 (4) (5) Quiz 6.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x). X 2 . (3) Using the ordinary central limit theorem and Table 3. λ) random variable. we ﬁnd that W has expected value and variance E [W ] = 3/λ = 6 Var[W ] = 3/λ2 = 12 (2) (1) By the Central Limit Theorem.5 − 36 − 3 3 = 2 (2. we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2.11.Quiz 6.16666) − 1 = 0.8 The train interarrival times X 1 . The arrival time of the third train is W = X 1 + X 2 + X 3.9545 (4) Since K 48 is a discrete random variable.5 − 36 30 − 0.66 × 10−5 √ 12 12 (3) 44 .

for λ = 1/2 and w = 20.5.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12. it should be apparent that the finitepmf function is implementing the convolution of the two PMFs. A graph of the PMF PW (w) appears in Figure 2 With some thought. SW=SX+SY. py=duniformpmf(0. Quiz 6. 3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 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 .*PY.’\itP_W(w)’). the Central Limit Theorem approximation grossly underestimates the true probability.SY]=ndgrid(sx.PW.100. [PX.0.sy).m sx=0:100.sy). 45 .py). it is a valid bound.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.’\itw’.(2) To use the Chernoff bound. the CDF of the Erlang (λ. pmfplot(sw.pw. pw=finitepmf(SW. By contrast. PW=PX.PY]=ndgrid(px. sw=unique(SW).11 says that for any w > 0.sw).19: %unifbinom100. Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0. [SX.sy=0:100.0338 s=7/20 (7) (3) Theorem 3.9 One solution to this problem is to follow the approach of Example 6. px=binomialpmf(100.

46 . 100) random variable.01 0.006 0. 0.002 0 0 20 40 60 80 100 w 120 140 160 180 200 Figure 2: From Quiz 6.008 PW(w) 0.004 0.9.0.5) random variable and a discrete uniform (0. the PMF PW (w) of the independent sum of a binomial (100.

we need n = 100 samples. (1) E [X i ] = 15. and Var[W ] = 3 Var[X i ] = 225. By Theorem 7. Quiz 7.000889. (30 − 0)2 Var [X i ] = = 75.1 An exponential random variable with expected value 1 also has variance 1. 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 7.6. 47 .Quiz Solutions – Chapter 7 Quiz 7.3 Deﬁne the random variable W = (X − µ X )2 . Since each X i is uniform (0. P [W > 75] ≤ (2) By the Chebyshev inequality. Mn (X ) has variance Var[Mn (X )] = 1/n. the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 .1. Hence. 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. By Theorem 7.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . 30). Observe that V100 (X ) = M100 (W ). (1) By the Markov inequality. 12 Thus E[W ] = 3E[X i ] = 45. Thus.

Equivalently. 4 n n The 0. implying (c n/( p(1− p))) ≥ 0.1.9 or α ≤ 0. OK(k) counts the fraction of sample paths that have sample mean within one standard error of p. p(1 − p) (2) We must ensure for every value of p that 1 − α ≥ 0.25)(2.13 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 .4.58 p(1 − p).645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n Note that if M100 (X ) = 0.m generates graphs the number of traces within one standard error as a function of the time.e.9 conﬁdence interval estimate of p is 0.41 0. The program bernoullisample. √ This implies c n√ 2. we require that 1. we require that ≥ c ≥ (0.99 conﬁdence interval.99 conﬁdence is high. The interval is wide because the 0.95 (3) p(1 − p) √ for every value of p. the number of trials in each trace.58)/ n.99 conﬁdence interval estimate is 0.3355 ≤ p ≤ 0.65 0. i. each sample path having n = 100 Bernoulli traces. we have α ≤ 0.65 p(1 − p). at time k.5 Following the approach of bernoullitraces.01. Since p(1 − p) ≤ 1/4 for all p. In this case. Since (x) is an increasing function of x.4645. SinceE[X ] = p and Var[X ] = p(1 − p).995. Since p(1 − p) ≤ 1/4 for all p.41 c≥ √ = √ .4 Assuming the number n of samples is large.41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ .645 0. we must have √ c n ≥ 0. we must satisfy c n ≥ 1. we apply Theorem 7. then the 0. we can use a Gaussian approximation for Mn (X ).Quiz 7. Quiz 7. the 0. n n (5) (4) √ For the 0. 48 (7) (6) .99 conﬁdence interval estimate is 0. we generate m = 1000 sample paths.m.

n. as m gets large.OK.8 0.2)/m.function OK=bernoullisample(n.m). MN=cumsum(x). The following graph was generated by bernoullisample(100.5.9 0. plot(1:n.2. stderrmat=stderr*ones(1. though perhaps unexpected./nn. x=reshape(bernoullirv(p.6 0.0.68./sqrt((1:n)’).m.m*n). the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.5000. OK=sum(abs(MN-p)<stderrmat.p). The unusual sawtooth pattern.5 0. is examined in Problem 7.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.m). stderr=sqrt(p*(1-p)).7 0. 49 .’-s’). nn=(1:n)’*ones(1.5): 1 0.m).

then we accept hypothesis H1 . X 2 ≤ x.33 Hence. . . . . (3) k ∈ A1 otherwise. ln 100 ∗ k ∈ A1 otherwise. the CDF of the maximum of X 1 . . That is.6. 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. if we observe X < 1. . This implies that for x ≥ 0. For a signiﬁcance level of α = 0. 1. . the MAP and ML tests are the same.01. 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. A reasonable choice is to reject the hypothesis if X is too small. From Theorem 8. . FX (x) = FX i (x) 15 (2) = 1 − e−x 15 (3) To design a signiﬁcance test. the ML hypothesis rule is k ∈ A0 if PK |H0 (k) ≥ PK |H1 (k) .1 From the problem statement. . X 15 ≤ x] = [P [X i ≤ x]]15 . 975.01)1/15 = 1. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0.7.2 From the problem statement. This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214. · · · . we must choose a rejection region for X .01 It is straightforward to show that r = − ln 1 − (0. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x. let R = {X ≤ r }. then we reject the hypothesis. otherwise (1) (2) 0 Since the two hypotheses are equally likely. otherwise k = 0. (4) Thus if we observe at least 214.33. 1. . 976 photons. 50 .Quiz Solutions – Chapter 8 Quiz 8. Quiz 8.

the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 . a symbol error occurs when si is transmitted but (X 1 .ˆ2)>TT).2’.d. legend(’\it d=0.2). E/2 + N2 > 0 (1) Because of the symmetry of the signals.TT]=ndgrid(x.m. FM2=sqdistroc(v.m. [XX.T(:)). x= -v+randn(m. the program sqdistrocplot. Equivalently. 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). P[C|H0 ] = P[C|Hi ] for all i.ˆ2)< TT).2.m. ’\it d=0..1)).’--k’. The modiﬁed program.1). loglog(FM1(:. it is easier to calculate the probability of a correct decision. FM=[P10(:) P01(:)].TT]=ndgrid(x. we have P[C] = 2( E/2σ 2 ).1’.T)..1). xlabel(’P_{FA}’).FM1(:. FM2(:.T(:)). Next. X 2 > 0|H0 ] = P E/2 + N1 > 0.1).4 To generate the ROC.3.’-k’.1)/m.1)/m. Given H0 ..1) %add d(v+N)ˆ2 distortion %receive 1 if x>T.’:k’). FM=[FM1 FM2 FM5]. FM1=sqdistroc(v.m.. P01=sum((XX+d*(XX.Quiz 8.2).T)..2).T).0.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d.3’. N is Gauss(0. 51 .T). FM5=sqdistroc(v.FM2(:. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m.3) ylabel(’P_{MISS}’).0. P10=sum((XX+d*(XX. Since N1 and N2 are iid Gaussian (0.FM5(:.’\it d=0. X 2 ) ∈ A j for some j = i..0. .m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities.. [XX. %add N volts. the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8. For a QPSK system. FM5(:.m.T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts. σ ) random variables. function FM=sqdistrocplot(v. .1).3 For the QPSK system. sqdistroc. Here is the modiﬁed code: function FM=sqdistroc(v. the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0.1. This implies the probability of a correct decision is P[C] = P[C|H0 ].

100000.4 with squared distortion.1:3.1 d=0. the commands T=-3:0.To see the effect of d. 52 .T). sqdistrocplot(3. Figure 3: The receiver operating curve for the communications system of Quiz 8.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0. 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.T). generated the plot shown in Figure 3.1:3.2 d=0. sqdistrocplot(3.100000.

For 0 ≤ x ≤ 1. 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. the conditional PDF of Y given X is f Y |X (y|x) = 2(y+x) 1+2x−3x 2 0 x ≤y≤1 otherwise (6) (4) The MMSE estimate of Y given X = x is y M (x) = E [Y |X = x] = ˆ x 1 2y 2 + 2x y dy 1 + 2x − 3x 2 y=1 y=x (7) (8) (9) 2y 3 /3 + x y 2 = 1 + 2x − 3x 2 = 2 + 3x − 5x 3 3 + 6x − 9x 2 53 . y) = f Y (y) 2 3y + 2x 3y 2 0 0≤x ≤y otherwise (2) (2) The minimum mean square error estimate of X given Y = y is x M (y) = E [X |Y = y] = ˆ 0 y 2x 2 2x + 2 3y 3y d x = 5y/9 (3) ˆ Thus the MMSE estimator of X given Y is X M (Y ) = 5Y /9. 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 ≤ 1.1 (1) First. (3) To obtain the conditional PDF f Y |X (y|x).Y (x. we need the marginal PDF f X (x).Quiz Solutions – Chapter 9 Quiz 9.

4. ˆ TL (R) = Hence a ∗ = 3/4 and b∗ = 0. Thus Cov[T. the conditional PDF of X = Y −40−40 log10 r is Gaussian with expected value −40 − 40 log10 r and variance 64.Quiz 9. R] = Var[T ] = 9. (4) From Deﬁnition 4. 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. E[T X ] = E[T ]E[X ] = 0 and E[T 2 ] = Var[T ]. R] = = 3/2 σR Var[R] Var[T ] (4) (5) From Theorem 9. Cov [T.R (R − E [R]) + E [T ] σR Since E[R] = E[T ] = 0 and ρT. the mean square error of the linear estimate is 2 e∗ = Var[T ](1 − ρT. the optimum linear estimate of T given R is σT ˆ TL (R) = ρT. (6) By Theorem 9. the correlation coefﬁcient of T and R is ρT.2 (1) Since the expectation of the sum equals the sum of the expectations.R = σT /σ R . 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.3 When R = r .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. E [R] = E [T ] + E [X ] = 0 (2) Since T and X are independent.4.8. 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) .R = √ √ σT Cov [T.

R (x. then rMAP (−120) = 123.3 −x/40 x ≥ −156.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.R (x. the MAP estimate is 23.1236)10 (9) For example.3 dB. the MAP estimate takes into account that the distance can never exceed 1000 m. for very low signal strengths. Setting the derivative of f X.6% larger than the ML estimate. This reﬂects the fact that large values of R are a priori more probable than small values.R (x. This corresponds to a distance estimate of rML (−120) = 100 m.3 (0. r ). if x = −120dB. 55 .6 m. 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. the MAP estimate of R given X = x is the value of r that maximizes f X. This minimum occurs when the exponent is zero. the above estimate will exceed 1000 m. That is. When x ≤ −156. we observe that the joint PDF of X and R is f X. we can use Deﬁnition 9. When the measured signal ˆ strength is not too low. yielding log10 r = −1 − x/40 or rML (x) = (0. However. ˆ For the MAP estimate.1236)10−x/40 (8) This is the MAP estimate of R given X = x as long as r ≤ 1000 m. 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. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156. note that a typical ﬁgure for the signal strength might be x = −120 dB. R ≤ 1000 m.2 to write the ML estimate of R given X = x as rML (x) = arg max f X |R (x|r ) ˆ r ≥0 (2) We observe that f X |R (x|r ) is maximized when the exponent (x + 40 + 40 log10 r )2 is minimized. Hence.6. (6) rMAP (x) = arg max f X.From the conditional PDF f X |R (x|r ). which is not possible in our probability model.1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct.

(7) (8) Because X and W are independent. we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = . To apply Theorem 9.1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0. E[WX ] = 0.Quiz 9.9 1 RW = 0. E[XW ] = E[X]E[W ] = 0.1 0 . 0 0. we calculate the correlation coefﬁcient ρ X 2 . 2 Cov [X 2 .0909 1. Thus we can apply Theorem 9. −0.Y2 ) = 1 − L Cov [X 2 . it follows that E[Y] = 0.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 . Similarly. it follows that b∗ = 0. we need to ﬁnd RY and RYX 2 . n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 .4 ˆ (1) From Theorem 9.4. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW . (1) Because E[X] = E[Y] = 0.9 .7.9 1.1. the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . This implies RY = E XX + E WW = RX + RW = In addition.1 (9) .1 (4) 1 1 = = 0.1 (2) (3) It follows that a ∗ = 1/1. Because µ X 2 = µY2 = 0.7. Finally.7. −0. Y2 ] = E [X 2 Y2 ] = E [X 2 (X 2 + W2 )] = E X 2 = 1 2 2 Var[Y2 ] = Var[X 2 ] + Var[W2 ] = E X 2 + E W2 = 1. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. Note that X and W have correlation matrices RX = 1 −0. Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 . Y2 ] .1 (6) In terms of Theorem 9. to compute the expected square error.9 . Y2 ] 1 =√ σ X 2 σY2 1.1 −0.

Y also has zero expected value. By the same reasoning.X 2 − a2rY2 . (14) (13) Quiz 9. jth entry RW (i. (11) 2 1 E X2 By Theorem 9.225Y1 + 0. ˆ a = R−1 RYX 2 = Y −0. This problem is atypical in that one does not usually get L 57 . by ˆ ˆ ˆ Theorem 9. Thus.7. Thus E[X 1 X 2 ] −0. 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. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 . X L (Y) = a Y where a = R−1 RYX . This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. 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 1.0725. j) = c|i− j|−1 . the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0.9 RYX 2 = = .Since X and W are independent vectors. Y E[WX ] = 0 and E[X W ] = 0 .X 2 = 0.725Y2 . The question we must address is what value c minimizes e∗ .7.5 Since X and W have zero expected value.725 (12) Therefore.225 0. E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0. Since X and W are independent. Thus.

01:0.ˆ((0:19)-1)). we will see that the answer is somewhat instructive. xlabel(’c’). function [mse. RY=(v1*(v1’)) +RW. 58 . function cmin=mquiz9minc(c). when c is small. In particular.6 0. Note in mquiz9 that v1 corresponds to the vector 1 of all ones.ylabel(’e_Lˆ*’). cmin=c(optk).msec). we observe that Var[Wi ] = RW (i. If this argument is not clear.4 0. af=(inv(RY))*v1. RW=toeplitz(c. v1=ones(20. >> mquiz9minc(c) ans = 0.1). the noises Wi have high variance and we would expect our estimator to be poor. both small values and large values of c result in large MSE. [msemin. i) = 1/c. mse=1-((v1’)*af).optk]=min(msec).99.8 e* L 0.af]=mquiz9(c).2 0 0. To ﬁnd the optimal value of c.4500 1 0. However. consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1. Thus. The following commands ﬁnds the minimum c and also produces the following graph: >> c=0. This would suggest that large values of c will also result in poor MSE. In this case. for k=1:length(c). We note that the answer is not obviously apparent from Equation (7). our 20 measurements will be all the same and one measurement is as good as 20 measurements. On the other hand. end plot(c. msec=zeros(size(c)).to choose the correlation structure of the noise.5 c 1 As we see in the graph.01:0. 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.af]=mquiz9(c(k)). if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent. [msec(k).

2 (2) 59 . (4) Rounding the samples in part (c) to the nearest integer degree yields a discrete time. . the interarrival times of the N new arrivals • H . .Quiz Solutions – Chapter 10 Quiz 10. . discrete valued process. . D H . Quiz 10. . A correct answer speciﬁes enough random variables to specify the sample path exactly.1 There are many correct answers to this question. continuous valued process when we record the temperature as a continuous waveform over time. then we obtain a continuous time. s) is • m(0. (2) If at every moment in time. discrete valued process. we round the temperature to the nearest degree. s).3 (1) Each resistor has resistance R in ohms with uniform PDF f R (r ) = 0.01) dr = 0. the number of calls that hang up during the experiment • D1 .2 (1) We obtain a continuous time. . . then we obtain a discrete time. continuous valued process.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. the call completion times of the H calls that hang up Quiz 10. (3) If we sample the process in part (a) every T seconds. One choice for an alternate set of random variables that would specify m(t. 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 .

just as in Example 2. 1) random variable. .. t − 1 followed by a success on trial t. each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10.5. (4) From Theorem 2.4 Since each X i is a N (0. . A success occurs on a trial with probability p if we ﬁnd a 1% resistor. t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 ..8)4 (0. That is. Each resistor is a 1% resistor with probability p. T2 = T1 + T where T is independent and identically distributed to T1 . . E[T1 ] = 1/ p = 5. This problem is easy if we view each resistor test as an independent trial. exactly t resistors are tested. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 . . . the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0. . 9 otherwise (4) Since p = 0. . a geometric random variable with success probability p has expected value 1/ p. . The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1. 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. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. Hence. .. Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10. independent of any other resistor. the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0. In this problem.2. .08192..(2) In t seconds. 1. . Consequently. . (5) Note that once we ﬁnd the ﬁrst 1% resistor.1. . .2) = 0.11. .X (n) (x1 . 2. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1).

X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. X 2 . . Since we count only evennumbered arrival for N (t). (2) Quiz 10. X (t) − X (s) is independent of X (s ) for all s ≥ s . . the expected number of packets in each hour is E[Mi ] = α = 36. That is. Y1 is an Erlang (n = 2. 1. 2.7 First. . we can conclude that the interarrival times of N (t) are not exponential random variables. has the same PDF as Y1 (t). W (t) − W (s) is independent of W (s ). see Theorem 6. Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. we look at the interarrival times.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. the ith interarrival time of the N (t) process. . 000.Quiz 10. 1. . PM1 . we note that for t > s. otherwise (1) Since M1 and M2 are independent. . Quiz 10. 61 . This implies < √ [W (t) − W (s)]/ α is independent of W (s )/ α for all s ≥ s .11. denote the interarrival times of the N (t) process. . . ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0.M2 (m 1 . . Let X 1 .5 The ﬁrst and second hours are nonoverlapping intervals. . the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec. λ) random variable. . . Thus N (t) is not a Poisson process.6 To answer whether N (t) is a Poisson process. m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. . Since X 1 and X 2 are independent exponential (λ) random variables. Theorem 3. Since Yi (t). Since s ≥ s . the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. 1. This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. .

n m + k. . τ ) + R N (t. .9 From Deﬁnition 10. .. . ..X nm (x1 . .14.. . .. .. we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. Since RY (t. .10 We must check whether each function R(τ ) meets the conditions of Theorem 10.. Quiz 10. . ...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. . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. f X n1 .. . f X n1 +k .Quiz 10.. (2) (3) (4) Quiz 10. τ ) = E[Y (t)Y (t + τ )]. . E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. .. . n m and time offset k.. for time instants n 1 + k. . (2) R2 (τ ) = e−τ also is valid. . (1) To ﬁnd the autocorrelation.8 First we ﬁnd the expected value µY (t) = µ X (t) + µ N (t) = µ X (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. .. xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. . X 2 . f X n1 . X 1 .X nm +k (x1 . xm ) Since the random sequence is iid.X nm +k (x1 . ..X nm (x1 . is a stationary random sequence if for all sets of time instants n 1 . . τ ). we have RY (t. 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 . . . xm ) = f X n1 +k . .

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 . 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). In this case.Quiz 10. To see why this is. we can conclude that Y (t) is a wide sense stationary process. (2) Since X (t) and Y (t) are both wide sense stationary processes. we conclude that X (t) and Y (t) are not jointly wide sense stationary. Quiz 10. R X Y (t. τ ) depends on both t and τ . 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 . suppose R X (τ ) = e−|τ | so that samples of X (t) far apart in time have almost no correlation. Y (t) = X (−t) and X (t) become less and less correlated. τ ) = E [X (t)Y (t + τ )] = E [X (t)X (−t − τ )] = R X (t − (−t − τ )) = R X (2t + τ ) (4) (5) (6) Since R X Y (t. In fact. τ ) is just a function of τ .X (t+1) (x0 .11 (1) The autocorrelation of Y (t) is RY (t. In this case. as t gets larger. we can check whether they are jointly wide sense stationary by seeing if R X Y (t. we see that by viewing a process backwards in time. we see the same second order statistics.12 From the problem statement.

• If the head of schedule event is a departure. – If M(t) < c. Otherwise. when M(t) = c.13. at discrete time instances. admit the arrival. 64 . Delete the head-of-schedule event and go to step 2. Start at time t = 0 with an empty system.120 100 80 M(t) 60 40 20 0 0 10 20 30 40 50 t 60 70 80 90 100 Figure 4: Sample path of 100 minutes of the blocking switch of Quiz 10. do not schedule a departure event. 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. we know the system state cannot change until the next scheduled event. – If M(t) = c. increase the system state n by 1. we cannot generate these vectors all at once. Quiz 10.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D.13 The simple structure of the switch simulation of Example 10. The program simply executes the event at the head of the schedule. After the head-of-schedule event is completed and any new events (departures in this system) are scheduled. 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. where Sk is an exponential (λ) random variable. check the state M(t). The system evolves via a sequence of discrete events. when an arrival occurs at time t. we need to know that M(t). 2. an exponential (λ) random variable. the number of ongoing calls. satisﬁes M(t) < c = 120. reduce the system state n by 1. • When the head-of-schedule event is the kth arrival is at time t. 3. With the introduction of call blocking. and schedule a departure to occur at time t + Sn . Examine the head-of-schedule event. The logic of such a simulation is 1. Schedule the ﬁrst arrival to occur at S1 . In particular. block the arrival. namely arrivals and departures. The blocking switch is an example of a discrete event system.

b]=simblockswitch(10.1:5000. a result known as the “Erlang-B formula. we set m(i) to the current switch state. Thus for all times t(i) between the current head-of-schedule event and the next.000 minute simulation. 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. this says that roughly the ﬁrst two percent of the simulation time was unusual.m). We can estimate the probability a call is blocked as b ˆ = 0. we can calculate that the exact blocking probability is Pb = 0. 65 . we use the vector t as the set of time instances at which we inspect the system state. [m.Thus we know that M(t) will stay the same until then. (1) Pb = a+b In Chapter 12. plot(t. In our simulation. The complete program is shown in Figure 5. the discrete event simulation is widely-used and often very efﬁcient simulation method. The following instructions t=0:0. a kind of Markov chain. The 5. we will learn that the blocking switch is an example of an M/M/c/c queue. Note that in Chapter 12. In M ATLAB.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. we will learn that the exact blocking probability is given by Equation (12.0057 is that a simulation that includes only 239 blocks is not all that likely to give a very accurate result for the blocking probability. 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. generated a simulation lasting 5. One reason our simulation underestimates the blocking probability is that in a 5. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. event(i)=1 if the ith scheduled event is an arrival. for very complicated systems.0057.t). In this case.93).” From the Erlang-B formula.1.000 minutes. Nevertheless.0048.0.120. The rest of the gap between 0. 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. 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.0048 and 0. or event(i)=-1 if the ith scheduled event is a departure. 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. When the program is passed a vector t. In most programming languages. However. Thus this would account for only part of the disparity.a.

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

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. 1 RY (τ ) = e−|τ | 2 Quiz 11. The variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1. RY (τ ) = Hence. we can deduce that RY (τ ) = 1 e−|τ | by symmetry.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. µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ). 67 . Just to be safe though.1 By Theorem 11. we 2 can double check.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. 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. For τ < 0.2.Quiz Solutions – Chapter 11 Quiz 11.

2 X (a) W = 10 (b) W = 1000 Figure 6: The autocorrelation R X (τ ) and power spectral density S X ( f ) for process X (t) in Quiz 11. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process.1 0 τ 0.1 0. 68 . we obtain RY = HRX H .6 and to use Theorem 11. Fo ﬁnd the PDF of the Gaussian vector Y. Thus E[Y] = 0. using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0. Quiz 11. we need to ﬁnd the covariance matrix CY .5. In this problem. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0. or by directly applying Theorem 5.2 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 −0.5 to ﬁnd the autocorrelation function ∞ ∞ RY [n] = i=−∞ j=−∞ h i h j R X [n + i − j]. following Theorem 11.13 with µX = 0 and A = H. 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⎦ .7. the identity matrix.8.x 10 8 0.2 −0. (1) Despite the fact that R X [k] is an impulse. Moreover.5. Since R X [n] = δn . by Theorem 11. RX = I. which equals the correlation matrix RY since Y has zero expected value.3 By Theorem 11.4 0.6 SX(f) 0. 4 0 0 1 1 1 1 (2) (3) In this case.

L 69 .9 h = R−1 RXn X n+1 = Xn 0.1 1 0.4 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).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. In this case.9 1. X n+1 = Xn 0.81 X n−1 R X [2] = .13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .1 0. the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y .1 R X [1] R X [0] 0.9 R X [0] R X [1] = 0. 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.Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ . Y Quiz 11. one approach is to follow the method of Example 11. 0. X n+1 = 400 400 (4) to ﬁnd the mean square error. 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⎦ .9 for the case of k = 1 and M = 2.81 81 = .1 0.9 400 261 (3) It follows that the ﬁlter is h = 261/400 81/400 and the MMSE linear predictor is 81 261 ˆ X n−1 + Xn. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1.

It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9. 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 .81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.7 with Y = Xn . X = X n+1 and ← − ˆ a = h . Consulting Table 11. Quiz 11.7 by using the orthoginality property of the LMSE estimator. 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 ). 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 9.3487. 70 . 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.9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1. we note that 1 f S X ( f ) = 10 rect (2) 2W 2W It follows that the inverse transform of S X ( f ) is sin(2π W τ ) R X (τ ) = 10 sinc(2W τ ) = 10 (3) 2π W τ (3) For W = 10 Hz and W = 1 kHZ. Instead. graphs of S X ( f ) and R X (τ ) appear in Figure 6.1.13(b). In any case. (13) L 0.5 (1) By Theorem 11. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 .This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters.1 − = = 0. the mean square error is 1 506 ← − 0. we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h.1. Since X n+1 = h Xn .

Quiz 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 . a0 Consulting with the Fourier transforms in Table 11. First we need some preliminary facts. R X Y (t. H( f ) = (1) Theorem 11.8 We solve this quiz using Theorem 11. where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant.17.1.17. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 . (2) Quiz 11. S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11.7 Since Y (t) = X (t − t0 ). 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) . τ ) = R X Y (τ ) = R X (τ − t0 ).1. if 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).1. From Table 11. (This quiz is really lame!) Quiz 11. then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus.17.000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . 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. Let a0 = 5. From Table 11. That is. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ). R X [n] = 10δ[n]. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform.6 In a sampled system. 71 (5) 2a0 a1 .

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. 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 . Since the RC ﬁlter has a 3dB bandwidth of 10. a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. the latter method is actually less algebra. 2 2 2a0 2a1 K0 K1 + 2 . 72 . 2 K1 = .000 rad/sec. some algebra will show that SY ( f ) = where K0 = Thus.000 rad/sec and the signal X (t) has most of its its signal energy below 5. (9) (10) Consulting with Table 11. In particular.1. Using partial fractions and the Fourier transform table. 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 ). we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 . the output signal has almost as much power as the input. (12) The average power of the Y (t) process is RY (0) = a1 2 = .Note that |H ( f )|2 = H ( f )H ∗ ( f ) = Thus. 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 .

Because the noise process N (t) has constant power R N (0) = 1. R N (0) = Var[N ] = 1.147).000 Hz. This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B). 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 .1 that SX ( f ) = 1 f rect . Comment: Since the text omitted the derivations of Equations (11. we see from Table 11.146) and (11.147).147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t).9 This quiz implements an example of Equations (11.Quiz 11.146) and to calculate the mean square error e L ∗ using Equation (11. (6) 73 . we note that Example 10. (2) RY X (τ ) = R X (τ ).146). where W = 5. (2) Since R X (τ ) = sinc(2W τ ).24 showed that RY (τ ) = R X (τ ) + R N (τ ). (1) Since µ N = 0. 4 10 104 (4) The noise power spectral density can be written as S N ( f ) = N0 rect f 2B = 1 f rect 2B 2B . decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B.146) and (11. SY X ( f ) = S X ( f ). (5) From Equation (11. it follows that SY ( f ) = S X ( f ) + S N ( f ). (1) Now we can go on to the quiz. The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11. Taking Fourier transforms. at peace with the derivations.

Two examples of the ﬁlter H ( f ) are shown in Figure 7. 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 PSD S N ( f ) becomes increasingly tall. the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B.000. B ≥ 9. 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). L Although this completes the solution to the quiz. the MSE is e∗ L = 1 1 104 2B 1 1 −B 104 + 2B B df = 1 104 1 104 + 1 2B = 1 1+ 5.147). We can go back and consider the case B > W later.10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ).000 B (9) To obtain MSE e∗ ≤ 0. what is happening may not be obvious. The result is that the MSE goes down. let’s suppose B ≤ W . for all values of B.5 × 104 guarantees e∗ ≤ 0. In L particular. Finally. Since the problem asks us to L ﬁnd the largest possible B. but only over a bandwidth B that is decreasing. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. From Equation (11. L Quiz 11.05.000/19 = 263. 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.ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ). Thus as ˆ B descreases. the ﬁlter suppresses less of the signal of X (t). we need to whether B ≤ W .05 requires B ≤ 5. ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5. Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise. S N ( f ) = 1/2B over frequencies | f | < W . we note that we can choose B very large and also achieve MSE e∗ = 0. (8) To evaluate the MSE e∗ .05. The noise power is always Var[N ] = 1 Watt. As B shrinks. As B is decreased. The following M ATLAB program generates and plots the functions shown in Figure 8 74 . When B ≤ W .16 Hz. when B > W = 5000. In this case.

H10=fft(h10. note that the vectors SX. Although these imaginary parts have no computational signiﬁcance.26.ˆ2).5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. %mquiz11. 75 .*((abs(H10)).abs(SY2)). In the context of Example 11. rx=[2 4 2].5*[1 1].N). figure. the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts.ˆ2). they tend to confuse the stem function. %autocorrelation and PSD stem(0:N-1.ylabel(’S_X(n/N)’). xlabel(’n’). Hence. the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t). we generate stem plots of the magnitude of each power spectral density. SY2 and SY10 in mquiz11 should all be realvalued vectors. As an aside.1*ones(1. %PSD of Y for M=2 xlabel(’n’).9. SX=fftc(rx. h10=0.ylabel(’S_{Y_2}(n/N)’). xlabel(’n’).N). figure. the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly.5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11. stem(0:N-1.* ((abs(H2)). However.abs(SY10)). %impulse/filter response: M=10 SY10=sx.abs(sx)). Relative to M = 2. stem(0:N-1.10). h2=0. %impulse/filter response: M=2 SY2=SX. when M = 10. H2=fft(h2.m N=32.ylabel(’S_{Y_{10}}(n/N)’).N).1 H(f) 0.

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

9 P X n+1 = 0|X n = 1 = 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 .4)n ⎣ 0 (4) −0.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.5 1 −0.6 0.6 0.6 −0.2 From the problem statement.2 0.2⎦ 1 0 1 0 0. the ith row of S.5 1 (3) where si .2 The eigenvalues of P are λ1 = 0 λ2 = 0.4 0.10 0.99 0.Quiz Solutions – Chapter 12 Quiz 12.6 0.6 0 0.6 0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.01 0.2 0. the Markov chain and the transition matrix are ⎡ ⎤ 0.99 0.2 0.5 0 −0.1 The system has two states depending on whether the previous packet was received in error.4 0.2 0.2⎦ + (0.6 0.9 (1) Since each X n must be either 0 or 1.5 0 0.99 P X n+1 = 1|X n = 1 = 0. is the left eigenvector of P satisfying si P = λi si .1 1 P= 0.6 0.90 (3) Quiz 12.4 0 0 λ3 0.6 P = ⎣0.5 −0.6 0.2 −0.5 0.2 0.2 0. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.01 0 0. From the problem statement.01 0. we can conclude that P X n+1 = 1|X n = 0 = 0.4 0.6 0.6 0.5 0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.4 0.2 Quiz 12.

1} C2 = {2. the states in C3 are recurrent. Quiz 12. ..0. (3) (2) The states in C1 and C3 are aperiodic. 1 … 78 .. Once the system exits C2 .n = P [K > n|K > n − 1] = Pn−1. Once the system enters a state in C1 .4 The communicating classes are C1 = {0. The states in C2 have period 2. .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 . This implies π0 + π1 + π2 = π0 (1 + 0. Quiz 12. On the other hand. 5.9 0. The state transition probabilities are Pn−1. 2.9 0. Thus the states in C1 are recurrent. the system of equations π = π P yields π1 = 0. 6} (1) π1 = 1/12. C1 is a recurrent class.1 0 1 1 1 ⎡ ⎤ 0.1π0 and π2 = π1 .1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 . 3} C3 = {4. π2 = 1/12..1 + 0. Similarly. . That is. the states in C2 are never reentered.5 At any time t. the state n can take on the values 0. the states in C2 are transient. the class C1 is never left.1) = 1 It follows that the limiting state probabilities are π0 = 5/6. 1.

. When the counter expires. we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . we have k − 1 units of time left after the state 0 counter reset. 2. and we randomly reset the counter to a new value K = k and then we count down k units of time. the system is in state 0. Since we spend one unit of time in each state.6 (1) By inspection. 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 = 1.5. (6) This suggests that πk = π0 P[K > k]. The system state is the time until the counter expires. the number of transitions need to return to state 0 is always a multiple of 2. including state 0. n=0 > k] = E[K ]. we obtain π0 ∞ P[K > k] = 1. From Problem 2. . (2) To ﬁnd the stationary probabilities. This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. .The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 . 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) . π1 = π0 P [K = 2] + π2 . Quiz 12. 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] . . From Equation (4). . . Thus the period of state 0 is d = 2. When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1.11.

(1) Thus the CDF of T00 satisﬁes FT00 (n) = 1− P[T00 > n] = 1−1/n α .(2/3) a 1 .(3/4) 1 .7 The Markov chain has the same structure as that in Example 12.(1/2) a 1 1 . nα (2) 80 . To determine whether state 0 is recurrent.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 . 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 0.22. which occurs with probability P [T00 1 > n] = 1 × 2 α 2 × 3 α n−1 × ··· × n α = 1 n α . we observe that for all α > 0 P [V00 ] = lim FT00 (n) = lim 1 − n→∞ n→∞ 1 = 1. The only difference is the modiﬁed transition rates: 1 (1/2)a (2/3)a (3/4) a (4/5) a 0 1.14 to ﬁnd the limiting probability that the system is in state 0 at time nd: lim P00 (nd) = dπ0 = 3 8 (9) n→∞ Quiz 12. we can use Theorem 12.(4/5)a a 2 3 4 … The event T00 > n occurs if the system reaches state n before returning to state 0. Lastly. It follows from the ﬁrst and second equations that π2 = (5/3)π0 and π3 = 2π0 .

it will be simpler to use the result of Problem 2. then all states are transient. Quiz 12. for α > 1. Applying this result. all states are recurrent. ∞ 1 E [T00 ] = 2 + .24.) To determine whether the chain is null recurrent or positive recurrent.Thus state 0 is recurrent for all α > 0.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . In this problem. nα (3) For 0 < α ≤ 1. ( We also note that if α = 0. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1.8 The number of customers in the ”friendly” store is given by the Markov chain (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) p (1-p)(1-q) 0 (1-p)q 1 (1-p)q ××× i (1-p)q (1-p)q i+1 ××× 81 . Since the chain has only one communicating class. In Example 12. 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞. On the other hand. we need to calculate E[T00 ]. we did this by deriving the PMF PT00 (n). (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. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 .5. the Markov chain is positive recurrent.

From the Markov chain..01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 . p ≥ q/(1 − q).In the above chain. .01 0. we obtain the following useful equations for the stationary distribution. 381 (1) . 1. . we note that (1 − p)q is the probability that no new customer arrives. 014. ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. This implies πi+1 = p πi .01 1 3 0. i = 0. p3 in terms of p2 and so on.1 since the task completes at rate 3 per msec and the processor reboots at rate 0. . the limiting state probabilities are πi = (1 − α)α i . . 2.01 p1 = 2 p0 + 3 p2 5.01 2 3 3 3 4 Note that q10 = 3. By applying Theorem 12. equivalently. . yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628. 1. for α ≥ 1 or.9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. i + 2. 1−α (4) Thus for α < 1. the limiting state probabilities do not exist. . πi p = πi+1 (1 − p)q. 1.13 with state space partitioned between S = {0. . . . 620 p0 1. we see that for any state i ≥ 0. we have that for α < 1. 5. (5) In addition. we have that πi = π0 α i where p . . Quiz 12.01 p2 = 2 p1 + 3 p3 3. . an existing customer gets one unit of service and then departs the store.}. i} and S = {i + 1.01 p3 = 2 p2 + 3 p4 5.01 0. . (1 − p)q (1) (2) Since Equation (2) holds for i = 0. .1 per msec and the rate to state 0 is the sum of those two rates. α= (1 − p)q Requiring the state probabilities to sum to 1.

.1015 p4 = 0. . .4151 p1 = 0.Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. . . . 443. . c n−c c p0 (ρ/c) ρ /c! n = c + 1. c + 2. . 014. 401 and the stationary probabilities are p0 = 0.0655 Quiz 12. . c + 2.10 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.1606 p3 = 0. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 . c (ρ/c) pn−1 n = c + 1. (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1. 2. . 2. .2573 p2 = 0. . . 381/2. . the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1.