# 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 {C1 = d} are independent events.8) = 0. the events are dependent. Since P[C2 = v. there are four outcomes with probabilities P[{vv}] = (0. we conﬁrm that the events are independent. we make the comparison P [N V = 2] P [N V ≥ 1] = (0.544. Further.16 P[{dd}] = (0.96)(0. 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. the events are dependent.64 P[{dv}] = (0.544. P [N V is even] = P [{dd.96 Finally.16 P[{vd}] = (0.8) = 0.96. P[C2 = v]P[N V is even] = (0.8)(0.768 = P [N V ≥ 1. (2) The probability of the joint event is P [N V ≥ 1. (1) First. (4) The probability of the joint event is P [C2 = v. vv}] = 0.2)(0.64 Next.8) = 0.64 Also. N V ≥ 1] = P [N V = 2] = P [{vv}] = 0.2)(0. N V is even] = 0. C1 = v] Hence. we calculate the probability of the joint event: P [N V = 2. we now can test for the independence of events. (3) The problem statement that the calls were independent implies that the events the second call is a voice call. P[N V ≥ 1] = 0. dv. and the ﬁrst call is a data call. {C2 = v}. vv}] = 0. it’s wise to avoid intuition and simply check whether P[AB] = P[A]P[B]. N V is even] = P [{vv}] = 0.16. N V ≥ 1] which shows the two events are dependent.68) = 0. vv}] = 0.2)2 = 0. we can do the calculations to check: P [C1 = d.64)(0. vv}] = 0.68 (8) Thus.16 (6) Since P[C1 = d]P[C2 = v] = (0. C1 = v] = P [{vd. Just to be sure.96) = P [N V = 2. each event has probability P [C2 = v] = P [{dv. P[C1 = v] = 0. 5 (7) (5) (4) (3) (2) (1) .80 From part (a).8)2 = 0. Using the probabilities of the outcomes.2) = 0.8)(0. C2 = v] = P [{dv}] = 0. we observe that P [N V ≥ 1] = P [{vd.6 In this experiment.8 so that P [N V ≥ 1] P [C1 = v] = (0.04 When checking the independence of any two events A and B.Quiz 1.8. 2)3 = 0. 1001.2 The user is found unless all three paging attempts fail. For each of the next three bits.8 ¨ F2 0.2 0. we have two choices.7 Let Fi denote the event that that the user is found on page i. there are 2 × 2 × 2 × 2 = 24 = 16 possible code words. Hence. there are 8 = 56 code words. then the ﬁrst subexperiment of choosing the ﬁrst bit has only one outcome.8 ¨ F3 ¨¨ ¨¨ ¨¨ ¨ ¨¨ ¨¨ c c c ¨¨ F3 F1 ¨ F2 ¨ 0. The other two bits then must be ones. There are 4 = 6 ways to do this.9 (1) In this problem.100−k = 100 k 6 k (1 − )100−k (1) . 1010. (3) When the ﬁrst bit must be a zero. 0110. 3 Quiz 1. For N = 8 and M = 3. 0011. the probability of k bits in error and 100 − k correctly received bits is P Sk. there are six code words with exactly two zeroes. The other N − M bits will be zeroes.8 (1) We can view choosing each bit in the code word as a subexperiment. The number of ways of choosing such N a code word is M . Thus the probability the user is found is c c c P [F] = 1 − P F1 F2 F3 = 1 − (0.992 (1) Quiz 1. Thus by the fundamental principle of counting. The tree for the experiment is 0. Each subexperiment has two possible outcomes: 0 and 1. That is.8 ¨ F1 0.2 0. we can specify a code word by choosing M of the bits to be ones. (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. there are 1 × 2 × 2 × 2 = 8 ways of choosing a code word. k bits received in error is the same as k failures in 100 trials. In this case. it is also possible to simply enumerate the six code words: 1100. 0101. (4) For the constant ratio code. 2 For this problem. The failure probability is = 1 − p and the success probability is 1 − = p.Quiz 1. To see how this works.100).4) .For = 0. 7 .99)100 = 0. we note there are three cases: • If R(i) <= 0. then X(i)=3. + (2*(R>0. Y=hist(X.99) 8 = 0.9 < R(i). • If 0. X(i)=1 if ﬂip i was heads.1.3700 9 97 P S2. Second..*(R<=0. The module works if either 8 chips work or 9 chips work.99) 2 3 99 (2) (3) (4) (5) = 0. + (3*(R>0. then X(i)=2.0610 (6) Quiz 1. we generate vector X as a function of R to represent the 3 possible outcomes of a ﬂip.100 + P S1.. Let Ck denote the event that exactly k chips work. we use the hist function to count how many occurences of each possible value of X(i). the transistors in the chip are like devices in series. Since transistor failures are independent of each other. then X(i)=1.01) (0. 700(0.3660 P S1. chip failures are also independent.97 = 161.10 Since the chip works only if all n transistors work. P S0.9.1849 P S3. That is.97 = 0. and X(i)=3) is ﬂip i landed on the edge.98 = 4950(0.1:3) (1) (2) (3) For a M ATLAB simulation.4.. Lastly.4 < R(i) and R(i)<=0. 0.9)) . we ﬁrst generate a vector R of 100 random numbers.4).01)(0. The probability that a chip works is P[C] = pn .99 + P S2. 8 P [C9 ] = (P [C])9 = p 9n .01.4.9)). P [C8 ] = The probability a memory module works is P [M] = P [C8 ] + P [C9 ] = p 8n (9 − 8 p n ) Quiz 1.99) (2) The probability a packet is decoded correctly is just P [C] = P S0. • If 0.100 = (1 − )100 = (0.9819 = 0..01) (0. Thus each P[Ck ] has the binomial probability 9 (P [C])8 (1 − P [C])9−8 = 9 p 8n (1 − p n ). These three cases will have probabilities 0.11 R=rand(1. X=(R<= 0.5 and 0.99 = 100(0. X(i)=2 if ﬂip i was tails.98 + P S3. 1)(0.11. the trial is a success. then the probability exactly 10 bits are sent is P [X = 10] = PX (10) = (0.24 2. with probability p.9)9 = 0.1 The sample space.3 Decoding each transmitted bit is an independent trial where we call a bit error a “success.5 0. (1) The random variable X is the number of trials up to and including the ﬁrst success. Now we can interpret each experiment in the generic context of independent trials. . (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 2.5 0.2 (1) To ﬁnd c. X has the geometric PMF PX (x) = p(1 − p)x−1 x = 1. Similar to Example 2. .1. the remaining parts are straightforward.0 0.Quiz Solutions – Chapter 2 Quiz 2.36 3. Now that we have found c. that is. probabilities and corresponding grades for the experiment are Outcome P[·] BB BC CB CC Quiz 2.0387 8 (2) . 0 otherwise (1) (2) If p = 0.16 2 PN (n) = c 1 + n=1 1 1 + 2 3 =1 (1) This implies c = 6/11. 2. That is. we recall that the PMF must sum to 1. .” Each bit is in error. 3 G 0.24 2. 5.99)100 + 100(0. (6) If p = 0. 4. .99)98 = 0.99)99 + = 0..75)9 = 0. P[X ≥ 10] = 0.9207 100 (0. .01)2 (0.1.25)3 (0. the probability of exactly 2 errors is P [Y = 2] = PY (2) = 100 (0.910 = 0. we must keep in + mind that when FY (y) has a discontinuity at y0 . FY (y) takes the upper value FY (y0 ). Y has the binomial PMF PY (y) = 100 y p (1 − p)100−y y (4) (3) If p = 0.1849 2 (5) (4) The probability of no more than 2 errors is P [Y ≤ 2] = PY (0) + PY (1) + PY (2) = (0.4 Each of these probabilities can be read off the CDF FY (y).01)(0. its even easier to observe that X ≥ 10 if the ﬁrst 10 bits are transmitted correctly. Just as in Example 2.01. (3) The random variable Y is the number of successes in 100 independent trials. That is.The probability that at least 10 bits are sent is P[X ≥ 10] = ∞ PX (x).15) PZ (z) = z−1 3 p (1 − p)z−3 2 (9) Note that PZ (z) > 0 for z = 3.3487. This x=10 sum is not too hard to calculate. (1) P[Y < 1] = FY (1− ) = 0 9 .01)2 (0. However.99)98 2 (6) (7) (8) (5) Random variable Z is the number of trials up to and including the third success. P [X ≥ 10] = P [ﬁrst 10 bits are correct] = (1 − p)10 For p = 0. However. . the probability that the third error occurs on bit 12 is PZ (12) = 11 (0.13.0645 2 (10) Quiz 2. Thus Z has the Pascal PMF (see Example 2.25. 5 (1) With probability 0.4 (5) P[Y = 1] = P[Y ≤ 1] − P[Y < 1] = FY (1+ ) − FY (1− ) = 0.7) + 40(0.3) = 29.7 c = 25 PC (c) = 0. 90. the cost T is T = 25N + 40(3 − N ) = 120 − 15N (2) To ﬁnd the PMF of T .1¨¨ ¨ ¨ ¨ 0.7. the expected value of T is E [T ] = 75PT (75) + 90PT (90) + 105PT (105) + 120PT (120) = (75 + 90 + 105)(0.3 c = 40 (1) ⎩ 0 otherwise (2) The expected value of C is E [C] = 25(0.3$$N =1 •T =105 (2) (1)$$ ¨¨$  rr   rr0.8 = 0 Quiz 2. we can draw the following tree: N =0 •T =120 0.3 t = 75.1) = 62 (2) (3) (4) 10 .8 = 0.3) + 120(0.3 N =2 •T =90 r rr 0.3.6 = 0. Otherwise.6 (1) As a function of N . This corresponds to the PMF ⎧ ⎨ 0.5 cents Quiz 2.8 − 0. with probability 0.1 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. a call is a voice call and C = 25.3 N =3 •T =75 From the tree. we can write down the PMF of T : ⎧ ⎨ 0. we have a data call and C = 40.6 (3) P[Y > 2] = 1 − P[Y ≤ 2] = 1 − FY (2) = 1 − 0. 105 PT (t) = 0.2 (4) P[Y ≥ 2] = 1 − P[Y < 2] = 1 − FY (2− ) = 1 − 0.(2) P[Y ≤ 1] = FY (1) = 0.

44 (4) The standard deviation is σ N = √ Var[N ] = √ 0.4)2 = 0.1) = 4.1) + 12 (0. the expected number of memory chips is 4 (2) E [M] = a=1 g(A)PA (a) = 4(0.4 − (1.4) + 2(0.7 (1) Using Deﬁnition 2. Quiz 2.4) + 4(0.14.4 (2) (3) The variance of N is Var[N ] = E N 2 − (E [N ])2 = 2.8 = g(E[A]).1) = 2 (1) (2) The number of memory chips is M = g(A) where ⎧ ⎨ 4 A = 1.2) + 4(0.4) + 22 (0. The two quantities are different because g(A) is not of the form α A + β.4) + 2(0. 2 g(A) = 6 A = 3 ⎩ 8 A=4 (3) By Theorem 2. (3) 11 .5) = 2.2) + 8(0.3) + 3(0.3) + 6(0.8 The PMF PN (n) allows to calculate each of the desired quantities.663. the expected number of applications is 4 E [A] = a=1 a PA (a) = 1(0.8 (3) Since E[A] = 2. (1) The expected value of N is 2 E [N ] = n=0 n PN (n) = 0(0.44 = 0.5) = 1. g(E[A]) = g(2) = 4.1) + 1(0.10. However.Quiz 2. E[M] = 4.4 (1) (2) The second moment of N is 2 E N 2 = n=0 n 2 PN (n) = 02 (0.

02(0. 7. 3.19375) + n=6 n(0. 9. 5 = 0. .005/0.02(0. . calculating conditional expectations is easy.00625) (11) (12) = 3. 2.8 n = 1. 5 = 0. 3.19375 n = 1.005)(5) = 0.25) ⎩ 0 otherwise ⎧ ⎨ 0.155 n = 1.00625 n = 6. 2.80 (6) By Theorem 2. 7. 5 0 otherwise (2) (3) The problem statement tells us that P[T ] = 1 − P[I ] = 3/4. . 10 ⎩ 0 otherwise (5) Once we have the conditional PMF. the conditional PMF of N given the event T is PN |T (n) = 0. 7.75) + 0. 2. 2. .17.8 n = 6.2 n = 1. we ﬁnd the PMF of N is PN (n) = PN |T (n) P [T ] + PN |I (n) P [I ] ⎧ ⎨ 0. 2.155)(5) + (0. . 3.2(0. 9.155/0. 4. 7.02 n = 1.9 (1) From the problem statement. 5 n = 6. 4. .75) + 0. .10 (the law of total probability). 4. 50 PN |I (n) = (1) 0 otherwise (2) Also from the problem statement. 10 ⎩ 0 otherwise ⎧ ⎨ 0. From Theorem 1.15625 12 . 8. 4. 50 = 0(0. 50 ⎩ 0 otherwise (4) First we ﬁnd 10 (3) (4) (5) P [N ≤ 10] = n=1 PN (n) = (0. we learn that the conditional PMF of N given the event I is 0.005 n = 6.25) n = 1. . 2. 3. 5 = 0.Quiz 2. . . 8. . E [N |N ≤ 10] = n 5 0 n ≤ 10 otherwise (7) (8) (9) n PN |N ≤10 (n) 10 (10) = n=1 n(0. the conditional PMF of N given N ≤ 10 is PN |N ≤10 (n) = PN (n) P[N ≤10] ⎧ ⎨ 0. . 3. 4.

m n is fairly random but as n gets 13 .i) of M holds a sequence m 1 . What is observed in these ﬁgures is that for small n.10 The function samplemean(k) generates and plots ﬁve m n sequences for n = 1. .71875 − (3. m k .M). ./K. X=duniformrv(0.71875 The conditional variance is Var[N |N ≤ 10] = E N 2 |N ≤ 10 − (E [N |N ≤ 10])2 = 12. M=zeros(k.75684 (16) (17) Quiz 2. for i=1:5.19375) + 2 (14) (15) = 55(0. k.k).00625) = 12.19375) + 330(0. . M(:. Each time samplemean(k) is called produces a random output.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. .00625) n=6 = n=1 n (0.5). The ith column M(:. 2. we ﬁrst ﬁnd the conditional second moment E N 2 |N ≤ 10 = n 5 n 2 PN |N ≤10 (n) 10 (13) n 2 (0.10. .i)=cumsum(X).15625)2 = 2. end. K=(1:k)’. . m 2 . Examples of the function calls (a) samplemean(100) and (b) samplemean(1000) are shown in Figure 1. . . function M=samplemean(k). plot(K.

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

we use ∞ the fact that −∞ f X (x) d x = 1.2 0. We will evaluate this integral using integration by parts: ∞ −∞ f X (x) d x = 0 ∞ cxe−x/2 d x ∞ 0 (1) ∞ 0 = −2cxe−x/2 =0 + 2ce−x/2 d x (2) = −4ce−x/2 ∞ 0 = 4c (3) Thus c = 1/4 and X has the Erlang (n = 2.1 The CDF of Y is 1 FY(y) 0. we can calculate the probabilities: (1) P[Y ≤ −1] = FY (−1) = 0 (2) P[Y ≤ 1] = FY (1) = 1/4 (3) P[2 < Y ≤ 3] = FY (3) − FY (2) = 3/4 − 2/4 = 1/4 (4) P[Y > 1.5 0 0 2 y 4 ⎧ y<0 ⎨ 0 y/4 0 ≤ y ≤ 4 FY (y) = ⎩ 1 y>4 (1) From the CDF FY (y).Quiz Solutions – Chapter 3 Quiz 3. λ = 1/2) PDF 0.5) = 1 − (1.5] = 1 − FY (1. To ﬁnd c.5] = 1 − P[Y ≤ 1.2 (1) First we will ﬁnd the constant c and then we will sketch the PDF.1 0 0 5 x 10 15 f X (x) = (x/4)e−x/2 x ≥ 0 0 otherwise fX(x) (4) 15 .5)/4 = 5/8 Quiz 3.

(9) (10) Quiz 3.(2) To ﬁnd the CDF FX (x). P [−2 ≤ X ≤ 2] = FX (2) − FX (−2) = 1 − 3e−1 .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.. (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. f Y (y) = f Y (−y)). (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. (3) 16 .e. For x ≥ 0. 0 otherwise. P [0 ≤ X ≤ 4] = FX (4) − FX (0) = 1 − 3e−2 . FX (x) = 0 x f X (y) dy = 0 x y −y/2 e dy 4 (5) (6) (7) x x 1 y − e−y/2 dy = − e−y/2 − 2 2 0 0 x −x/2 =1− e − e−x/2 2 The complete expression for the CDF is 1 FX(x) 0. (2) 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 = 3/5.5 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). we ﬁrst note X is a nonnegative random variable so that FX (x) = 0 for all x < 0. (4) Similarly.

(4) (2) We know X is a uniform (a.6 to write E [X ] = This implies a + b = 6. we apply Theorem 3. Since E[X ] = 3 and Var[X ] = 9. (3) (4) The complete expression for the PDF of X is √ √ √ 1/(6 3) 3 − 3 3 ≤ x < 3 + 3 3. (1) √ Var[Y ] = √ 3/5. b) random variable. 0 otherwise.(3) The variance of Y is Var[Y ] = E Y 2 − (E [Y ])2 = 3/5. it is important to remember that as the standard deviation increases. However. 12 (2) √ b − a = ±6 3.4 0. (4) The standard deviation of Y is σY = Quiz 3. a+b =3 2 Var[X ] = (b − a)2 = 9. E[X ] = 1/λ and Var[X ] = 1/λ2 . f X (x) = 0 otherwise. To ﬁnd a and b.5 Each of the requested probabilities can be calculated using or Q(z) and Table 3. Quiz 3. The PDF of X is f X (x) = (1/3)e−x/3 x ≥ 0. We start with the sketches.2. √ b = 3 + 3 3. fY(y) 0. The only valid solution with a < b is √ a = 3 − 3 3.2 fX(x) 0 −5 x ← fX(x) ← f (y) Y 0 y 5 17 .1 (1) The PDFs of X and Y are shown below. we must have λ = 1/3.4 (1) When X is an exponential (λ) random variable. (5) (z) function and Table 3. the peak value of the Gaussian PDF goes down. The fact that Y has twice the standard deviation of X is reﬂected in the greater spread of f Y (y).

(2) Quiz 3. P[X > 3. (5) Since Y is Gaussian (0. ⎩ 1 x ≥ 1. ⎨ 1/4 f X (x) = (1/2)δ(x − 1) x = 1.5] = Q( 3.33 × 10−4 . 2).7 18 .5] = Q(3. P[Y > 3. ⎩ 0 otherwise.6826.5) = 2. (4) We ﬁnd the PDF f Y (y) by taking the derivative of FY (y).5 0 −2 (1.5 fX(x) 0. (3) P[X = 1] = FX (1+ ) − FX (1− ) = 1 − 1/2 = 1/2. ⎨ 0 FX (x) = (x + 1)/4 −1 ≤ x < 1.383. (1) The following probabilities can be read directly from the CDF: (1) P[X ≤ 1] = FX (1) = 1. Quiz 3.75) = 0 x 2 ⎧ x < −1. (3) Since Y is Gaussian (0. P [−1 < X ≤ 1] = FX (1) − FX (−1) = (1) − (−1) = 2 (1) − 1 = 0. since X is Gaussian (0. 1).5 0 −2 0 x 2 ⎧ −1 ≤ x < 1.75) = 1 − 2 0.5 ) = Q(1. 2 (4) (1) (2) (4) Again.6 The CDF of X is 1 FX(x) 0.0401. The resulting PDF is 0. 2). 1).(2) Since X is Gaussian (0. P [−1 < Y ≤ 1] = FY (1) − FY (−1) 1 −1 = − σY σY (3) =2 1 − 1 = 0. (2) P[X < 1] = FX (1− ) = 1/2.

FX (x) = 1 for x ≥ 2 since its always true that x ≤ 2. ⎨ 0 2 /4 0 ≤ y < 1. because Y ≤ 1. FX (x) = x−x ⎩ 1 x > 2. Finally. 19 . Also. FY (y) = 1 for all y ≥ 1. FX (x) = x −∞ f X (y) dy = 0 x (1 − y/2) dy = x − x 2 /4.5 0 −1 X 0 1 x 2 3 ⎧ x < 0. we obtain the PDF f Y (y).25 f Y (y) = 1 − y/2 + (1/4)δ(y − 1) 0 ≤ y ≤ 1 0 otherwise Y (6) Quiz 3.8 (1) P[Y ≤ 6] = 6 −∞ f Y (y) dy = 6 0 (1/10) dy = 0. Y is also nonnegative. the PDF is zero. (5) 0. Also. Lastly. Note that when y < 0 or y > 1.5 0 −1 0 1 y 2 3 1 y 2 3 ⎧ y < 0.5 0 −1 Y (4) 0 As expected. ⎨ 0 2 /4 0 ≤ x ≤ 2. (1) The complete CDF of X is 1 F (x) 0. Using the CDF FX (x). FX (x) = 0 for x < 0. 1. we see that the jump in FY (y) at y = 1 is exactly equal to P[Y = 1]. for 0 ≤ x ≤ 2. for 0 < y < 1.6 . FY (y) = y−y ⎩ 1 y ≥ 1.(1) Since X is always nonnegative. FY (y) = P [Y ≤ y] = P [X ≤ y] = FX (y) . (3) (3) Since X is nonnegative. Thus FY (y) = 0 for y < 0.5 f (y) 1 0. (4) By taking the derivative of FY (y). the complete expression for the CDF of Y is 1 F (y) 0. (2) (2) The probability that Y = 1 is P [Y = 1] = P [X ≥ 1] = 1 − FX (1) = 1 − 3/4 = 1/4.

m) generates the vector t. we can calculate the conditional expectation E [Y |Y ≤ 6] = ∞ −∞ y f Y |Y ≤6 (y) dy = 6 0 y dy = 3. 0 otherwise. (3) (5) From the conditional PDF f Y |Y ≤6 (y).15. In this case the command t=2. end end A second method exploits the fact that if T is an exponential (λ) random variable.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. 1/2 8 < y ≤ 10. 6 (4) (6) From the conditional PDF f Y |Y >8 (y). 1/6 0 ≤ y ≤ 6. x=exponentialrv(lambda. while (i<m). 20 . we can calculate the conditional expectation E [Y |Y > 8] = ∞ −∞ y f Y |Y >8 (y) dy = 10 8 y dy = 9. = otherwise. 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 ≤ 6.2 .lambda=1/3. 0 otherwise. then T = T + 2 has PDF f T (t) = f T |T >2 (t). 10 (2) (4) From Deﬁnition 3. 2 (5) Quiz 3. i=i+1.1). = otherwise.(2) From Deﬁnition 3. if (x>2) t(i+1)=x. Here is a M ATLAB function that uses this method: function t=t2rv(m) i=0.1).0+exponentialrv(1/3.15. the conditional PDF of Y given Y > 8 is f Y |Y >8 (y) = f Y (y) P[Y >8] 0 y > 8. t=zeros(m. (1) 1 dy = 0.

3) = 0.06 + 0.78 21 . ∞) = P[X ≤ ∞.Y (∞. we can calculate the requested probabilities by summing the PMF over those values of Q and G that correspond to the event. Quiz 4. Y ≤ −∞] = 0 since Y cannot take on the value −∞.1. 2) = P[X ≤ −∞. This result is given in Theorem 4. (1) FX. (2) FX. Y ≤ y] = P[Y ≤ y] = FY (y).18 + 0.6 (2) The probability that Q = G is P [Q = G] = PQ.Y (∞.G (0. 1) = 0.16 + 0.G (q.Y (−∞.08 = 0. 1) + PQ. 0) + PQ. g) (6) (7) = 0.24 + 0.G (1.2 From the joint PMF of Q and G given in the table. (4) FX. Y ≤ 2] ≤ P[X ≤ −∞] = 0 since X cannot take on the value −∞.18 + 0. (3) FX. g) (4) (5) = 0.08 = 0.G (0. 2) + PQ. (1) The probability that Q = 0 is P [Q = 0] = PQ.24 + 0. y) = P[X ≤ ∞. Y ≤ ∞] = 1.G (0.Quiz Solutions – Chapter 4 Quiz 4.12 = 0.G (0.6 (4) The probability that G > Q is 1 3 P [G > Q] = q=0 g=q+1 PQ.Y (∞.24 + 0.12 + 0. −∞) = P[X ≤ ∞. 0) + PQ.16 + 0.G (0.1 Each value of the joint CDF can be found by considering the corresponding probability.G (q.18 (3) The probability that G > 1 is 3 1 (1) (2) (3) P [G > 1] = g=2 q=0 PQ.12 + 0.

1 0.5 0.B (h. y = r sin θ and d x d y = r dr dθ . 2 0 0 2 1 f X. we convert to polar coordinates using the substitutions x = r cos θ .2 0.B (h.2 h=0 h=1 0.2.1 0.Quiz 4.Y (x. b) (2) For each value of b.3.6 0.Y (x.2 0. we write P [A] = A y dy = (c/4)y 2 f X. y) d x d y (4) To integrate over A. 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 .4 To ﬁnd the constant c. y) d x d y = 1. this corresponds to calculating the row sum across the table of the joint PMF. 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. b) (1) For each value of h. the marginal PMF of B is 1 PB (b) = h=−1 PH. we apply ∞ ∞ −∞ −∞ ∞ ∞ −∞ −∞ (3) f X.4 PH. To calculate P[A]. The easiest way to calculate these marginal PMFs is to simply sum each row and column: PH. Speciﬁcally.3 By Theorem 4.1 0 0.Y (x.B (h. the marginal PMF of H is PH (h) = b=0.1 0 0. Similarly. b) b = 0 b = 2 b = 4 PH (h) h = −1 0 0.3 Quiz 4. this corresponds to the column sum down the table of the joint PMF.2 PB (b) 0.4 0.

2 t = 270 ⎪ ⎪ ⎪ ⎪ 0. 400 0. 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. the complete expression for the PDF of Y is f Y (y) = Quiz 4. 776.05 t = 180 ⎪ ⎪ ⎪ 0.8. For each pair of values of L and B.05 (T =18) 0.20 (T =36) 0.10 (T =24) 0. f Y (y) = = ∞ −∞ 6 1 f X. f X (x) = 0.05 (T =180) 0. We can write these down on the table for the joint PMF of L and B as follows: PL .Y (x. 90 ⎪ ⎪ ⎨ 0.5 By Theorem 4.1 t = 120 PT (t) = ⎪ 0. 000 b = 14.6 (A) The time required for the transfer is T = L/B. b) l = 518. 592.10 (T =360) b = 28.00 (T =540) b = 21.Y (x.B (l. ⎧ ⎪ 0. For 0 ≤ y ≤ 1. For 0 ≤ x ≤ 1. writing down the PMF of T is straightforward.1 t = 360 ⎪ ⎪ ⎩ 0 otherwise 23 (1) .10 (T =120) 0.1 t = 24 ⎪ ⎪ ⎪ ⎪ 0. 000 l = 7.2 t = 36. 600 0. 800 0.20 (T =90) 0.20 (T =270) (3 + 6y 2 )/5 0 ≤ y ≤ 1 0 otherwise (6) From the table. we can calculate the time T needed for the transfer.05 t = 18 ⎪ ⎪ ⎪ 0.Quiz 4. the marginal PDF of X is f X (x) = ∞ −∞ f X. 400 l = 2. 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 . y) dy (1) For x < 0 or x > 1.

15 0.5) + 3(0.25) = 4.5 0.2 0. Speciﬁcally.25) + 22 (0.1 0. Thus f W (0) = 0 and f W (1) = 1. PL .4 PL (l) 0. The calculus is simpler if we integrate over the region X Y > w.25 (7) (8) (1) (2) (3) . we ﬁnd the PDF is ⎧ 0 w<0 d FW (w) ⎨ f W (w) = = − ln w 0 ≤ w ≤ 1 ⎩ dw 0 w>1 Quiz 4.7 (A) It is helpful to ﬁrst make a table that includes the marginal PMFs.T (l. For 0 < w < 1. 24 t = 40 0.5.15 0. integrating over the region W ≤ w is fairly complex.25) + 2(0. we calculate the CDF FW (w) = P[W ≤ w]. we observe that since 0 ≤ X ≤ 1 and 0 ≤ Y ≤ 1. t) l=1 l=2 l=3 PT (t) (1) The expected value of L is E [L] = 1(0.3 0. W = X Y satisﬁes 0 ≤ W ≤ 1. 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.(B) First.5.5) + 32 (0.25) = 2.6 t = 60 0.25 0. As shown below. the variance of L is Var [L] = E L 2 − (E [L])2 = 0.1 0. Since the second moment of L is E L 2 = 12 (0.

Thus Var[T ] = E T 2 − (E [T ])2 = 2400 − 482 = 96.4) = 2400.T = 0.15) + 2(40)(0. f X (x) = ∞ −∞ f X. (11) (B) As in the discrete case.2) + 3(60)(0. T ] = E [L T ] − E [L] E [T ] = 96 − 2(48) = 0 (5) Since Cov[L .15) + 1(60)(0. the covariance of L and T is Cov [L . 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.1) = 96 (4) From Theorem 4. (3) The correlation is 3 (4) (5) (6) E [L T ] = t=40. it is straightforward to calculate the various expectations.60 l=1 lt PL T (lt) (7) (8) (9) (10) = 1(40)(0. f Y (y) = ∞ −∞ f X. for 0 ≤ y ≤ 2. the calculations become easier if we ﬁrst calculate the marginal PDFs f X (x) and f Y (y). For 0 ≤ x ≤ 1. y) dy = 0 2 1 x y dy = x y 2 2 y=2 = 2x y=0 (12) Similarly. the correlation coefﬁcient is ρ L .1) + 2(60)(0.3) + 3(40)(0.6) + 602 (0.16(a). The second moment of T is E T 2 = 402 (0.6) + 60(0.(2) The expected value of T is E [T ] = 40(0. T ] = 0. 25 .4) = 48.Y (x.Y (x.

t) = 26 PL . (3) The correlation of X and Y is E [X Y ] = = ∞ ∞ −∞ −∞ 1 2 2 2 0 0 x y f X. P [A] = P [V > 80] = PL . T ) = (3. 60). 40) + PL . dy = 3 y3 3 = 0 8 9 (21) (4) The covariance of X and Y is Cov [X. (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.T (3.t) P[A] (1) 0 lt > 80 otherwise (2) . 60). (22) (5) Since Cov[X. 40) and (L . 60) + PL . 60) = 0.T |A (l.T (l. Quiz 4. dy 1 0 (20) 2 x3 x y d x.T (2.T (3.45 By Deﬁnition 4. Y ] = 0.8 (A) Since the event V > 80 occurs only for the pairs (L .(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 ] = E [X Y ] − E [X ] E [Y ] = 2 8 − 9 3 4 3 = 0.Y = 0. T ) = (3. the correlation coefﬁcient is ρ X.9. y) d x.Y (x. PL . T ) = (2.

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

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

25*ones(4.1)).px.3. y=ceil(x. we can generate a sample value of Y with a discrete uniform (1. Y has a discrete uniform (1.*rand(m. 4) PMF. and an independent uniform (0. x) PMF. x 0 otherwise (1) Given X = x. .Quiz 4. . 32 . x=finiterv(sx. Instead. we use an alternate approach. 0 otherwise.y’]. x) PMF via Y = xU . PY |X (y|x) = 1/x y = 1. 4. px=0. That is. . 3. Also. PX (x) = 1/4 x = 1. First we observe that X has the discrete uniform (1.1).m). 2.2. This observation prompts the following program: function xy=dtrianglerv(m) sx=[1. . given X = x. xy=[x’. 1) random variable U .28.4].12 One straightforward method is to follow the approach of Example 4.

. y2 . Y2 = y2 . x3 ) = f X 1 .X 3 (x2 . 6 d x2 = 6(x3 − x1 ).X 3 (x1 . for y1 . PY (y) = P [Y1 = y1 . (1) (2) (3) x2 x2 0 x3 x1 In particular.} 0 otherwise (5) Quiz 5. X 2 − X 1 = y2 . y3 ∈ {1. 2.1 We ﬁnd P[C] by integrating the joint PDF over the region of interest. P [C] = 0 1/2 y2 1/2 y4 dy2 0 1/2 dy1 0 dy4 0 1/2 4dy3 = 1/4. Y2 = X 2 − X 1 and Y3 = X 3 − X 2 .}. 6 d x1 = 6x2 . . . X 3 = y3 + y2 + y1 ] = (1 − p)3 p y1 +y2 +y3 (1) (2) (3) (4) By deﬁning the vector a = 1 1 1 .X 3 (x1 . . x2 ) = f X 2 . . we have f X 1 . Y3 = y3 ] = P [X 1 = y1 . (1) (2) =4 0 y2 dy2 0 y4 dy4 Quiz 5. y3 ∈ {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. Y1 = X 1 . x2 ) = 0 unless 0 ≤ x 1 ≤ x2 ≤ 1. f X 2 . and that f X 1 . . x3 ) = 0 unless 0 ≤ x 1 ≤ 33 . 2. Speciﬁcally. each Yi must be a strictly positive integer. we must keep in mind that f X 1 .X 2 (x1 . Within these constraints.X 3 (x2 . the complete expression for the joint PMF of Y is PY (y) = (1 − p) p a y y1 . Thus. Since 0 < X 1 < X 2 < X 3 . x3 ) = 0 unless 0 ≤ x2 ≤ x3 ≤ 1. x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X (x) d x3 = f X (x) d x1 = f X (x) d x2 = 1 6 d x3 = 6(1 − x2 ). X 2 = y2 + y1 .2 By deﬁnition of A.X 2 (x1 .Quiz Solutions – Chapter 5 Quiz 5. y2 . X 3 − X 2 = y3 ] = P [X 1 = y1 .

x3 ≤ 1. w) = 4 0 ≤ v1 ≤ v2 ≤ 1.X 3 (x2 . f X 1 (x1 ) = f X 2 (x2 ) = f X 3 (x3 ) = ∞ −∞ ∞ −∞ ∞ −∞ f X 1 .4 In the PDF f Y (y).X 3 (x2 . the components have dependencies as a result of the ordering constraints Y1 ≤ Y2 and Y3 ≤ Y4 . 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. Y2 W= Y3 . x2 ) d x2 = f X 2 .X 2 (x1 .X 2 (x1 .W (v.X 3 (x2 . When 0 ≤ xi ≤ 1 for each xi . 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. 0 ≤ w1 ≤ w2 ≤ 1 0 otherwise (2) Y1 . x2 ) = f X 2 . x3 ) = f X 1 . Y4 (1) 34 . 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.X 3 (x1 .

. . X 2 is a binomial (5.1)x3 x1 + x2 + x3 = 5. 0. Similarly. .6 and p3 = 0. the vector X = X 1 X 2 X 3 indicating the number of outcomes of each subexperiment has the multinomial PMF ⎧ 5 ⎨ x1 . 1. . 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 . .x2 .3. w) = f V (v) f W (w). f V (v) = = 0 1 f V.5 (A) Referring to Theorem 1.We must verify that V and W are independent.W (v. 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. 5} ⎩ 0 otherwise We can ﬁnd the marginal PMF for each X i from the joint PMF PX (x). x2 .6)x2 (0.1. A and R. f W (w) = = 4(1 − w1 ) dw1 = 2 f V. . each test is a subexperiment with three possible outcomes: L. conﬁrming that V and W are independent vectors. for 0 ≤ w1 ≤ w2 ≤ 1. Quiz 5. 0.3) random variable. If we view each test as a trial with success probability P[L] = 0. . 1.6) random variable and X 3 is a binomial (5.W (v.W (v. p2 = 0. x3 ∈ {0. 5 0 otherwise 35 5 x (2) . For 0 ≤ v1 ≤ v2 ≤ 1. we see that X 1 is a binomial (n. In ﬁve trials. . p) = (5. 0 otherwise f W (w) = 2 0 ≤ w 1 ≤ w2 ≤ 1 0 otherwise (8) It is easy to verify that f V. PX i (x) = pix (1 − pi )5−x x = 0. That is. 0. PX (x) = (1) x1 .3)x1 (0. w) dw1 dw2 1 w1 1 0 (3) (4) (5) 4 dw2 dw1 = Similarly.19.3. for p1 = 0.x3 (0.1) random variable.

1) 5![0. (1) (2) (3) E [X 2 ] = 0 1 E [X 3 ] = 0 1 To ﬁnd the correlation matrix R X .1)2 + 0.From the marginal PMFs. .32 (0. or X 3 = w occurs.486 PW (4) = PX 1 (4) + PX 2 (4) + PX 3 (4) = 0. PW (0) = PW (1) = 0. 6x 2 (1 − x) d x = 1/2. w = 4. Hence. we can apply Theorem 5.6)2 (0.0802 (B) Since each Yi = 2X i + 4.3(0.1458 = (3) (4) (5) In addition.1)] 2!2!1! = 0.288 PW (5) = PX 1 (5) + PX 2 (5) + PX 3 (5) = 0.10 to write f Y (y) = y1 − 4 y2 − 4 y3 − 4 1 . X 2 = w. we see that X 1 . the constraints on y resulting from the constraints 0 ≤ X 1 ≤ X 2 ≤ X 3 can be much more complicated. Thus. X 2 and X 3 are not independent. we need to ﬁnd E[X i X j ] for all i and j. for w = 3.32 (0.6)(0. since X 1 + X 2 + X 3 = 5 and since each X i is non-negative.1)2 + 0. 2. 3x 3 d x = 3/4.3: E [X 1 ] = 0 1 ∞ −∞ x f X i (x) d x of µ X . PW (3) = PX 1 (3) + PX 2 (3) + PX 3 (3) = 0. we must use Theorem 5. In particular. 2) + PX (2.6 We start by ﬁnding the components E[X i ] = the marginal PDFs f X i (x) found in Quiz 5.6 to ﬁnd the PMF of W . and w = 5. the event W = w occurs if and only if one of the mutually exclusive events X 1 = w. PW (2) = PX (1. 2. Furthermore. Quiz 5. we use 3x(1 − x)2 d x = 1/4. 1. We start with 36 . To do so.6)2 (0. f 3 X 2 2 2 2 (1/8)e−(y3 −4)/2 4 ≤ y1 ≤ y2 ≤ y3 = 0 otherwise (9) (10) (6) (7) (8) Note that for other matrices A. 2) + PX (2.

6x 3 (1 − x) d x = 3/10. 1 x2 1 0 2 6x2 x3 d x3 d x2 x1 x2 f X 1 .3. (4) (5) (6) 2 E X2 = 2 E X3 = 1 0 1 0 Using marginal PDFs from Quiz 5. x2 ) .X 2 (x1 . 3x 4 d x = 3/5. 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. 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 . Summarizing the results. X has correlation matrix ⎡ ⎤ 1/10 3/20 1/5 R X = ⎣3/20 3/10 2/5⎦ . 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⎦ . 1/4 3/8 ⎦ = 80 1 2 3 3/8 9/16 (17) (18) . x3 =1 x3 =x1 = 0 1 3 2 2 (2x1 x3 − 3x1 x3 ) d x1 = 0 1 2 4 [2x1 − 3x1 + x1 ] d x1 = 1/5.

Here is the long format output: >> format long >> julytemps([70 75 80 85 90 95]) ans = Columns 1 through 4 0. Next we calculate Var[Y ].16 tells us that Y is a 1 dimensional Gaussian vector. [D1 D2]=ndgrid((1:31).0000 1.0.0221 0. The expected value of Y is µY = µT = 80. Since T is a Gaussian random vector. we observe that Y = AT where A = 1/31 1/31 · · · 1/31 . by Theorem 5.99997155736872 0.0000 Note that P[T ≤ 70] is not actually zero and that P[T ≤ 90] is not actually 1. Var[Y ] = ACT A .16. CT=36.0000. Its just that the M ATLAB’s short format output.(1:31)).e. A=ones(31. Thus. 1 −1 1 2 (2) Quiz 5.8 First.7 We observe that X = AZ + b where A= 2 1 . or CT . function p=julytemps(T). p=phi((T-80)/sqrt(CY)).1)/31. 0 (1) It follows from Theorem 5. rounds off those probabilities.99999999922010 0. Quiz 5.9779 1.m. 1 −1 b= 2 .This problem shows that even for fairly simple joint PDFs.97792616932396 38 . The covariance matrix of Y is 1 × 1 and is just equal to Var[Y ]. i. In julytemps. Here is the output of julytemps. invoked with the command format short. computing the covariance matrix by calculus can be a time consuming task.50000000000000 0.18 that µ X = b and that C X = AA = 2 1 1 −1 2 1 5 1 = . The ﬁnal step is to use the (·) function to calculate P[Y < T ]. CY=(A’)*CT*A.0000 0. Theorem 5.m: >> julytemps([70 75 80 85 90 95]) ans = 0./(1+abs(D1-D2)).02207383067604 Columns 5 through 6 0..00002844263128 0. just a Gaussian random variable.5000 0. the ﬁrst two lines generate the 31 × 31 covariance matrix CT.

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

the random variables K 1 . K n denote a sequence of iid random variables each with PMF PK (k) = 1/4 k = 1. . the expected value of Wn is E [Wn ] = E [K 1 ] + · · · + E [K n ] = n E [K i ] = 2. By Theorem 6. That is.5n (5) Since the rolls are independent.5)2 = 1.5 Thus the variance of K i is Var[K i ] = E K i2 − (E [K i ])2 = 7. Hence.25 Since E[K i ] = 2.25n Quiz 6.5. .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. Var[Wn ] = Var[K 1 ] + · · · + Var[K n ] = 1.Quiz Solutions – Chapter 6 Quiz 6. . W = X + Y is nonnegative.5. we note that the ﬁrst two moments of K i are E [K i ] = (1 + 2 + 3 + 4)/4 = 2. . . by Theorem 6. 4 0 otherwise (1) We can write Wn in the form of Wn = K 1 + · · · + K n .3. For w > 0. .1 Let K 1 . . . f W (w) = e−3w e y w 0 = 6 e−2w − e−3w (3) Since f W (w) = 0 for w < 0. First. the variance of the sum equals the sum of the variances.5 − (2. . . 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 . a conmplete expression for the PDF of W is f W (w) = 6e−2w 1 − e−w 0 w ≥ 0. this integral is easy to evaluate. . K n are independent. otherwise.5 E K i2 = (12 + 22 + 32 + 42 )/4 = 7. .

2(es + 4e2s + 9e3s + 16e4s ) s=0 s=0 =6 = 20 = 70. Theorem 6.Quiz 6. Thus to ﬁnd the PDF of W .2(es + 8e2s + 27e3s + 64e4s ) s=0 s=0 = 0.10 says that W is a Gaussian random variable.2)esk = 0. 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) . we need only ﬁnd the expected value and variance.3 The MGF of K is 4 φ K (s) = E es K == k=0 (0.8 (4) (5) (6) (7) = 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. 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.2 1 + es + e2s + e3s + e4s (1) We ﬁnd the moments by taking derivatives.2(1 + 2 + 3 + 4) = 2 s=0 (2) (3) To ﬁnd higher-order moments. The ﬁrst derivative of φ K (s) is d φ K (s) = 0.2(es + 16e2s + 81e3s + 256e4s ) s=0 s=0 Quiz 6. 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 + 2e2s + 3e3s + 4e4s ) ds Evaluating the derivative at s = 0 yields E [K ] = d φ K (s) ds = 0.

12. we see that R has the MGF of an exponential (1/5) random variable.5 (1) From Table 6. (3) (2) From Table 6.6 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 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 . 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 .1. we can use Math Fact B. 1−s φ N (s) = 1 s 5e . 42 . 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. 1 − 4 es 5 (1) From Theorem 6.Since the α j X j are independent.1. we can write the PDF of W as f W (w) = 1 2 2π σW e−w 2 /2σ 2 W (7) Quiz 6.

1 to estimate P [A < 48] = P 48 − E [A] A − E [A] < σA σA 48 − 72 ≈ 12 = 1 − (2) = 1 − 0.1 to look up (0.0227 (10) (11) (12) 43 . (3) Using X i to denote the access time of block i.5987 = 0. we use the central limit theorem and Table 3.Quiz 6.25). we can write A = X 1 + X 2 + · · · + X 12 Since the expectation of the sum equals the sum of the expectations. Var[A] = Var[X 1 ] + · · · + Var[X 12 ] = 12 Var[X ] = 144 Hence. the standard deviation of A is σ A = 12 (5) To use the central limit theorem. E [A] = E [X 1 ] + · · · + E [X 12 ] = 12E [X ] = 72 msec (4) Since the X i are independent. we write P [A > 75] = 1 − P [A ≤ 75] 75 − E [A] A − E [A] ≤ =1− P σA σA 75 − 72 ≈1− 12 = 1 − 0.6 (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 = 12.9773 = 0. (6) (7) (8) (9) (5) (4) (3) (6) Once again.4013 Note that we used Table 3.

5 − 36 30 − 0.1 yields P [30 ≤ K 48 ≤ 42] ≈ Recalling that (−x) = 1 − 42 − 36 − 3 (x). 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. X 2 .16666) − 1 = 0.66 × 10−5 √ 12 12 (3) 44 . The arrival time of the third train is W = X 1 + X 2 + X 3.7 Random variable K n has a binomial distribution for n trials and success probability P[V ] = 3/4. (3) Using the ordinary central limit theorem and Table 3. X 3 are iid exponential (λ) random variables. we found that the sum of three iid exponential (λ) random variables is an Erlang (n = 3.11.Quiz 6. λ) random variable. P [W > 20] = P √ W −6 20 − 6 > √ ≈ Q(7/ 3) = 2. From Appendix A. (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 = 3.9545 (4) Since K 48 is a discrete random variable. (1) In Theorem 6. we have (3) 30 − 36 3 = (2) − (−2) (2) (1) P [30 ≤ K 48 ≤ 42] ≈ 2 (2) − 1 = 0.9687 (4) (5) Quiz 6. (1) The expected number of voice calls out of 48 calls is E[K 48 ] = 48P[V ] = 36.8 The train interarrival times X 1 . we can use the De Moivre-Laplace approximation to estimate P [30 ≤ K 48 ≤ 42] ≈ 42 + 0.

(2) To use the Chernoff bound. P [W > 20] = 1 − FW (20) = e−10 1 + 10 102 + 1! 2! = 61e−10 = 0. PW=PX.SY]=ndgrid(sx.sy). 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.sw). py=duniformpmf(0. By contrast.’\itP_W(w)’).PY]=ndgrid(px. A graph of the PMF PW (w) appears in Figure 2 With some thought.sy). the Central Limit Theorem approximation grossly underestimates the true probability.0338 s=7/20 (7) (3) Theorem 3.m sx=0:100. Quiz 6. pmfplot(sw. sw=unique(SW).py). the CDF of the Erlang (λ.’\itw’.pw. [SX. pw=finitepmf(SW. 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 . [PX. px=binomialpmf(100.100.sx). Applying s = 7/20 into the Chernoff bound yields P [W > 20] ≤ e−20s (1 − 2s)3 = (10/3)3 e−7 = 0.9 One solution to this problem is to follow the approach of Example 6. SW=SX+SY.11 says that for any w > 0. for λ = 1/2 and w = 20.sy=0:100.0028 (9) (10) Although the Chernoff bound is relatively weak in that it overestimates the probability by roughly a factor of 12. it is a valid bound. it should be apparent that the finitepmf function is implementing the convolution of the two PMFs.19: %unifbinom100.*PY.0. 3) random variable W satisﬁes 2 (λw)k e−λw FW (w) = 1 − (8) k! k=0 Equivalently.PW.5. 45 .

the PMF PW (w) of the independent sum of a binomial (100.008 PW(w) 0.9.0.002 0 0 20 40 60 80 100 w 120 140 160 180 200 Figure 2: From Quiz 6.006 0.004 0. 0.01 0. 46 . 100) random variable.5) random variable and a discrete uniform (0.

µW = E X 2 Var[W ] 100 (1) = 1 −1 1 −1 x 2 f X (x) d x = 1/3 x 4 f X (x) d x = 1/5 (2) (3) E W2 = E X4 = Therefore Var[W ] = E[W 2 ] − µ2 = 1/5 − (1/3)2 = 4/45 and the mean square error is W 4/4500 = 0. Observe that V100 (X ) = M100 (W ). and Var[W ] = 3 Var[X i ] = 225.6.2 The arrival time of the third elevator is W = X 1 + X 2 + X 3 . the mean square error is E (M100 (W ) − µW )2 = Observe that µ X = 0 so that W = X 2 .Quiz Solutions – Chapter 7 Quiz 7.000889. (30 − 0)2 Var [X i ] = = 75. By Theorem 7.1 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. P [W > 75] ≤ (2) By the Chebyshev inequality. Thus. Hence. 47 . 30). (1) E [X i ] = 15. By Theorem 7. 12 Thus E[W ] = 3E[X i ] = 45. Mn (X ) has variance Var[Mn (X )] = 1/n. (1) By the Markov inequality.1. we need n = 100 samples. Since each X i is uniform (0. Quiz 7.3 Deﬁne the random variable W = (X − µ X )2 .

95 (3) p(1 − p) √ for every value of p.25)(2. Since p(1 − p) ≤ 1/4 for all p.13 which says that the interval estimate Mn (X ) − c ≤ p ≤ Mn (X ) + c (1) has conﬁdence coefﬁcient 1 − α where α =2−2 √ c n .65 0. we generate m = 1000 sample paths. i.65 p(1 − p). we require that 1.01. the number of trials in each trace. we have α ≤ 0.41 0. then the 0.9 conﬁdence interval estimate of p is 0.4. The interval is wide because the 0.4 Assuming the number n of samples is large.3355 ≤ p ≤ 0. p(1 − p) (2) We must ensure for every value of p that 1 − α ≥ 0. we can use a Gaussian approximation for Mn (X ). Quiz 7.99 conﬁdence interval estimate is 0.m.99 conﬁdence interval.645 0. OK(k) counts the fraction of sample paths that have sample mean within one standard error of p.58 p(1 − p).58)/ n. we must satisfy c n ≥ 1. 48 (7) (6) . 4 n n The 0.645 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ .41 Mn (X ) − √ ≤ p ≤ Mn (X ) + √ . n n Note that if M100 (X ) = 0. the 0.4645. we require that ≥ c ≥ (0. Equivalently. The program bernoullisample. Since p(1 − p) ≤ 1/4 for all p.5 Following the approach of bernoullitraces.41 c≥ √ = √ . n n (5) (4) √ For the 0.99 conﬁdence interval estimate is 0.e.9 or α ≤ 0. we must have √ c n ≥ 0.m generates graphs the number of traces within one standard error as a function of the time. we apply Theorem 7. Since (x) is an increasing function of x. implying (c n/( p(1− p))) ≥ 0.1. at time k. SinceE[X ] = p and Var[X ] = p(1 − p).99 conﬁdence is high. √ This implies c n√ 2. In this case.995. each sample path having n = 100 Bernoulli traces.Quiz 7.

49 .5 0.p).2./sqrt((1:n)’). stderr=sqrt(p*(1-p)).function OK=bernoullisample(n.68.2)/m. The unusual sawtooth pattern.m). as m gets large.5): 1 0.9 0. MN=cumsum(x).’-s’).m.5. stderrmat=stderr*ones(1. the fraction of traces within one standard error approaches 2 (1) − 1 ≈ 0.5000. is examined in Problem 7.4 0 10 20 30 40 50 60 70 80 90 100 As we would expect.6 0.m*n)./nn. though perhaps unexpected. OK=sum(abs(MN-p)<stderrmat.m).OK.7 0.8 0. nn=(1:n)’*ones(1.0. The following graph was generated by bernoullisample(100.n. x=reshape(bernoullirv(p.m). plot(1:n.

X 2 ≤ x. From Theorem 8. . 1. 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.01)1/15 = 1. the MAP and ML tests are the same. 1. .1 From the problem statement. 975.33. This rule simpliﬁes to 106 − 104 k ∈ A0 if k ≤ k = = 214. then we accept hypothesis H1 . otherwise k = 0. A reasonable choice is to reject the hypothesis if X is too small. 50 . .33 Hence. 976 photons. .6. let R = {X ≤ r }. .2 From the problem statement.01. Quiz 8. . then we reject the hypothesis.7. 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) .01 It is straightforward to show that r = − ln 1 − (0. . (3) k ∈ A1 otherwise. For a signiﬁcance level of α = 0. .Quiz Solutions – Chapter 8 Quiz 8. That is. X 15 obeys FX (x) = P [X ≤ x] = P [X 1 ≤ x. we obtain α = P [X ≤ r ] = (1 − e−r )15 = 0. This implies that for x ≥ 0. (4) Thus if we observe at least 214. . if we observe X < 1. · · · . the CDF of the maximum of X 1 . X 15 ≤ x] = [P [X i ≤ x]]15 . we must choose a rejection region for X . . ln 100 ∗ k ∈ A1 otherwise. 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. otherwise (1) (2) 0 Since the two hypotheses are equally likely.

’-k’.4 To generate the ROC. E/2 + N2 > 0 (1) Because of the symmetry of the signals. legend(’\it d=0.T(:)). This implies the probability of a correct decision is P[C] = P[C|H0 ]. FM2=sqdistroc(v..2).’\it d=0.2). the probability 2 PERR = 1 − P [C] = 1 − E 2σ 2 (5) Quiz 8.d. loglog(FM1(:. Since N1 and N2 are iid Gaussian (0. [XX.1.. 51 . it is easier to calculate the probability of a correct decision.1)). X 2 > 0|H0 ] = P E/2 + N1 > 0.’--k’.3.m.m. Next.T).T).FM2(:.T).1). FM2(:.. FM=[P10(:) P01(:)]. P[C|H0 ] = P[C|Hi ] for all i.m. we have P[C] = 2( E/2σ 2 ). FM=[FM1 FM2 FM5].ˆ2)>TT). FM5=sqdistroc(v.1’.ˆ2)< TT).’:k’). P10=sum((XX+d*(XX.3 For the QPSK system. ’\it d=0. a symbol error occurs when si is transmitted but (X 1 . Equivalently. x= -v+randn(m.0.1). FM5(:.m is essentially the same as sqdistor except the output is a matrix FM whose columns are the false alarm and miss probabilities.T) %square law distortion recvr %P(error) for m bits tested %transmit v volts or -v volts.m.1).FM5(:. σ ) random variables.2.1)/m. the program sqdistrocplot. N is Gauss(0. .2’. function FM=sqdistrocplot(v. the existing program sqdistor already calculates this miss probability PMISS = P01 and the false alarm probability PFA = P10 . xlabel(’P_{FA}’).FM1(:. X 2 ) ∈ A j for some j = i.1).1) %add d(v+N)ˆ2 distortion %receive 1 if x>T. %add N volts.. Here is the modiﬁed code: function FM=sqdistroc(v.m calls sqdistroc three times to generate a plot that compares the receiver performance for the three requested values of d. The modiﬁed program.m.0...T). P01=sum((XX+d*(XX. 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). Given H0 . .T(:)).Quiz 8.TT]=ndgrid(x.3’. [XX.3) ylabel(’P_{MISS}’).TT]=ndgrid(x. For a QPSK system. FM1=sqdistroc(v. otherwise 0 %FM = [P(FA) P(MISS)] x=(v+randn(m. the conditional probability of a correct decision is √ √ P [C|H0 ] = P [X 1 > 0.. sqdistroc.1)/m.0.2).

100000. sqdistrocplot(3.1:3. 10 0 10 −1 10 PMISS 10 10 −2 −3 −4 10 −5 d=0.T). sqdistrocplot(3. Figure 3: The receiver operating curve for the communications system of Quiz 8.4 with squared distortion. the commands T=-3:0. 52 . generated the plot shown in Figure 3.T).1 d=0.2 d=0.1:3.3 −5 10 10 −4 10 −3 10 PFA −2 10 −1 10 0 T=-3:0.100000.To see the effect of d.

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

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

R (x.6. 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. the MAP estimate of R given X = x is the value of r that maximizes f X. the above estimate will exceed 1000 m. then rMAP (−120) = 123.From the conditional PDF f X |R (x|r ). yielding log10 r = −1 − x/40 or rML (x) = (0.6 m. When the measured signal ˆ strength is not too low. This reﬂects the fact that large values of R are a priori more probable than small values. However. note that a typical ﬁgure for the signal strength might be x = −120 dB. r ) = f X |R (x|r ) f R (r ) = 106 32π 1 √ r e−(x+40+40 log10 r ) 2 /128 (5) From Theorem 9.6% larger than the ML estimate. which is not possible in our probability model. we observe that the joint PDF of X and R is f X.3 dB. This minimum occurs when the exponent is zero.R (x. R ≤ 1000 m. When x ≤ −156. 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. if x = −120dB. the complete description of the MAP estimate is rMAP (x) = ˆ 1000 x < −156. 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. we can use Deﬁnition 9. Setting the derivative of f X.3 −x/40 x ≥ −156.1236)10 (9) For example.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.R (x. That is. (6) rMAP (x) = arg max f X.R (x. the MAP estimate is 23. This corresponds to a distance estimate of rML (−120) = 100 m. for very low signal strengths. 55 . r ).1)10−x/40 m ˆ (3) (4) If the result doesn’t look correct. Hence.3 (0. the MAP estimate takes into account that the distance can never exceed 1000 m.

E[XW ] = E[X]E[W ] = 0.9 1.Quiz 9. E[WX ] = 0. we need to ﬁnd RY and RYX 2 .Y2 ) = 1 − L Cov [X 2 . we need to ﬁnd RYX 2 = E [YX 2 ] = E [Y1 X 2 ] E [(X 1 + W1 )X 2 ] = .1 (4) 1 1 = = 0. to compute the expected square error. This implies RY = E XX + E WW = RX + RW = In addition. the LMSE estimate of X 2 given Y2 is X 2 (Y2 ) = a ∗ Y2 + b∗ where a∗ = Cov [X 2 . −0.9 .0909 1.1 11 (5) (2) Since Y = X + W and E[X] = E[W] = 0. we calculate the correlation coefﬁcient ρ X 2 . −0.1 0 . Because µ X 2 = µY2 = 0.1 (9) .9 .9 1 RW = 0. (1) Because E[X] = E[Y] = 0. E [Y2 X 2 ] E [(X 2 + W2 )X 2 ] 56 (10) 1. (7) (8) Because X and W are independent.1 −0.4 ˆ (1) From Theorem 9. Note that X and W have correlation matrices RX = 1 −0.7.7.1 (2) (3) It follows that a ∗ = 1/1. Y2 ] . 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. Similarly. n = 2 and we wish to estimate X 2 given the observation vector Y = Y1 Y2 .4. 0 0.1 (6) In terms of Theorem 9.1.7. To apply Theorem 9. it follows that b∗ = 0. RY = E YY = E (X + W)(X + W ) = E XX + XW + WX + WW . Thus we can apply Theorem 9. 2 Cov [X 2 . it follows that E[Y] = 0. Var[Y2 ] b ∗ = µ X 2 − a ∗ µ Y2 . Finally. Y2 ] 1 =√ σ X 2 σY2 1.Y2 = The expected square error is 2 e∗ = Var[X 2 ](1 − ρ X 2 .

j) = c|i− j|−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. The mean square error is ˆ Var [X 2 ] − a RYX 2 = Var [X ] − a1rY1 . jth entry RW (i. The question we must address is what value c minimizes e∗ . Thus. ˆ a = R−1 RYX 2 = Y −0. X L (Y) = a Y where a = R−1 RYX .725 (12) Therefore.225 0. (11) 2 1 E X2 By Theorem 9.225Y1 + 0. This problem is atypical in that one does not usually get L 57 . E[W1 X 2 ] = E[W1 ]E[X 2 ] = 0 and E[W2 X 2 ] = 0.7.X 2 − a2rY2 .5 Since X and W have zero expected value. Y E[WX ] = 0 and E[X W ] = 0 . the optimum linear estimator of X 2 given Y1 and Y2 is ˆ ˆ X L = a Y = −0. This implies RYX = E [YX ] = E [(1X + W)X ] = 1E X 2 = 1. Thus.725Y2 . Since X and W are independent. 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. Y also has zero expected value.7.9 RYX 2 = = . by ˆ ˆ ˆ Theorem 9.Since X and W are independent vectors.X 2 = 0. (14) (13) Quiz 9. By the same reasoning.0725. Thus E[X 1 X 2 ] −0.

function [mse. In this case. when c is small.msec). the noises Wi have high variance and we would expect our estimator to be poor.to choose the correlation structure of the noise. msec=zeros(size(c)). xlabel(’c’). >> mquiz9minc(c) ans = 0. This would suggest that large values of c will also result in poor MSE. [msec(k).5 c 1 As we see in the graph. To ﬁnd the optimal value of c.4500 1 0. consider the extreme case in which every Wi and W j have correlation coefﬁcient ρi j = 1. 58 . we observe that Var[Wi ] = RW (i.1). function cmin=mquiz9minc(c). The following commands ﬁnds the minimum c and also produces the following graph: >> c=0. Note in mquiz9 that v1 corresponds to the vector 1 of all ones. 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. We note that the answer is not obviously apparent from Equation (7). cmin=c(optk).af]=mquiz9(c(k)). for k=1:length(c).6 0. RW=toeplitz(c.2 0 0. On the other hand. i) = 1/c. both small values and large values of c result in large MSE. end plot(c. mse=1-((v1’)*af).01:0. In particular. However.ylabel(’e_Lˆ*’). v1=ones(20. we will see that the answer is somewhat instructive. if c is large Wi and W j are highly correlated and the separate measurements of X are very dependent.8 e* L 0.ˆ((0:19)-1)). RY=(v1*(v1’)) +RW. [msemin.01:0. If this argument is not clear.4 0. Thus. our 20 measurements will be all the same and one measurement is as good as 20 measurements.99.optk]=min(msec). af=(inv(RY))*v1.af]=mquiz9(c).

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

Hence.2. a geometric random variable with success probability p has expected value 1/ p. the number of 1% resistors found has the binomial PMF PN (t) (n) = p n (1 − p)t−n n = 0. That is. T1 has the geometric PMF PT1 (t) = (1 − p)t−1 p t = 1. . each X i has PDF 1 2 f X (i) (x) = √ e−x /2 2π By Theorem 10.11. 1) random variable. the joint PDF of X = X 1 · · · X n is k (1) f X (x) = f X (1). (5) Note that once we ﬁnd the ﬁrst 1% resistor. . . t − 1 followed by a success on trial t.. This problem is easy if we view each resistor test as an independent trial.2) = 0. .8)4 (0. 1.1. xn ) = i=1 f X (xi ) = 1 2 2 e−(x1 +···+xn )/2 n/2 (2π ) (2) 60 . 9 otherwise (4) Since p = 0. independent of any other resistor. Consequently. . t 0 otherwise t n (3) (3) First we will ﬁnd the PMF of T1 . 2. . just as in Example 2. In this problem. . . E[T1 ] = 1/ p = 5..08192.5.4 Since each X i is a N (0.. the probability the ﬁrst 1% resistor is found in exactly ﬁve seconds is PT1 (5) = (0. T2 = T1 + T where T is independent and identically distributed to T1 .(2) In t seconds. . . . The ﬁrst 1% resistor is found at time T1 = t if we observe failures on trials 1. exactly t resistors are tested. . (4) From Theorem 2.X (n) (x1 . Thus E [T2 |T1 = 10] = E [T1 |T1 = 10] + E T |T1 = 10 = 10 + E T = 10 + 5 = 15 (5) (6) Quiz 10. 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. . .. . Each resistor is a 1% resistor with probability p. A success occurs on a trial with probability p if we ﬁnd a 1% resistor.

11. Since we count only evennumbered arrival for N (t). X (t) − X (s) = W (t) − W (s) √ α (1) Since W (t) − W (s) is a Gaussian random variable. . we note that for t > s. λ) random variable. the expected number of packets in each hour is E[Mi ] = α = 36. (2) Quiz 10. Theorem 3. 2. Thus N (t) is not a Poisson process. . Since one hour equals 3600 sec and the Poisson process has a rate of 10 packets/sec.M2 (m 1 .5 The ﬁrst and second hours are nonoverlapping intervals. . . 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 . 1. . Since s ≥ s . This implies M1 and M2 are independent Poisson random variables each with PMF PMi (m) = α m e−α m! 0 m = 0. . . we look at the interarrival times. denote the interarrival times of the N (t) process. Since X 1 and X 2 are independent exponential (λ) random variables. X (t) − X (s) is independent of X (s ) for all s ≥ s .7 First. the ith interarrival time of the N (t) process. 1. .6 To answer whether N (t) is a Poisson process. has the same PDF as Y1 (t). m 2 ) = PM1 (m 1 ) PM2 (m 2 ) = ⎪ ⎪ ⎩ 0 otherwise. Let X 1 . the joint PMF of M1 and M2 is ⎧ α m 1 +m 2 e−2α m 1 = 0. 1.13 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. Y1 is an Erlang (n = 2.Quiz 10. . . ⎪ m 1 !m 2 ! ⎪ ⎨ m 2 = 0. otherwise (1) Since M1 and M2 are independent. Quiz 10. 61 . see Theorem 6. . PM1 . the time until the ﬁrst arrival of the N (t) is Y1 = X 1 + X 2 . X 2 . Thus X (t) is a Brownian motion process with variance Var[X (t)] = t. 000. . we can conclude that the interarrival times of N (t) are not exponential random variables. . Since Yi (t). That is. .

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. . 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 .X nm (x1 .. (2) (3) (4) Quiz 10.. Since RY (t. . .X nm +k (x1 . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) Similarly. τ ) = E[Y (t)Y (t + τ )].. 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. n m and time offset k. . X 2 .8 First we ﬁnd the expected value µY (t) = µ X (t) + µ N (t) = µ X (t). for time instants n 1 + k.. . we observe that since X (t) and N (t) are independent and since N (t) has zero expected value. f X n1 .. f X n1 +k . . . τ ) + R N (t. (1) To ﬁnd the autocorrelation.. X 1 . . .. .. xm ) Since the random sequence is iid. E[X (t)N (t )] = E[X (t)]E[N (t )] = 0. . .. . is a stationary random sequence if for all sets of time instants n 1 . Quiz 10.9 From Deﬁnition 10. f X n1 .X nm (x1 . ... . n m + k.. .10 We must check whether each function R(τ ) meets the conditions of Theorem 10.X nm +k (x1 ... . .Quiz 10.. .. . τ ). we have RY (t. . . xm ) = f X (x1 ) f X (x2 ) · · · f X (xm ) We can conclude that the iid random sequence is stationary. . .14. (2) R2 (τ ) = e−τ also is valid. . .

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

namely arrivals and departures. check the state M(t). – If M(t) < c. Examine the head-of-schedule event. satisﬁes M(t) < c = 120. Quiz 10. increase the system state n by 1. admit the arrival. we must block the call. In particular. With the introduction of call blocking. 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. 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. do not schedule a departure event. reduce the system state n by 1. we cannot generate these vectors all at once. Otherwise. – If M(t) = c. where Sk is an exponential (λ) random variable. Start at time t = 0 with an empty system. • If the head of schedule event is a departure.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. 2.13 The simple structure of the switch simulation of Example 10. we know the system state cannot change until the next scheduled event. when an arrival occurs at time t. and schedule a departure to occur at time t + Sn . The system evolves via a sequence of discrete events. • When the head-of-schedule event is the kth arrival is at time t. the number of ongoing calls. when M(t) = c. an exponential (λ) random variable. The blocking switch is an example of a discrete event system. block the arrival. 64 . The logic of such a simulation is 1.13.28 admits a deceptively simple solution in terms of the vector of arrivals A and the vector of departures D. Schedule the ﬁrst arrival to occur at S1 . The program simply executes the event at the head of the schedule. we need to know that M(t). 3. Delete the head-of-schedule event and go to step 2. at discrete time instances.

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 = 0.1:5000. 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.m).0. we set m(i) to the current switch state.b]=simblockswitch(10.120. The complete program is shown in Figure 5. In most programming languages. In M ATLAB. [m. or event(i)=-1 if the ith scheduled event is a departure. In this case.Thus we know that M(t) will stay the same until then. In our simulation. The rest of the gap between 0.1. Thus this would account for only part of the disparity.000 minute full simulation produced a=49658 admitted calls and b=239 blocked calls. Note that in Chapter 12.0057. The 5. 65 .a. a kind of Markov chain. 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. However. One reason our simulation underestimates the blocking probability is that in a 5. 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. When the program is passed a vector t. A sample path of the ﬁrst 100 minutes of that simulation is shown in Figure 4. we use the vector t as the set of time instances at which we inspect the system state. generated a simulation lasting 5. plot(t. we will learn that the exact blocking probability is given by Equation (12. for very complicated systems.” From the Erlang-B formula.000 minutes.0048.0048 and 0. Nevertheless. the discrete event simulation is widely-used and often very efﬁcient simulation method. 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. event(i)=1 if the ith scheduled event is an arrival. we can calculate that the exact blocking probability is Pb = 0. Thus for all times t(i) between the current head-of-schedule event and the next. We can estimate the probability a call is blocked as b ˆ = 0.t).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. we will learn that the blocking switch is an example of an M/M/c/c queue. a result known as the “Erlang-B formula. (1) Pb = a+b In Chapter 12. The following instructions t=0:0. this says that roughly the ﬁrst two percent of the simulation time was unusual.93).

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

we can deduce that RY (τ ) = 1 e−|τ | by symmetry. the autocorrelation function of the output is RY (τ ) = ∞ −∞ ∞ h(u) −∞ h(v)δ(τ + u − v) dv du = ∞ −∞ h(u)h(τ + u) du (2) For τ > 0. we 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. we 2 can double check.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.Quiz Solutions – Chapter 11 Quiz 11. 67 . µY = µ X ∞ −∞ h(t)dt = 2 0 ∞ e−t dt = 2 (1) Since R X (τ ) = δ(τ ).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 variance of Yn is Var[Yn ] = E[Yn ] = RY [0] = 1.1 By Theorem 11. Just to be safe though. For τ < 0. RY (τ ) = Hence.2.

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 11.5. Quiz 11. 4 0 0 1 1 1 1 (2) (3) In this case.1 0 τ 0. each Yn has expected value E[Yn ] = µ X ∞ n=−∞ h n = 0.13 with µX = 0 and A = H. Moreover. we need to ﬁnd the covariance matrix CY .4 0. following Theorem 11. Thus E[Y] = 0. (1) Despite the fact that R X [k] is an impulse.x 10 8 0.5. RX = I. Since R X [n] = δn .3 By Theorem 11. Y = Y33 Y34 Y35 is a Gaussian random vector since X n is a Gaussian random process.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]. In this problem.1 0. Fo ﬁnd the PDF of the Gaussian vector Y. the identity matrix.2 −0. we obtain RY = HRX H .8. which equals the correlation matrix RY since Y has zero expected value. 68 . using Equation (1) is surprisingly tedious because we still need to sum over all i and j such that n + i − j = 0.6 and to use Theorem 11.6 SX(f) 0. by Theorem 11. One way to ﬁnd the RY is to observe that RY has the Toeplitz structure of Theorem 11. it is simpler to observe that Y = HX where X = X 30 X 31 X 32 X 33 X 34 X 35 and ⎡ ⎤ 1 1 1 1 0 0 1 H = ⎣0 1 1 1 1 0⎦ . or by directly applying Theorem 5.7.

1 0.81 X n−1 R X [2] = . X n+1 = Xn 0.9 1. (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).Thus ⎡ ⎤ 4 3 2 1 ⎣ 3 4 3⎦ . 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⎦ . the PDF of Y is f Y (y) = 1 (2π )3/2 [det (CY )]1/2 1 exp − y C−1 y .9 for the case of k = 1 and M = 2. C−1 = 16 ⎣−1/2 Y 1/12 −1/2 7/12 Thus. 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 .13 and to directly calculate ˆ (5) e∗ = E (X n+1 − X n+1 )2 .1 1 0.9 h = R−1 RXn X n+1 = Xn 0.9 R X [0] R X [1] = 0.9 R X [1] −1 (1) (2) The MMSE linear ﬁrst order ﬁlter for predicting X n+1 at time n is the ﬁlter h such that ← − 1.1 R X [1] R X [0] 0.1 0. In this case. Y Quiz 11. Xn = X n−1 X n and RXn = and RXn X n+1 = E 1. one approach is to follow the method of Example 11.81 81 = .9 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. X n+1 = 400 400 (4) to ﬁnd the mean square error.4 This quiz is solved using Theorem 11. L 69 .

Quiz 11. Consulting Table 11. 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 . 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 ).1. (13) L 0. we obtain Xn e∗ = R X [0] − RXn X n+1 R−1 RXn X n+1 L Xn ← − = R X [0] − h RXn X n+1 (11) (12) Note that this is essentially the same result as Theorem 9. In any case. the mean square error is 1 506 ← − 0. 70 . Since X n+1 = h Xn . we can derive the mean square error for an arbitary prediction ← − ˆ ﬁlter h.5 (1) By Theorem 11.7 by using the orthoginality property of the LMSE estimator. graphs of S X ( f ) and R X (τ ) appear in Figure 6. It is noteworthy that the result is derived in a much simpler way in the proof of Theorem 9. we see that observing X n−1 and X n improves the accuracy of our prediction of X n+1 .1 − = = 0.81 81 261 e∗ = R X [0] − h RXn X n+1 = 1.9 400 1451 recalling that the blind estimate would yield a mean square error of Var[X ] = 1.7 with Y = Xn .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.This method is workable for this simple problem but becomes increasingly tedious for higher order ﬁlters.3487.13(b). e∗ = E L ← − X n+1 − h Xn 2 (6) (7) (8) ← − ← − = E (X n+1 − h Xn )(X n+1 − h Xn ) ← − ← − = E (X n+1 − h Xn )(X n+1 − Xn h ) After a bit of algebra. X = X n+1 and ← − ˆ a = h . Instead.

1.1. R X [n] = 10δ[n].8 We solve this quiz using Theorem 11. we recall the property that g(τ − τ0 ) has Fourier transform G( f )e− j2π f τ0 . That is. First we need some preliminary facts. Let a0 = 5.1. 71 (5) 2a0 a1 .7 Since Y (t) = X (t − t0 ). S X Y ( f ) = H ( f )S X ( f ) = (2) Again by Theorem 11. 2 [a1 + j2π f ] a0 + (2π f )2 (4) a1 a1 + j2π f (3) .17. then ∞ S X (φ) = n=−∞ 10δ[n]e− j2π φn = 10 (1) Thus. if R X [n] = 10δ[n]. H( f ) = (1) Theorem 11.17. a0 Consulting with the Fourier transforms in Table 11.6 In a sampled system.17. the discrete time impulse δ[n] has a ﬂat discrete Fourier transform. From Table 11. Thus the Fourier transform of R X Y (τ ) = R X (τ − t0 ) = g(τ − t0 ) is S X Y ( f ) = S X ( f )e− j2π f t0 . (This quiz is really lame!) Quiz 11. R X Y (t. From Table 11. (2) Quiz 11. SY ( f ) = H ∗ ( f )S X Y ( f ) = |H ( f )|2 S X ( f ).000 so that 1 (1) R X (τ ) = a0 e−a0 |τ | . where u(t) is the unit step function and a1 = 1/RC where RC = 10−4 is the ﬁlter time constant. τ ) = R X Y (τ ) = R X (τ − t0 ). 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). 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.Quiz 11.

(12) The average power of the Y (t) process is RY (0) = a1 2 = . we obtain RY (τ ) = 2 a1 e−a0 |τ | − a0 a1 e−a1 |τ | 2 2 a1 − a0 . we can either use basic calculus and ∞ calculate −∞ SY ( f ) d f directly or we can ﬁnd RY (τ ) as an inverse transform of SY ( f ).1. 2 K1 = .000 rad/sec and the signal X (t) has most of its its signal energy below 5. some algebra will show that SY ( f ) = where K0 = Thus. In particular. SY ( f ) = |H ( f )|2 S X ( f ) = 2 2a0 a1 2 2 a1 + (2π f )2 a0 + (2π f )2 2 a1 a1 a1 = 2 (a1 + j2π f ) (a1 − j2π f ) a1 + (2π f )2 (6) (7) (3) To ﬁnd the average power at the ﬁlter output. Since the RC ﬁlter has a 3dB bandwidth of 10.000 rad/sec. 72 . the latter method is actually less algebra. Using partial fractions and the Fourier transform table. 2 2 2a0 2a1 K0 K1 + 2 . 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 . the output signal has almost as much power as the input. a1 + a0 3 (13) Note that the input signal has average power R X (0) = 1. (9) (10) Consulting with Table 11.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 .

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 .146) and to calculate the mean square error e L ∗ using Equation (11. 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 . at peace with the derivations.9 This quiz implements an example of Equations (11. Because the noise process N (t) has constant power R N (0) = 1.147). (2) RY X (τ ) = R X (τ ). (1) Now we can go on to the quiz. we note that Example 10. where W = 5. decreasing the single-sided bandwidth B increases the power spectral density of the noise over frequencies | f | < B.147). Taking Fourier transforms.146) and (11.1 that SX ( f ) = 1 f rect . Comment: Since the text omitted the derivations of Equations (11. (1) Since µ N = 0. SY X ( f ) = S X ( f ). it follows that SY ( f ) = S X ( f ) + S N ( f ). This implies R N (0) = ∞ −∞ SN ( f ) d f = B −B N0 d f = 2N0 B (3) Thus N0 = 1/(2B).Quiz 11. R N (0) = Var[N ] = 1.146) and (11.146). (6) 73 .24 showed that RY (τ ) = R X (τ ) + R N (τ ). we see from Table 11. (2) Since R X (τ ) = sinc(2W τ ).147) for a system in which we ﬁlter Y (t) = X (t) + N (t) to produce an optimal linear estimate of X (t). The ˆ solution to this quiz is just to ﬁnd the ﬁlter H ( f ) using Equation (11.000 Hz. (5) From Equation (11.

the ﬁlter H ( f ) makes an increasingly deep and narrow notch at frequencies ˆ | f | ≤ B.05.000/19 = 263. The result is that the MSE goes down.05. Finally. We can go back and consider the case B > W later. L Although this completes the solution to the quiz. When B ≤ W . the MSE is e∗ L = 1 1 104 2B 1 1 −B 104 + 2B B df = 1 104 1 104 + 1 2B = 1 1+ 5.5 × 104 guarantees e∗ ≤ 0.000 B (9) To obtain MSE e∗ ≤ 0. when B > W = 5000. Two examples of the ﬁlter H ( f ) are shown in Figure 7.ˆ ˆ (3) We produce the output X (t) by passing the noisy signal Y (t) through the ﬁlter H ( f ). we note that we can choose B very large and also achieve MSE e∗ = 0. B ≥ 9. (8) To evaluate the MSE e∗ . As B shrinks. let’s suppose B ≤ W . the ﬁlter suppresses less of the signal of X (t). S N ( f ) = 1/2B over frequencies | f | < W . 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). Thus as ˆ B descreases. The noise power is always Var[N ] = 1 Watt. In this case. From Equation (11. what is happening may not be obvious.10 It is fairly straightforward to ﬁnd S X (φ) and SY (φ).16 Hz. The following M ATLAB program generates and plots the functions shown in Figure 8 74 . for all values of B. we need to whether B ≤ W . the PSD S N ( f ) becomes increasingly tall.05 requires B ≤ 5. Thus increasing B spreads the constant 1 watt of power of N (t) over more bandwidth. 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.147). L Quiz 11. ˆ the Wiener ﬁlter H ( f ) is an ideal (ﬂat) lowpass ﬁlter ⎧ 1 ⎨ 104 | f | < 5. 1 ˆ + 1 (10) H( f ) = 104 2B ⎩ 0 otherwise. Since the problem asks us to L ﬁnd the largest possible B. As B is decreased.000. The Wiener ﬁlter removes the noise that is outside the band of the desired signal. but only over a bandwidth B that is decreasing. In L particular. 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.

abs(SY2)).26. stem(0:N-1.10).ˆ2).N).abs(SY10)). the ﬁlter H (φ) ﬁlters out almost all of the high frequency components of X (t).5 0 H(f) −5000 −2000 0 f 2000 5000 1 0. Although these imaginary parts have no computational signiﬁcance. %PSD of Y for M=2 xlabel(’n’).N). %autocorrelation and PSD stem(0:N-1.ylabel(’S_{Y_{10}}(n/N)’). xlabel(’n’). when M = 10.ylabel(’S_X(n/N)’). %mquiz11.1*ones(1.1 H(f) 0.* ((abs(H2)). figure. they tend to confuse the stem function.5 0 −5000 −2000 0 f 2000 5000 B = 500 B = 2500 Figure 7: Wiener ﬁlter for Quiz 11. H10=fft(h10.ˆ2). %impulse/filter response: M=10 SY10=sx. In the context of Example 11. %impulse/filter response: M=2 SY2=SX. we generate stem plots of the magnitude of each power spectral density. stem(0:N-1. the ﬁnite numerical precision of M ATLAB results in tiny imaginary parts.N). 75 . h2=0. SY2 and SY10 in mquiz11 should all be realvalued vectors. xlabel(’n’).9.*((abs(H10)).5*[1 1]. SX=fftc(rx. note that the vectors SX. However. Relative to M = 2.ylabel(’S_{Y_2}(n/N)’).m N=32.abs(sx)). h10=0. H2=fft(h2. the low pass moving average ﬁlter for M = 10 removes the high frquency components and results in a ﬁlter output that varies very slowly. rx=[2 4 2]. figure. As an aside. Hence.

76 . graphs of S X (φ). SY (n/N ) for M = 2.10. and Sφ (n/N ) for M = 10 using an N = 32 point DFT.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.

4 0.01 0.6 0.5 1 −0.2 The eigenvalues of P are λ1 = 0 λ2 = 0.4 0 0 λ3 0.2 From the problem statement. is the left eigenvector of P satisfying si P = λi si .5 1 (3) where si .6 −0. From the problem statement.4)n ⎣ 0 (4) −0.2⎦ 1 0 1 0 0.9 (1) Since each X n must be either 0 or 1.1 (2) These conditional probabilities correspond to the transition matrix and Markov chain: 0.90 (3) Quiz 12.6 0.5 0 −0.6 0.6 0 0.2 −0.2 0.5 0. we can conclude that P X n+1 = 1|X n = 0 = 0. we are given the conditional probabilities P X n+1 = 0|X n = 0 = 0.5 1 λ1 0 0 0 −1 ⎦ 0 1 ⎦ ⎣ 0 λ2 0 ⎦ ⎣ 1 P = S−1 DS = ⎣ 0.4 λ3 = 1 (1) (2) We can diagonalize P into ⎤⎡ ⎡ ⎤ ⎤⎡ −0.2 0 0 ⎦ Pn = S−1 Dn S = ⎣0.6 P = ⎣0.4 0.1 The system has two states depending on whether the previous packet was received in error.2 0.Quiz Solutions – Chapter 12 Quiz 12.2 0.01 0.6 0. the ith row of S.6 0.5 −0.99 0.6 0.2 0.10 0.2 0.99 P X n+1 = 1|X n = 1 = 0.9 P X n+1 = 0|X n = 1 = 0.99 0.01 0 0.5 0.6 0.2⎦ + (0.6 0.6 0.2 Quiz 12.5 0 0.1 1 P= 0.4 0. the Markov chain and the transition matrix are ⎡ ⎤ 0.4 0. Algebra will verify that the n-step transition matrix is ⎡ ⎡ ⎤ ⎤ 0.3 The Markov chain describing the factory status and the corresponding state transition matrix are 77 .2 0.

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 . 3} C3 = {4.1 0 0 1⎦ P=⎣ 0 1 0 0 (1) 2 With π = π0 π1 π2 .9 0..1) = 1 It follows that the limiting state probabilities are π0 = 5/6. the states in C2 are transient.. Once the system enters a state in C1 .1π0 and π2 = π1 . Quiz 12. Once the system exits C2 . On the other hand. the state n can take on the values 0. . This implies π0 + π1 + π2 = π0 (1 + 0. (3) (2) The states in C1 and C3 are aperiodic.4 The communicating classes are C1 = {0. 1} C2 = {2.1 0 1 1 1 ⎡ ⎤ 0.0. 6} (1) π1 = 1/12. .1 + 0. 5.9 0. π2 = 1/12. That is. The states in C2 have period 2. the system of equations π = π P yields π1 = 0. Quiz 12. . Similarly. 1. 1 … 78 .5 At any time t. The state transition probabilities are Pn−1. Thus the states in C1 are recurrent. the states in C3 are recurrent. C1 is a recurrent class. the class C1 is never left. the states in C2 are never reentered..n = P [K > n|K > n − 1] = Pn−1.

. and we randomly reset the counter to a new value K = k and then we count down k units of time. . Equation (5) implies π2 = π1 − π0 P [K = 2] = π0 (P [K > 1] − P [K = 2]) = π0 P [K > 2] (8) (7) (4) (5) k = 1. . (6) This suggests that πk = π0 P[K > k]. From Equation (4).The stationary probabilities satisfy π0 = π0 P [K = 1] + π1 .11. 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) . we obtain π0 ∞ P[K > k] = 1. 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] . 2. n=0 > k] = E[K ]. the number of transitions need to return to state 0 is always a multiple of 2. (2) To ﬁnd the stationary probabilities.5. . From Problem 2.6 (1) By inspection. . including state 0. then W has a discrete PMF representing the remaining time of the counter at a time in the distant future. Thus the period of state 0 is d = 2. If we have a random variable W such that the PMF of W satisﬁes PW (n) = πn . This implies πn = P [K > n] E [K ] (10) This Markov chain models repeated random countdowns. The system state is the time until the counter expires. Since we spend one unit of time in each state. When the counter expires. we have k − 1 units of time left after the state 0 counter reset. Quiz 12. we obtain π1 = π0 (1 − P [K = 1]) = π0 P [K > 1] Similarly. the system is in state 0. . When we apply we recall that ∞ k=0 πk ∞ k=0 P[K (9) = 1. π1 = π0 P [K = 2] + π2 .

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

On the other hand. Quiz 12.8 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 .5.Thus state 0 is recurrent for all α > 0. (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 > 1.11 which says that ∞ P[K > k] = k=0 E[K ] for any non-negative integer-valued random variable K . the Markov chain is positive recurrent. it will be simpler to use the result of Problem 2. nα (3) For 0 < α ≤ 1. the expected time to return to state 0 is ∞ ∞ E [T00 ] = n=0 P [T00 > n] = 1 + n=1 1 . all states are recurrent. In Example 12. In this problem. then all states are transient. 1/n α ≥ 1/n and it follows that ∞ E [T00 ] ≥ 1 + n=1 1 = ∞. ( We also note that if α = 0. ∞ 1 E [T00 ] = 2 + . we need to calculate E[T00 ].24.) To determine whether the chain is null recurrent or positive recurrent. n (4) We conclude that the Markov chain is null recurrent for 0 < α ≤ 1. Since the chain has only one communicating class. for α > 1. Applying this result. we did this by deriving the PMF PT00 (n).

01 p2 = 2 p1 + 3 p3 3. . i + 2. By applying Theorem 12.01 p3 = 2 p2 + 3 p4 5. .1 since the task completes at rate 3 per msec and the processor reboots at rate 0. From the Markov chain. yielding p4 = 20 p3 31 p3 = 620 p2 981 p2 = 82 19620 p1 31431 p1 = 628.01 p1 = 2 p0 + 3 p2 5. 381 (1) . ∞ ∞ (3) πi = π0 i=0 i=0 αi = π0 = 1. . we see that for any state i ≥ 0. .9 The continuous time Markov chain describing the processor is 2 2 2 2 0 3. the limiting state probabilities are πi = (1 − α)α i . . for α ≥ 1 or. 620 p0 1. 5. 1. .01 p4 = 2 p3 We can solve these equations by working backward and solving for p4 in terms of p3 .}. . i = 0. an existing customer gets one unit of service and then departs the store. Quiz 12.01 0. 2.1 per msec and the rate to state 0 is the sum of those two rates. . equivalently. πi p = πi+1 (1 − p)q. (5) In addition. we have that πi = π0 α i where p . i} and S = {i + 1.01 2 3 3 3 4 Note that q10 = 3. α= (1 − p)q Requiring the state probabilities to sum to 1. the limiting state probabilities do not exist. (1 − p)q (1) (2) Since Equation (2) holds for i = 0. we have that for α < 1. . . p ≥ q/(1 − q). p3 in terms of p2 and so on. 1−α (4) Thus for α < 1.01 0.In the above chain. we note that (1 − p)q is the probability that no new customer arrives. . . This implies πi+1 = p πi .01 1 3 0.. 014. we obtain the following useful equations for the stationary distribution. .13 with state space partitioned between S = {0. 1. 1.

c + 2. 2. .4151 p1 = 0. . . c n−c c p0 (ρ/c) ρ /c! n = c + 1. c (ρ/c) pn−1 n = c + 1. c + 2. . . .1606 p3 = 0. (1) It is straightforward to show that this implies pn = The requirement that ∞ n=0 p0 ρ n /n! n = 1.Applying p0 + p1 + p2 + p3 + p4 = 1 yields p0 = 1. . . . . 443.1015 p4 = 0.10 The M/M/c/∞ queue has Markov chain λ λ λ λ λ (2) 0 µ 1 2µ cµ c cµ c+1 cµ From the Markov chain. . 2. 381/2. 401 and the stationary probabilities are p0 = 0. . 014.2573 p2 = 0. . . the stationary probabilities must satisfy pn = (ρ/n) pn−1 n = 1. pn = 1 yields c (2) p0 = n=0 ρ c ρ/c ρ /n! + c! 1 − ρ/c n −1 (3) 83 .0655 Quiz 12.