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Linear Control Systems II

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S. Lall

2015.01.29.01

Homework 3

0550

**1. Using conditional probability for estimation
**

Suppose x : Ω → U and w : Ω → V are independent random variables with pmfs px and py .

Define the random variable y by

y =x+w

We would like to measure y and hence determine x, without measuring w. We have

V = {1, 2, 3, 4, 5}

U = {1, 2, 3, 4, 5, 6}

and

and

0.1

0.2

pw =

0.3

0.2

0.2

and

0.1

0.1

0.15

px =

0.15

0.25

0.25

(a) Show that

Prob(x = a and y = b) = px (a)pw (b − a)

where pw (b − a) is understood to be zero for b − a < 1 or b − a > 5.

(b) Find the induced pmf of y.

(c) Now suppose we measure ymeas = 7. Find the conditional pmf q where

q(a) = Prob(x = a | y = ymeas )

Plot q against U .

(d) Now simulate the random variables w and x, and perform m = 10000 trials. Keep data

for x and w, and for each trial, compute y = w + x.

Compute the observed frequencies of y, and plot these. Compare with the pmf for y.

(e) Now look at the same data set, and write a loop that discards those data items for which

y 6= ymeas . On the remaining data, compute the observed frequencies of x. Plot the

observed frequencies of x, and compare with the conditional pmf of x given ymeas .

(f) Now you have to pick one estimate of x based on your measurement. Which is the estimate

that minimizes your probability of error?

0620

2. Radar

A radar has conditional probability mass functions

pnothing = 10−2 4 7 11 12 17 16 13 9 6 4

psomething = 10−2 0 0 2 6 8 10 15 15 15 13

1

0

0

9

5

2

**Here X1 is the event that nothing is visible, and X2 is the event that something is visible, and
**

Yi is the event that the radar returns i pings (at least one ping is always returned.) Then

Prob(Yi | X1 ) = pnothing

i

Prob(Yi | X2 ) = psomething

i

**The prior probabilities are
**

Prob(X1 ) = 0.6

Prob(X2 ) = 0.4;

**(a) Find the classifier with the minimum probability of error, and the corresponding probability
**

of a correct classification.

1

Lall 2015.. 1. it’s a good idea to choose a wide range of values for µ.) (f) Write a routine that for each possible decision rule. find the one that achieves the smallest possible probability of false positives. the conditional pmfs were further apart. computes the corresponding probability of false positives and false negatives. subject to the constraint that the probability of false negatives is less than 0. the probability of a false positive error. . As you can see.01. find the probability of a false positive error. Plot J1 against J2 . the one that achieves the maximum possible probability of error? (i) Now among all possible decision rules.01 (b) Suppose we significantly prefer false positives to false negatives. First find the smallest µ you can use that achieves this level of probability of false negatives.e.Engr207b S. i. a false negative error. count all of them. (g) The plot you obtained in part (f) has a symmetry. Again. and for each compute the classifier K which minimizes J1 + µJ2 . and the probability of a correct result. the conditional probabilities given something is visible are shifted to the right by k positions. as well as the optimal values of J1 and J2 .e. a false negative error.1. Suppose Prob(Yi | X2 ) = psomething i−k i. . i. then find the corresponding optimal classifier. (c) To do this more systematically. it’s not a very good radar.29.1. (all on one plot).e. and the probability of a correct result. let’s arbitrarily choose µ = 3. 2. . Pick a suitable set of values for µ. . For this rule. 5} plot the operating characteristic. Plot another copy of the operating characteristic. (d) Now we would like to find the classifier which minimizes the probability of false positives. find the probability of a false positive error. State precisely what this symmetry is. What is the decision rule. Can you explain how it arises? (h) What is the worst possible classifier you could use. Find the optimal decision rule to minimize the weighted sum cost. a false negative error. Can you explain why this decision rule was not found by the approach in part (d). and the probability of a correct result.. For each k ∈ {0. for this rule. 2 . and so decided to minimize J1 + µJ2 where J1 = Prob(false positive) J2 = Prob(false negative) First. (j) Let’s also explore what would happened if the radar were better. and add to it all of these new points. we need to plot the operating characteristic. subject to the constraint that the probability of false negatives is less than 0. As usual when plotting trade-off curves. (e) In fact there are only a finite number of possible classifiers? How many are there? (Don’t only count the threshold rules.

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