Homework 5 Solution IEORE4101 (Prob, Stats, Simulation)

Problem 1
(a) Let Ek be the event that exactly k bids exceed x. Since each bid is unif (0, 1), the
probability of each bid exceeding x is 1 − x, and the probability of not exceeding is
x,  
10
P (Ek ) = (1 − x)k x10−k
k

Let X be the second largest bid.

P (X > x) = P (∪10
k=2 Ek )
10
X
= P (Ek )
k=2
10  
X 10
= (1 − x)k x10−k
k
k=2

(b) We know that the density satisfies, for 0 < x < 1,

10  
dP(X > x) X 10
f (x) = − =− (1 − x)k−1 x10−k−1 (−kx + (10 − k)(1 − x))
dx k=2
k
10  
X 10
= (1 − x)k−1 x10−k−1 (10x − 10 + k)
k=2
k

Z 1
E[X] = xf (x)dx
0
Z 110  
X 10
= x( (1 − x)k−1 x10−k−1 (10x − 10 + k))dx
0 k=2
k
10
X 1 10
Z  
k−1 10−k 10
= k (1 − x) x − 10 (1 − x)k x10−k dx
k=2 0
k k
10      
X 10 (k − 1)!(10 − k)! 10 k!(10 − k)!
= k − 10 (Full credit with this expression)
k=2
k 10! k 11!
10
X

= 1 − 10/11
k=2
=9/11

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Problem 2
Let Xi be the lifetime of the ith component, for i = 1, 2, ..., 10. Let Y be the lifetime of
the system. Then
Y = min(X1 , X2 , ..., X10 )
Since the Xi ’s are exponentially distributed, their minimum value is exponentially
distributed with rate 1/1.1 + 1/1.2 + ... + 1/2.0 = 6.69. Then E[Yp] = 1/6.69 = 0.1495
2 2
and V ar(Y ) = (1/6.69) = (0.1495) , so standard deviation equals V ar(Y ) = 0.1495

Problem 3
Consider another Poisson random variable Y with rate λ/3. Then by definition, we have
∞ k ∞
X
−λ/3 (λ/3) −λ/3
X (λ/3)k
1= e =e ,
k=0
k! k=0
k!

which gives
∞
X (λ/3)k
= eλ/3 .
k=0
k!

Using the equality above, we have

∞ k ∞
−X
X
−k −λ λ −λ
X (λ/3)k
= e−λ eλ/3 = e−2λ/3 .
 
E 3 = 3 e =e
k=0
k! k=0
k!

Problem 4
Let X̄ be the mean of production of the next 20 days. By independence, one can show√
that
X̄ is a normal distribution with mean µ = 0.82 and standard deviation σ = 0.14/ 20.
Then,
P [the total is between 16 and 17]
= P [16/20 < X̄ < 17/20]
 
0.80 − µ X̄ − µ 0.85 − µ
=P < <
σ σ σ
h 2√5 √ i
3 5
=P − <Z< ,
7 7
where Z is the standard normal. Therefore,

P [the total is between 16 and 17] ≈ 0.5704.

Problem 5
Let X and Y be Romeo and Juliet’s arrival time, respectively. We want to know the
density of Z = X − Y . Lets denote the the CDF and PDF of Z by FZ (·) and fZ (·). Due

2
to symmetry between X and Y , we know the PDF of Z must be symmetric. Thus in
principle, we only need to compute fZ (z) for z ≥ 0. Nevertheless, let’s first consider the
case where z > 0,
Z ∞ Z y+z Z ∞ Z y+z
2 −(x+y) −λy
λe−λx dx dy


FZ (z) = P (X − Y ≤ z) = λe dxdy = λe
0 0 0 0
Z ∞
1 1
= λe−λy (1 − e−λ(y+z) )dy = −e−λy + e−λz e−2λy |∞y=0 = 1 − e
−λz
0 2 2
Taking derivative with respect to FZ (z), we have fZ (z) = 21 λe−λz , 0 < z < ∞. On the
other hand, for z ≤ 0,
Z ∞Z ∞
FZ (z) = P (X − Y ≤ z) = P (Y ≥ X − z) = λ2 e−(x+y) dydx
Z ∞ Z ∞ 0 x−z
Z ∞
−λx −λy
λe−λx (e−λ(x−z) )dy


= λe λe dy dx =
0 x−z 0
1 1 λz
= −e × e−2λx |∞
λz
y=0 = e .
2 2
Taking derivative with respect to FZ (z), we have fZ (z) = 12 λeλz , −∞ < z ≤ 0.
Thus, fZ (z) = 12 λe−λ|z| , −∞ < z < ∞.
Another approach is to use the memoryless property. Given X < Y , Y − X is
exponential with parameter λ. By symmetry, P (X < Y ) = P (X > Y ) = 1/2. So for
z > 0,
P (X − Y > z) = P (X − Y > z|X > Y )P (X > Y ) = e−λz × 1/2.
For z ≤ 0,
P (X−Y ≤ z) = P (Y −X ≥ −z) = P (Y −X > −z) = P (Y −X > −z|Y > X)P (Y > X) = eλz ×1/2.
Taking derivative would give us the same result.

Problem 6
(a) Given a 400-square-foot painted section, the probability with less than 6 blemishes
occurring is
5
X (4.8)k
P(X < 6) = e−4.8 = 0.651
k=0
k!

(b) Let Yi be the random variable denoting whether the ith randomly sampled section
has less than 6 blemishes. According to a), each Yi is a Bernoulli variable with success
p = 0.651, independent with other Yj ’s. Thus
X6 X6
P( Yi ≥ 2) =1 − P( Yi < 2)
i=1 i=1
X6 X6
=1 − P( Yi = 0) − P( Yi = 1)
i=1
 i=1
6
=1 − (1 − 0.651)6 − (1 − 0.651)5 (0.651) = 0.978.
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