Massachusetts Institute of Technology

Department ofElectrical Engineering &Computer Science

6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
Problem Set 5: Solutions
1. (a) Because of the requirednormalization propertyofany joint PDF,

2 2

2
3
1
3
2
1 = ax dy dx = ax(2 x) dx = a 2
2
1
2
+ = a
3 3 3
x=1 y=x x=1
soa= 3/2.
(b) For1 y 2,
y
a 3
f
Y
(y) = axdx = (y
2
1) = (y
2
1),
2 4
1
andf
Y
(y) = 0otherwise.
(c) Firstnoticethatfor1 x 3/2,
f
X,Y
(x, 3/2) (3/2)x 8x
f
X|Y
(x| 3/2)= =

2
= .
f
Y
(3/2) 3 3
1
2 5
4 2
Therefore,

3/2
1 8x
E[1/X| Y = 3/2] = dx = 4/5.
x 5
1
2. (a) Bydenitionf
X,Y
(x, y) =f
X
(x)f
Y |X
(y| x). f
X
(x) =axasshowninthegraph. Wehave
that

40
1 = axdx = 800a.
0
Sof
X
(x) =x/800. Fromtheproblemstatementf
Y |X
(y| x) =
2
1
x
fory [0, 2x]. Therefore,
1/1600, if0 x 4and0< y<2x,
f
X,Y
(x, y) =
0, otherwise.
(b) PaulmakesapositiveprotifY > X. Thisoccurswithprobability

40 2x
1 1
P(Y > X) = f
X,Y
(x, y) dy dx = dy dx = .
1600 2
y>x 0 x
Wecould havealsoarrivedatthisanswer byrealizingthat foreach possiblevalueofX,there
isa 1/2probabilitythatY > X.
(c) The joint density functionsatisesf
X,Z
(x, z) =f
X
(x) f
Z|X
(z|x). SinceZ isconditionally
uniformlydistributedgivenX,f
Z|X
(z| x) =
2
1
x
forx z x. Therefore,f
X,Z
(x, z) =
1/1600for0 x 40andx z x. Themarginaldensityf
z
(z) iscalculatedas
40
1
40|z|
, if|z| <40,
f
Z
(z) = f
X,Z
(x, z) dx = dx =
1600
x x=|z|
1600 0, otherwise.
Page 1of 7

Massachusetts Institute of Technology

Department ofElectrical Engineering &Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
3. (a) In order for XandY to be independent,anyobservationofXshouldnot giveany information
onY . IfXisobservedtobeequalto0,thenY mustbe0.
Inotherwords,f
Y |{X=0}
(y| 0) f
Y
(y). Therefore,XandY arenotindependent. =
1.5

0, otherwise.
0.5
0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
x
2
1.8
1.6
1.4

x/2, if0 x 1,
(b) f
X
(x) = 3x/2 +3, if1< x 2,
f
X
|
Y
(
x

|

0
.
5
)

f
Y

|
X
(
y

|

0
.
5
)

f
X
(
x
)

1.2
1
f
Y |X
(y| 0.5)=
2, if0 y 1/2,
0, otherwise.

1/2, if1/2 x 1,
f
X|Y
(x| 0.5)= 3/2, if1< x 3/2,

0, otherwise.
0.8
0.6
0.4
0.2
0
0 0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1
y
1.5
0.5
0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
x
1
(c) TheeventAleavesuswitharighttrianglewithaconstantheight. TheconditionalPDFis
then1/area= 8. The conditionalexpectation yields:
E[R| A] = E[XY | A]

0.5

0.5
= 8xydxdy
0 y
= 1/16.
(d) TheCDFofW isF
W
(w) =P(W w) =P(YX w) =P(Y X+w). P(Y X+w)
canbecomputedbyintegratingtheareabelowthelineY =X+wforallpossiblevaluesof
w. The linesY =X+wareshown belowforw= 0,w=1/2,w=1andw=3/2. The
probabilitiesofinterestcanbecalculatedbytakingadvantageoftheuniformPDFoverthe
twotriangles. Remember tomultiplytheareas bytheappropriate joint densityf
X,Y
(x, y)!
Takenotethatthereare4regionsofinterest: w <2,2 w 1,1< w 0and
w >0.
Page 2of 7
Massachusetts Institute of Technology
Department ofElectrical Engineering &Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
w= 0
y= 2 x
1.2
1
w (1, 0)
y=x 0.8
y

w=1
0.6
w (2, 1)
0.4
0.2
0
1 +w 2 +w
0.2
1+w
2+w
2
w
w
2
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
x
TheCDFofW is

0, ifw <2,

3/2 1/2(2 +w)

2
/2, if2 w 1,
F
W
(w) =
1/2 1/2(1 +w)
2
+3/2 (1/2 1 1 1/2(w/2 w)), if1< w 0,

1, ifw >0

0, ifw <2,

3/8 (2 +w)
2
, if2 w 1,
=
1/8 (w
2
+4w+8), if1< w 0,

1, ifw >0.
Asasanitycheck,F
W
() = 0 andF
W
(+) =1. Also,F
W
(w)iscontinuousatw=2
andatw=1.
4. (a) Ifthetransmittersendsthe0symbol,thereceivedsignalisanormalrandomvariablewith
ameanof2andavarianceof4. Inotherwords,f
Y |X
(y| 2)=N(2, 4).
Also,f
Y |X
(y| 2)=N(2, 4)Theseconditionalpdfsareshowninthegraphbelow.
Page 3of 7

Massachusetts Institute of Technology
Department ofElectrical Engineering &Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
8 6 4 2 0 2 4 6 8
0
0.05
0.1
0.15
0.2
0.25
f
Y|X
(y| 2) f
Y|X
(y| 2)
P(error| X=2)
P(error| X=2)
Theprobabilityoferrorcanbefoundusingthetotalprobabilitytheorem.
P(error) = P(error | X=2)P(X=2) +P(error | X= 2)P(X= 2)
1
= (P(Y 0| X=2) +P(Y <0| X= 2))
2
1
= (P(N 2| X=2) +P(N <2| X= 2))
2
1
= (P(N 2) +P(N <2))
2
1 N0 2 0 N0 2 0
= (P( ) +P( < ))
2 2 2 2 2
1
= ((1 (1)) +(1 (1)))
2
= 0.1587.
(b) With3components,theprobabilityoferrorgivenanobervationofX istheprobabilityof
decoding2or3ofthecomponentsincorrectly. Foreachcomponent,theprobabilityoferror
is0.1587. Therefore,
3
P(error | sent 0) = (0.1587)
2
(1 0.1587) +(0.1587)
3
2
= 0.0676.
Bysymmetry,P(error | sent1)=P(error | sent0).
Therefore,P(error) =P(error | sent0)P(sent0) +P(error | sent1)P(sent 1) = 0.0676.
5. (a) TherearemanywaystoshowthatXandY arenot independent.One ofthe most intuitive
arguments isthat knowing thevalueofXlimitstherangeofY ,andviceversa.For instance,
if it is known ina particulartrial thatX 1/2,thevalueof Y inthattrialcannot besmaller
Page 4of 7

Massachusetts Institute of Technology

Department ofElectrical Engineering &Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
than 1/2. Another wayto prove that the two are not independent is to calculate the product
oftheirexpectations,andshowthatthisisnotequaltoE[XY ].
(b) ApplyingthedenitionofamarginalPDF,
for0 x 1,
f
X
(x) = f
X,Y
(x, y) dy
y

x+1
= 1dy
x
= 1;
for0 y 1,
f
Y
(y) = f
X,Y
(x, y) dx
x
y
= 1dx
0
= y;
andfor1 y 2,
f
Y
(y) = f
X,Y
(x, y) dx
x

1
= 1dx
y1
= 2 y.
1
0 0.2 0.4 0.6 0.8 1
f
Y

(
y
)

1
0.8 0.8
f
X
(
x
)0.6
0.6
0.4
0.2
0
0.4
0.2
0
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8 2
x
y
(c) Bylinearityofexpectation,theexpectedvalueofasumisthesumoftheexpectedvalues.
Byinspection,E[X] = 1/2andE[Y ] = 1.
Thus,E[X+Y ] =E[X] +E[Y ] = 3/2.
Page 5of 7
Massachusetts Institute of Technology
Department ofElectrical Engineering &Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
(d) ThevarianceofX+Y is
E[(X+Y )
2
] E[X+Y ]
2
=E[X
2
] +2E[XY ] +E[Y
2
] (E[X+Y ])
2
. (1)
In part (c), E[X+Y ] wascomputed,soonly theother threeexpressionsneed to becalculated.
First,theexpectedvalueofX
2
:

x+1

1
E[X
2
] = x
2
1dydx = x
2
dx = 1/3.
0 x 0
Also,theexpectedvalueofY
2
is

x+1

1
E[Y
2
] = y
2
dydx = (3x
2
+3x+1)/3dx = 7/6.
0 x 0
Finally,theexpectedvalueofXY is

x+1
E[XY ] = x y dy dx
0 x

1
= (2x
2
+x)/2dxdy = 7/12.
0
Substitutingthese into (1),we getvar(X+Y ) = 1/3 +7/6 +7/6 9/4= 5/12.
*Alternative (shortcut) solution to parts (c) and (d)*
Given any value ofX (in ([0,1]), we observe that Y X takes values between 0 and 1,
andisuniformlydistributed. SincetheconditionaldistributionofY X isthesamefor
everyvalueofX in [0,1],weseethatY X independentofX. Thus: (a)X isuniform,
and (b) Y = X+U, where U is also uniform and independent of X. It follows that
E[X+Y ] =E[2X+U] = 3/2. Furthermore,var(X+Y ) = 4 var(X) +var(U) = 5/12.
6. (a) LetAbetheeventthattherstcointossresultedinheads. Tocalculatetheprobability
P(A),weusethecontinuousversionof thetotalprobabilitytheorem:

1
P(A) = P(A| P=p)f
P
(p) dp= p(1 +sin(2p)) dp,
0 0
whichaftersomecalculationyields
1
P(A) = .
2
(b) UsingBayesrule,
P(A| P=p)f
P
(p)
f
P|A
(p) =
P(A)

2p(1 +sin(2p))
, if0 p 1,
=
1

0, otherwise.
Page 6of 7

Massachusetts Institute of Technology

Department ofElectrical Engineering &Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall2010)
(c) LetBbetheeventthatthesecondtossresultedinheads. Wehave

1
P(B| A) = P(B| P=p, A)f
P|A
(p) dp
0

1
= P(B| P=p)f
P|A
(p) dp
0
2

1
= p
2
(1 +sin(2p)) dp.
1
0
Aftersomecalculation,thisyields
2 23 23
P(B| A) = = 0.5110.
1 6 33
G1

. Leta= (cos , sin) andb= (b

x
, b
y
).WewillshowthatnopointofRliesoutsideCifandonly
if
|b| | sin |, and |a| | cos| (2)
TheothertwoverticesofRare (cos, b
y
) and (b
x
, sin ). If|b
x
| | cos | and|b
y
| | sin |,then
eachvertex (x, y) ofRsatisesx
2
+y
2
cos
2
+sin
2
= 1andno pointsofRcanlieoutsideof
C. ConverselyifnopointsofRlieoutsideC,thenapplyingthistothetwoverticesotherthan
aandb,wend
cos
2
+b
2
1, and a
2
+sin
2
1.
whichisequivalentto2.
Theseconditions implythat (b
x
, b
y
) liesinsideoronC,soforanygiven,theprobabilitythat
therandompointb= (b
x
, b
y
) satises (2)is
2| cos| 2| sin | 2
= | sin(2)|

andtheoverallprobabilityis
1

2
2 4
/2
4
| sin(2)|d= sin(2)d=
2
0

2
0

2
.

Requiredfor6.431;optionalfor6.041 Page7of7
MIT OpenCourseWare
http://ocw.mit.edu
6.041 / 6.431 Probabilistic Systems Analysis and Applied Probability
Fall 2010
For information about citing these materials or our Terms of Use, visit: http://ocw.mit.edu/terms.