ECSE-305B Probability and Random Signals

Midterm I Solution
12:35h - 13.25h. Wednesday, 9th February, 2005 Prof. Peter E. Caines
Closed book examination. No notes or calculators permitted.
Question 1 [25 points]
(a) State the three axioms which a probability function P : E(S) R must satisfy, where S
is a sample space and E(S) is a set of events.
(b) Let A S, B S, where A and B are not necessarily disjoint. Let {A
i
A, 1 i < }
be pairwise disjoint, and let {B
i
B, 1 i < } be pairwise disjoint.
(i) Let X A and assume P(A
i
) > 0, 1 i < .
Set = P(X (

i=1
A
i
)), and set = P(X) (

i=1
P(A
i
)) and =

i=1
P(X A
i
).
State, but do not prove, which of or , or both, is equal to for all possible X A.
(ii) Give a formula for P(

i=1
(A
i
B
i
)) in terms of P(A
i
B
i
), 1 i < ; do this by
use of one of the probability axioms and justify its application.
(iii) In case A B = , show what the value of P(

i=1
(A
i
B
i
)) must be.
Solutions:
(a) A probability function P : E(S) on a sample space S and event set E(S) must
satisfy the following axioms:
(1) P(A) 0, A E(S),
(2) P(S) = 1,
(3) P(

i=1
A
i
) =

i=1
P(A
i
), where A
i
A
j
= , i = j
1
(b)
(i) In general, = P(X

i=1
A
i
) = P(

i=1
(X A
i
)) =

i=1
P(X A
i
) = , and in
general = .
(ii) Since A
i
A
k
= , i = k, B
j
B
l
= , j = l, (A
i
B
i
) (A
j
B
j
) = , i = j.
Hence Axiom III implies: P(

i=1
(A
i
B
i
)) =

i=1
P(A
i
B
i
).
(iii) In case A B = , A
i
B
i
A B = , 1 i < .
Hence P(A
i
B
i
) = 0 and P(

i=1
(A
i
B
i
)) =

i=1
P(A
i
B
i
) = 0.
Question 2 [15 points]
G = (V, E) is a clique graph, i.e. G is such that every distinct pair v, w of vertices in V is
connected by exactly one (undirected) edge e
vw
= e
wv
in E. Assume |V | = n 1, i.e. V has
n elements, and |E| = m.
(i) What is the value of m = |E| as a function of n?
(ii) For each r, 1 r n, a distinct unordered set V
r
V of r vertices is chosen from
V . A clique subgraph, G
r
, is constructed from the nodes V
r
using all the edges E(V
r
) E
connecting all pairs of vertices in V
r
.
How many distinct subgraphs G
r
can be constructed for each r?
(iii) Assume there is only one empty clique graph G
0
= (V
0
, E(V
0
)). Including G
0
and G,
give an expression for the total number N
c
of possible clique subgraphs of G for 0 r n.
Solutions:
Let G = (E, V ) be a clique graph.
(i) Since there is exactly one edge e
vw
for each unordered pair of edges (v, w),
m = |E| = C
n
2
=
n(n1)
2
(ii) There is a distinct clique sub-graph (V
r
, E(V
r
)) for each distinct set of r vertices in V .
Hence there are C
n
r
distinct such clique subgraphs.
(iii) Total possible number of clique subgraphs: N
c
= 1 +

n
r=1
C
n
r
2
Question 3 [30 points]
An Ehrenfest molecular Markov chain model E has three states: x
1
, x
2
, x
3
, corresponding
to two urns (L, R) containing x
1
= (2, 0), x
2
= (1, 1) and x
3
= (0, 2) particles, respectively.
The probability of transition from x
j
to x
i
, 1 i, j 3, is given by:
P(x
i
|x
j
) = P
ij
=
1
2
for i = 1, j = 2 and i = 3, j = 2
P(x
i
|x
j
) = P
ij
= 1 for i = 2, j = 1 and i = 2, j = 3
P(x
i
|x
j
) = 0 otherwise
(i) Find the transition matrix T for the Markov chain E.
(ii) At the initial instant k = 0, the occupancy probability vector P
0
(x
1
) =
1
2
= P
0
(x
3
),
P
0
(x
2
) = 0. Find the occupancy probability vector at the instant k = 2, namely:
P
2
=
_
_
_
_
_
P
2
(x
1
)
P
2
(x
2
)
P
2
(x
3
)
_
_
_
_
_
(iii) Which of P

=
_
_
_
_
_
1
4
1
2
1
4
_
_
_
_
_
, P

=
_
_
_
_
_
1
3
1
3
1
3
_
_
_
_
_
is a possible steady state occupancy probability
for the Markov chain E?
Solutions:
(i) Ehrenfest Markov chain E:
x
1
= (2, 0)
x
2
= (1, 1)
x
3
= (0, 2)
has the transition matrix
T =
_

_
p
11
p
12
p
13
p
11
p
12
p
13
p
11
p
12
p
13
_

_
=
_

_
0
1
2
0
1 0 1
0
1
2
0
_

_
3
(ii)
p
2
= Tp
1
= T
2
p
0
Substituing with the matrix obtained in (i) we get
p
2
=
_

_
0
1
2
0
1 0 1
0
1
2
0
_

_
_

_
0
1
2
0
1 0 1
0
1
2
0
_

_
_

_
1
2
1
1
2
_

_
=
_

_
1
2
0
1
2
0 1 0
1
2
0
1
2
_

_
_

_
1
2
0
1
2
_

_
=
_

_
1
2
0
1
2
_

_
(iii)
T
_

_
1
4
1
2
1
4
_

_
=
_

_
0
1
2
0
1 0 1
0
1
2
0
_

_
_

_
1
4
1
2
1
4
_

_
=
_

_
1
4
1
2
1
4
_

_
T
_

_
1
3
1
3
1
3
_

_
=
_

_
0
1
2
0
1 0 1
0
1
2
0
_

_
_

_
1
3
1
3
1
3
_

_
=
_

_
1
6
2
3
1
6
_

_
So only [
1
4
1
2
1
4
]
T
is a possible steady state probability.
Question 4 [30 points]
Let A and B be disjoint subsets of a sample space S. The probability P on (S, E(S)) is such
that P(A) =
1
4
, P(B) =
3
4
, and hence A B (A B)
c
= S with P((A B)
c
) = 0.
(i) Dene the property of independence for the events A and B on (S, E(S), P).
(ii) State, but do not prove, whether A and B can be independent.
4
(iii) Events C and D are such that
1
3
= P(C|A) = 1 P(D|A);
1
4
= P(C|B) = 1 P(D|B)
Given that C occurs what is P(A|C)?
Solutions:
On the probability space (S, E(S), P), the events A, B are disjoint, i.e. AB = . Further,
P(A) =
1
4
,P(B) =
3
4
.
(i) A is independent of B if and only if
P(A B) = P(A)P(B) =
3
16
(ii) A and B cannot be independent.
(iii) For events C,D S:
1
3
= P(C|A) = 1 P(D|A)
1
4
= P(C|B) = 1 P(D|B)
Given C occurs, Bayes rule gives:
P(A|C) =
P(C|A)P(A)
P(C)
=
P(C|A)P(A)
P(C|A)P(A) +P(C|B)P(B) +P(C|(A B)
C
)P((A B)
C
)
=
1
3
(
1
4
)
1
3
(
1
4
) +
1
4
(
3
4
)
=
4
13
5