Lahore University of Management Sciences

School of Science and Engineering, Department of Electrical Engineering

EE564 - Stochastic Systems
Fall 2019
Homework 2

Date Assigned: October 14th , 2019 Date Due: October 23rd , 2019 (in class)

Instructions

• Some of the problems on this homework may be challenging - that’s why the term “homework prob-
lems”. The objective is to maximize your learning experience, so start early!

• Your solutions must be submitted before the end of class on Wednesday, October 23rd. No submissions
will be accepted after the deadline. Do not expect any deadline extensions either.

• While discussions with your peers is strongly encouraged, please keep in mind that the homework is
to be attempted on an individual level.

• In order to gain the maximum benefit, try to perform solo brainstorming before any consultations.
The thought process behind searching for the correct approach all on your own will be invaluable.
1. (25 points) Consider a Binomial random variable X with parameters N and p. Compute (as a function
of N and p)
  
(a) PX k X is even .

h  i
(b) E X X is even .


(c) Given your solutions in the previous

h  parts,i and the information that E[X] = N p for a binomial
random variable, determine E X X is odd .


2. (10 points) Let X ∼ N µ, σ 2 .
Consider the transformation Y = aX +b, where a and b are constants.

Show that Y ∼ N aµ + b, a2 σ 2 .

3. (10 points) Let X have a continuous monotonically increasing CDF FX (x). Let Y be a random
variable formed by the transformation Y = 2FX (x) − 1. Show that Y turns out to be uniformly
distributed between -1 and +1.

• Point to ponder. Why do we need the CDF to be monotonically increasing for this result to
hold true?

4. (10 points) Suppose we wish to generate an exponential random variable Y with mean λ (for instance
in computer simulations). Suppose we have access to an experiment (e.g. computer software) that can
generate a random variable X uniformly distributed on the interval [0, 1]. Determine a transformation
on X that will generate the required random variable Y .

• Why is this result useful? Your simulation software (e.g. Matlab) most commonly have
built-in functions to generate realizations of a random variable uniformly distributed on [0, 1].
However, functions for generating random variables drawn from other distributions may not be
available. The technique you derive above can be generalized, and can be used to transform a
uniform random variable to another that is required in your simulation.
• Try but do not submit. Use Matlab to generate many realizations of X by using the command
x = rand(1,10000) - this generates 10,000 independent realizations of a uniform random variable
on the interval [0, 1]. Apply your derived transformation on x to obtain y. Plot the histogram for
y. You should observe that the histogram indeed looks like an exponential pdf.
• Try but do not submit. Generalize this to generate any random variable Y that is characterized
by a continuous monotonically increasing CDF.

5. (10 points) Suppose you are given a continuous random variable X that is uniformly distributed
on the interval [−1, 1]. Determine a transformation g(x) such that the transformed random variable
Y = g(X) is discrete and satisfies the following pmf

PY (0) = 0.1, PY (1) = 0.2, PY (3) = 0.3, PY (4) = 0.4

2
6. (10 points) In class, we derived the following Chernoff upper bound

P (X ≥ x0 ) ≤ min e−sx0 MX (s).

s≥0

Using the same principles we used to derive the bound stated above, derive the following bound

P (X ≤ x0 ) ≤ min e−sx0 MX (s).

s≤0

7. (25 points) Let X ∼ N µ, σ 2 . Determine

  
(a) The conditional PDF fX x1 ≤ X 2 ≤ 3 .


[In order to receive full credit, derive the CDF first and then differentiate to obtain the pdf ].
(b) The pdf of Y = max(0, X).
√
(c) The pdf of Y = Xu(X).
  
(d) (Try but do not submit) The conditional PDF fX xX 2 = x0 .


8. (30 points) Let X be a Laplace random variable with pdf given by fX (x) = 0.5e−|x| . Also let
Y = bX + 0.5c, where b.c is the flooring operation.

(a) Determine the probability mass function of Y .

h  i
(b) Determine E Y |X| ≤ 1.5 .

h  i
(c) Determine E X 0 ≤ Y ≤ 2 .


(d) Let Z = X − Y . Determine E[Z|X > 0].

(e) Determine the pdf of Z.

9. (20 points) Let X be a continuous random variable and Y = q(X) be its discrete quantized version.
Assume that q(X) follows
h  the conditional
i mean criteria, i.e., when xi−1 < X ≤ xi , the quantized
output is q(X) = E X xi−1 < X ≤ xi , i = 1, . . . , M .


(a) Show that the error Z = X − Y is zero-mean, i.e., show that E[Z] = 0.
(b) Show that the error Z = X − Y is orthogonal to Y , i.e., prove that
h i
E ZY = 0.

(c) Using the result of part (a), show that

E Z2 ≤ E X2