Book cover for A First Course in Probability

A First Course in Probability

Sheldon Ross

ISBN #9780136033134

8th Edition

502 Questions

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Summary

Learning Objectives

Key Concepts

Example Problems

Explanations

Common Mistakes

Summary

This section covers fundamental methods for simulating continuous and discrete random variables. The inverse transformation method provides a direct way to generate random variables from any continuous distribution, while the rejection method offers flexibility when a suitable proposal density is available. Additionally, specialized techniques such as the polar method facilitate simulation of standard normal variates efficiently. The section also delves into variance reduction strategies—namely, antithetic variables, conditional expectations, and control variates—which help in obtaining more accurate simulation estimates with lower variability. Understanding these techniques is essential for designing effective simulation studies in various applications.

Learning Objectives

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Key Concepts

CONCEPT

DEFINITION

Definition: Explores advanced probability models by extending fundamental theories to more complex systems. Topics include random processes (e.g., the Poisson process), Markov chains (with transition matrices, Chapman–Kolmogorov equations, and stationary distributions), and key ideas in information theory such as surprise, entropy, and coding (both noiseless and noisy).

Explores advanced probability models by extending fundamental theories to more complex systems. Topics include random processes (e.g., the Poisson process), Markov chains (with transition matrices, Chapman–Kolmogorov equations, and stationary distributions), and key ideas in information theory such as surprise, entropy, and coding (both noiseless and noisy). •

Example Problems

Example 1

The following algorithm will generate a random permutation of the elements $1,2, \ldots, n .$ It is somewhat faster than the one presented in Example $1 \mathrm{a}$ but is such that no position is fixed until the algorithm ends. In this algorithm, $P(i)$ can be interpreted as the element in position $i$ Step 1. Set $k=1$ Step $2 .$ Set $P(1)=1$ Step $3 .$ If $k=n,$ stop. Otherwise, let $k=k+1$ Step 4. Generate a random number $U$ and let $$\begin{aligned}P(k) &=P([k U]+1) \\P([k U]+1) &=k\end{aligned}$$ Go to step 3 (a) Explain in words what the algorithm is doing. (b) Show that at iteration $k$ - that is, when the value of $P(k)$ is initially $\operatorname{set}-P(1), P(2), \ldots$ $P(k)$ is a random permutation of $1,2, \ldots, k$ Hint: Use induction and argue that $$\begin{array}{l}P_{k}\left\{i_{1}, i_{2}, \ldots, i_{j-1}, k, i_{j}, \ldots, i_{k-2}, i\right\} \\ \quad=P_{k-1}\left\{i_{1}, i_{2}, \ldots, i_{j-1}, i, i_{j}, \ldots, i_{k-2}\right\} \frac{1}{k} \\ \quad=\frac{1}{k !} \text { by the induction hypothesis } \end{array}$$

Example 2

Develop a technique for simulating a random variable having density function $$f(x)=\left\{\begin{array}{ll}e^{2 x} & -\infty<x<0 \\ e^{-2 x} & 0<x<\infty\end{array}\right.$$

Example 3

Give a technique for simulating a random variable having the probability density function $$f(x)=\left\{\begin{array}{ll}\frac{1}{2}(x-2) & 2 \leq x \leq 3 \\ \frac{1}{2}\left(2-\frac{x}{3}\right) & 3<x \leq 6 \\0 & \text { otherwise }\end{array}\right.$$

Example 4

Present a method for simulating a random variable having distribution function $$F(x)=\left\{\begin{array}{ll} 0 & x \leq-3 \\\frac{1}{2}+\frac{x}{6} & -3<x<0 \\\frac{1}{2}+\frac{x^{2}}{32} & 0<x \leq 4 \\1 & x>4\end{array}\right.$$

Example 5

Use the inverse transformation method to present an approach for generating a random variable from the Weibull distribution $$F(t)=1-e^{-a t^{\beta}} \quad t \geq 0$$

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