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Lectures prepared by: Elchanan Mossel Yelena Shvets

Lectures prepared by: Elchanan Mossel Yelena Shvets. B. D. B. P((X,Y) 2 B) =. D. Uniform distribution in an area. Y. Sample space is D. Outcomes are points in D with random coordinates (X,Y). ). X. Area(. A. Area(. ). Probability of each subset is equal to its relative area.

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Lectures prepared by: Elchanan Mossel Yelena Shvets

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  1. Lectures prepared by:Elchanan MosselYelena Shvets

  2. B D B P((X,Y) 2 B) = D Uniform distribution in an area Y • Sample space is D. • Outcomes are points in D with random coordinates (X,Y). ) X Area( A Area( ) • Probability of each subset is equal to its relative area.

  3. (X2A) b (X2A,Y2B) (Y2B) 0 0 a Joint Distributions Suppose that X»Unif(0,a), Y»Unif(0,b) and X and Y are independent. Claim: Then the random pair (X,Y) is uniformly distributed in the rectangle ([0,a]£ [0,b]). Proof: P((X,Y)2A£B)) = P(X2A & Y2B) = P(X2A) P(Y2B) (by ind.) =length(A)/a £ length(B)/b = area(A£B)/(ab). ) P((X,Y) 2 C) = Area(C)/ab for finite union of rectangles. ) P((X,Y) 2 C) = Area(C)/ab for all C.

  4. (X2A) (X2A,Y2B) (Y2B) Joint Distributions Claim: Conversely if (X,Y)»Unif ([0,a]£ [0,b]) then X and Y are independent. Proof: P(X2A & Y2B) = P((X,Y)2A£B)) = area(A£B)/(ab)= length(A)/a £ length(B)/b = P(X2A) P(Y2B) Question: If you know X=x, what can you say about the distribution of Y? X+Y? X-Y? X*Y? Question: Is the rectangle the only shape for which X & Y are independent?

  5. Joint Distributions Example: (X,Y) » Unif([-3,3]£ [-3,3]) Find P(4X2+ 9Y2· 36 & 40X2+ 90Y2 ¸ 36). 3 Area(A+B)= p*3*2 = 6 p. Area(B) = 0.6 p. Area(A)= 5.4 p. P(A) = 5.4 p / 36 2 B 3 A

  6. Rendezvous at a Coffee Shop • Question: A boy and a girl frequent the same coffee shop. Each arrives at a random time between 5 and 6 pm, independently of the other, and stays for 10 minutes. What’s the chance that they would meet? 1 Solution: Let X = her arrival time Y = his arrival time. Then (X,Y)»Unif([0,1]£ [0,1]). They meet if |X-Y| · 1/6. P[|X-Y| · 1/6] = 1 –(5/6)2 |X-Y| · 1/6 A 0 1 0

  7. Uniform Distribution over Volume Claim: If U1, U2,…,Un are independent variables such that Ui»Unif(0,1),then(U1, U2,…,Un)»Unif([0,1]£ [0,1] £ … £ [0,1] ). Example:A random point in a unit cube [0,1]£ [0,1] £ [0,1]is obtained by three calls to a pseudo random number generator (Rnd1, Rnd2, Rnd3). Question: What is the chance that the point is inside a sphere of radius 1/3 centered at (½,½,½)? 1 Solution: The chance is equal to the volume of the ball: 4/3 p (1/3)3 =4p/81. 1 0 1 0

  8. Multi-dimensional integration Exercises:

  9. Multi-dimensional integration Exercises:

  10. Multi-dimensional integration Exercises:

  11. Multi-dimensional integration Exercises:

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