6.

041 Fall 2011 Quiz 2

Wednesday, November 2, 7:30 - 9:30 PM.
DO NOT TURN THIS PAGE OVER UNTIL
YOU ARE TOLD TO DO SO

Name:
Recitation Instructor:
TA:

Question
1a
1b
2a
2b
2c
2d
2e
2f
2g
2h
3
Your Grade

Score

Out of
9
8
5
5
8
8
10
10
11
11
15
100

This quiz has 3 problem, worth a total of 100 points.

You may tear apart pages 3-6, as per your convenience, but you must turn them in
together with the rest of the booklet.
Write your solutions in this quiz booklet, only solutions in this quiz booklet will be graded.
Be neat! You will not get credit if we cant read it.
For full credit, answers should be algebraic expressions (no integrals), in simplified form.
These expressions may involve constants such as or e, and need not be evaluated numerically.
You are allowed two two-sided, handwritten, 8.5 by 11 formula sheet. Calculators are not
allowed.
You have 120 minutes to complete the quiz.
Graded quizzes will be returned in recitation on Tuesday 11/8.

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
Problem 0: Write your name, your assigned recitation instructors name, and assigned TAs name
on the cover of the quiz booklet. The Instructor/TA pairing is listed below.
Recitation Instructor
Patrick Jaillet
Alan Willsky
John Wyatt

TA
Aliaa Atwi
Jagdish Ramakrishnan
Jimmy Li

Recitation Times
10 AM & 11 AM
1 PM & 2 PM
2 PM & 3 PM

Page 2 of 17

Sec. 3.3

Normal Random Variables

155

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431:
Systems
.01
.02 Probabilistic
.03
.04
.05
.06Analysis
.07
.08
Sec. 3.3
Normal Random Variables
(Fall 2011)
.00

.09
155

0.0
.5000 .5040 .5080
0.1
.5398 .5438 .5478
0.2
.5793 .5832 .5871
.00
.01
.02
0.3
.6179 .6217 .6255
.5000 .5040 .5080
0.4 0.0.6554
.6591 .6628

.5120
.5517
.5910
.03
.6293
.5120
.6664

0.5
0.6
0.7
0.8
0.9

.7967
.8023 .7123
.8051.7157
.8078.7190
.8106
.7019 .7995
.7054 .7088
.7224.8133
.7357 .8264
.7389 .7422
.7549.8389
.8238
.8289 .7454
.8315.7486
.8340.7517
.8365

0.1
.5398 .5438 .5478 .5517 .5557 .5596
.6915
.7088
0.2
.5793.6950
.5832 .6985
.5871 .7019
.5910 .7054
.5948 .5987
0.3.7257
.6179.7291
.6217 .7324
.6255 .7357
.6293 .7389
.6331 .6368
.7422
0.4.7580
.6554.7611
.6591 .7642
.6628 .7673
.6664 .7704
.6700 .6736
.7734

0.5.7881
.6915.7910
.6950 .7939
.6985
0.6.8159
.7257.8186
.7291 .8212
.7324
0.7
.7580 .7611 .7642
1.0 0.8.8413
.8438 .8461
.7881 .7910 .7939
1.1 0.9.8643
.8159.8665
.8186 .8686
.8212

1.2
1.3
1.4
1.5
1.6
1.7
1.8
1.9
2.0
2.1
2.2
2.3
2.4
2.5
2.6
2.7
2.8
2.9
3.0
3.1
3.2
3.3
3.4

.5160 .5199 .5239 .5279 .5319 .5359

.5557 .5596 .5636 .5675 .5714 .5753
.5948 .5987 .6026 .6064 .6103 .6141
.04
.05
.06
.07
.08
.09
.6331 .6368 .6406 .6443 .6480 .6517
.5160 .5199 .5239 .5279 .5319 .5359
.6700
.6736 .6772 .6808 .6844 .6879

.7673

.8485
.7967
.8708
.8238
.8849 .8869 .8888 .8907
1.0
.8413 .8438 .8461 .8485
.9032 .9049 .9066 .9082
1.1
.8643 .8665 .8686 .8708
1.2.9192
.8849.9207
.8869 .9222
.8888 .9236
.8907
1.3.9332
.9032.9345
.9049 .9357
.9066 .9370
.9082
1.4.9452
.9192.9463
.9207 .9474
.9222 .9484
.9236
1.5.9554
.9332.9564
.9345 .9573
.9357 .9582
.9370
1.6.9641
.9452.9649
.9463 .9656
.9474 .9664
.9484
1.7.9713
.9554.9719
.9564 .9726
.9573 .9732
.9582

.7704

.8508
.7995
.8729
.8264
.8925
.8508
.9099
.8729
.9251
.8925

.5636 .5675 .5714 .5753

.7123.6064
.7157.6103
.7190
.6026
.6141.7224
.6406
.6517.7549
.7454.6443
.7486.6480
.7517
.6772
.6808
.6844
.6879.7852
.7764 .7794 .7823

.7734 .7764 .7794 .7823 .7852

.8531 .8554 .8577 .8599 .8621
.8023 .8051 .8078 .8106 .8133
.8749 .8315
.8770.8340
.8790.8365
.8810
.8289
.8389.8830

.8944

.8531
.9115
.8749
.9265
.8944
.9099 .9115
.9382
.9394
.9251 .9265
.9495
.9505

.8962

.8980

.8997

.9015

.8554 .8577 .8599 .8621

.9131 .9147 .9162 .9177
.8770 .8790 .8810 .8830
.9279.8980
.9292.8997
.9306
.8962
.9015.9319
.9131
.9177.9441
.9406.9147
.9418.9162
.9429
.9279
.9292
.9306
.9319.9545
.9515 .9525 .9535

.9382 .9394
.9441.9633
.9591
.9599 .9406
.9608.9418
.9616.9429
.9625
.9495 .9505
.9545.9706
.9671
.9678 .9515
.9686.9525
.9693.9535
.9699
.9591
.9599
.9608
.9616
.9625
.9633.9767
.9738 .9744 .9750 .9756 .9761

1.8
.9641 .9649 .9656 .9664 .9671 .9678 .9686 .9693 .9699 .9706
.9798 .9750
.9803.9756
.9808.9761
.9812
1.9.9772
.9713.9778
.9719 .9783
.9726 .9788
.9732 .9793
.9738 .9744
.9767.9817

.9821

.9826

.9830

.9834

.9838

.9842 .9803
.9846.9808
.9850.9812
.9854
.9857
.9817
.9881.9850
.9884.9854
.9887
.9846
.9857.9890
.9909
.9911
.9913
.9881 .9884 .9887 .9890.9916
.9931.9911
.9932.9913
.9934
.9909
.9916.9936

.9938 .9940 .9941

2.5.9953
.9938.9955
.9940 .9956
.9941
2.6.9965
.9953.9966
.9955 .9967
.9956
2.7
.9965 .9966 .9967
.9974 .9975 .9976
2.8
.9974 .9975 .9976
.9981 .9982 .9982

.9943
.9943
.9957
.9957
.9968
.9968
.9977
.9977
.9983

.9945
.9945
.9959
.9959
.9969
.9969
.9977
.9977
.9984

.9946
.9946
.9960
.9960
.9970
.9970
.9978
.9978
.9984

.9931

.9932

.9934

.9936

.9985

.9985

.9986

.9986

3.0.9987
.9987.9987
.9987 .9987
.9987
.9990
.9991
3.1
.9990 .9991 .9991
.9991
3.2.9993
.9993.9993
.9993 .9994
.9994
3.3.9995
.9995.9995
.9995 .9995
.9995
3.4.9997
.9997.9997
.9997 .9997
.9997

.9988
.9988
.9991
.9991
.9994
.9994
.9996
.9996
.9997
.9997

.9988
.9988
.9992
.9992
.9994
.9994
.9996
.9996
.9997
.9997

.9989
.9989
.9992
.9992
.9994
.9994
.9996
.9996
.9997
.9997

.9989.9989
.9989.9990
.9990
.9989
.9990.9990
.9992
.9992
.9993
.9992 .9992 .9993 .9993.9993
.9994.9995
.9995.9995
.9995
.9994
.9995.9995
.9996
.9997.9997
.9996.9996
.9996.9996
.9996
.9997
.9997
.9997
.9998.9998
.9997 .9997 .9997

2.0
.9772 .9778 .9783 .9788 .9793 .9798
.9878
2.1.9861
.9821.9864
.9826 .9868
.9830 .9871
.9834 .9875
.9838 .9842
.9893
.9896
.9898
.9901
.9904
.9906
2.2
.9861 .9864 .9868 .9871 .9875 .9878
.9929
2.3.9918
.9893.9920
.9896 .9922
.9898 .9925
.9901 .9927
.9904 .9906
2.4
.9918 .9920 .9922 .9925 .9927 .9929

2.9

.9981

.9982

.9982

.9983

.9984

.9984

.9948 .9949 .9951 .9952

.9948
.9952.9964
.9961.9949
.9962.9951
.9963
.9961
.9962
.9963
.9964.9974
.9971 .9972 .9973
.9971 .9972 .9973 .9974
.9979 .9979 .9980 .9981
.9979 .9979 .9980 .9981
.9985 .9985 .9986 .9986

The standard normal table. The entries in this table provide the numerical values

The standard normal table. The entries in this table provide the numerical values
of (y) = P(Y y), where Y is a standard normal random variable, for y between 0
of (y) = P(Y y), where Y is a standard normal random variable, for y between 0
and 3.49. For example, to find (1.71), we look at the row corresponding to 1.7 and
and the
3.49.
For example,
to find
(1.71),
we(1.71)
look at=the
rowWhen
corresponding
to the
1.7 and
column
corresponding
to 0.01,
so that
.9564.
y is negative,
the column
corresponding
to
0.01,
so
that
(1.71)
=
.9564.
When
y
is
negative,
the
value of (y) can be found using the formula (y) = 1 (y).
value of (y) can be found using the formula (y) = 1 (y).

Page 3 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
Note: Most parts can be done independently. If worried about a possible mistake in a previous part,
you can use a symbol for the expression you found there, and use that symbol in the formulas for
subsequent parts.
Problem 1: (17 points)
Let U , V , W be independent standard normal random variables (i.e., Gaussian random variables with
zero mean and unit variance), and let X = 3U + 4V , Y = U + W .
(a) (9 points) What is the probability that X 8? (Give a numerical answer.)
(b) (8 points) Find E[XY ].
Problem 2: (68 points)
Let X be a random variable that takes non-zero values in [1, ), with PDF of the form
(c
,
fX (x) = x3
0,

x1
x < 1.

Let U be a uniform random variable on [0, 2]. Assume that X and U are independent.
Possibly useful fact: for an integer n 2,
Z
1
1
dx =
+ constant.
n
x
(n 1)xn1
(a) (5 points) What is the value of c?
(b) (5 points) Find P(2 X 3). (Give a numerical answer.)
(c) (8 points) Find E[X 3 eX ]. (Give a numerical answer.)
(d) (8 points) Provide a fully labeled sketch of the PDF of 2U + 1.
(e) (10 points) Compute P(X U ). (You may leave your answer in integral form.)
(f) (10 points) Find the PDF of 1/X.
(g) (11 points) Let K be a random variable independent of U , such that P(K = 0) = 2/3,
P(K = 1) = 1/3. Give a fully labeled plot of the distribution (e.g., a PMF or PDF) of the
random variable Y = U + K.
(h) (11 points) With K as in the previous part, find the conditional distribution of K, given that
U + K = y, for every possible y [0, 3]. (Your answer can consist of either formulae or fully
labeled plots.)

Page 4 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
Problem 3: (15 points)
Let N, X1 , Y1 , X2 , Y2 , . . . be independent random variables. The random variable N takes positive
2 . The random variables X (respectively, Y ) are i.i.d.
integer values and has mean N and variance N
i
i
2 (respectively, 2 ). Let
with mean X (respectively, Y ) and variance X
Y
A=

N
X
i=1

Xi ,

B=

N
X

Yi .

i=1

Find the covariance cov(A, B) of A and B in terms of the given means and variances.

Each question is repeated in the following pages. Please write your answer on
the appropriate page.
Page 5 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)

Page intentionally left blank.

Page 6 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
Problem 1: (17 points)
Let U , V , W be independent standard normal random variables (i.e., Gaussian random variables with
zero mean and unit variance), and let X = 3U + 4V , Y = U + W .
(a) (9 points) What is the probability that X 8? (Give a numerical answer.)

Page 7 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(b) (8 points) Find E[XY ].

Page 8 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
Problem 2: (68 points)
Let X be a random variable that takes non-zero values in [1, ), with PDF of the form
(c
,
fX (x) = x3
0,

x1
x < 1.

Let U be a uniform random variable on [0, 2]. Assume that X and U are independent.
Possibly useful fact: for an integer n 2,
Z
1
1
dx =
+ constant.
n
x
(n 1)xn1
(a) (5 points) What is the value of c?

Page 9 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(b) (5 points) Find P(2 X 3). (Give a numerical answer.)

Page 10 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(c) (8 points) Find E[X 3 eX ]. (Give a numerical answer.)

Page 11 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(d) (8 points) Provide a fully labeled sketch of the PDF of 2U + 1.

Page 12 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(e) (10 points) Compute P(X U ). (You may leave your answer in integral form.)

Page 13 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(f) (10 points) Find the PDF of 1/X.

Page 14 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(g) (11 points) Let K be a random variable independent of U , such that P(K = 0) = 2/3,
P(K = 1) = 1/3. Give a fully labeled plot of the distribution (e.g., a PMF or PDF) of the
random variable Y = U + K.

Page 15 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
(h) (11 points) With K as in the previous part, find the conditional distribution of K, given that
U + K = y, for every possible y [0, 3]. (Your answer can consist of either formulae or fully
labeled plots.)

Page 16 of 17

Massachusetts Institute of Technology

Department of Electrical Engineering & Computer Science
6.041/6.431: Probabilistic Systems Analysis
(Fall 2011)
Problem 3: (15 points)
Let N, X1 , Y1 , X2 , Y2 , . . . be independent random variables. The random variable N takes positive
2 . The random variables X (respectively, Y ) are i.i.d.
integer values and has mean N and variance N
i
i
2 (respectively, 2 ). Let
with mean X (respectively, Y ) and variance X
Y
A=

N
X
i=1

Xi ,

B=

N
X

Yi .

i=1

Find the covariance cov(A, B) of A and B in terms of the given means and variances.

Page 17 of 17