IE 561 - Fall 2011 Assignment 1

Due October 11 - 9:40 Please work alone and show all your work. Late assignments will not be accepted.
1. Consider a game in which you have two opponents. You play with your opponents, one after the other, successively. Whenever you play A, you win with probability pA ; whenever you play with B, you win with probability pB , where pB > pA . If your objective is to minimize the number of games you need to play to win two in a row, should you start with A or with B? Hint: Let E[Ni ] denote the mean number of games needed if you initially play i. Derive an expression for E[NA ] that involves E[NB ], and an expression for E[NB ] that involves E[NA ]. 2. Consider a sequence of independent coin ips, each with probability p of success. Find the expected number of ips until k successive successes are observed. 3. Let f (x1 , x2 ) = 2/A2 , 0 x1 + x2 A denote the joint probability density function for random variables X1 and X2 . a) Show that f (x1 , x2 ) is a probability density function. A b) E X1 |X2 = =? 2 c) Show that E E[X1 |X2 ] = E[X1 ]