Lahore University of Management Sciences, Department of Electrical Engineering

EE564 - Stochastic Systems

Fall 2018 (November 24, 2018)
Quiz 2 Solution

Name/ID: Time allowed: 25 minutes

Note. In order to receive full credit, provide clearly stated justifications for your solutions.

1. (5 points) Consider a sensor node placed uniformly in an annular region depicted in the figure below. More
specifically, for R1 < R2 , p
let the X and Y coordinate of the sensor be uniformly distributed in the annular
region described by R1 ≤ x2 + y 2 ≤ R2 , i.e.,
 p
C R1 ≤ x2 + y 2 ≤ R2
fXY (x, y) = (1)
0 otherwise
where C is some constant.

(a) Determine the constant C.

(b) Determine the pdf of the sensor node distance from the origin.

Solution.
(a) The area of the annular region is given by π(R22 − R12 ). Since the pdf should integrate to 1, we have
1
C=
π(R22 − R12 )
√
(b) Let the distance from the origin be denoted by R. We have R = X 2 + Y 2 . In order to find the pdf of
R, we first calculate its cumulative distribution function. For R1 ≤ r ≤ R2 , we have (outside of this interval,
the cumulative distribution function is equal to 0 for r < R1 , and equal to 1 for r > R2 )

p 
FR (r) = Pr (R ≤ r) = Pr X2 + Y 2 ≤ r
Z Z
= √ fXY (x, y)dxdy
x2 +y 2 ≤r

p
Changing to polar coordinates, with z = x2 + y 2
Z 2π Z
1
FR (r) = zdzdθ
π(R22 − R12 ) 0 R1 ≤z≤r
1 1
2π r2 − R12


= 2 2
π(R2 − R1 ) 2
r2 − R12
=
R22 − R12

Thus, the pdf is given by

d
fR (r) = FR (r)
dr
(
2r
R22 −R12
R1 ≤ r ≤ R2
=
0 otherwise
2. (5 points) Consider the LMMSE estimation of Y from the observations of the random vector X = [X1 , . . . , XN ]T .
The estimate is given by Ŷ = aT X, where the N coefficients of the vector a are the solution to the following
N orthogonality conditions
E Y − aT X Xk = 0


k = 1, . . . , N.
Given that a satisfies the orthogonality conditions given above, show that
h
2 i
E Y − aT X ≤E Y2
 

Solution. Putting the orthogonality conditions in vector form we have

E Y − aT X X


=0
 T 
⇒ E [Y X] − E a XX = 0
= E XaT X
 
⇒ E [Y X]

Furthermore, we have
h
2 i
Y − aT X = E Y 2 + (aT X)2 − 2aT XY
 
E
= E Y 2 + E (aT X)2 − 2aT E [XY ]
   

Substituting E [Y X] = E aT XX , we obtain
 

h
2 i
E Y − aT X = E Y 2 + E (aT X)2 − 2aT E XaT X
     

= E Y 2 − E (aT X)2
   

≤ E Y2 ,
 

where the last inequality is obtained from the fact that E (aT X)2 ≥ 0.