1

241-460 I nt r oduct i on t o Queuei ng

Net wor ks : Engi neer i ng Appr oach
Ch t 5 M l t i l f R d
Assoc. Prof. Thossaporn Kamolphiwong
Centre for Network Research (CNR)
Department of Computer Engineering, Faculty of Engineering
Prince of Songkla University, Thailand
Chapt er 5 Mul t i pl e of Random
Vari abl es
Email : kthossaporn@coe.psu.ac.th
Out l i ne
Mul t i pl e of Random Var i abl e
Par t I : Di scr et e Random Var i abl e Par t I : Di scr et e Random Vari abl e
Event s and Probabilit ies
Joint Probabilit y Mass Funct ion
Joint Cumulat ive Dist ribut ion Funct ion
Par t I I
J i P b bili D i F i Joint Probabilit y Densit y Funct ion
Marginal PMF & PDF
Condit ional j oint PMF & PDF
Chapter 5 : Multiple of Random Variables
2
Par t I
Mul t i pl e of Random Var i abl e
Di scr et e Random Var i abl e Di scr et e Random Var i abl e
Chapter 5 : Multiple of Random Variables
Random Var i abl e
Experiment
Outcomes
Observe
Math. model
Assign number
to each outcomes
Chapter 5 : Multiple of Random Variables
Probability
Random Variable
to each outcomes
Math. model
3
Mul t i pl e Random Var i abl e
Experiment
Outcomes
Observe
Interest >one thing in
Experiment
Assign vector number
to each outcomes
Chapter 5 : Multiple of Random Variables
Random Variable Multiple RV
Pair of RV
Vect or Random Var i abl es
Vector random variables is a function that
i t f l b t h assigns a vector of real numbers to each
outcome (,) in S and several quantities
are of interest
Chapter 5 : Multiple of Random Variables
4
Exampl e
A random experiment consist of select ing a
st udent s name form an urn st udent s name form an urn.
Let , = out come of t his experiment ,
H(,) = height of st udent , in inches,
W(,) = weight of st udent , in ponds, and
A(,) = age of st udent , in years. (,) g , y
The vect or ( H(,), W(,), A(,)) is a vect or random
variable
Chapter 5 : Multiple of Random Variables
Event s and Pr obabi l i t i es
Consider t he t wo-dimensional variable Z = (X,Y).
Find t he region of t he plane corresponding t o Find t he region of t he plane corresponding t o
t he event s
A = {X + Y < 10}
C {X
2
+ Y
2
< 100} C = {X
2
+ Y
2
< 100}
Chapter 5 : Multiple of Random Variables
5
Event and Pr obabi l i t y( 2)
y
y
(10,0)
(0,10)
x
A
(10,0)
(0,10)
x
y
C
X+Y=10
X
2
+Y
2
= 100
Chapter 5 : Multiple of Random Variables
A = {X + Y < 10}
C = {X
2
+ Y
2
< 100}
Pr obabi l i t y
A
2
={x
1
<X<x
2
} y
y
2
A
1
={Y<y
2
}
x
1
x
2
P[A] ??
A = {x
1
< X < x
2
} {Y < y
2
}
A
2
A
1
x
A
P[A] = ??
P[A] = P[{X in A
2
} {Y in A
1
}]
Chapter 5 : Multiple of Random Variables
6
Pr obabi l i t y( 2)
B = {x
1
< X < x
2
} {y
1
< Y < y
2
}
y
B
y
2
y
1
Chapter 5 : Multiple of Random Variables
x
P[B] = P[{x
1
< X < x
2
} {y
1
< Y < y
2
}]
x
1
x
2
Pr obabi l i t y( 3)
For n-dimensional random variable
X = (X
1
, X
2
, , X
n
)
1 2 n
Event
A = {X
1
in A
1
} {X
2
in A
2
} {X
n
in A
n
}
The probabilit y of event s:
P[A] = P[{X
1
in A
1
}{X
2
in A
2
}{X
n
in A
n
}]
Chapter 5 : Multiple of Random Variables
P[A] = P[X
1
in A
1
,,X
n
in A
n
]
7
Joi nt Pr obabi l i t y Mass Funct i on
Pr obabi l i t y Mass f unct i on
Random variable X
Joi nt pr obabi l i t y mass f unct i on
Event of all outcome X(,) in S
PMF of random variable X
P
X
(x) = P[ X = x]
Chapter 5 : Multiple of Random Variables
S
X,Y
= {(x,y)|P
X,Y
(x,y) > 0}
P
X,Y
(x,y) = P[X = x,Y = y]
Exampl e
Test t wo int egrat ed circuit s one aft er t he ot her.
On each t est , t he possible out comes are On each t est , t he possible out comes are
a(accept ) and r(rej ect ). Assume t hat all circuit s
are accept able wit h probabilit y 0.9 and t hat t he
out comes of successive t est s are independent .
Count t he number of accept able circuit s X and
count t he number of successful t est s Y before
you observe t he first rej ect . (I f bot h t est s are
successful, let Y = 2.) Draw a t ree diagram for
t he experiment and find t he j oint PMF of
X and Y
Chapter 5 : Multiple of Random Variables
8
Sol ut i on
aa
0.81
0 9
a
0.9 a
X = 2, Y = 2
0.09
0.09
0.01
ar
ra
rr
0.9
0.1
a
r
0.1
r
0.9
0.1
r
a
X = 1, Y = 1
X = 1, Y = 0
X = 0, Y = 0
Chapter 5 : Multiple of Random Variables
P[aa] = 0.81, P[ar] = P[ra] = 0.09, P[rr] = 0.01
S = {aa, ar, ra, rr}
Sol ut i on( 2)
Let
g(s) : funct ion t hat t ransform each out come s g(s) : funct ion t hat t ransform each out come s
int o t he pair of RV (X,Y)
g(aa) = (2,2), g(ar) = (1,1)
g(ra) = (1,0), g(rr) = (0,0)
P
X,Y
(x,y) = P[X= x, Y= y]
P
X,Y
(2,2) = P[X= 2, Y= 2] = P[aa] = 0.81
P
X,Y
(1,1) = 0.09, P
X,Y
(1,0) = 0.09
P
X,Y
(0,0) = 0.01
Chapter 5 : Multiple of Random Variables
9
Sol ut i on( 3)

= =
= =
y x
y x
1 , 1
2 , 2
09 . 0
81 . 0
( )

= =
= = =
otherwise
y x
y x
y x
y x P
Y X
0 , 0
0 , 1
1 , 1
0
01 . 0
09 . 0
09 . 0
,
,
P
X,Y
(x,y) y = 0 y = 1 y =2
Chapter 5 : Multiple of Random Variables
x = 0 0.01 0 0
x = 1 0.09 0.09 0
x = 2 0 0 0.81
Sol ut i on( 4)
y
0 81
0
1
1
2 3
2
x
.81
.09
.09
.01
0
1
2
0
0.3
0.6
0.9
0
1
2
0.01
0.09
0.81
x
y
Chapter 5 : Multiple of Random Variables
0
1
2 3
P
X,Y
(x,y)
x
10
Joi nt PMF Pr oper t i es
( ) 1

y x P ( ) 1 ,
,
=

e e
X Y
S x S y
Y X
y x P
( ) 0 ,
,
>

e e
X Y
S x S y
Y X
y x P
Chapter 5 : Multiple of Random Variables
X Y
Joi nt PMF Theor em
For discrete random variables X and Y and any set B
in the X, Y plane, the probability of the event
Y
| | ( )

e
=
B y x
Y X
y x P B P
,
,
,
{(X,Y) e B} is
X
Y
P
X,Y
Chapter 5 : Multiple of Random Variables
B={X
2
+ Y
2
< 4}
11
Exampl e
Find t he probabilit y of t he event B t hat X, t he
number of accept able circuit s, equals Y, t he number of accept able circuit s, equals Y, t he
number of successful t est s before observing t he
first failure
P
X,Y
(x,y) y = 0 y = 1 y =2
x = 0 0.01 0 0
Chapter 5 : Multiple of Random Variables
x = 1 0.09 0.09 0
x = 2 0 0 0.81
Sol ut i on
X : # of accept able circuit s
Y : # of successful t est s before Y : # of successful t est s before
observing t he 1
st
failure
P
X,Y
(x,y) y = 0 y = 1 y = 2
x = 0 0.01 0 0
x = 1 0.09 0.09 0
x = 2 0 0 0 81
X
Y
P
X,Y
S
X,Y
= {(0,0), (0,1), (0,2), (1,0), (1,1), (1,2), (2,0),
(2,1), (2,2)}
Chapter 5 : Multiple of Random Variables
x = 2 0 0 0.81
12
( Cont i nue)
B = {(x,y)|X = Y}
Y
P
X,Y
B S
X,Y
= {(0,0), (1,1), (2,2)}
X
B={(x,y) | X = Y}
Chapter 5 : Multiple of Random Variables
B = {(0,0), (1,1), (2,2)}
Sol ut i on( 2)
B = {(0,0), (1,1), (2,2)}
P
X,Y
(x,y) y = 0 y = 1 y =2
P[B] = ??
P[B] = P
X Y
(0,0) + P
X Y
(1,1) + P
X Y
(2,2)
x = 0 0.01 0 0
x = 1 0.09 0.09 0
x = 2 0 0 0.81
[ ]
X,Y
( , )
X,Y
( , )
X,Y
( , )
= 0.01 + 0.09 + 0.81 = 0.91
Chapter 5 : Multiple of Random Variables
13
Mar gi nal PMF
Experiment wit h 2 RVs, X, Y
Possible t o consider one RV(Y) and ignore t he Possible t o consider one RV(Y), and ignore t he
ot her (X)
P
X
(x) or P
Y
(y)
For discrete random variables X and Y with
joint PMF P
X,Y
(x,y),
Chapter 5 : Multiple of Random Variables
P
X
(x) = P
X,Y
(x,y)
P
Y
(y) = P
X,Y
(x,y)
yeS
Y
xeS
X
Exampl e
P
X,Y
(x,y) y = 0 y = 1 y =2
x = 0 0.01 0 0
Find Marginal PMF of
X and Y
x = 1 0.09 0.09 0
x = 2 0 0 0.81
Solution
Marginal PMF for X
X = {0 1 2}
Marginal PMF of X
Chapter 5 : Multiple of Random Variables
X = {0, 1, 2}
( ) ( )

=
=
2
0
,
,
y
Y X X
y x P x P
Marginal PMF of X
P
X
(0) = 0.01
P
X
(1) = 0.09 + 0.09 = 0.18
P
X
(2) = 0.81
14
Sol ut i on
P
X,Y
(x,y) y = 0 y = 1 y =2
x = 0 0.01 0 0
Marginal PMF for Y
2
P
X
(x)
0.01
x = 1 0.09 0.09 0
x = 2 0 0 0.81
P
Y
(0) = 0.01 + 0.09
= 0.1
( ) ( )

=
=
2
0
,
,
x
Y X Y
y x P y P
P
Y
(y) 0.1 0.09 0.81
0.01
0.18
0.81
1
Chapter 5 : Multiple of Random Variables
P
Y
(1) = 0.09
P
Y
(2) = 0.81
Sol ut i on ( 2)
( )

=
=
x
x
1
0
18 . 0
01 . 0
( )

=
=
otherwise
x
x
x P
X
2
1
0
81 . 0
18 . 0

= y
1
0
09 0
1 . 0
Chapter 5 : Multiple of Random Variables
( )

=
=
=
otherwise
y
y
y P
Y
2
1
0
81 . 0
09 . 0
15
Exampl e
The number of byt es N in a message has a
geomet ric dist ribut ion wit h paramet er 1-p and geomet ric dist ribut ion wit h paramet er 1 p and
range S
N
= {0,1,2,}.
Suppose t hat messages are broken int o packet s of
maximum lengt h M byt es.
Let Q be t hen number of full packet s in a message
and let R be t he number of byt es left over. and let R be t he number of byt es left over.
Find t he j oint PMF P
Q,R
(q,r) and t he marginal
PMFs of Q and R
Chapter 5 : Multiple of Random Variables
Sol ut i on
Joi nt PMF
N : message (byt es) N : message (byt es)
M : packet s of maximum lengt h
Q : number of full packet s { Q = 0,1,}
R : number of byt es left over { R = 0,1,, M-1}
N = qM+ r
N bytes
Chapter 5 : Multiple of Random Variables
M bytes R bytes
16
Sol ut i on( 2)
PMF of Geomet ric RV wit h paramet er p :
first success on t he k
t h
at t empt
P
X
[X = k] = p(1 - p)
k-1
, k = 1,2,3,
k failures before t he first success
P
Y
[Y = k] = p(1 - p)
k
, k = 0,1,2,
(modified Geometric RV)
Chapter 5 : Multiple of Random Variables
Sol ut i on( 3)
PMF of Geomet ric RV wit h paramet er 1- p :
(modified Geometric RV)
P[N = n] = p
n
(1-p), n = 0,1,2,
Chapter 5 : Multiple of Random Variables
17
Sol ut i on( 4)
P[N = n] = p
n
(1-p) N = qM+r
= P[N = qM+r]
= P[Q = q, R = r] = p
n
(1-p)
The j oint PMF wit h paramet er (1 ) is
Chapter 5 : Multiple of Random Variables
The j oint PMF wit h paramet er (1-p) is
P[Q = q, R = r] = (1-p)p
qM+r
Sol ut i on( 5)
Mar gi nal PMF of Q
Q : number of full packet s
R = 0 N = qM
R = 1 N = qM + 1

R = M 1 N = qM + M -1
Chapter 5 : Multiple of Random Variables
18
Sol ut i on( 6)
P[N = n] = P[Q = q, R = r] = (1-p)p
qM+r
Marginal PMF of Q
P[Q = q] = P[N in {qM, qM +1,, qM+(M-1)}]
( )

+
=
1
1
M
r qM
p p
Chapter 5 : Multiple of Random Variables

=0 r
( )

=
=
1
0
1
M
k
k qM
p p p
Sol ut i on( 7)
P[Q = q]
( )

=
1
1
M
r qM
p p p
( ) ,... 2 , 1 , 0
1
1
1 =

= q
p
p
p p
M
qM
=0 r
Marginal PMF of Q
Chapter 5 : Multiple of Random Variables
Marginal PMF of Q
P[Q = q] = (1 - p
M
)p
qM
19
Sol ut i on( 8)
Mar gi nal PMF of R
R : number of byt es left over { R = 0,1,, M-1}
Q = 1 N = r
Q = 2 N = M + r
Q = 3 N = 2M + r

Q = q N = qM + r

Chapter 5 : Multiple of Random Variables

Sol ut i on( 9)
Marginal PMF of R
P[R = r]
= P[N in {r M+r 2M+r }]
( )

=
+
=
0
1
q
r qM
p p
P[R r]
= P[N in {r, M+r,2M +r,,}]
1 ,..., 2 , 1 , 0
1
=

= M r p
p
r
M
Chapter 5 : Multiple of Random Variables
, , , ,
1
p
p
M
20
Joi nt CDF
Cumul at i ve Di st r i but i on f unct i on
F
X
(x) = P[X < x]
Joi nt Cumul at i ve Di st r i but i on
f unct i on
Chapter 5 : Multiple of Random Variables
F
X,Y
(x,y) = P[X < x, Y < y]
( Cont i ue)
F
X Y
(x y) = P[X < x Y < y]
(x,y)
Y
y
F
X,Y
(x,y) P[X < x, Y < y]
Chapter 5 : Multiple of Random Variables
F
X,Y
(x,y) X
x
21
Theor em : Joi nt CDF
Theorem : For any pair of random variables X, Y,
0 < F
X,Y
(x,y) < 1
F
X
(x) = F
X,Y
(x,) = P[X < x, Y < ]
F
Y
(y) = F
X,Y
(,y) = P[X < , Y < y]
F
X Y
(-, y) = F
X Y
(x, -) = 0
X,Y
( , y)
X,Y
( , )
If x < x
1
and y < y
1
then F
X,Y
(x,y) < F
X,Y
(x
1
,y
1
)
F
X,Y
(, ) = 1
Chapter 5 : Multiple of Random Variables
Summar y
Mul t i pl e of Random Var i abl e
Di scr et e Random Var i abl e Di scr et e Random Var i abl e
Event s and Probabilit ies
Joint Probabilit y Mass Funct ion
Joint Cumulat ive Dist ribut ion Funct ion
Chapter 5 : Multiple of Random Variables
22
Joi nt Pr obabi l i t y Densi t y Funct i on
Def i ni t i on: The Joint PDF of t he cont inuous
random variable X and Y is a funct ion f
X,Y
(x,y)
( ) ( )
} }

=
x y
Y X Y X
dvdu v u f y x F , ,
, ,
wit h t he propert y
Chapter 5 : Multiple of Random Variables
Single RV X, f
X
(x) measure of probability/unit length
Two RV X and Y f
X,Y
(x,y) measure probability/unit area
Joi nt PDF
Theor em :
( )
( )
y x
y x F
y x f
Y X
Y X
c c
c
=
,
,
,
2
,
P[x < X < x+dx , y < Y < y + dy] = f
X,Y
(x,y)dxdy
Chapter 5 : Multiple of Random Variables
23
Joi nt PDF : Theor em
P[x
1
< X<x
2
, y
1
<Y<y
2
] = F
X,Y
(x
2
,y
2
) F
X,Y
(x
2
,y
1
)
F (x y )+F (x y ) F
X,Y
(x
1
,y
2
)+F
X,Y
(x
1
,y
1
)
(x
2
,y
2
)
Y
Chapter 5 : Multiple of Random Variables
(x
1
,y
1
)
X
Joi nt PDF : Theor em
f
X,Y
(x,y) > 0 for all (x,y)
( )
} }

=1 ,
,
dxdy y x f
Y X

| | ( )
}}
=
Y X
dxdy y x f A P ,
,
Chapter 5 : Multiple of Random Variables
A
24
Exampl e
Find t he j oint CDF F
X,Y
(x,y) when X and Y have
j oint PDF
( )

s s s
=
otherwise
x y
y x f
Y X
1 0
0
2
,
,
j oint PDF
( ) ( )
} }
=
x y
Y X Y X
dvdu v u f y x F , ,
, ,
Chapter 5 : Multiple of Random Variables
( )
} }

=
y x
Y X
dudv y x F 2 ,
,

( Cont i nue)
( )

s s s
=
th i
x y
y x f
Y X
1 0
0
2
,
,
Y

otherwise 0
,
1
0 < y < x < 1
X= Y
Chapter 5 : Multiple of Random Variables
X
1
25
Sol ut i on
Case 1 completely inside
the region
Y
1
y (x,y)
x > 1 and y > 1
F
X,Y
(x,y) = 1
Case 2 outside the region
x < 0 or y < 0
Y
1
X
1 x
(x y)
y
F
X,Y
(x,y) = 0
Chapter 5 : Multiple of Random Variables
X
1
y
x
(x,y)
49
(x,y)
x < 0
y < 0
Sol ut i on( 2)
Case 3 (x,y) is inside the area of nonzero probability
0 < y < x < 1 0 < y < x < 1
1
Y
X (x,y)
y
f
X,Y
(x,y) = 2
( ) ( )
} }
} }

=
=
y x
y x
Y X Y X
dudv
dudv v u f y x F
2
, ,
, ,
Chapter 5 : Multiple of Random Variables
X
1
( )
} }
=
y x
v
Y X
dudv y x F
0
,
2 ,
x
v

26
Sol ut i on( 3)
( )
} }
=
y x
Y X
dudv y x F 2 ,
Y
f
X,Y
(x,y) = 2
( )
}
=
y
dv v x
0
2
2
2 y xy =
( )
} }
v
Y X
y
0
,
,
1
X
1
X (x,y)
y
x
Chapter 5 : Multiple of Random Variables
Sol ut i on( 4)
Case 4 (x,y) above the triangle
0 < x < y 0 < x < 1 0 < x < y, 0 < x < 1
1
Y
X (x,y)
y
f
X,Y
(x,y) = 2 ( )
} }
=
x x
v
Y X
dudv y x F
0
,
2 ,
( )
}
=
x
dv v x 2
Chapter 5 : Multiple of Random Variables
X
1
x
v
}
0
2
x =
27
Sol ut i on( 5)
Case 5 (x,y) is the right of
triangle
Y
f (x y) = 2
( )
} }
=
y
v
Y X
dudv y x F
0
1
,
2 ,
0 < y < 1, x > 1
1
X
1
X (x,y)
y
x
f
X,Y
(x,y) = 2
v ( )
}
=
y
dv v 1 2
Chapter 5 : Multiple of Random Variables
1
x v ( )
}
dv v
0
1 2
2
2 y y =
Sol ut i on
The resulting CDF is
( )

> >
> s s
s s < s
s s s
< <

=
1 , 1
1 , 1 0
1 0 , 0
1 0
0 or 0
1
2
2
0
,
2
2
2
,
y x
x y
x y x
x y
y x
y y
x
y xy
y x F
Y X
Chapter 5 : Multiple of Random Variables
28
Mar gi nal PDF
I nt erest ed only in one random variable
I gnore Y and observe only X
( ) ( )
}

d f f
I gnore X and observer only Y
Theorem : I f X and Y are random variables wit h
j oint PDF f
X,Y
(x,y),
( ) ( )
( ) ( )
}
}

=
=
dx y x f y f
dy y x f x f
Y X Y
Y X X
,
,
,
,
Chapter 5 : Multiple of Random Variables
Exampl e
s s s s 1 1 1 4 / 5
2
The PDF of X and Y is
( )

s s s s
=
otherwise
y x x y
y x f
Y X
1 , 1 1
0
4 / 5
,
2
,
Find The marginal PDFs f
X
(x) and f
Y
(y)
Chapter 5 : Multiple of Random Variables
29
( Cont i nue)
( )

s s s s
=
y x x y
y x f
1 , 1 1 4 / 5
2
-1 < x < 1
( )

=
otherwise
y x f
Y X
0
,
,
< 1
Y
1
y > x
2
Chapter 5 : Multiple of Random Variables
y < 1
X
-1 1
0.5
0
Sol ut i on
Find f
X
(x)
( ) ( )
}

1
Y
X=x
0 4
0.6
)
( ) ( )
}
}

=
=
dy y
dy y x f x f
Y X X
4 / 5
,
,
0.5
-1 0 1
X
x
2
4
1
4 / 5
2
dy y
x
| |
=
}
0.2
0.4
0
-1.5 -1 -0.5 0 0.5 1
x
f
X
(
x
Chapter 5 : Multiple of Random Variables
58
( )
4
4
1
8
5
2 2
1
4
5
x
x
=
|
|
.
|

\
|
=
30
Sol ut i on
( ) ( )
}

= dx y x f y f
Find f
Y
(y)
1
Y
2
3
y
)
( ) ( )
}
}

=
=
dx y
dx y x f y f
Y X Y
4 / 5
,
,
-1 0 1
X
y
1/2
Y=y
-y
1/2
}

=
y
y
dx y 4 / 5
( ) ( )
5y
1
-1 -0.5 0 0.5 1
x
f
Y
(
y
Chapter 5 : Multiple of Random Variables
( ) ( )
2
5
4
5
2 3
y
y y
y
=
=
Funct i ons of Two Random Var i abl e
Use t wo random variable t o comput er a new
random variable
Example
X : Amplit ude of signal t ransmit t ed by radio st at ion
Y : at t enuat ion of t he signal as it t ravels t o t he
ant enna of a moving car
W : amplit ude of t he signal at t he radio receiver in
t he car t he car
W = X/Y
Chapter 5 : Multiple of Random Variables
31
Theorem : For discrete random variables X
PMF of Funct i on
and Y, the derived random variable W =
g(X,Y) has PMF
( ) ( )
( ) ( )

=
=
w y x g y x
Y X W
y x P w P
, : ,
,
,
Chapter 5 : Multiple of Random Variables
( Cont i nue)
( ) ( )

=
Y X W
y x P w P ,
PP
X,Y X,Y
((x,y x,y))
( ) ( )
( ) ( )

=w y x g y x
Y X W
y
, : ,
,
,
Chapter 5 : Multiple of Random Variables
w = g(x,y)
32
A firm sends out t wo kinds of promot ional facsimiles. One
kind cont ains only t ext and requires 40 seconds t o
t ransmit each page The ot her kind cont ains grayscale
Exampl e
t ransmit each page. The ot her kind cont ains grayscale
pict ures t hat t ake 60 seconds per page. Faxes can be
1, 2, or 3 pages long. Let random variable L : lengt h of a
fax in pages. S
L
= { 1, 2, 3} . Let t he random variable T :
t ime t o send each page. S
T
= { 40,60} . Aft er observing
many fax t ransmissions, t he firm derives t he following
probabilit y model; probabilit y model;
Chapter 5 : Multiple of Random Variables
P
L,T
(l,t) t = 40 sec t = 60 sec
l = 1 page 0.15 0.1
l = 2 pages 0.3 0.2
l = 3 pages 0.15 0.1
( Cont i nue)
Let D = g(L,T) = LT be t he t ot al durat ion in
second of a fax t ransmission. Find t he range second of a fax t ransmission. Find t he range
S
D
, t he PMF P
D
(d), and t he expect ed value E[D]
Chapter 5 : Multiple of Random Variables
64
33
Sol ut i on
PMF P
D
(d)
D = LT
P
L,T
(l,t) t = 40 sec t = 60 sec
l = 1 page 0.15 0.1
D = LT
S
D
= {40, 60, 80, 120, 180}
P
D
(40) = P
L,T
(1,40) = 0.15
P
D
(60) = P
L,T
(1,60) = 0.1
P
D
(80) = P
L,T
(2,40) = 0.3
l 1 page 0.15 0.1
l = 2 pages 0.3 0.2
l = 3 pages 0.15 0.1
P
D
(120) = P
L,T
(2,60)+P
L,T
(3,40) = 0.35
P
D
(180) = 0.1
P
D
(d) = 0;d = 40, 60, 80, 120, 180
Chapter 5 : Multiple of Random Variables
( Cont i nue)
P
L T
(l,t) t = 40 sec t = 60 sec
D (second) P
D
(d)
L,T
( , )
l = 1 page 0.15 0.1
l = 2 pages 0.3 0.2
l = 3 pages 0.15 0.1
D
40 0.15
60 0.1
80 0.3
120 0.35
Chapter 5 : Multiple of Random Variables
180 0.1
34
Sol ut i on ( cont .)
| | ( )

Expect ed value E[D]

| | ( )

e
=
D
S d
D
d dP D E
= 40(0.15)+60(0.1)+80(0.3)+120(0.35)+180(.1)
= 96 sec
P
L,T
(l,t) t = 40 sec t = 60 sec
Chapter 5 : Multiple of Random Variables
l = 1 page 0.15 0.1
l = 2 pages 0.3 0.2
l = 3 pages 0.15 0.1
Theorem : For continuous random
variables X and Y the CDF of
PDF of Funct i on
variables X and Y, the CDF of
W = g(X,Y) is
( ) | | ( )
( )
}}
s
= s =
w y x g
Y X W
dxdy y x f w W P w F
,
,
,
Chapter 5 : Multiple of Random Variables
35
( Cont i nue)
( ) | | ( )
( )
}}
= s =
Y X W
dxdy y x f w W P w F
,
,
PP
X,Y X,Y
((x,y x,y))
( )sw y x g ,
Chapter 5 : Multiple of Random Variables
w = g(x,y)
Exampl e
> >
+
y x e
Y x
0 0

X and Y have t he j oint PDF

( )

> >
=
otherwise
y x e
y x f
Y X
0 , 0
0
,
,

Y
Y=wX
Find t he PDF of W = Y/X
Chapter 5 : Multiple of Random Variables
X
Y wX
36
Sol ut i on
F
W
(w) = P[W s w]
P[Y/X s ] P[Y s X] = P[Y/X s w] = P[Y s wX]
Y
Y=wX Y< wX
W= w
Chapter 5 : Multiple of Random Variables
X
W = w
Sol ut i on
For w < 0, F
W
(w) = 0,
w > 0, CDF is
| |
} }

+
|
|
.
|

\
|
= s
0 0
dx dy e wX Y P
y x

Y
Y=wX
W= w
Y< wX
} }

+
|
|
.
|

\
|
=
0 0
dx dy e
wx
y x

Chapter 5 : Multiple of Random Variables

} }

|
|
.
|

\
|
=
0 0
dx dy e e
wx
y x

X
W = w
37
( Cont i nue)
| |
} }

|
|
.
|

\
|
= < dx dy e e wX Y P
wx
y x

} }
|
.

\ 0 0
( )
w
dx e e
wx x

+
=
=
}

1
1
0
Chapter 5 : Multiple of Random Variables
( Cont i nue)
( ) | |

< 0
0
w
( ) | |

>
<
+

= s =
0
0
1 w
w
w
wX Y P w F
W


( )
( )

<
= =
0
0
w
w dF
w f
w
W

Chapter 5 : Multiple of Random Variables
( )
( )

>
+
0
2
w
w
dw
w f
W


38
Theor em : For variable X and Y, t he expect ed
value of W = g(X,Y) is
Expect ed Val ue of Funct i on
Discret e:
| | ( ) ( )

e e
=
X Y
S x S y
Y X
y x P y x g W E , ,
,
Cont inuous :
Chapter 5 : Multiple of Random Variables
| | ( ) ( )
} }

= dxdy y x P y x g W E
Y X
, ,
,
Exampl e
P
L,T
(l,t) t = 40
sec
t = 60
sec
Comput e E[D] direct ly
from P
L,T
(l,t)
l = 1 page 0.15 0.1
l = 2 pages 0.3 0.2
l = 3 pages 0.15 0.1
g(l,t) = lt
| | ( ) ( ) t l P lt D E
T L
,
3

=
| | ( ) ( )

e e
=
L T
S l S t
T L
t l P t l g D E , ,
,
Chapter 5 : Multiple of Random Variables
| | ( ) ( ) t l P lt D E
T L
l t
,
,
1 60 , 40

= =
( )( ) ( )( ) ( )( ) ( )( ) ( )( ) ( )( ) 1 . 0 60 3 15 . 0 40 3 2 . 0 60 2 3 . 0 40 2 1 . 0 60 1 15 . 0 40 1 + + + + + =
| | sec 96 = D E
39
Theorem:
Expect ed Val ue of Funct i on
E[g
1
(X,Y) ++ g
n
(X,Y)] = E[g
1
(X,Y)] ++ E[g
n
(X,Y)]
E[X+Y] = E[X] + E[Y]
Chapter 5 : Multiple of Random Variables
Condi t i oni ng by an Event
Definition : For discrete random variable X and
Y and an event B with P[B] > 0 the Y and an event, B with P[B] > 0, the
conditional joint PMF of X and Y given B is
P
X,Y|B
(x,y) = P[X = x, Y=y|B]
{
Chapter 5 : Multiple of Random Variables
Event
Pair of RV
40
Condi t i onal j oi nt PMF & PDF
Know j oint of PMF or
PDF PDF
Given Event B
Want t o know condit ion
j oint Probabilit y when
given event B [ only j oint
PP
X,Y X,Y
((x,y x,y))
Event Event
BB
given event B [ only j oint
probabilit y t hat (x,y) e B]
Chapter 5 : Multiple of Random Variables
Condi t i onal j oi nt PMF & PDF
Theorem : Condition Joint PMF of
the X,Y plane with P[B] > 0,
( )
( )
| |
( )

e
=
otherwise
B y x
B P
y x P
y x P
Y X
B Y X
,
0
,
,
,
| ,
Theorem: Conditional Joint PDF of
X and Y is
P(x,y)
P[B]
Chapter 5 : Multiple of Random Variables
X and Y is,
( )
( )
| |
( )

e
=
otherwise
B y x
B P
y x f
y x f
Y X
B Y X
,
0
,
,
,
| ,
41
4
1/16
y
P
X,Y
(x,y)
Exampl e
Random variables X any Y
have t he j oint PMF P
X Y
(x,y)
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1 2 3 4
1/4
x
have t he j oint PMF P
X,Y
(x,y)
as shown. Let B denot e t he
event X + Y < 4. Find t he
condit ional PMF of X and Y
given B
Chapter 5 : Multiple of Random Variables Chapter 5 : Multiple of Random Variables
( Cont i nue)
y
P
X,Y
(x,y)
B = {(x,y)| X + Y < 4}
B {(1 1) (2 1) (2 2) (3 1)}
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1 2 3 4
1/16
1/4
x
B = {(1,1), (2,1), (2,2), (3,1)}
P[B] = P
X,Y
(1,1) + P
X,Y
(2,1) +
P
X,Y
(2,2) + P
X,Y
(3,1)
= + 1/8 + 1/8 + 1/12
= 7/12
Chapter 5 : Multiple of Random Variables
1 2 3 4
X+Y = 4
X+Y < 4
42
Sol ut i on
( )
( )
| | B P
y x P
y x P
Y X
B Y X
,
,
,
| ,
=
P
X,Y|B
(1,1) = ()/(7/12) = 3/7
P
X,Y|B
(2,1) = (1/8)/(7/12) = 3/14
P
X,Y|B
(3,1) = (1/12)/(7/12) = 1/7
1
2
3
4
3/14
y
P
X,Y|B
(x,y)
3/7
3/14
1/7
| | B P
P
X,Y|B
(2,2) = (1/8)/(7/12) = 3/14
Chapter 5 : Multiple of Random Variables
1 2 3 4
x
Theorem : For random variable X and Y and an
event B of nonzero probability, the conditional
Condi t i onal Expect ed Val ue
f p y,
expected value of W = g(X,Y) given B is
Discrete :
| | ( ) ( )

e e
=
X Y
S x S y
B Y X
y x P y x g B W E , , |
| ,
Continuous:
Chapter 5 : Multiple of Random Variables
( ) ( )
} }

dxdy y x f y x g
B Y X
, ,
| ,
43
Exampl e
Find t he condit ional expect ed value of W = X + Y
given t he event B = {X + Y < 4}
B = {(1,1), (2,1), (3,1), (2,2)}
P
X,Y|B
(x,y) = {3/7, 3/14, 1/7, 3/14}
1/4
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1/16
y
P
X,Y
(x,y)
| | ( ) ( )

+ =
y x
B Y X
y x P y x B W E
| ,
, |
14
41
14
3
4
7
1
4
14
3
3
7
3
2 = + + + =
Chapter 5 : Multiple of Random Variables
1 2 3 4
x
y x,
Condi t i oni ng by Random Var i abl e
Out come of experiment (x,y) e B
Derive new probabilit y model for experiment p y p
condit ioning by event
Change B = {X = x} or B = {Y = y} RV
Knowledge of Y derive new probabilit y model
of X condit ioning by RV
C dit i i b RV Condit ioning by RV
Condit ional PMF of X given Y
Condit ional PDF of X given Y
Chapter 5 : Multiple of Random Variables
44
Condi t i on PMF
Definition : For any event Y = y such that P
Y
(y) >
0, the condition PMF of X given Y = y is 0, the condition PMF of X given Y y is
P
X|Y
(x|y) = P[X=x|Y=y]
Theorem : For random variables X and Y with joint
PMF P
X,Y
(x,y) and x and y such that P
X
(x) > 0 and
P (y) > 0 P (x y) = P (x|y)P (y) = P (y|x)P (x) P
Y
(y) > 0, P
X,Y
(x,y) = P
X|Y
(x|y)P
Y
(y) = P
Y|X
(y|x)P
X
(x)
Chapter 5 : Multiple of Random Variables
Definition : For y such that f
Y
(y) > 0, the conditional
PDF of X given Y {Y = y} is
Condi t i on PDF
Theorem : f
X,Y
(x,y) = f
X|Y
(x|y)f
Y
(y) = f
Y|X
(y|x)f
X
(x)
( )
( )
( ) y f
y x f
y x f
Y
Y X
Y X
,
|
,
|
=
( )
( )
( ) x f
y x f
x y f
X
Y X
X Y
,
|
,
|
=
Chapter 5 : Multiple of Random Variables
45
Exampl e
Random variable X and Y
have t he j oint PMF
4
1/16
y
have t he j oint PMF
P
X,Y
(x,y), as shown. Find
t he condit ion PMF of Y
given X = x for each x e S
x
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1 2 3 4
1/4
x
( )
( )
( )
y x P
x y P
Y X
X Y
,
|
,
|
=
Chapter 5 : Multiple of Random Variables
( )
( ) x P
x y
X
X Y
|
|
( Cont i nue)
X = 1 P(X = 1) =
X = 2 P(X = 2) = 1/8 +1/8 =
4
1/16
y
X = 2 P(X = 2) = 1/8 +1/8 =
( )

=
=
=
+ +
+
= x
x
x
x P 3
2 ,
1 ,
12 / 1 12 / 1 12 / 1
8 / 1 8 / 1
4 / 1
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1 2 3 4
1/4
x
Chapter 5 : Multiple of Random Variables
( )

=
=
+ + +
+ + =
otherwise
x
x x P
X
,
4 ,
3 ,
0
16 / 1 16 / 1 16 / 1 16 / 1
12 / 1 12 / 1 12 / 1
46
( Cont i nue)
4
1/16
y

=
=
x
x
2 ,
1 ,
4 / 1
4 / 1
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1 2 3 4
1/4
x
( )

=
= =
otherwise
x
x x P
X
,
4 ,
3 ,
0
4 / 1
4 / 1
X = 1, Y = 1
( )
( )
( ) 1
1 , 1
1 | 1
,
|
X
Y X
X Y
P
P
P =
Chapter 5 : Multiple of Random Variables
( )
( )
( )
1
4 1
4 1
1
1 , 1
1 | 1
,
|
= = =
X
Y X
X Y
P
P
P
( )
X
( Cont i nue)
4
1/16
y

=
=
x
x
2 ,
1 ,
4 / 1
4 / 1
( )
( )
( ) 2
1
4 1
8 1
2
1 , 2
2 | 1
,
|
= = =
X
Y X
X Y
P
P
P
1/8
1/8
1/12
1/12
1/12
1/16
1/16
1/16
1
2
3
4
1 2 3 4
1/4
x
( )

=
= =
otherwise
x
x x P
X
,
4 ,
3 ,
0
4 / 1
4 / 1
( )
Chapter 5 : Multiple of Random Variables
( )
( )
( ) 2
1
4 1
8 1
2
2 , 2
2 | 2
,
|
= = =
X
Y X
X Y
P
P
P
( )
{ }

e
=
otherwise
y
y P
X Y
2 , 1
0
2 / 1
2 |
|
47
( Cont i nue)
From Theorem
( )
( ) y x P
x y P
Y X
,
|
,
( )
{ }

e
=
otherwise
y
y P
X Y
2 , 1
0
2 / 1
2 |
|
Then
( )

=
=
otherwise
y
y P
X Y
1
0
1
1 |
|
( )
( ) x P
x y P
X
X Y
|
|
=
Chapter 5 : Multiple of Random Variables
( )
{ }

e
=
otherwise
y
y P
X Y
4 , 3 , 2 , 1
0
4 / 1
4 |
|
( )
{ }

e
=
otherwise
y
y P
X Y
3 , 2 , 1
0
3 / 1
3 |
|
Exampl e
A server clust er has t wo servers labeled A and B.
I ncoming j obs are independent ly rout ed by t he g j
front end equipment (called server swit ch) t o
server A wit h probabilit y p and t o server B wit h
probabilit y (1-p). The number of j obs, X, arriving
per unit t ime is Poisson dist ribut ed wit h
paramet er .
Det ermine t he dist ribut ion funct ion of t he number Det ermine t he dist ribut ion funct ion of t he number
of j obs, Y, received by server A, per unit t ime.
Chapter 5 : Multiple of Random Variables
48
Sol ut i on
S
A
j b
P
Y
[k] = ??
p
Server
Swit ch
B
Poisson
()
n jobs
p
1-p
Server cluster Server cluster
Let X = # of j obs arrive per unit t ime at server
clust er
Y = # of j obs arrive per unit t ime at server A
Chapter 5 : Multiple of Random Variables
( Cont i nue)
( ) ( )

e
=
S n
Y X Y
k n P k P ,
,
4
X
e
X
S n
X is Poisson Distribution
( ) ( ) ( )

e
=
X
S n
X X Y Y
n P n k P k P |
|
1
2
3
4
1 2 3 4
Y
( )
! n
e
n P
n
X

=
Chapter 5 : Multiple of Random Variables
49
( Cont i nue)
Jobs occur as a sequence of n independent
Bernoulli t rials
( ) ( )
k n k
X Y
p p
k
n
n k P

|
|
.
|

\
|
= 1 |
|
Condit ion probabilit y t hat [Y=k] given [ X=n] is
Chapter 5 : Multiple of Random Variables
Binomial PMF
( Cont i nue)
( ) ( ) ( )

=
S
X X Y Y
n P n k P k P |
|
( ) ( )
( ) ( ) | |
( )

|
|
.
|

\
|
=
k n
k n k
k n
n
k n k
Y
k n
p
k
e p
n
e
p p
k
n
k P
!
1
!
!
1

e
X
S n
Chapter 5 : Multiple of Random Variables
( )
( )
( ) p
k
Y
e
k
e p
k P

=
1
!

e
(1-p)
50
Theorem : Discrete
Condi t i onal Expect ed Val ue of a
Funct i on
( ) | | ( ) ( )

= = y x P y x g y Y Y X g E | |
Theorem : Continuous
( ) | | ( ) ( )

e
= =
X
S x
Y X
y x P y x g y Y Y X g E | , | ,
|
| | ( )

e
= =
X
S x
Y X
y x xP y Y X E | |
|
( ) | | ( ) ( )
}

Chapter 5 : Multiple of Random Variables

( ) | | ( ) ( )dx y x P y x g y Y Y X g E
Y X
}

= = | , | ,
|
| | ( )dx y x xP y Y X E
Y X
}

= = | |
|
I ndependent Random Var i abl es
Definition : Random variables X and Y are independent
if and only if if and only if
Discrete : P
X,Y
(x,y) = P
X
(x)P
Y
(y)
Continuous : f
X,Y
(x,y) = f
X
(x)f
Y
(y)
Chapter 5 : Multiple of Random Variables
51
Exampl e
Are Q and R independent ?
| | | | ( )( )
r
M
q
M M
p
p
p
p p r R P q Q P

= = =
1
1
1
( )
| | r R q Q P
p p
r Mq
= = =
=
+
,
1
( ) r q P
R Q
, =
Therefore Q and R are independent
Chapter 5 : Multiple of Random Variables
| | q Q , ( ) q
R Q
,
,
Ref er ences
1. Albert o Leon-Garcia, Probabilit y and Random
Processes for Elect rical Engineering, 3
rd
Ed., Processes for Elect rical Engineering, 3 Ed.,
Addision-Wesley Publishing, 2008
2. Roy D. Yat es, David J. Goodman, Probabilit y
and St ochast ic Processes: A Friendly
I nt roduct ion for Elect rical and Comput er
Engineering, 2nd, John Wiley & Sons, I nc, 2005 g g, , y , ,
3. Jay L. Devore, Probabilit y and St at ist ics for
Engineering and t he Sciences, 3rd edit ion,
Brooks/ Cole Publishing Company, USA, 1991.
Chapter 5 : Multiple of Random Variables