Chapter 11: Problem 7
Give an algorithm for simulating a random variable having density function
$$
f(x)=30\left(x^{2}-2 x^{3}+x^{4}\right), \quad 0
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Chapter 11: Problem 7
Give an algorithm for simulating a random variable having density function
$$
f(x)=30\left(x^{2}-2 x^{3}+x^{4}\right), \quad 0
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Consider the technique of simulating a gamma \((n, \lambda)\) random variable by using the rejection method with \(g\) being an exponential density with rate \(\lambda / n\). (a) Show that the average number of iterations of the algorithm needed to generate a gamma is \(n^{n} e^{1-n} /(n-1) !\) (b) Use Stirling's approximation to show that for large \(n\) the answer to part (a) is approximately equal to \(e[(n-1) /(2 \pi)]^{1 / 2}\) (c) Show that the procedure is equivalent to the following: Step 1: Generate \(Y_{1}\) and \(Y_{2}\), independent exponentials with rate \(1 .\) Step 2: If \(Y_{1}<(n-1)\left[Y_{2}-\log \left(Y_{2}\right)-1\right]\), return to step 1 . Step 3: \(\quad\) Set \(X=n Y_{2} / \lambda\) (d) Explain how to obtain an independent exponential along with a gamma from the preceding algorithm.
The Discrete Rejection Metbod: Suppose we want to simulate \(X\) having probability mass function \(P\\{X=i\\}=P_{i}, i=1, \ldots, n\) and suppose we can easily simulate from the probability mass function \(Q_{i}, \sum_{i} Q_{i}=1, Q_{i} \geqslant 0 .\) Let \(C\) be such that \(P_{i} \leqslant C Q_{i}, i=1, \ldots, n .\) Show that the following algorithm generates the desired random variable: Step 1: Generate \(Y\) having mass function \(Q\) and \(U\) an independent random number. Step \(2:\) If \(U \leqslant P_{Y} / C Q_{Y}\), set \(X=Y .\) Otherwise return to step \(1 .\)
Consider a queueing system in which each service time, independent of the past, has mean \(\mu\). Let \(W_{n}\) and \(D_{n}\) denote, respectively, the amounts of time customer \(n\) spends in the system and in queue. Hence, \(D_{n}=W_{n}-S_{n}\) where \(S_{n}\) is the service time of customer \(n\). Therefore, $$ E\left[D_{n}\right]=E\left[W_{n}\right]-\mu $$
If \(U_{1}, U_{2}, U_{3}\) are independent uniform \((0,1)\) random variables, find \(P\left(\prod_{i=1}^{3} U_{i}>0.1\right)\) Hint: Relate the desired probability to one about a Poisson process.
Let \((X, Y)\) be uniformly distributed in a circle of radius \(r\) about the origin. That is, their joint density is given by $$ f(x, y)=\frac{1}{\pi r^{2}}, \quad 0 \leqslant x^{2}+y^{2} \leqslant r^{2} $$ Let \(R=\sqrt{X^{2}+Y^{2}}\) and \(\theta=\arctan Y / X\) denote their polar coordinates. Show that \(R\) and \(\theta\) are independent with \(\theta\) being uniform on \((0,2 \pi)\) and \(P\\{R
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