Lecture notes Probability and Statistics

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Introduction to Probability Charles M. Grinstead Swarthmore College J. Laurie Snell Dartmouth Collegeviii PREFACE this site, and we invite our readers to submit their contributions. FEATURES Levelofrigorandemphasis: Probabilityisawonderfullyintuitiveandapplicable field of mathematics. We have tried not to spoil its beauty by presenting too much formal mathematics. Rather, we have tried to develop the key ideas in a somewhat leisurely style, to provide a variety of interesting applications to probability, and to show some of the nonintuitive examples that make probability such a lively subject. Exercises: There are over 600 exercises in the text providing plenty of oppor- tunity for practicing skills and developing a sound understanding of the ideas. In the exercise sets are routine exercises to be done with and without the use of a computer and more theoretical exercises to improve the understanding ofbasic con- cepts. More difficult exercises are indicated by an asterisk. A solution manual for all of the exercises is available to instructors. Historical remarks: Introductory probability is a subject in which the funda- mental ideas are still closely tied to those of the founders of the subject. For this reason, there are numerous historical comments in the text, especially as they deal with the development of discrete probability. Pedagogical use of computer programs: Probability theory makes predictions about experiments whose outcomes depend upon chance. Consequently, it lends itself beautifully to the use of computers as a mathematical tool to simulate and analyze chance experiments. In the text the computer is utilized in several ways. First, it provides a labora- tory where chance experiments can be simulated and the students can get a feeling for the variety of such experiments. This use of the computer in probability has been already beautifully illustrated by William Feller in the second edition of his famous text An Introduction to Probability Theory and Its Applications (New York: Wiley, 1950). In the preface, Feller wrote about his treatment of fluctuation in coin tossing: “The results are so amazing and so at variance with common intuition that even sophisticated colleagues doubted that coins actually misbehave as theory predicts. The record of a simulated experiment is therefore included.” Inadditiontoprovidingalaboratoryforthestudent, thecomputerisapowerful aid in understanding basic results of probability theory. For example, the graphical illustration of the approximation of the standardized binomial distributions to the normal curve is a more convincing demonstration of the Central Limit Theorem than many of the formal proofs of this fundamental result. Finally, the computer allows the student to solve problems that do not lend themselves to closed-form formulas such as waiting times in queues. Indeed, the introduction of the computer changes the way in which we look at many problems in probability. For example, being able to calculate exact binomial probabilities for experiments up to 1000 trials changes the way we view the normal and Poisson approximations.PREFACE ix ACKNOWLEDGMENTS FOR FIRST EDITION Anyone writing a probability text today owes a great debt to William Feller, who taught us all how to make probability come alive as a subject matter. If you find an example, an application, or an exercise that you really like, it probably had its origin in Feller’s classic text, An Introduction to Probability Theory and Its Applications. This book had its start with a course given jointly at Dartmouth College with ProfessorJohnKemeny. IamindebtedtoProfessorKemenyforconvincingmethat it is both useful and fun to use the computer in the study of probability. He has continuously and generously shared his ideas on probability and computing with me. No less impressive has been the help of John Finn in making the computing an integral part of the text and in writing the programs so that they not only can be easily used, but they also can be understood and modified by the student to explorefurtherproblems. Someoftheprogramsinthetextweredevelopedthrough collaborative efforts with John Kemeny and Thomas Kurtz on a Sloan Foundation project and with John Finn on a Keck Foundation project. I am grateful to both foundations for their support. I am indebted to many other colleagues, students, and friends for valuable com- ments and suggestions. A few whose names stand out are: Eric and Jim Baum- gartner, Tom Bickel, Bob Beck, Ed Brown, Christine Burnley, Richard Crowell, David Griffeath, John Lamperti, Beverly Nickerson, Reese Prosser, Cathy Smith, and Chris Thron. The following individuals were kind enough to review various drafts of the manuscript. Their encouragement, criticisms, and suggestions were very helpful. Ron Barnes University of Houston, Downtown College Thomas Fischer Texas A & M University Richard Groeneveld Iowa State University James Kuelbs University of Wisconsin, Madison Greg Lawler Duke University Sidney Resnick Colorado State University Malcom Sherman SUNY Albany Olaf Stackelberg Kent State University Murad Taqqu Boston University Abraham Wender University of North Carolina In addition, I would especially like to thank James Kuelbs, Sidney Resnick, and theirstudentsforusingthemanuscriptintheircoursesandsharingtheirexperience and invaluable suggestions with me. The versatility of Dartmouth’s mathematical word processor PREPPY, written byProfessorJamesBaumgartner,hasmadeitmucheasiertomakerevisions,buthas madethejoboftypistextraordinaireMarieSlackcorrespondinglymorechallenging. Her high standards and willingness always to try the next more difficult task have made it all possible. Finally,ImustthankallthepeopleatRandomHousewhohelpedduringthede-x PREFACE velopment and production of this project. First, among these was my editor Wayne Yuhasz, whose continued encouragement and commitment were very helpful during the development of the manuscript. The entire production team provided efficient and professional support: Margaret Pinette, project manager; Michael Weinstein, production manager; and Kate Bradfor of Editing, Design, and Production, Inc. ACKNOWLEDGMENTS FOR SECOND EDITION The debt to William Feller has not diminished in the years between the two editions of this book. His book on probability is likely to remain the classic book in this field for many years. The process of revising the first edition of this book began with some high-level discussions involving the two present co-authors together with Reese Prosser and John Finn. It was during these discussions that, among other things, the first co- author was made aware of the concept of “negative royalties” by Professor Prosser. We are indebted to many people for their help in this undertaking. First and foremost, we thank Mark Kernighan for his almost 40 pages of single-spaced com- ments on the first edition. Many of these comments were very thought-provoking; in addition, they provided a student’s perspective on the book. Most of the major changes in the second edition have their genesis in these notes. We would also like to thank Fuxing Hou, who provided extensive help with the typesetting and the figures. Her incessant good humor in the face of many trials, both big (“we need to change the entire book from Lamstex to Latex”) and small (“could you please move this subscript down just a bit?”), was truly remarkable. We would also like to thank Lee Nave, who typed the entire first edition of the book into the computer. Lee corrected most of the typographical errors in the first edition during this process, making our job easier. Karl Knaub and Jessica Sklar are responsible for the implementations of the computerprogramsinMathematicaandMaple,andwethankthemfortheirefforts. WealsothankJessicaforherworkonthesolutionmanualfortheexercises,building on the work done by Gang Wang for the first edition. Tom Shemanske and Dana Williams provided much TeX-nical assistance. Their patienceandwillingnesstohelp, eventotheextentofwritingintricateTeXmacros, are very much appreciated. The following people used various versions of the second edition in their proba- bility courses, and provided valuable comments and criticisms. Marty Arkowitz Dartmouth College Aimee Johnson Swarthmore College Bill Peterson Middlebury College Dan Rockmore Dartmouth College Shunhui Zhu Dartmouth College Reese Prosser and John Finn provided much in the way of moral support and camaraderie throughout this project. Certainly, one of the high points of this entirePREFACE xi endeavour was Professor Prosser’s telephone call to a casino in Monte Carlo, in an attempt to find out the rules involving the “prison” in roulette. Peter Doyle motivated us to make this book part of a larger project on the Web, to which others can contribute. He also spent many hours actually carrying out the operation of putting the book on the Web. Finally, we thank Sergei Gelfand and the American Mathematical Society for their interest in our book, their help in its production, and their willingness to let us put the book on the Web.Chapter 1 Discrete Probability Distributions 1.1 Simulation of Discrete Probabilities Probability In this chapter, we shall first consider chance experiments with a finite number of possible outcomes ω , ω , ..., ω . For example, we roll a die and the possible 1 2 n outcomes are 1, 2, 3, 4, 5, 6 corresponding to the side that turns up. We toss a coin with possible outcomes H (heads) and T (tails). It is frequently useful to be able to refer to an outcome of an experiment. For example, we might want to write the mathematical expression which gives the sum of four rolls of a die. To do this, we could let X , i= 1,2,3,4, represent the values i of the outcomes of the four rolls, and then we could write the expression X +X +X +X 1 2 3 4 for the sum of the four rolls. The X ’s are called random variables. A random vari- i able is simply an expression whose value is the outcome of a particular experiment. Just as in the case of other types of variables in mathematics, random variables can take on different values. Let X be the random variable which represents the roll of one die. We shall assign probabilities to the possible outcomes of this experiment. We do this by assigning to each outcome ω a nonnegative number m(ω ) in such a way that j j m(ω )+m(ω )+···+m(ω )=1 . 1 2 6 The function m(ω ) is called the distribution function of the random variable X. j Forthecaseoftherollofthediewewouldassignequalprobabilitiesorprobabilities 1/6 to each of the outcomes. With this assignment of probabilities, one could write 2 P(X ≤4)= 3 12 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS to mean that the probability is 2/3 that a roll of a die will have a value which does not exceed 4. Let Y be the random variable which represents the toss of a coin. In this case, there are two possible outcomes, which we can label as H and T. Unless we have reason to suspect that the coin comes up one way more often than the other way, it is natural to assign the probability of 1/2 to each of the two outcomes. Inbothoftheaboveexperiments, eachoutcomeisassignedanequalprobability. This would certainly not be the case in general. For example, if a drug is found to be effective 30 percent of the time it is used, we might assign a probability .3 that the drug is effective the next time it is used and .7 that it is not effective. This last example illustrates the intuitive frequency concept of probability. That is, if we have a probability p that an experiment will result in outcome A, then if we repeat this experimentalargenumberoftimesweshouldexpectthatthefractionoftimesthat A will occur is about p. To check intuitive ideas like this, we shall find it helpful to look at some of these problems experimentally. We could, for example, toss a coin a large number of times and see if the fraction of times heads turns up is about 1/2. We could also simulate this experiment on a computer. Simulation We want to be able to perform an experiment that corresponds to a given set of probabilities; for example, m(ω ) = 1/2, m(ω ) = 1/3, and m(ω ) = 1/6. In this 1 2 3 case, one could mark three faces of a six-sided die with anω , two faces with anω , 1 2 and one face with an ω . 3 In the general case we assume that m(ω ), m(ω ), ..., m(ω ) are all rational 1 2 n numbers, with least common denominator n. If n 2, we can imagine a long cylindrical die with a cross-section that is a regular n-gon. If m(ω ) = n /n, then j j we can label n of the long faces of the cylinder with an ω , and if one of the end j j faces comes up, we can just roll the die again. If n = 2, a coin could be used to perform the experiment. Wewillbeparticularlyinterestedinrepeatingachanceexperimentalargenum- ber of times. Although the cylindrical die would be a convenient way to carry out a few repetitions, it would be difficult to carry out a large number of experiments. Since the modern computer can do a large number of operations in a very short time, it is natural to turn to the computer for this task. Random Numbers We must first find a computer analog of rolling a die. This is done on the computer by means of a random number generator. Depending upon the particular software package,thecomputercanbeaskedforarealnumberbetween0and1,oraninteger in a given set of consecutive integers. In the first case, the real numbers are chosen insuchawaythattheprobabilitythatthenumberliesinanyparticularsubinterval of this unit interval is equal to the length of the subinterval. In the second case, each integer has the same probability of being chosen.1.1. SIMULATION OF DISCRETE PROBABILITIES 3 .203309 .762057 .151121 .623868 .932052 .415178 .716719 .967412 .069664 .670982 .352320 .049723 .750216 .784810 .089734 .966730 .946708 .380365 .027381 .900794 Table 1.1: Sample output of the program RandomNumbers. Let X be a random variable with distribution function m(ω), where ω is in the setω ,ω ,ω ,andm(ω )=1/2,m(ω )=1/3,andm(ω )=1/6. Ifourcomputer 1 2 3 1 2 3 package can return a random integer in the set 1,2,...,6, then we simply ask it to do so, and make 1, 2, and 3 correspond to ω , 4 and 5 correspond to ω , and 6 1 2 correspond to ω . If our computer package returns a random real number r in the 3 interval (0, 1), then the expression b6rc+1 will be a random integer between 1 and 6. (The notation bxc means the greatest integer not exceeding x, and is read “floor of x.”) The method by which random real numbers are generated on a computer is described in the historical discussion at the end of this section. The following example gives sample output of the program RandomNumbers. Example 1.1 (Random Number Generation) The program RandomNumbers generates n random real numbers in the interval 0,1, where n is chosen by the user. When we ran the program with n = 20, we obtained the data shown in Table 1.1. 2 Example 1.2 (Coin Tossing) As we have noted, our intuition suggests that the probability of obtaining a head on a single toss of a coin is 1/2. To have the computer toss a coin, we can ask it to pick a random real number in the interval 0,1 and test to see if this number is less than 1/2. If so, we shall call the outcome heads; if not we call it tails. Another way to proceed would be to ask the computer to pick a random integer from the set 0,1. The program CoinTosses carries out the experiment of tossing a coin n times. Running this program, with n = 20, resulted in: THTTTHTTTTHTTTTTHHTT. Note that in 20 tosses, we obtained 5 heads and 15 tails. Let us toss a coin n times, where n is much larger than 20, and see if we obtain a proportion of heads closer to our intuitive guess of 1/2. The program CoinTosses keeps track of the numberofheads. Whenweranthisprogramwithn=1000,weobtained494heads. When we ran it with n=10000, we obtained 5039 heads.4 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS We notice that when we tossed the coin 10,000 times, the proportion of heads was close to the “true value” .5 for obtaining a head when a coin is tossed. A math- ematical model for this experiment is called Bernoulli Trials (see Chapter 3). The Law of Large Numbers, which we shall study later (see Chapter 8), will show that in the Bernoulli Trials model, the proportion of heads should be near .5, consistent with our intuitive idea of the frequency interpretation of probability. Of course, our program could be easily modified to simulate coins for which the probability of a head is p, where p is a real number between 0 and 1. 2 Inthecaseofcointossing,wealreadyknewtheprobabilityoftheeventoccurring oneachexperiment. Therealpowerofsimulationcomesfromtheabilitytoestimate probabilitieswhentheyarenotknownaheadoftime. Thismethodhasbeenusedin the recent discoveries ofstrategies that make the casino game ofblackjack favorable to the player. We illustrate this idea in a simple situation in which we can compute the true probability and see how effective the simulation is. Example 1.3 (Dice Rolling) We consider a dice game that played an important role in the historical development of probability. The famous letters between Pas- cal and Fermat, which many believe started a serious study of probability, were instigated by a request for help from a French nobleman and gambler, Chevalier de M´er´e. It is said that de M´er´e had been betting that, in four rolls of a die, at least one six would turn up. He was winning consistently and, to get more people to play, he changed the game to bet that, in 24 rolls of two dice, a pair of sixes would turn up. It is claimed that de M´er´e lost with 24 and felt that 25 rolls were necessary to make the game favorable. It was un grand scandale that mathematics was wrong. We shall try to see if de M´er´e is correct by simulating his various bets. The program DeMere1 simulates a large number of experiments, seeing, in each one, if a six turns up in four rolls of a die. When we ran this program for 1000 plays, a six came up in the first four rolls 48.6 percent of the time. When we ran it for 10,000 plays this happened 51.98 percent of the time. We note that the result of the second run suggests that de M´er´e was correct in believing that his bet with one die was favorable; however, if we had based our conclusion on the first run, we would have decided that he was wrong. Accurate results by simulation require a large number of experiments. 2 The program DeMere2 simulates de M´er´e’s second bet that a pair of sixes will occur in n rolls of a pair of dice. The previous simulation shows that it is important to know how many trials we should simulate in order to expect a certain degree of accuracy in our approximation. We shall see later that in these types of experiments, a rough rule of thumb is that, at least 95% of the time, the error does not exceed the reciprocal of the square root of the number of trials. Fortunately, for this dice game, it will be easy to compute the exact probabilities. We shall show in the next section that for the first bet the probability that de M´er´e wins is 4 1−(5/6) =.518.1.1. SIMULATION OF DISCRETE PROBABILITIES 5 10 8 6 4 2 5 10 15 20 25 30 35 40 -2 -4 -6 -8 -10 Figure 1.1: Peter’s winnings in 40 plays of heads or tails. One can understand this calculation as follows: The probability that no 6 turns up on the first toss is (5/6). The probability that no 6 turns up on either of the 2 first two tosses is (5/6) . Reasoning in the same way, the probability that no 6 4 turns up on any of the first four tosses is (5/6) . Thus, the probability of at least 4 one 6 in the first four tosses is 1−(5/6) . Similarly, for the second bet, with 24 24 rolls, the probability that de M´er´e wins is 1−(35/36) = .491, and for 25 rolls it 25 is 1−(35/36) =.506. Usingtheruleofthumbmentionedabove, itwouldrequire27,000rollstohavea reasonable chance todetermine these probabilitieswithsufficientaccuracytoassert that they lie on opposite sides of .5. It is interesting to ponder whether a gambler can detect such probabilities with the required accuracy from gambling experience. Some writers on the history of probability suggest that de M´er´e was, in fact, just interested in these problems as intriguing probability problems. Example 1.4 (HeadsorTails)Forournextexample, weconsideraproblemwhere the exact answer is difficult to obtain but for which simulation easily gives the qualitative results. Peter and Paul play a game called heads or tails. In this game, a fair coin is tossed a sequence of times—we choose 40. Each time a head comes up Peter wins 1 penny from Paul, and each time a tail comes up Peter loses 1 penny to Paul. For example, if the results of the 40 tosses are THTHHHHTTHTHHTTHHTTTTHHHTHHTHHHTHHHTTTHH. Peter’s winnings may be graphed as in Figure 1.1. Peter has won 6 pennies in this particular game. It is natural to ask for the probability that he will win j pennies; here j could be any even number from −40 to 40. It is reasonable to guess that the value of j with the highest probability is j = 0, since this occurs when the number of heads equals the number of tails. Similarly, we would guess that the values of j with the lowest probabilities are j =±40.6 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS Asecondinterestingquestionaboutthisgameisthefollowing: Howmanytimes in the 40 tosses will Peter be in the lead? Looking at the graph of his winnings (Figure 1.1), we see that Peter is in the lead when his winnings are positive, but we have to make some convention when his winnings are 0 if we want all tosses to contribute to the number of times in the lead. We adopt the convention that, when Peter’s winnings are 0, he is in the lead if he was ahead at the previous toss and not if he was behind at the previous toss. With this convention, Peter is in the lead 34 times in our example. Again, our intuition might suggest that the most likely number of times to be in the lead is 1/2 of 40, or 20, and the least likely numbers are the extreme cases of 40 or 0. It is easy to settle this by simulating the game a large number of times and keeping track of the number of times that Peter’s final winnings are j, and the number of times that Peter ends up being in the lead by k. The proportions over all games then give estimates for the corresponding probabilities. The program HTSimulation carries out this simulation. Note that when there are an even number of tosses in the game, it is possible to be in the lead only an even number of times. We have simulated this game 10,000 times. The results are shown in Figures 1.2 and 1.3. These graphs, which we call spike graphs, were generated using the program Spikegraph. The vertical line, or spike, at position x on the horizontal axis, has a height equal to the proportion of outcomes which equal x. OurintuitionaboutPeter’sfinalwinningswasquitecorrect,butourintuitionabout the number of times Peter was in the lead was completely wrong. The simulation suggests that the least likely number of times in the lead is 20 and the most likely is 0 or 40. This is indeed correct, and the explanation for it is suggested by playing the game of heads or tails with a large number of tosses and looking at a graph of Peter’s winnings. In Figure 1.4 we show the results of a simulation of the game, for 1000 tosses and in Figure 1.5 for 10,000 tosses. In the second example Peter was ahead most of the time. It is a remarkable fact, however, that, if play is continued long enough, Peter’s winnings will continue to come back to 0, but there will be very long times between the times that this happens. These and related results will be discussed in Chapter 12. 2 In all of our examples so far, we have simulated equiprobable outcomes. We illustrate next an example where the outcomes are not equiprobable. Example 1.5 (Horse Races) Four horses (Acorn, Balky, Chestnut, and Dolby) have raced many times. It is estimated that Acorn wins 30 percent of the time, Balky40percentofthetime,Chestnut20percentofthetime,andDolby10percent of the time. We can have our computer carry out one race as follows: Choose a random number x. If x .3 then we say that Acorn won. If .3≤ x .7 then Balky wins. If .7≤x.9 then Chestnut wins. Finally, if .9≤x then Dolby wins. TheprogramHorseRaceusesthismethodtosimulatetheoutcomesofnraces. Running this program for n=10 we found that Acorn won 40 percent of the time, Balky20percentofthetime,Chestnut10percentofthetime,andDolby30percent1.1. SIMULATION OF DISCRETE PROBABILITIES 9 of the time. A larger number of races would be necessary to have better agreement with the past experience. Therefore we ran the program to simulate 1000 races with our four horses. Although very tired after all these races, they performed in a manner quite consistent with our estimates of their abilities. Acorn won 29.8 percent of the time, Balky 39.4 percent, Chestnut 19.5 percent, and Dolby 11.3 percent of the time. The program GeneralSimulation uses this method to simulate repetitions of an arbitrary experiment with a finite number of outcomes occurring with known probabilities. 2 Historical Remarks Anyone who plays the same chance game over and over is really carrying out a sim- ulation, and in this sense the process of simulation has been going on for centuries. As we have remarked, many of the early problems of probability might well have been suggested by gamblers’ experiences. It is natural for anyone trying to understand probability theory to try simple experimentsbytossingcoins,rollingdice,andsoforth. ThenaturalistBuffontossed a coin 4040 times, resulting in 2048 heads and 1992 tails. He also estimated the number π by throwing needles on a ruled surface and recording how many times 1 the needles crosseda line (see Section2.1). The English biologist W. F. R.Weldon 2 recorded 26,306 throws of 12 dice, and the Swiss scientist Rudolf Wolf recorded 100,000 throws of a single die without a computer. Such experiments are very time- consuming and may not accurately represent the chance phenomena being studied. For example, for the dice experiments of Weldon and Wolf, further analysis of the recorded data showed a suspected bias in the dice. The statistician Karl Pearson analyzed a large number of outcomes at certain roulette tables and suggested that the wheels were biased. He wrote in 1894: Clearly, since the Casino does not serve the valuable end of huge lab- oratory for the preparation of probability statistics, it has no scientific raison d’ˆetre. Men of science cannot have their most refined theories disregarded in this shameless manner The French Government must be urged by the hierarchy of science to close the gaming-saloons; it would be, of course, a graceful act to hand over the remaining resources of the Casino to the Acad´emie des Sciences for the endowment of a laboratory of orthodox probability; in particular, of the new branch of that study, the application of the theory of chance to the biological problems of evolution, which is likely to occupy so much of men’s thoughts in the 3 near future. However, these early experiments were suggestive and led to important discov- eries in probability and statistics. They led Pearson to the chi-squared test, which 1 T. C. Fry, Probability and Its Engineering Uses, 2nd ed. (Princeton: Van Nostrand, 1965). 2 E. Czuber, Wahrscheinlichkeitsrechnung, 3rd ed. (Berlin: Teubner, 1914). 3 K. Pearson, “Science and Monte Carlo,” Fortnightly Review, vol. 55 (1894), p. 193; cited in S. M. Stigler, The History of Statistics (Cambridge: Harvard University Press, 1986).10 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS is of great importance in testing whether observed data fit a given probability dis- tribution. By the early 1900s it was clear that a better way to generate random numbers was needed. In 1927, L. H. C. Tippett published a list of 41,600 digits obtained by selecting numbers haphazardly from census reports. In 1955, RAND Corporation printed a table of 1,000,000 random numbers generated from electronic noise. The adventofthehigh-speedcomputerraisedthepossibilityofgeneratingrandomnum- bers directly on the computer, and in the late 1940s John von Neumann suggested thatthisbedoneasfollows: Supposethatyouwantarandomsequenceoffour-digit numbers. Choose any four-digit number, say 6235, to start. Square this number to obtain 38,875,225. For the second number choose the middle four digits of this square(i.e., 8752). Dothesameprocessstartingwith8752togetthethirdnumber, and so forth. More modern methods involve the concept of modular arithmetic. If a is an integer and m is a positive integer, then by a (mod m) we mean the remainder when a is divided by m. For example, 10 (mod 4) = 2, 8 (mod 2) = 0, and so forth. To generate a random sequence X ,X ,X ,... of numbers choose a starting 0 1 2 number X and then obtain the numbers X from X by the formula 0 n+1 n X =(aX +c) (mod m) , n+1 n where a, c, and m are carefully chosen constants. The sequence X ,X , X ,... 0 1 2 is then a sequence of integers between 0 and m−1. To obtain a sequence of real numbers in 0,1), we divide each X by m. The resulting sequence consists of j rational numbers of the form j/m, where 0 ≤ j ≤ m− 1. Since m is usually a very large integer, we think of the numbers in the sequence as being random real numbers in 0,1). ForbothvonNeumann’ssquaringmethodandthemodulararithmetictechnique the sequence of numbers is actually completely determined by the first number. Thus,thereisnothingreallyrandomaboutthesesequences. However,theyproduce numbers that behave very much as theory would predict for random experiments. To obtain different sequences for different experiments the initial number X is 0 4 chosen by some other procedure that might involve, for example, the time of day. During the Second World War, physicists at the Los Alamos Scientific Labo- ratory needed to know, for purposes of shielding, how far neutrons travel through various materials. This question was beyond the reach of theoretical calculations. Daniel McCracken, writing in the Scientific American, states: The physicists had most of the necessary data: they knew the average distance a neutron of a given speed would travel in a given substance before it collided with an atomic nucleus, what the probabilities were that the neutron would bounce off instead of being absorbed by the nucleus, how much energy the neutron was likely to lose after a given 4 For a detailed discussion of random numbers, see D. E. Knuth, The Art of Computer Pro- gramming, vol. II (Reading: Addison-Wesley, 1969).1.1. SIMULATION OF DISCRETE PROBABILITIES 11 5 collision and so on. John von Neumann and Stanislas Ulam suggested that the problem be solved by modeling the experiment by chance devices on a computer. Their work being secret, it was necessary to give it a code name. Von Neumann chose the name “Monte Carlo.” Since that time, this method of simulation has been called the Monte Carlo Method. William Feller indicated the possibilities of using computer simulations to illus- tratebasicconceptsinprobabilityinhisbookAn Introduction to Probability Theory and Its Applications. In discussing the problem about the number of times in the lead in the game of “heads or tails” Feller writes: The results concerning fluctuations in coin tossing show that widely held beliefs about the law of large numbers are fallacious. These results are so amazing and so at variance with common intuition that even sophisticatedcolleaguesdoubtedthatcoinsactuallymisbehaveastheory 6 predicts. The record of a simulated experiment is therefore included. Feller provides a plot showing the result of 10,000 plays of heads or tails similar to that in Figure 1.5. The martingale betting system described in Exercise 10 has a long and interest- ing history. Russell Barnhart pointed out to the authors that its use can be traced back at least to 1754, when Casanova, writing in his memoirs, History of My Life, writes She Casanova’s mistress made me promise to go to the casino the Ridotto in Venice for money to play in partnership with her. I went there and took all the gold I found, and, determinedly doubling my stakes according to the system known as the martingale, I won three or four times a day during the rest of the Carnival. I never lost the sixth card. If I had lost it, I should have been out of funds, which amounted 7 to two thousand zecchini. Even if there were no zeros on the roulette wheel so the game was perfectly fair, the martingale system, or any other system for that matter, cannot make the game into a favorable game. The idea that a fair game remains fair and unfair games remain unfair under gambling systems has been exploited by mathematicians to obtain important results in the study of probability. We will introduce the general concept of a martingale in Chapter 6. The word martingale itself also has an interesting history. The origin of the word is obscure. A recent version of the Oxford English Dictionary gives examples 5 D. D. McCracken, “The Monte Carlo Method,” Scientific American, vol. 192 (May 1955), p. 90. 6 W. Feller, Introduction to Probability Theory and its Applications, vol. 1, 3rd ed. (New York: John Wiley & Sons, 1968), p. xi. 7 G. Casanova, History of My Life, vol. IV, Chap. 7, trans. W. R. Trask (New York: Harcourt- Brace, 1968), p. 124.12 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS of its use in the early 1600s and says that its probable origin is the reference in Rabelais’s Book One, Chapter 20: Everything was done as planned, the only thing being that Gargantua doubted if they would be able to find, right away, breeches suitable to theoldfellow’slegs; hewasdoubtful, also, astowhatcutwouldbemost becoming to the orator—the martingale, which has a draw-bridge effect in the seat, to permit doing one’s business more easily; the sailor-style, which affords more comfort for the kidneys; the Swiss, which is warmer 8 on the belly; or the codfish-tail, which is cooler on the loins. Dominic Lusinchi noted an earlier occurrence of the word martingale. Accord- ing to the French dictionary Le Petit Robert, the word comes from the Proven¸cal word “martegalo,” which means “from Martigues.” Martigues is a town due west of Merseille. The dictionary gives the example of “chausses a` la martinguale” (which means Martigues-style breeches) and the date 1491. In modern uses martingale has several different meanings, all related to holding down, in addition to the gambling use. For example, it is a strap on a horse’s harness used to hold down the horse’s head, and also part of a sailing rig used to hold down the bowsprit. The Labouchere system described in Exercise 9 is named after Henry du Pre Labouchere (1831–1912), an English journalist and member of Parliament. Labou- chere attributed the system to Condorcet. Condorcet (1743–1794) was a political leaderduringthetimeoftheFrenchrevolutionwhowasinterestedinapplyingprob- ability theory to economics and politics. For example, he calculated the probability that a jury using majority vote will give a correct decision if each juror has the same probability of deciding correctly. His writings provided a wealth of ideas on 9 how probability might be applied to human affairs. Exercises 1 Modify the program CoinTosses to toss a coin n times and print out after every100tosses the proportionofheads minus 1/2. Dothesenumbers appear to approach 0 as n increases? Modify the program again to print out, every 100times,bothofthefollowingquantities: theproportionofheadsminus1/2, and the number of heads minus half the number of tosses. Do these numbers appear to approach 0 as n increases? 2 Modify the programCoinTosses so that it tosses a coin n times and records whether or not the proportion of heads is within .1 of .5 (i.e., between .4 and .6). Have your program repeat this experiment 100 times. About how large must n be so that approximately 95 out of 100 times the proportion of heads is between .4 and .6? 8 Quoted in the Portable Rabelais, ed. S. Putnam (New York: Viking, 1946), p. 113. 9 Le Marquise de Condorcet, Essai sur l’Application de l’Analyse a` la Probabilit´e d`es D´ecisions Rendues a la Pluralit´e des Voix (Paris: Imprimerie Royale, 1785).1.1. SIMULATION OF DISCRETE PROBABILITIES 13 3 In the early 1600s, Galileo was asked to explain the fact that, although the numberoftriplesofintegersfrom1to6withsum9isthesameasthenumber of such triples with sum 10, when three dice are rolled, a 9 seemed to come up less often than a 10—supposedly in the experience of gamblers. (a) Write a program to simulate the roll of three dice a large number of times and keep track of the proportion of times that the sum is 9 and the proportion of times it is 10. (b) Can you conclude from your simulations that the gamblers were correct? 4 In raquetball, a player continues to serve as long as she is winning; a point is scored only when a player is serving and wins the volley. The first player to win 21 points wins the game. Assume that you serve first and have a probability .6 of winning a volley when you serve and probability .5 when your opponent serves. Estimate, by simulation, the probability that you will win a game. 5 Consider the bet that all three dice will turn up sixes at least once in n rolls of three dice. Calculate f(n), the probability of at least one triple-six when three dice are rolled n times. Determine the smallest value of n necessary for a favorable bet that a triple-six will occur when three dice are rolled n times. (DeMoivrewouldsayitshouldbeabout216log2=149.7andsowouldanswer 150—see Exercise 1.2.17. Do you agree with him?) 6 In Las Vegas, a roulette wheel has 38 slots numbered 0, 00, 1, 2, ..., 36. The 0 and 00 slots are green and half of the remaining 36 slots are red and half are black. A croupier spins the wheel and throws in an ivory ball. If you bet 1 dollar on red, you win 1 dollar if the ball stops in a red slot and otherwise you lose 1 dollar. Write a program to find the total winnings for a player who makes 1000 bets on red. 7 Another form of bet for roulette is to bet that a specific number (say 17) will turn up. If the ball stops on your number, you get your dollar back plus 35 dollars. If not, you lose your dollar. Write a program that will plot your winnings when you make 500 plays of roulette at Las Vegas, first when you bet each time on red (see Exercise 6), and then for a second visit to Las Vegas when you make 500 plays betting each time on the number 17. What differences do you see in the graphs of your winnings on these two occasions? 8 Anastutestudentnoticedthat, inoursimulationofthegameofheadsortails (see Example 1.4), the proportion of times the player is always in the lead is veryclosetotheproportionoftimesthattheplayer’stotalwinningsendup0. Work out these probabilities by enumeration of all cases for two tosses and for four tosses, and see if you think that these probabilities are, in fact, the same. 9 The Labouchere system for roulette is played as follows. Write down a list of numbers, usually 1, 2, 3, 4. Bet the sum of the first and last, 1+4 = 5, on14 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS red. If you win, delete the first and last numbers from your list. If you lose, add the amount that you last bet to the end of your list. Then use the new list and bet the sum of the first and last numbers (if there is only one number, bet that amount). Continue until your list becomes empty. Show that, if this happens, you win the sum, 1+2+3+4 = 10, of your original list. Simulate this system and see if you do always stop and, hence, always win. If so, why is this not a foolproof gambling system? 10 Anotherwell-knowngamblingsystemisthemartingale doubling system. Sup- pose that you are betting on red to turn up in roulette. Every time you win, bet1dollarnexttime. Everytimeyoulose,doubleyourpreviousbet. Suppose that you use this system until you have won at least 5 dollars or you have lost more than 100 dollars. Write a program to simulate this and play it a number of times and see how you do. In his book The Newcomes, W. M. Thack- eray remarks “You have not played as yet? Do not do so; above all avoid a 10 martingale if you do.” Was this good advice? 11 ModifytheprogramHTSimulationsothatitkeepstrackofthemaximumof Peter’s winnings in each game of 40 tosses. Have your program print out the proportion of times that your total winnings take on values 0, 2, 4, ..., 40. Calculate the corresponding exact probabilities for games of two tosses and four tosses. 12 In an upcoming national election for the President of the United States, a pollster plans to predict the winner of the popular vote by taking a random sample of 1000 voters and declaring that the winner will be the one obtaining the most votes in his sample. Suppose that 48 percent of the voters plan to vote for the Republican candidate and 52 percent plan to vote for the Democratic candidate. To get some idea of how reasonable the pollster’s plan is, write a program to make this prediction by simulation. Repeat the simulation 100 times and see how many times the pollster’s prediction would come true. Repeat your experiment, assuming now that 49 percent of the population plan to vote for the Republican candidate; first with a sample of 1000 and then with a sample of 3000. (The Gallup Poll uses about 3000.) (This idea is discussed further in Chapter 9, Section 9.1.) 11 13 The psychologist Tversky and his colleagues say that about four out of five people will answer (a) to the following question: A certain town is served by two hospitals. In the larger hospital about 45 babies are born each day, and in the smaller hospital 15 babies are born each day. Although the overall proportion of boys is about 50 percent, the actual proportion at either hospital may be more or less than 50 percent on any day. 10 W. M. Thackerey, The Newcomes (London: Bradbury and Evans, 1854–55). 11 See K. McKean, “Decisions, Decisions,” Discover, June 1985, pp. 22–31. Kevin McKean, c Discover Magazine, 1987 Family Media, Inc. Reprinted with permission. This popular article reports on the work of Tverksy et. al. in Judgement Under Uncertainty: Heuristics and Biases (Cambridge: Cambridge University Press, 1982).1.1. SIMULATION OF DISCRETE PROBABILITIES 15 At the end of a year, which hospital will have the greater number of days on which more than 60 percent of the babies born were boys? (a) the large hospital (b) the small hospital (c) neither—the number of days will be about the same. Assume that the probability that a baby is a boy is .5 (actual estimates make this more like .513). Decide, by simulation, what the right answer is to the question. Can you suggest why so many people go wrong? 14 You are offered the following game. A fair coin will be tossed until the first j time it comes up heads. If this occurs on the jth toss you are paid 2 dollars. You are sure to win at least 2 dollars so you should be willing to pay to play this game—but how much? Few people would pay as much as 10 dollars to play this game. See if you can decide, by simulation, a reasonable amount that you would be willing to pay, per game, if you will be allowed to make a large number of plays of the game. Does the amount that you would be willing to pay per game depend upon the number of plays that you will be allowed? 12 15 Tversky and his colleagues studied the records of 48 of the Philadelphia 76ers basketball games in the 1980–81 season to see if a player had times when he was hot and every shot went in, and other times when he was cold and barely able to hit the backboard. The players estimated that they were about 25 percent more likely to make a shot after a hit than after a miss. In fact, the opposite was true—the 76ers were 6 percent more likely to score after a miss than after a hit. Tversky reports that the number of hot and cold streakswasaboutwhatonewouldexpectbypurelyrandomeffects. Assuming that a player has a fifty-fifty chance of making a shot and makes 20 shots a game, estimate by simulation the proportion of the games in which the player will have a streak of 5 or more hits. 16 Estimate, by simulation, the average number of children there would be in a family if all people had children until they had a boy. Do the same if all people had children until they had at least one boy and at least one girl. How many more children would you expect to find under the second scheme than under the first in 100,000 families? (Assume that boys and girls are equally likely.) 17 Mathematicianshavebeenknowntogetsomeofthebestideaswhilesittingin a cafe, riding on a bus, or strolling in the park. In the early 1900s the famous mathematician George P´olya lived in a hotel near the woods in Zurich. He liked to walk in the woods and think about mathematics. P´olya describes the following incident: 12 ibid.16 CHAPTER 1. DISCRETE PROBABILITY DISTRIBUTIONS 3 -3 -2 -1 2 0 1 a. Random walk in one dimension. b. Random walk in two dimensions. c. Random walk in three dimensions. Figure 1.6: Random walk.1.1. SIMULATION OF DISCRETE PROBABILITIES 17 At the hotel there lived also some students with whom I usually took my meals and had friendly relations. On a certain day one of them expected the visit of his fianc´ee, what (sic) I knew, but I did not foresee that he and his fianc´ee would also set out for a stroll in the woods, and then suddenly I met them there. And then I met them the same morning repeatedly, I don’t remember how many times, but certainly much too often and I felt embarrassed: It looked as if I was snooping around which was, I assure you, not 13 the case. This set him to thinking about whether random walkers were destined to meet. Poly ´ a considered random walkers in one, two, and three dimensions. In one dimension, he envisioned the walker on a very long street. At each intersec- tion the walker flips a fair coin to decide which direction to walk next (see Figure1.6a). Intwodimensions,thewalkeriswalkingonagridofstreets,and at each intersection he chooses one of the four possible directions with equal probability (see Figure 1.6b). In three dimensions (we might better speak of arandomclimber), the walkermoves onathree-dimensionalgrid, andateach intersection there are now six different directions that the walker may choose, each with equal probability (see Figure 1.6c). The reader is referred to Section 12.1, where this and related problems are discussed. (a) Write a program to simulate a random walk in one dimension starting at 0. Have your program print out the lengths of the times between returns to the starting point (returns to 0). See if you can guess from this simulation the answer to the following question: Will the walker always return to his starting point eventually or might he drift away forever? (b) The paths of two walkers in two dimensions who meet after n steps can beconsideredtobeasinglepaththatstartsat(0,0)andreturnsto(0,0) after 2n steps. This means that the probability that two random walkers intwodimensionsmeetisthesameastheprobabilitythatasinglewalker in two dimensions ever returns to the starting point. Thus the question of whether two walkers are sure to meet is the same as the question of whether a single walker is sure to return to the starting point. Write a program to simulate a random walk in two dimensions and see if you think that the walker is sure to return to (0,0). If so, P´olya would be sure to keep meeting his friends in the park. Perhaps by now you have conjectured the answer to the question: Is a random walker in one or two dimensions sure to return to the starting point? P´olya answered 13 G. P´olya, “Two Incidents,” Scientists at Work: Festschrift in Honour of Herman Wold, ed. T. Dalenius, G. Karlsson, and S. Malmquist (Uppsala: Almquist & Wiksells Boktryckeri AB, 1970).

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