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Unformatted text preview: Massachusetts Institute of Technology Department of Electrical Engineering & Computer Science 6.041/6.431: Probabilistic Systems Analysis (Fall 2010) Problem Set 11 Solutions 1. Check book solutions . 2. (a) To find the MAP estimate, we need to find the value x that maximizes the conditional density f X | Y ( x | y ) by taking its derivative and setting it to 0. f X | Y ( x y ) = p Y | X ( y | x ) f X ( x ) | p Y ( y ) e x x y 1 = e x y ! p Y ( y ) e ( +1) x y = x y ! p Y ( y ) d d dx f X | Y ( x | y ) = dx y ! p Y ( y ) e ( +1) x x y = x y 1 e ( +1) x ( y x ( + 1)) y ! p Y ( y ) Since the only factor that depends on x which can take on the value 0 is ( y x ( + 1)), the maximum is achieved at x MAP ( y ) = y 1 + It is easy to check that this value is indeed maximum (the first derivative changes from positive to negative at this value). (b) i. To show the given identity, we need to use Bayes rule. We first compute the denomi- nator, p Y ( y ) y e x x p Y ( y ) = e x dx 0 y ! = (1 + ) y +1 x y e (1+ ) x dx y ! (1 + ) y +1 0 = (1 + ) y +1 Then, we can substitute into the equation we had derived in part (a) f X | Y ( x | y ) = y ! p Y ( y ) x y e ( +1) x (1 + ) y +1 y e ( +1) x = x y ! (1 + ) y +1 y e ( +1) x = x y ! Thus, = 1 + . Page 1 of ?? Massachusetts Institute of Technology Department of Electrical Engineering & Computer Science 6.041/6.431: Probabilistic Systems Analysis (Fall 2010) ii. We first manipulate xf X | Y ( x | y ): xf X | Y ( x | y ) = (1 + y ! ) y +1 x y +1 e ( +1) x y + 1 (1 + ) y +2 y +1 e ( +1) x = x 1 + ( y + 1)! y + 1 = 1 + f X | Y ( x | y + 1) Now we can find the conditional expectation estimator: x CE ( y ) = E [ X | Y = y ] = 0 xf X | Y ( x | y ) dx y + 1 y + 1 = 0 1 + f X | Y ( x | y + 1) dx = 1 + (c) The conditional expectation estimator is always higher than the MAP estimator by 1+ 1 ....
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This note was uploaded on 01/11/2012 for the course EE 6.431 taught by Professor Prof.dimitribertsekas during the Fall '10 term at MIT.
- Fall '10
- Electrical Engineering