12_Sim_Hw4_Sol

# 12_Sim_Hw4_Sol - IEOR 4404 Assignment #4 Solutions...

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Unformatted text preview: IEOR 4404 Assignment #4 Solutions Simulation February 18, 2012 Prof. Mariana Olvera-Cravioto Page 1 of 6 Assignment #4 Solutions 1. The following MATLAB code computes 95% approximate confidence intervals for the ex- pected number dice rolls that are needed: N = 1000; counts = ; for n=1:N outcomes = zeros(1,11); count = 0; while( prod( outcomes ) == 0 ) % generate a dice roll dice1 = floor( 6 * rand() ) + 1; dice2 = floor( 6 * rand() ) + 1; total = dice1 + dice2; outcomes( total - 1 ) = 1; count = count + 1; end counts = [ counts count ]; end m = mean( counts ); sigma = std( counts ); CI = [ m - 1.96 * sigma/N^.5, m + 1.96 * sigma/N^.5 ] The vector outcomes is used to keep track of the 11 possible outcomes. It is initialized as zeros(1,11) and then the ( i- 1)th component of outcomes is set to 1 if outcome i is rolled. The while loop iterates until all components of outcomes are nonzero. Running the code gives the following output: CI = 60.7802 62.1818 2. According to the Acceptance-Rejection algorithm, the probability of acceptance is 1 c , where c > 1 and h = g c . If we denote the distribution of the number of ( Y,U ) pairs that are rejected 2 IEOR 4404, Assignment #4 Solutions before acceptance occurs by X , then X + 1 is geometrically distributed with parameter 1 c , and the expected number of rejections is c- 1. 3. (a) For any x [0 , 1], z = F X ( x ) = P ( X x ) = P (min { U 1 ,U 2 } x ) = 1- P (min { U 1 ,U 2 } > x ) = 1- P ( U 1 > x ) P ( U 2 > x ) = 2 x- x 2 and for any z [0 , 1], F- 1 X ( z ) = 1- 1- z Then we generate U uniform on [0 , 1], and 1- 1- U is what we want. (b) For any x [0 , 1], z = F X ( x ) = P ( X x ) = P (max { U 1 ,U 2 } x ) = P ( U 1 x ) P ( U 2 x ) = x 2 and for any z [0 , 1], F- 1 X ( z ) = z Then we generate U uniform on [0 , 1], and U is what we want....
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## This note was uploaded on 03/18/2012 for the course IEOR 4404 taught by Professor C during the Spring '10 term at Columbia.

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12_Sim_Hw4_Sol - IEOR 4404 Assignment #4 Solutions...

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