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Matlab Problems

Project is using MatLab to solve two Monte Carlo simulation questions and one acceptance/rejection method question.

## Deliverables

Question 6.

Consider the two probability distribution functions f and g de ned by

f(x) =

1

p

2

e??

1

2 x2

; x 2 R; (1)

g(x) =

1

2

e??jxj; x 2 R: (2)

Note that the distribution function for the two-sided exponential probability

distribution is

G(x) =

1

Z x

??1

g(y) dy =

(

1

2 ex; x < 0;

1 ?? 1

2

??x

; x 0:

Then its inverse satis es

G??1(y) =

(

log(2y); 0 < y < 1=2;

??log[2(1 ?? y)]; 1=2 y < 1:

For f and g de ned by (1) and (2), the inequality

f(x) Kg(x); x 2 R; (3)

holds with

K =

r

2e

1:315:::

Write MATLAB code which implements the following. Choose a suitable

value for N.

(a) Generate a sequence v1; : : : ; vN according to U(0; 1).

(b) Use the inverse method to generate a sequence of variates x1; : : : ; xN which

corresponds to the probability distribution function g.

(c) Put the elements x1; : : : ; xN into a suitable number of bins, and plot the

histogram, superimposing on it the graph of the probability density function

g de ned in (2).

(d) Use the generalised rejection method to generate a subsequence 1; : : : ; M

which corresponds to the standard normal N(0; 1) (where M N because

not every xj might be accepted).

(e) Calculate the sample mean

^M =

1

M

MX

j=1

j ;

and the sample variance

^sM =

1

M ?? 1

MX

j=1

(j ?? ^M)2

1=2

:

(f) Put the elements 1; : : : ; M into a suitable number of bins, and plot the

histogram, superimposing on it the graph of the standard normal probability

density function f de ned in (1).

The next two questions suggests two methods of calculating using

Monte Carlo integration.

Question 7.

This question is based on fact that

4

=

ZZ

IQ(x; y) dx dy;

where IQ is indicator function of region

Q = f(x; y) : x2 + y2 1; x 0; y 0g:

(a) Generate a sequence u1; : : : ; uN of random vectors according to U(0; 1)

U(0; 1), so that

uj =

uj

1

uj

2

; 1 j M;

where (uj

1)1jN and (uj

2)1jN are sequences of U(0; 1) variates.

(b) Accept uj if (uj

1)2 + (uj

2)2 1; otherwise reject. Let M be number of

random vectors accepted, and calculate

^N =

4M

N

(c) Investigate how close ^N is to for large values of N. You might generate

table like following.

N j ?? ^Nj

? ?

...

...

Question 8.

The second method is based on

4

=

Z 1

1

1 + x2 dx:

Remember that

Z b

a

h(x) dx = (b ?? a)

Z n

a

h(x)

1

b ?? a

dx = (b ?? a)E[h(X)];

where X is uniformly distributed on (a; b). A crude Monte Carlo estimator for

this is

MN =

b ?? a

N

XN

j=1

h(a + (b ?? a)Uj);

where U1;U2; : : : ;UN is a sequence of random variables in U(0; 1).

Write MATLAB code which implements the following. Choose a suitable

value for N.

(a) Generate a sequence v1; : : : ; vN according to U(0; 1).

(b) Calculate

~N =

4

N

XN

j=1

h(vj); (4)

where

h(x) =

1

1 + x2 ; x 2 R:

Investigate how close ~N is to for large values of N. You might generate

table like following.

N j ?? ~Nj sample variance

? ? ?

...

...

...

(c) Using an antithetic variable, calculate

N =

2

N

XN

j=1

[h(vj) + h(1 ?? vj )]:

Investigate how close

N is to for large values of N. Theory shows that

the variance should be reduced by at least a half, and that therefore only

a quarter of number simulations are needed to get the same accuracy as

the crude Monte Carlo estimate (4).

3

Habilidades: Redação técnica

Ver mais: writing functions in r, writing functions in matlab, writing functions, writing exponential functions, writing elements, writing a to z, writing an inequality, writing a function in matlab, uj, solve probability questions, solve probability problems, solve probability, solve graph problems, sample problems, sample probability questions, region 13, questions on probability, probability sample problems, probability problems, probability how to solve, how to solve probability questions, how to solve probability question, how to solve probability problems, how to solve probability, how to solve for probability

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