8/3/2020 Week 8 Homework - Summer 2020: Simulation and Modeling for Engineering and Science - ISYE-6644-OAN/O01

Week 8 Homework - Summer 2020

Due Jul 10 at 11:59pm Points 11 Questions 11
Available Jul 3 at 8am - Jul 10 at 11:59pm 8 days Time Limit None

This quiz was locked Jul 10 at 11:59pm.

Attempt History
Attempt Time Score
LATEST Attempt 1 17 minutes 7 out of 11

Score for this quiz: 7 out of 11

Submitted Jul 10 at 11:22pm
This attempt took 17 minutes.

Question 1 1 / 1 pts

(Lesson 7.10: Acceptance-Rejection --- Poisson Distribution.) Suppose

that , , and .
Use our acceptance-rejection technique from class to generate
. (You may not need to use all of the uniforms.)

a. N=0

b. N=1

c. N=2

Correct! d. N=3

e. N=4

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Define . We'll stop as soon as

. Let's make the following convenient table.

So we take N = 3, and the answer is (d).

Question 2 1 / 1 pts

(Lesson 7.11: Composition.) BONUS: It's Raining Cats and Dogs is a pet
store with 60% cats and 40% dogs. The weights of cats are Nor(12,4),
and the weights of dogs are Nor(30,25). How would we use composition
to simulate the weight of a random pet from the store? (Let
denote the standard normal c.d.f., and let 's denote PRN's.)

a.

b.

c. If , then ; otherwise,

Correct!
d. If , then ; otherwise,

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e. If , then ; otherwise,

By inverse transform, the weight of a cat all by itself is

Similarly, the weight of a dog all by itself is .

These facts eliminate choices (a), (c), and (e). In addition, (a) and
(b) are some kind of mutant cat-dog, both of which sort of combine
0.6 of a cat with 0.4 of a dog; so those are wrong. What we really
want is to take with probability 0.6, and otherwise
. This is choice (d)!

Question 3 1 / 1 pts

(Lesson 7.12: The Box-Muller Method.) Suppose and are i.i.d.

Unif(0,1) with and . Use the "cosine" version of Box-
Muller to generate a single Nor(-1,4) random variate. Don't forget to use
radians instead of degrees!

a. -0.326

b. 0

Correct! c. 0.326

d. 0.663

e. 1.96

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Box-Muller immediately gives the following Nor(0,1) random

variate:

To obtain the realization of the Nor($-$1,4), we simply apply the

transform

which is choice (c).

Question 4 1 / 1 pts

(Lesson 7.13: Generating Order Statistics.) Consider i.i.d. Exp( ) random

variables , and let . How can we
generate using just one PRN?

a.

b.

Correct!
c.

d.

e.

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Let F denote the Exp( ) c.d.f. Recall that the

inverse is

a fact that we'll use in a minute.

Meanwhile, as also explained in class, the c.d.f.\ of $Y$ is

Now, by inverse transform, , and so

. This implies that , and thus
where the last equality
follows from . This is choice (c).

Question 5 1 / 1 pts

(Lesson 7.14: Multivariate Normal Distribution.) Suppose I have a matrix

. Find the lower triangular matrix such that

and tell me what the entry is.

a. -1

Correct!
b. -0.7071

c. 0

d. 0.7071

e. 1

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From our class notes on multivariate normal random variate

generation, we know that the Cholesky matrix we need is

Therefore, the correct answer is (b).

Question 6 0 / 1 pts

(Lesson 7.15: Baby Stochastic Processes.) BONUS: Consider a Markov

chain in which if it rains on day ; and otherwise, . Denote
the day-to-day transition probabilities by

Suppose that the probability state transition matrix is

Suppose that it rains on Monday, e.g., . Use simulation to find the

probability that it rains on Wednesday, e.g., estimate
. [You may have to simulate the process a bunch of
times in order to estimate this probability.]

a. 0

ou Answered b. 0.64

orrect Answer c. 0.72

d. 0.8

e. 1

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I'll actually give the analytical solution.

This is answer (c).

Question 7 1 / 1 pts

(Lesson 7.16: Nonhomogeneous Poisson Processes.) Suppose that the

arrival pattern to a parking lot over a certain time period is an NHPP with
. Use simulation to find the probability that there will be exactly
3 arrivals between times and .

a. 0

Correct!
b. 0.195

c. 0.5

d. 0.805

e. 1

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I'll give the analytical solution. First of all, the number of arrivals in
that time interval is

Thus,

This is answer (b).

Question 8 0 / 1 pts

(Lesson 7.17: Time Series Generation. ) BONUS: Suppose that

and consider the time series ,
, where the 's are i.i.d. Nor . (The funny
variance of guarantees that for all ). Use simulation to
find . Hint: Simulate many times. For each
run of the simulation, save the pair . Then use those pairs to
estimate the covariance.

a. 0

ou Answered b. 0.7

c. 0.49

orrect Answer
d.

e.

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By class notes, the analytical answer is , so that (d) is

correct.

Question 9 0 / 1 pts

(Lesson 7.19: Brownian Motion.) Let denote a Brownian motion

process at time . Calculate .

a. 0

ou Answered b. 2

orrect Answer c. 3

d. 5

e. 8

We have , so that the

answer is (c).

Question 10 0 / 1 pts

(Lesson 7.19: Brownian Motion.) Let denote a Brownian motion

process at time and define a Brownian bridge by
for . Find the variance of the area under a bridge, i.e.,
. I'm a nice guy, so I'll get you started...

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ou Answered a. -1/2

b. 0

orrect Answer c. 1/12

d. 1/2

e. 1

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Question 11 1 / 1 pts

(Lesson 7.19: Brownian Motion.) As we discussed in class, you can use

Brownian motion to estimate option prices for stocks. I'm not going to
have you simulate that, but I'm going to give you a quick look-up
assignment. As I write this on May 10, 2020, IBM is currently selling for
about $122.99 per share. Suppose I'm interested in guaranteeing that I
can buy a share of IBM for at most $145 on Sept. 20, 2020. Look up
(maybe using something like FaceTube on the internets) the
corresponding stock option price. [You don't have to write down an
answer for this problem, but I'd like you to do the look-up anyway.]

As I was writing this solution sheet, the option price was $2.72 --- but this
is obviously subject to change depending on how the market does.

Correct!
a. I swear I looked it up :)

b. I was lazy and didn't look it up :(

Quiz Score: 7 out of 11

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