'

Gdansk University
of Technology

Random Processes and Stochastic

Control – Part 1 of 2

Exercises

by

Maciej Niedźwiecki

Gdańsk University of Technology

Departament of Automatic Control

Gdańsk, Poland
Exercise 1

Using MATLAB generate and plot the sequence of 100

consecutive realizations of 3 random variables: A with
uniform PDF, B with Gaussian PDF and C with Laplace
PDF. All random variables should have the same mean:

mA = mB = mC = 2

and the same variance:

2 2 2
σA = σB = σC =2

Use the same scale on the x and y axes

x ∈ [1, 100], y ∈ [−3, 7]

Exercise 2

Using MATLAB generate and plot the sequence of 100

consecutive realizations of the Cauchy random variable D ∼
C(2, 1).
Exercise 3

The mean and variance of a random variable X can be

estimated using the following relationships

N
1 

X (N ) =
m xi
N i=1

N
2 1

X
σ (N ) =
X (N )]2
[xi − m
N i=1

Estimate the mean and the variance of the random variables

A, B, C and D defined in Exercises 1 and 2, based on N =
100, 1,000, 10,000 and 100,000 samples.
Exercise 4

Using MATLAB plot normalized histograms obtained for

10,000 samples of random variables C and D (defined in
exercises 1 and 2) and compare them with the corresponding
PDF plots. In both cases divide the interval [-3, 7] (subset
of the observation space) into 20 bins of equal width 0.5.
Exercise 5

Write MATLAB procedure generating samples of a random

variable E with the following PDF

 0.50 e ∈ [−1, 0]
a) pE (e) = 0.25 e ∈ (0, 2]

0 elsewhere

 −e e ∈ [−1, 0]
b) pE (e) = 0.5 e ∈ (0, 1]

0 elsewhere

Evaluate the mean, median and standard deviation of E.

 0 
2 0
e  1
epE (e)de = 0.5 = −
−1 2 −1 4
 2 
2 2
e  1
epE (e)de = 0.25  =
0 2 0 2
 0 
3 0
2 e  1
e pE (e)de = 0.5  = −
−1 3 −1 6
 2 
3 2
2 e  2
e pE (e)de = 0.25  =
0 3 0 3

1 1 1
mX = − =
2 4 4
 2
2 1 2 1 37
σX = + − =
6 3 4 48
αX = 0
Exercise 6

Denote by E1, . . . , E16 the sequence of 16 independent

random variables with PDF specified in Exercise 5. Let

16
1  Ei − mE
F =
4 i=1 σE

Using MATLAB plot the normalized histogram obtained for

10,000 samples of F . Compare it with an appropriately
scaled plot of a standard Gaussian PDF N (0, 1). Divide
the interval [-5, 5] (subset of the observation space) into 20
bins of equal width 0.5.
Exercise 7

Let X be a random variable that is uniformly distributed

over the interval (1,100). Form a new random variable Y
by rounding X to the nearest integer. In MATLAB code,
this could be represented by Y = round(X). Finally, form
the roundoff error variable according to Z = X − Y . Using
MATLAB generate 10,000 realizations of Z and estimate
its mean and variance. Based on the available data create
a normalized histogram. Find the analytical model that
seems to fit your estimated PDF.
Exercise 8
Which of the following mathematical functions could be the
cumulative distribution function of some random variable?

1
1. FX (x) = 2 + π1 tan−1(x)

2. FX (x) = [1 − e−x] 1(x)

−x2
3. FX (x) = e

4. FX (x) = x21(x)

Note: 1(x) is the unit step function.

Exercise 9
Suppose a random variable has a cumulative distribution
function given by FX (x) = [1 − e−x] 1(x). Find the
following quantities:

1. P (X > 5)

2. P (X < 5)

3. P (3 < X < 7)

4. P (X > 5|X < 7)

Exercise 10

Suppose a random variable has a cumulative distribution

function given by


 0 x≤0

0.04x 0<x≤5
FX (x) =

 0.6 + 0.04x 5 < x ≤ 10

1 x > 10

Find the following quantities:

1. P (X > 5)

2. P (X < 5)

3. P (3 < X < 7)

4. P (X > 5|X < 7)

Exercise 11

Which of the following are valid probability density

functions?

1. pX (x) = e−x1(x)

2. pX (x) = e−|x|
 3 2
4 (x − 1) |x| < 2
3. pX (x) =
0 otherwise

2
4. pX (x) = 2xe−x 1(x)

Exercise 12

The conditional cumulative distribution function of random

variable X, conditioned on the event A having occurred is

P (X ≤ x, A)
FX|A(x) = P (X ≤ x|A) =
P (A)

(assuming that P (A) = 0).

Suppose that X ∼ U(0, 1). Find the mathematical

expression for FX|X<1/2(x).
Exercise 13

Consider the Laplace random variable with a PDF given by

b
pX (x) = exp(−b|x|)
2

Evaluate the mean, the variance, the coefficient of skewness

and the coefficient of kurtosis of X.

Note:
 
1 n ax n
xneaxdx = x e − xn−1 eaxdx
a a
Exercise 14

Consider two independent normally distributed random

variables
X ∼ N (0, 1), Z ∼ N (0, 1)
and let
Y = aX + bZ, a, b ∈ R
Determine the coefficients a and b in such a way that
Y ∼ N (0, 1) and ρXY takes any prescribed value from
[−1, 1].

Using MATLAB generate 100 realizations of the pair (X, Y )

for ρXY = 0, ρXY = 0.5, ρXY = −0.5, ρXY = 0.9,
ρXY = −0.9, ρXY = 1 and ρXY = −1.

Display the obtained results using scatter plots.

 Facts about matrices

Fact 1

Given a square matrix An×n, an eigenvalue λ and its

associated eigenvector v are a pair obeying the relation

Av = λv

The eigenvalues λ1, . . . , λn of A are the roots of the

characteristic polynomial of A

det(A − λI)

For a positive definite matrix A it holds that λ1, . . . , λn > 0,

i.e., all eigenvalues are positive real.

Fact 2

Let A be a matrix with linearly independent eigenvectors

v1, . . . , vn. Then A can be factorized as follows

A = VΛV−1

where Λn×n = diag{λ1, . . . , λn} and Vn×n = [v1| . . . |vn].

 Facts about matrices

Fact 3

Let A = AT be a real symmetric matrix. Such matrix has

n linearly independent real eigenvectors. Moreover, these
eigenvectors can be chosen such that they are orthogonal
to each other and have norm one

wiTwj = 0, ∀i = j
wiTwi = ||wi||2 = 1, ∀i

A real symmetrix matrix A can be decomposed as

A = WΛWT

where W is an orthogonal matrix: Wn×n = [w1| . . . |wn],

WWT = WTW = I.

The eigenvectors wi can be obtained by normalizing the

eigenvectors vi

vi
wi = , i = 1, . . . , n
||vi||2
Exercise 15

Consider a vector random variable X = [X1, X2]T with the

mean and covariance matrix given by
 
3 5 4
mX = , ΣX =
4 4 5

1. Perform eigendecomposition of the matrix ΣX

ΣX = WΛWT

where Λ is a diagonal matrix made up of eigenvalues of ΣX

and W is an orthogonal matrix.

Sketch the covariance ellipse of X. What is the correlation

coefficient of X1 and X2?

2. Suppose that Z = [Z1, Z2]T is made up of two

uncorrelated random variables with zero mean and unit
variance. Consider the following linear transformation

Y = WΛ1/2Z

where W and Λ are the matrices determined in point 1

above. Show that
ΣY = ΣX .
3. Use a linear transformation, defined in point 2, to
generate two-dimensional Gaussian random variable X with
the mean and covariance matrix specified above. Create a
scatter plot based on 200 realizations of X.

Exercise 16

Consider a zero-mean vector random variable X with

covariance matrix

ΣX = E[XXT] = WΛWT

where Λ is a diagonal matrix made up of eigenvalues of ΣX

and W is an orthogonal matrix.

Let
Y = WΛ−1/2WTX
Show that
ΣY = I
i.e., Y is the vector random variable made up of uncorrelated
components.
 Project 1

Record and mix signals obtained from two independent

speech sources (30 second long recordings, 2 linear mixtures
with different mixing coefficients).
Perform blind source separation using the FastICA
algorithm:
1. Center the data to make its mean zero.
2. Whiten the data to obtain uncorrelated mixture signals.
3. Initialize w0 = [w1,0, w2,0]T, ||w0|| = 1 (e.g. randomly)
4. Perform an iteration of a one-source extraction algorithm
  T 3 
 i = avg z(t) wi−1z(t)
w − 3wi−1

where z(t) = [z1(t), z2(t)]T denotes the vector of whitened

mixture signals and avg(·) denotes time averaging

N
1 
avg{x(t)} = x(t)
N t=1

 i by dividing it by its norm

5. Normalize w

i
w
wi =
 i||
||w
6. Determine a unit-norm vector vi orthogonal to wi.

wiTvi = 0, ||vi|| = 1

7. Display and listen to the current results of source

separation
  

1(t)
x wiT z1(t)
= , t = 1, . . . , N

2(t)
x viT z2(t)

8. If wiTwi−1 is not close enough to 1, go back to step 4.

Otherwise stop.

Literature: A. Hyvärinen, E. Oja. “A fast fixed-point

algorithm for independent component analysis”, Neural
Computation, vol. 9, pp. 1483-1492, 1997.

A special bonus will be granted for writing a procedure that

extracts n > 2 source signals from n mixtures.
 Project 2

Create a noisy audio recording (add artificially generated

noise to a clean music or speech signal). The first second
of the recording should contain noise only. Then denoise
recording using the method of spectral subtraction.
Exercise 17

Consider a sinusoid with a random frequency

X(t) = cos(2πf t)

where f is a random variable uniformly distributed over the

interval [0, f0].

1. Show that the theoretical mean function of X(t) is given

by
sin(2πf0 t)
mX (t) = E[X(t)] =
2πf0t

2. Estimate the mean function of X(t) using ensemble

averaging in the case where f0 = 0.01

1000
1 

X (t) =
m X(t, ξi), t = −300, . . . , 300
1000 i=1

3. Plot the obtained estimates and compare them with the

theoretical mean function.
Exercise 18

Generate 400 samples of the first-order autoregressive

process governed by

Y (t) = 0.99Y (t − 1) + X(t), t = 1, 2, . . .

where Y (0) = 0 and X(t) denotes Gaussian white noise

2
with mean 0 and variance σX = 1.

1. Depict on one plot 100 realizations of Y (t), t ∈ [1, 400].

Starting from what time instant the process can be
regarded as wide-sense stationary?

2. Determine analytically the mean function of Y (t) for any

initial condition Y (0) = y0 .

3. Estimate the steady-state autocorrelation function of

Y (t) using time averaging

300


X (τ ) = 1
R Y (t)Y (t + τ ), τ = 0, . . . , 100
100 t=201

4. Estimate the steady-state autocorrelation function of

Y (t) using ensemble averaging

100

1 
RX (τ ) = Y (t, ξi )Y (t + τ, ξi)
100 i=1
 t = 201, τ = 0, . . . , 100

5. Plot the obtained estimates and compare them with the

theoretical autocorrelation function

(0.99)|τ |
RX (τ ) =
1 − (0.99)2

Exercise 19

Consider random telegraph signal governed by

X(t) ∈ {−1, 1}

P (X(t + 1) = 1|X(t) = 1) = 0.99

P (X(t + 1) = −1|X(t) = 1) = 0.1
P (X(t + 1) = 1|X(t) = −1) = 0.1
P (X(t + 1) = −1|X(t) = −1) = 0.99

t = 1, . . . , 200

P (X(0) = 1) = P (X(0) = −1) = 0.5

Estimate and plot R
X (τ ), τ = 0, . . . , 100. To obtain the
estimates use a) time averaging b) ensemble averaging.
Plot and compare the obtained results.
Exercise 20

Consider a zero-mean Gausiian white noise X(t) with

2
variance σX = 1.

1. Evaluate spectral density function SX (ω) of this process.

2. Compute and plot periodogram-based estimates of

SX (ω) using datasets consisting of N = 100, 1000 and
10000 samples
N 2

1  

PX (ωi, N ) =  X(t)e−jωit
N  t=1 

ωi = 2πi/100 , i = −50, . . . , 50
Compare the obtained results with the true spectral
density function of X(t).

3. Compute time-averaged periodogram-based estimates

M
1  j
P̄X (ωi, N ) = P (ωi, N )
M j=1 X

ωi = 2πi/100 , i = −50, . . . , 50
j
where PX (ωi, N ) denotes periodogram obtained for the
j-th segment of X(t) of length N . Plot the results
obtained for N = 100.
Exercise 21

Y (t) is a random process observed at the output of the

second-order filter

1
H(z −1) =
1 + a1z −1 + a2z −2

excited with white Gaussian noise X(t) ∼ N (0, 1) under

zero initial conditions. The poles of the filter are given in
the form
z1 = rejφ, z1 = re−jφ
where
A) r = 0.9, φ = π/100
B) r = 0.9, φ = π/10
C) r = 0.99, φ = π/100
D) r = 0.99, φ = π/10

1. Compute the coefficients a1 and a2 in each of the four

cases indicated above.

2. Plot the amplitude characteristics of H(z −1)

 

A(ωi) = H(e−jωi 
) , ωi = πi/1000, i = 1, . . . , 1000

What is rhe influence of r and φ on the shape of the

amplitude characteristic of H(z −1) ?