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Homework Assignment 5

This document provides the details for Homework Assignment 5 for the ECE 534 class in Fall 2016. It includes 8 problems to solve for homework due on April 6. Problem 1 has 5 parts involving finding the variance, expectation, linear minimum mean square error estimate, and innovations sequence for products of independent Gaussian random variables. Problem 2 involves completing missing parts from a previous homework. Problems 3 through 7 require solving additional problems from sections in the textbook. Problem 8 describes a two station continuous-time pipeline system and asks to determine the state space, sketch a transition rate diagram, write the Q matrix, and derive the throughput under given conditions.

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52 views

Homework Assignment 5

This document provides the details for Homework Assignment 5 for the ECE 534 class in Fall 2016. It includes 8 problems to solve for homework due on April 6. Problem 1 has 5 parts involving finding the variance, expectation, linear minimum mean square error estimate, and innovations sequence for products of independent Gaussian random variables. Problem 2 involves completing missing parts from a previous homework. Problems 3 through 7 require solving additional problems from sections in the textbook. Problem 8 describes a two station continuous-time pipeline system and asks to determine the state space, sketch a transition rate diagram, write the Q matrix, and derive the throughput under given conditions.

Uploaded by

anthalya
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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ECE 534

Fall 2016

March 28, 2016

Homework Assignment 5
Due Date: Wednesday, April 6 (in class)
Reading: Sections 3.5, 4.8-4.10 of text.
1. Let X1 , X2 , . . . be i.i.d. Gaussian random variables with mean 1 and variance 1, i.e., Xk N (1, 1),
and suppose
n
Y
Yn =
Xk , n = 1, 2, . . .
k=1

(a)
(b)
(c)
(d)
(e)

Find Var(Yn ), n 1.
Find E[Yn |Y1 , . . . , Yn1 ], n 1.
n |Y1 , . . . , Yn1 ], n 1.
Find E[Y
Find the linear innovations sequence Y1 , Y2 , . . .

For fixed m 1, let Z = (X1 + + Xm ). Find the LMMSE estimate E[Z|Y


1 , . . . , Ym ].

2. Missing parts from HW 4.


(a) Problem 4.5 of the text, part (b).
(b) Problem 4.11 of the text, part (c).
3. Problem 4.19 of the text.
4. Problem 4.21 of the text.
5. Problem 4.29 of the text.
6. Problem 4.31 of the text.
7. Problem 4.35 of the text.
8. A two station pipeline in continuous time. This is a continuous-time version of Example 4.8. Consider a pipeline consisting of two single-buffer stages in series. Model the system as a continuoustime Markov process. Suppose new packets are offered to the first stage according to a rate
Poisson process. A new packet is accepted at stage one if the buffer in stage one is empty at the
time of arrival. Otherwise the new packet is lost. If at a fixed time t there is a packet in stage
one and no packet in stage two, then the packet is transfered during [t, t + h) to stage two with
probability h1 + o(h). Similarly, if at time t the second stage has a packet, then the packet leaves
the system during [t, t + h) with probability h2 + o(h), independently of the state of stage one.
Finally, the probability of two or more arrival, transfer, or departure events during [t, t + h) is
o(h).
(a)
(b)
(c)
(d)

What is an appropriate state-space for this model?


Sketch a transition rate diagram.
Write down the Q matrix.
Derive the throughput, assuming that = 1 = 2 = 1.

c
V.
V. Veeravalli, 2016

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