Randomly select two numbers (not necessarily distinct) from the set
{0, 1/n, 2/n, ..., 1}
What is the expected value, in terms of n, of the smaller of the numbers?
Find the limit of this as n increases without bound.
a and b are uniformly distributed, independent random variables, 0 < a,b < 1
P: Cumulative distribution function
p: Probability density function
p is the derivative of P
P(a<x) = x
P(a>x) = 1x
let m = min(a,b)
P(m>x) = P(a>x AND b>x) = (1x)^2
P(m<x) = 1  P(m>x) = 1  (1  2x + x^2) = 2x  x^2
p(m) = 2  2x (by taking derivative)
note the integral of p(m) from 0 to 1 equals 1.
Call E(x) the expected value of x where x is the minimum of two numbers each of which is independent and uniformly distributed from 0 to 1.
E(x) is {integral of x * p(m)} / {integral of p(m)} each integral is from 0 to 1.
E(x) = {integral of (2x  2x^2) dx} / {integral of (2  2x) dx}
E(x) = {x^2  2(x^3)/3} / {2x  x^2} each integral is from 0 to 1
E(x) = {1/3  0} / {1  0} = 1/3
Edited on May 14, 2014, 10:02 am

Posted by Larry
on 20140514 10:00:57 