Lecture 12: Probability Generating Functions

Background Material

• Lecture 9 on generating functions.
• Lecture 10 on quicksort.
• Elementary probability theory (probability space, mean, variance, independence) and elementary counting (binomial theorem, binomial coefficients).
• Chapter 3 (sec. on PGFs) from Flajolet and Sedgewick.

Reading

Topics

• Definition and examples of PGFs
• Given a random variable X, that takes on only nonnegative integer values (discrete random variable), the PGF associated with X is the function P(z) = p_0 + p_1*z + p_2*z^2 + ..., where p_k = Prob(X = k).
• Since the p_k's are probabilities and the only values are the nonnegative integers P(1) = 1.
• If X and Y are independent random variables with PGFs P and Q, then the PGF for Prob(X=k) and Prob(Y=j) is equal to P(z)*Q(z).
• Simple example using dice.
• Computing the mean using a PGF.
  • Since P'(z) = p_1 + 2*p_2*z + 3*p_3 z^2 + ..., P'(1) = mean(X).
• Computing the variance using a PGF.
  • var(X) = sum_k (k-mean(x))^2 * p_k.
  • var(X) = P''(1) + P'(1) - P'(1)^2
• Additional examples
  • Uniform distribution
  • Binomial distribution
  • Quicksort distribution

Maple worksheets and programs

• pgf.mw - Maple worksheet illustrating PGFs.

Lecture Notes

• pgf.pdf - Handwritten notes from class.

Assignment

• assign4.mw