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Suppose $X$ is random variable from some unknown distribution $f(X)$. I'm given a black-box/algorithm that takes a number $c\;: 0 \leq c < 1$ and outputs a number(randomly generated) using the truncated distribution $f_c(X)$ where the domain of $X = [c, 1]\; \therefore f_0(X) = f(X)$. Now I need to estimate the $E[\text{count}]$ for the values of $count$ returned by the following code:

Input: rho (where $0<\rho <1$)

$Q(1-\rho)$: Value of Quantile Function [$(1-\rho)^{\text{th}}$-quantile] of the distribution function $f_0(X)$

int get_count(float rho) {
  float c = 0.0;
  int count = 0;
  while(c < Q(1-rho)) {
    c = blackbox_algo(c);
    count++;
  }
  return count;
}

I tried to construct a recurrence by conditional expectation(as generally done in case of geometric distribution) but it seems to be not correct as the memoryless property is not valid here. Any help is welcome :)

Disclaimer: It's not a homework problem. I'm a budding researcher in engineering and ran into situation where such kind of problems are arising. This problem has a similarity with this one but these are not identical

aroyc
  • 453

1 Answers1

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You can forget about finding the expected number of steps if you don't know what $f$ is.

Original question

It should be obvious that if $f(x) = 0$ for every $x \in [1-ρ,1]$, then your get_count will run forever. It suggests that making $f$ sufficiently close to zero in that region would make the expected count go to infinity, and in fact this is so.

Present question

If you take two distributions with the same cutoff $t = Q(1-ρ)$ but different distribution over $[0,Q(1-ρ)]$, then you'll get different count distributions. Just try for discrete distributions to see why. Say $t = 0.5$, and in one case $X = 0$ whenever $X < t$, and in the other case $X$ is $0$ or $0.1$ with equal probability whenever $X < t$. Then the second case will obviously give a lower expected count because truncation occurs faster.

user21820
  • 60,745
  • Whoops! Thanks for your valuable comment ! I've edited the question. – aroyc Feb 13 '16 at 08:28
  • @aroyc: Now your code doesn't even make sense. Quantile function for which distribution? – user21820 Feb 13 '16 at 08:32
  • thanks again...fixed it :) – aroyc Feb 13 '16 at 09:19
  • @aroyc: I updated my answer. But seriously what is so secret about $f$ that you cannot tell us? – user21820 Feb 13 '16 at 09:33
  • @aroyc: You should put your motivation in your question. Sometimes if you try to change your original question into a new one, it becomes a different question, and there's no way anyone would know if you don't state the motivation. – user21820 Feb 13 '16 at 09:57
  • Well...nothing secret and being a learner I'm open to discuss to fullest clarity :) actually I also don't know about the explicit form of $f$. My intention is to customize this question to serve my purpose. – aroyc Feb 13 '16 at 10:05
  • I accept my inability to post the the problem in a correct manner and apologize for that. – aroyc Feb 13 '16 at 10:06
  • @aroyc: What I mean is that you should tell us all you know about the distribution of $X$. Why is it a blackbox? What does it represent? Is it from a real-world problem? Why should we be interested in the number of steps? Once you answer all these questions, it may become apparent that there is crucial information that was not given in your original question. If there isn't, then my answer completely resolves your question in the negative. – user21820 Feb 13 '16 at 10:13
  • @aroyc: Anyway that link explains a lot, so you should include it in your question. Notice that Alex R also said in his answer that nothing much can be said without knowing the distribution. – user21820 Feb 13 '16 at 10:15
  • I've included it before posting my previous comment. Check the "Disclaimer" portion – aroyc Feb 13 '16 at 10:20
  • @aroyc: Really sorry I didn't notice that extra sentence in your disclaimer. – user21820 Feb 13 '16 at 10:22