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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

27 votes
5 answers
3k views

How to show a function converges to 1

Consider the following recurrence relation in two variables: $$f(a, b) = \frac{a}{a+b} f(a-1,b)+ \frac{b}{a+b}f(a+1,b-1) $$ for positive integers $a$ and $b$, with the boundary conditions $f(0,b)=0$ f …
2 votes
1 answer
277 views

A fast algorithm for a probabilistic counting problem without replacement?

Consider the integers $\{1,\dots, N\}$ for some positive integer $N$. Let us suppose that for each $\{1, \dots, N\}$ there is an associated probability $p_1, \dots, p_N$. We also define an integer th …
5 votes
1 answer
328 views

Probability of getting exactly one head and $k$-wise independence

Say we toss $d$ $k$-wise independent coins, each with probability $1/d$ of getting a head. What is the highest lower bound one can give for the probability of getting exactly one head? In the first i …
6 votes
1 answer
332 views

Lower bound for probability of getting exactly one head with pairwise independence

Say we toss $d$ pairwise independent coins, each with probability $1/d$ of getting a head. What is the highest lower bound one can give for the probability of getting exactly one head? If they had bee …
14 votes
0 answers
627 views

Probability of many overlapping zero inner products on a circle

[Question edited and changed a little on June 14 2015] Consider an $n$-dimensional vector $v$ with $v_i \in \{-1,1\}$. Now consider an $n$-dimensional vector $w$ with $w_i \in \{-1,0,1\}$. The ele …
5 votes
3 answers
1k views

A conjecture about the entropy of matrix vector products

Consider a random $m$ by $n$ partial circulant matrix $M$ whose entries are chosen independently and uniformly from $\{0,1\}$ and let $m < n$. Now consider a random $n$ dimensional vector $v$ whose e …
4 votes
2 answers
951 views

Multivariate CLT with varying dimension size

If $X_i$ is a sequence of $d$ dimensional i.i.d. integer valued random vectors with covariance matrix $\Sigma$ and $\mathbb{E}(X_i) = \mu$. Let each element of $X_i$ be chosen i.u.d. from $\{-1,1\}$. …
18 votes
1 answer
883 views

Two conjectures about zero inner products and dissociated sets

The following problems come from something I worked on (with my coauthors) related to proving a new time lower bound for streaming problems. Having worked on these problems for some time with little …
11 votes
4 answers
904 views

Probability two products are equal

I am interested in the following simple looking problem on which I am stuck. Let $M$ be a fixed $m$ by $n$ matrix with $\pm1$ elements. Let $x$ and $y$ be two independently sampled random $n$-dimen …
3 votes
1 answer
535 views

Finding discrete entropy via differential entropy

In a recent math.se question the following was asked which I have slightly edited. " Consider a fixed and given $n$ by $n$ matrix $M$ whose elements are chosen from $\{-1,1\}$. Consider also a random …
8 votes
1 answer
3k views

How to calculate expected value of matrix norms of $A^TA$?

Let $A$ be a random $m$ by $n$ rectangular sign matrix, chosen uniformly at random, with $m < n$. Let $B = A^T A$. We know, for example, that $B$ is a square and symmetric $n$ by $n$ matrix with all …
6 votes
3 answers
421 views

Probability a random matrix contains a short integer vector in its kernel

Consider a random $m$ by $n$ matrix $M$ with $m \leq n$, chosen uniformly over all those whose elements are in $\{0,1\}$ (or $\{-1,1\}$ if it is any easier). Is there any mathematical theory that …
14 votes
2 answers
958 views

The power of two random choices with pairwise independence

Throw $n$ balls into $n$ bins, and let $X_n$ be the max load. That is the number of balls in the fullest bin. It is known that if the balls are thrown uniformly and independently at random then $\mat …
10 votes
1 answer
1k views

Probability a random Toeplitz matrix is singular

Consider Toeplitz matrices where the entries in the first row and column (which define the whole matrix) are independently chosen to be either $1$ or $0$ with probability $1/2$. Define $p_n$ to be the …
14 votes
1 answer
438 views

Smallest $k$ so that $k$-wise independence guarantees a constant expected minimum

Imagine you sample $n$ numbers with replacement uniformly from the integers $1,\dots, n$ (we can assume $n$ is large). Let $X$ be the minimum of these samples. I am interested in $\mathbb{E}(X)$ but …

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