From the AM-GM inequality , we know that the arithmetic mean (AM) of a list of non-negative real numbers is always greater than or equal to the geometric mean (GM). But the inequality doesn't tell us just how much larger the AM is.
Given a list of n random real numbers chosen uniformly and independently in the range [ a 0 , a 1 ] , where 0 ≤ a 0 < a 1 , find E [ GM AM ] in terms of n , a 0 , a 1 .
Then find a 1 → ∞ a 0 → 0 lim E [ GM AM ] .
If the formula is of the form ( A n − B ) ( n − 1 ) n − C n n , where A , B , C are positive integers, give your answer as A + B + C .
Note : The notation E [ X ] is the expected value of the random variable X .
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This can be simplified by using Linearity of Expectation on AM/GM and then Independence to make expectation of a product into a product of expectations.
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Do you mean E [ G M A M ] = E [ G M ] E [ A M ] ? But I'm pretty sure that in general E [ Y X ] = E [ Y ] E [ X ] for dependent X and Y .
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Even if X and Y were independent, we have in general E [ Y X ] = E [ X ] ⋅ E [ Y 1 ] = E [ Y ] E [ X ] .
Rather, I'm pretty sure Misha meant the simplification given by Steven Redolfi's solution.
Thanks for taking the time to write all the process! I found the solution using the same process, and was quite reluctant to do it myself! :)
Let X i ∼ U ( a 0 , a 1 ) be our random variables for i = 1 , 2 , . . . , n . Notice that they are independent and identically distributed as per our hypothesis. Then E [ G M A M ] = E [ n n X 1 X 2 . . . X n X 1 + X 2 + . . . + X n ] = ( 1 ) n 1 [ E [ n X 1 X 2 . . . X n X 1 ] + . . . + E [ n X 1 X 2 . . . X n X n ] ] = ( 2 ) E [ n X 2 X 3 . . . X n X 1 ( n − 1 ) / n ] = ( 3 ) E [ X 1 ( n − 1 ) / n ] ⋅ E [ n X 2 1 ] ⋅ . . . ⋅ E [ n X n 1 ] = ( 4 ) E [ X 1 ( n − 1 ) / n ] ⋅ E [ n X 1 1 ] n − 1 , where (1) uses linearity of the expected value operation, (2) uses the fact that X i are identically distributed, (3) uses independence, and (4) uses identical distribution.
Compute the first expected value: E [ X 1 ( n − 1 ) / n ] = ∫ a 0 a 1 x ( n − 1 ) / n a 1 − a 0 1 d x = ( a 1 − a 0 ) ( n − 1 ) n ( a 1 2 − 1 / n − a 0 2 − 1 / n ) , and the second: E [ n X 1 1 ] = ∫ a 0 a 1 n x 1 a 1 − a 0 1 d x = ( a 1 − a 0 ) ( n − 1 ) n ( a 1 1 − 1 / n − a 0 1 − 1 / n ) , so that equation (4) above gives us E [ G M A M ] = ( ( a 1 − a 0 ) ( n − 1 ) n ( a 1 2 − 1 / n − a 0 2 − 1 / n ) ) ( ( a 1 − a 0 ) ( n − 1 ) n ( a 1 1 − 1 / n − a 0 1 − 1 / n ) ) n − 1 . With this equality in mind, \substack a 0 → 0 a 1 → ∞ lim E [ G M A M ] = ( 2 n − 1 ) ( n − 1 ) n − 1 n n , whence the desired value is 2 + 1 + 1 = 4 .
EDIT: This suggests that, on average we should expect A M / G M ≈ ( 2 n − 1 ) ( n − 1 ) n − 1 n n , where the means are taken of randomly selected positive real numbers. I thought it was pretty neat that, if we take this limit as n → ∞ , we see G M A M ≈ 2 e if n is large enough!
How did the formula in terms of integrals appeared above ? .
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That is merely just applying the expected value formula. Namely, E ( X ) = ∫ a 0 a 1 x p ( x ) d x , where x ∈ [ a 0 , a 1 ] and p ( x ) is the probability that X = x for that value of x . In the case above, since X is uniformally distributed, p ( x ) = a 1 − a 0 1
Having no idea how to do this Nick Turtle's way I decided to explore using Wolfram Alpha. There is no proof in this 'solution,' just following my nose to get an answer.
Using n=2 I did a double integral from 0 to 1 (both variables) of AM/GM and it gave 3 4 .
Changing the integration limits to 0 to 2 gave 16/3, 0 to 3 gave 36/3. OK the upper limit doesn't matter since dividing by the area to give the expected value always gets us back to 4/3. No need to go to infinity! Red herring suspected.
So the hinted formula gives 2 A − B 2 2 = 3 4 or 2 A − B = 3
Next n=3 and the triple integral from 0 to 1 (all 3 variables) gives 2 0 2 7 . Hey, the numerator is 3 3 . That's a good sign. (Integrating from 0 to 2 makes the answer 8 times bigger so Red herring almost certain.)
n=4 gives 1 8 9 2 5 6 , n=5 gives 2 3 0 4 3 1 2 5 The numerators work. Now to take a closer look at the denominators.
n=2, 2 A − B = 3
n=3, ( 3 A − B ) 2 3 − C = 2 0 = 5 ∗ 2 2
n=4, ( 4 A − B ) 3 4 − C = 1 8 9 = 7 ∗ 3 3
n=5, ( 5 A − B ) 4 5 − C = 2 3 0 4 = 9 ∗ 4 4
Which is more than enough for me to infer A = 2 , B = 1 , C = 1 , and A + B + C = 1 + 1 + 2 = 4 And it worked!
Nick's is way cooler (as much as I can follow.)
If you think about how exactly one obtains the mean value of a function in an interval his method becomes easy to understand. He just did that for every single variable and hence so many integrals!
Oh my god!!!!
I just banged by keyboard and got this answer correct.🤔🤔
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To find E ( G M A M ) , we will need to use integrals.
E ( G M A M ) = n ( a 1 − a 0 ) n 1 ∫ a 0 a 1 ∫ a 0 a 1 ⋯ ∫ a 0 a 1 n n x 1 x 2 ⋯ x n x 1 + x 2 + ⋯ + x n d x 1 d x 2 ⋯ d x n = n ( a 1 − a 0 ) n 1 ∫ a 0 a 1 ∫ a 0 a 1 ⋯ ∫ a 0 a 1 n ( n x 1 x 2 ⋯ x n x 1 + n x 1 x 2 ⋯ x n x 2 + ⋯ + n x 1 x 2 ⋯ x n x n ) d x 1 d x 2 ⋯ d x n = n ( a 1 − a 0 ) n 1 ∫ a 0 a 1 ∫ a 0 a 1 ⋯ ∫ a 0 a 1 n ⎝ ⎛ n x 2 x 3 ⋯ x n x 1 1 − n 1 + n x 1 x 3 ⋯ x n x 2 1 − n 1 + ⋯ + n x 1 x 2 ⋯ x n − 1 x n 1 − n 1 ⎠ ⎞ d x 1 d x 2 ⋯ d x n = n ( a 1 − a 0 ) n 1 ∫ a 0 a 1 ∫ a 0 a 1 ⋯ ∫ a 0 a 1 n − 1 ⎣ ⎡ 2 n − 1 n n x 2 x 3 ⋯ x n x 1 2 − n 1 + n − 1 n n x 3 x 4 ⋯ x n x 1 1 − n 1 x 2 1 − n 1 + ⋯ + n − 1 n n x 2 x 3 ⋯ x n − 1 x 1 1 − n 1 x n 1 − n 1 ⎦ ⎤ x 1 = a 0 x 1 = a 1 d x 2 d x 3 ⋯ d x n = n ( a 1 − a 0 ) n 1 ∫ a 0 a 1 ∫ a 0 a 1 ⋯ ∫ a 0 a 1 n − 2 ⎣ ⎡ ⎣ ⎡ 2 n − 1 n n − 1 n n x 3 x 4 ⋯ x n x 1 2 − n 1 x 2 1 − n 1 + 2 n − 1 n n − 1 n n x 3 x 4 ⋯ x n x 1 1 − n 1 x 2 2 − n 1 + ⋯ + n − 1 n n − 1 n n x 2 x 3 ⋯ x n − 1 x 1 1 − n 1 x 2 1 − n 1 x n 1 − n 1 ⎦ ⎤ x 1 = a 0 x 1 = a 1 ⎦ ⎤ x 2 = a 0 x 2 = a 1 d x 3 d x 4 ⋯ d x n
(By the way, setting a 0 = 0 and then finding the limit of a 1 → ∞ will make the work infinitely easier, but we won't be able to find the general formula.)
It should become clear that a pattern is emerging. In fact, the above becomes = ( a 1 − a 0 ) n ( n − 1 ) n − 1 ( 2 n − 1 ) n n − 1 ⎣ ⎢ ⎢ ⎡ ⎣ ⎢ ⎡ ⋯ ⎣ ⎡ i = 1 ∑ n ⎝ ⎛ ( x i 2 − n 1 ) j = 1 , j = i ∏ n ( x j 1 − n 1 ) ⎠ ⎞ ⎦ ⎤ x 1 = a 0 x 1 = a 1 ⎦ ⎥ ⎤ x 2 = a 0 x 2 = a 1 ⋯ ⎦ ⎥ ⎥ ⎤ x n = a 0 x n = a 1 = ( a 1 − a 0 ) n ( n − 1 ) n − 1 ( 2 n − 1 ) n n − 1 n ( a 1 2 − n 1 − a 0 2 − n 1 ) ( a 1 1 − n 1 − a 0 1 − n 1 ) n − 1 = ( a 1 − a 0 ) n ( n − 1 ) n − 1 ( 2 n − 1 ) n n ( a 1 2 − n 1 − a 0 2 − n 1 ) ( a 1 1 − n 1 − a 0 1 − n 1 ) n − 1
The last line is the formula for E ( G M A M ) . Playing around with it shows that if one sets a 0 and a 1 closer, the value becomes closer to 1 , as should be expected. Probably more interestingly is the fact that, if we set n → ∞ , the value becomes 2 1 exp ( 1 − a 1 − a 0 a 1 ln a 1 − a 0 ln a 0 ) ( a 0 + a 1 ) .
Now, back to E ( G M A M ) = ( a 1 − a 0 ) n ( n − 1 ) n − 1 ( 2 n − 1 ) n n ( a 1 2 − n 1 − a 0 2 − n 1 ) ( a 1 1 − n 1 − a 0 1 − n 1 ) n − 1
Find the limit when a 0 → 0 , a 1 → ∞ (setting a 0 = 0 and all factors with a 1 subsequently cancels out), and one obtains
( n − 1 ) n − 1 ( 2 n − 1 ) n n
Thus, A = 2 , B = C = 1 . Therefore, A + B + C = 4 .
This value grows increasingly closer to 2 1 e for large n . Thus, given a large list of positive real numbers that seems to be generated randomly from [ 0 , m ] for some m , one should expect that the arithmetic mean of the numbers is around 1 3 6 % that of the geometric mean. Else, for a large list of positive real numbers generated randomly from [ a 0 , a 1 ] , one should expect this value to change to 2 1 exp ( 1 − a 1 − a 0 a 1 ln a 1 − a 0 ln a 0 ) ( a 0 + a 1 ) .