You roll a fair 6-sided die. Let X and Y denote the number of rolls necessary to obtain a six and a five, respectively. We know that E [ X ] = 6 .
Now, let α denote the conditional expectation of X given Y = 1 , i.e. α = E [ X ∣ Y = 1 ] .
Also, let β be the least value of y such that E [ X ∣ Y = y ] ≤ 6 .
What is α β ?
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It is perhaps worth noting that E [ X ∣ Y = y ] = 2 5 [ 2 + ( 5 4 ) y ] which enables us to determine the value of β analytically.
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I edited my solution to derive your formula. Is it easy to derive elegantly somehow?
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It is a bit easier to determine the generating function F ( z ) = y = 1 ∑ ∞ E [ X ∣ Y = y ] z y = ( 1 − z ) ( 5 − 4 z ) 5 z ( 7 − 6 z ) = 5 − 4 z 1 0 z + 1 − z 5 z and hence determine the expectations. All we need are the results y = 1 ∑ ∞ z y = 1 − z z y = 1 ∑ ∞ y z y = ( 1 − z ) 2 z ∣ z ∣ < 1
The question was superb. I did understand how to solve it but could not come up with the closed formed solution in terms of y
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In general, E [ X ∣ Y = y ] = 5 1 k = 1 ∑ y − 1 k ( 4 / 5 ) k − 1 + ( 4 / 5 ) y − 1 ( y + 6 ) . The first part is the contribution from the cases where we roll a six before a five, and the second part is the contribution from the cases where we roll a five first; in the latter case, there is no conditioning on the rolls after the y th roll, so the expected total number of rolls if we haven't hit a six before a five is y + 6 .
When y = 1 , we get 7 as expected, so α = 7 . On the other hand, E [ X ∣ Y = 2 ] E [ X ∣ Y = 3 ] E [ X ∣ Y = 4 ] E [ X ∣ Y = 5 ] = 3 3 / 5 > 6 = 1 5 7 / 2 5 > 6 = 7 5 3 / 1 2 5 > 6 = 3 6 3 7 / 6 2 5 < 6 so β = 5 , and the answer is 3 5 .
Edit: as Mark Hennings points out, there is an easy formula for E [ X ∣ Y = y ] , which I can derive from my formula as follows: since k = 0 ∑ y − 1 k x k − 1 is the derivative of k = 0 ∑ y − 1 x k = x − 1 x y − 1 , we get k = 0 ∑ y − 1 k x k − 1 = ( x − 1 ) 2 ( y − 1 ) x y − y x y − 1 + 1 . Plugging in x = 4 / 5 gives 2 5 ( ( y − 1 ) ( 4 / 5 ) y − y ( 4 / 5 ) y − 1 + 1 ) . Plugging that into the original formula gives E [ X ∣ Y = y ] = 5 ( ( y − 1 ) ( 4 / 5 ) y − y ( 4 / 5 ) y − 1 + 1 ) + ( y + 6 ) ( 4 / 5 ) y − 1 = ( 4 y − 4 ) ( 4 / 5 ) y − 1 − 5 y ( 4 / 5 ) y − 1 + 5 + ( y + 6 ) ( 4 / 5 ) y − 1 = 2 ( 4 / 5 ) y − 1 + 5 .
I wonder if it's easy to compute this in some other way?
Then β is the first value of y such that ( 4 / 5 ) y − 1 ≤ 1 / 2 , which is easy to compute: since ( . 8 ) 3 = . 5 1 2 > . 5 but . 8 4 = . 4 0 9 6 < . 5 , β = 5 .