Section 12.2

Martingale differences and Hoeffding's inequality

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Problem 12.2.1

It is required to pack a knapsack to maximum benefit. Suppose you have nn objects, the ii th object having volume ViV_{i} and worth WiW_{i}, where V1,V2,…,Vn,W1,W2,…,WnV_{1}, V_{2}, \ldots , V_{n}, W_{1}, W_{2}, \ldots , W_{n} are independent non-negative random variables with finite means, and Wi≤MW_{i} \leq M for all ii and some fixed MM. Your knapsack has volume cc, and you wish to maximize the total worth of the objects packed in it. That is, you wish to find the vector z1,z2,…,znz_{1}, z_{2}, \ldots , z_{n} of 0 's and 1 's such that ∑1nziVi≤c\sum_{1}^{n} z_{i} V_{i} \leq c and which maximizes ∑1nziWi\sum_{1}^{n} z_{i} W_{i}. Let ZZ be the maximal possible worth of the knapsack's contents, and show that P(∣Z−E[Z]∣≥x)≤2exp⁡{−x2/(2nM2)}\mathbb {P}\left(|Z-\mathbb {E}\left[Z\right]| \geq x\right) \leq 2 \exp \left\{ -x^{2} /\left(2 n M^{2}\right)\right\} for x>0x > 0.

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Problem 12.2.2

Given nn vertices v1,v2,…,vnv_{1}, v_{2}, \ldots , v_{n}, for each 1≤i<j≤n1 \leq i < j \leq n we place an edge between viv_{i} and vjv_{j} with probability pp; different pairs are joined independently of each other. We call viv_{i} and vjv_{j} neighbours if they are joined by an edge. The chromatic number χ\chi of the ensuing graph is the minimal number of pencils of different colours which are required in order that each vertex may be coloured differently from each of its neighbours. Show that P(∣χ−E[χ]∣≥x)≤2exp⁡{−12x2/n}\mathbb {P}\left(|\chi -\mathbb {E}\left[\chi \right]| \geq x\right) \leq 2 \exp \left\{ -\frac{1}{2} x^{2} / n\right\} for x>0x > 0.

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Problem 12.2.3
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(a)

Let XX and YY be random variables such that X≤b<∞X \leq b < \infty a.s., E[X∣Y]=0\mathbb {E}\left[X \mid Y\right] = 0, and E[X2∣Y]≤σ2<∞\mathbb {E}\left[X^{2} \mid Y\right] \leq \sigma^{2} < \infty. Show that

E[eθX∣Y]≤exp⁡{12θ2(b2+σ2)},θ≥0 \mathbb {E}\left[e^{\theta X} \mid Y\right] \leq \exp \left\{ \frac{1}{2} \theta ^{2}\left(b^{2}+\sigma ^{2}\right)\right\} , \quad \theta \geq 0
(b)

Let (M,F)(M, \mathcal{F}) be a martingale with M0=0M_{0} = 0, having differences Dr=Mr−Mr−1D_{r} = M_{r}-M_{r-1}, and suppose that Dn≤bn<∞D_{n} \leq b_{n} < \infty a.s., and E[Dn2∣Mn−1]≤σn2<∞\mathbb {E}\left[D_{n}^{2} \mid M_{n-1}\right] \leq \sigma_{n}^{2} < \infty for n≥1n \geq 1. Show that

P(Mn≥t)≤exp⁡{−t22∑r=1n(br2+σr2)},t≥0 \mathbb {P}\left(M_{n} \geq t\right) \leq \exp \left\{ -\frac{t^{2}}{2 \sum _{r = 1}^{n}\left(b_{r}^{2}+\sigma _{r}^{2}\right)}\right\} , \quad t \geq 0
Problem 12.2.4

Let (M,F)(M, \mathcal{F}) be a martingale with M0=0M_{0} = 0, having differences Dr=Mr−Mr−1D_{r} = M_{r}-M_{r-1}. The process given by Qn=∑r=1nDr2Q_{n} = \sum_{r = 1}^{n} D_{r}^{2} is called the optional quadratic variation of MM, while Vn=∑r=1nE[Dr2∣Fr−1]V_{n} = \sum_{r = 1}^{n} \mathbb {E}\left[D_{r}^{2} \mid \mathcal{F}_{r-1}\right] is called the predictable quadratic variation of MM. Show that Xn=Mn2−QnX_{n} = M_{n}^{2}-Q_{n} and Yn=Mn2−VnY_{n} = M_{n}^{2}-V_{n} define martingales with respect to F\mathcal{F}.

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