高级算法 (Fall 2019)/Conditional expectations

Conditional Expectations

The conditional expectation of a random variable [math]\displaystyle{ Y }[/math] with respect to an event [math]\displaystyle{ \mathcal{E} }[/math] is defined by

[math]\displaystyle{ \mathbf{E}[Y\mid \mathcal{E}]=\sum_{y}y\Pr[Y=y\mid\mathcal{E}]. }[/math]

In particular, if the event [math]\displaystyle{ \mathcal{E} }[/math] is [math]\displaystyle{ X=a }[/math], the conditional expectation

[math]\displaystyle{ \mathbf{E}[Y\mid X=a] }[/math]

defines a function

[math]\displaystyle{ f(a)=\mathbf{E}[Y\mid X=a]. }[/math]

Thus, [math]\displaystyle{ \mathbf{E}[Y\mid X] }[/math] can be regarded as a random variable [math]\displaystyle{ f(X) }[/math].

Example

Suppose that we uniformly sample a human from all human beings. Let [math]\displaystyle{ Y }[/math] be his/her height, and let [math]\displaystyle{ X }[/math] be the country where he/she is from. For any country [math]\displaystyle{ a }[/math], [math]\displaystyle{ \mathbf{E}[Y\mid X=a] }[/math] gives the average height of that country. And [math]\displaystyle{ \mathbf{E}[Y\mid X] }[/math] is the random variable which can be defined in either ways:

• We choose a human uniformly at random from all human beings, and [math]\displaystyle{ \mathbf{E}[Y\mid X] }[/math] is the average height of the country where he/she comes from.
• We choose a country at random with a probability proportional to its population, and [math]\displaystyle{ \mathbf{E}[Y\mid X] }[/math] is the average height of the chosen country.

The following proposition states some fundamental facts about conditional expectation.

Proposition (fundamental facts about conditional expectation)

Let [math]\displaystyle{ X,Y }[/math] and [math]\displaystyle{ Z }[/math] be arbitrary random variables. Let [math]\displaystyle{ f }[/math] and [math]\displaystyle{ g }[/math] be arbitrary functions. Then [math]\displaystyle{ \mathbf{E}[X]=\mathbf{E}[\mathbf{E}[X\mid Y]] }[/math]. [math]\displaystyle{ \mathbf{E}[X\mid Z]=\mathbf{E}[\mathbf{E}[X\mid Y,Z]\mid Z] }[/math]. [math]\displaystyle{ \mathbf{E}[\mathbf{E}[f(X)g(X,Y)\mid X]]=\mathbf{E}[f(X)\cdot \mathbf{E}[g(X,Y)\mid X]] }[/math].

The proposition can be formally verified by computing these expectations. Although these equations look formal, the intuitive interpretations to them are very clear.

The first equation:

[math]\displaystyle{ \mathbf{E}[X]=\mathbf{E}[\mathbf{E}[X\mid Y]] }[/math]

says that there are two ways to compute an average. Suppose again that [math]\displaystyle{ X }[/math] is the height of a uniform random human and [math]\displaystyle{ Y }[/math] is the country where he/she is from. There are two ways to compute the average human height: one is to directly average over the heights of all humans; the other is that first compute the average height for each country, and then average over these heights weighted by the populations of the countries.

The second equation:

[math]\displaystyle{ \mathbf{E}[X\mid Z]=\mathbf{E}[\mathbf{E}[X\mid Y,Z]\mid Z] }[/math]

is the same as the first one, restricted to a particular subspace. As the previous example, inaddition to the height [math]\displaystyle{ X }[/math] and the country [math]\displaystyle{ Y }[/math], let [math]\displaystyle{ Z }[/math] be the gender of the individual. Thus, [math]\displaystyle{ \mathbf{E}[X\mid Z] }[/math] is the average height of a human being of a given sex. Again, this can be computed either directly or on a country-by-country basis.

The third equation:

[math]\displaystyle{ \mathbf{E}[\mathbf{E}[f(X)g(X,Y)\mid X]]=\mathbf{E}[f(X)\cdot \mathbf{E}[g(X,Y)\mid X]] }[/math].

looks obscure at the first glance, especially when considering that [math]\displaystyle{ X }[/math] and [math]\displaystyle{ Y }[/math] are not necessarily independent. Nevertheless, the equation follows the simple fact that conditioning on any [math]\displaystyle{ X=a }[/math], the function value [math]\displaystyle{ f(X)=f(a) }[/math] becomes a constant, thus can be safely taken outside the expectation due to the linearity of expectation. For any value [math]\displaystyle{ X=a }[/math],

[math]\displaystyle{ \mathbf{E}[f(X)g(X,Y)\mid X=a]=\mathbf{E}[f(a)g(X,Y)\mid X=a]=f(a)\cdot \mathbf{E}[g(X,Y)\mid X=a]. }[/math]

The proposition holds in more general cases when [math]\displaystyle{ X, Y }[/math] and [math]\displaystyle{ Z }[/math] are a sequence of random variables.

Martingales

A martingale is a random sequence [math]\displaystyle{ X_0,X_1,\ldots }[/math] satisfying the following so-called martingale property.

Definition (martingale)

A sequence of random variables [math]\displaystyle{ X_0,X_1,\ldots }[/math] is a martingale if for all [math]\displaystyle{ i\gt 0 }[/math], [math]\displaystyle{ \begin{align} \mathbf{E}[X_{i}\mid X_0,\ldots,X_{i-1}]=X_{i-1}. \end{align} }[/math]

Examples

coin flips

A fair coin is flipped for a number of times. Let [math]\displaystyle{ Z_j\in\{-1,1\} }[/math] denote the outcome of the [math]\displaystyle{ j }[/math]th flip. Let

[math]\displaystyle{ X_0=0\quad \mbox{ and } \quad X_i=\sum_{j\le i}Z_j }[/math].

The random variables [math]\displaystyle{ X_0,X_1,\ldots }[/math] defines a martingale.

Proof. We first observe that [math]\displaystyle{ \mathbf{E}[X_i\mid X_0,\ldots,X_{i-1}] = \mathbf{E}[X_i\mid X_{i-1}] }[/math], which intuitively says that the next number of HEADs depends only on the current number of HEADs. This property is also called the Markov property in statistic processes. [math]\displaystyle{ \begin{align} \mathbf{E}[X_i\mid X_0,\ldots,X_{i-1}] &= \mathbf{E}[X_i\mid X_{i-1}]\\ &= \mathbf{E}[X_{i-1}+Z_{i}\mid X_{i-1}]\\ &= \mathbf{E}[X_{i-1}\mid X_{i-1}]+\mathbf{E}[Z_{i}\mid X_{i-1}]\\ &= X_{i-1}+\mathbf{E}[Z_{i}\mid X_{i-1}]\\ &= X_{i-1}+\mathbf{E}[Z_{i}] &\quad (\mbox{independence of coin flips})\\ &= X_{i-1} \end{align} }[/math] [math]\displaystyle{ \square }[/math]

edge exposure in a random graph

Consider a random graph [math]\displaystyle{ G }[/math] generated as follows. Let [math]\displaystyle{ [n] }[/math] be the set of vertices, and let [math]\displaystyle{ [m]={[n]\choose 2} }[/math] be the set of all possible edges. For convenience, we enumerate these potential edges by [math]\displaystyle{ e_1,\ldots, e_m }[/math]. For each potential edge [math]\displaystyle{ e_j }[/math], we independently flip a fair coin to decide whether the edge [math]\displaystyle{ e_j }[/math] appears in [math]\displaystyle{ G }[/math]. Let [math]\displaystyle{ I_j }[/math] be the random variable that indicates whether [math]\displaystyle{ e_j\in G }[/math]. We are interested in some graph-theoretical parameter, say chromatic number, of the random graph [math]\displaystyle{ G }[/math]. Let [math]\displaystyle{ \chi(G) }[/math] be the chromatic number of [math]\displaystyle{ G }[/math]. Let [math]\displaystyle{ X_0=\mathbf{E}[\chi(G)] }[/math], and for each [math]\displaystyle{ i\ge 1 }[/math], let [math]\displaystyle{ X_i=\mathbf{E}[\chi(G)\mid I_1,\ldots,I_{i}] }[/math], namely, the expected chromatic number of the random graph after fixing the first [math]\displaystyle{ i }[/math] edges. This process is called edges exposure of a random graph, as we "exposing" the edges one by one in a random graph.

It is nontrivial to formally verify that the edge exposure sequence for a random graph is a martingale. However, we will later see that this construction can be put into a more general context.

Generalization

The martingale can be generalized to be with respect to another sequence of random variables.

Definition (martingale, general version)

A sequence of random variables [math]\displaystyle{ Y_0,Y_1,\ldots }[/math] is a martingale with respect to the sequence [math]\displaystyle{ X_0,X_1,\ldots }[/math] if, for all [math]\displaystyle{ i\ge 0 }[/math], the following conditions hold: [math]\displaystyle{ Y_i }[/math] is a function of [math]\displaystyle{ X_0,X_1,\ldots,X_i }[/math]; [math]\displaystyle{ \begin{align} \mathbf{E}[Y_{i+1}\mid X_0,\ldots,X_{i}]=Y_{i}. \end{align} }[/math]

Therefore, a sequence [math]\displaystyle{ X_0,X_1,\ldots }[/math] is a martingale if it is a martingale with respect to itself.

The purpose of this generalization is that we are usually more interested in a function of a sequence of random variables, rather than the sequence itself.

The following definition describes a very general approach for constructing an important type of martingales.

Definition (The Doob sequence)

The Doob sequence of a function [math]\displaystyle{ f }[/math] with respect to a sequence of random variables [math]\displaystyle{ X_1,\ldots,X_n }[/math] is defined by [math]\displaystyle{ Y_i=\mathbf{E}[f(X_1,\ldots,X_n)\mid X_1,\ldots,X_{i}], \quad 0\le i\le n. }[/math] In particular, [math]\displaystyle{ Y_0=\mathbf{E}[f(X_1,\ldots,X_n)] }[/math] and [math]\displaystyle{ Y_n=f(X_1,\ldots,X_n) }[/math].

The Doob sequence of a function defines a martingale. That is

[math]\displaystyle{ \mathbf{E}[Y_i\mid X_1,\ldots,X_{i-1}]=Y_{i-1}, }[/math]

for any [math]\displaystyle{ 0\le i\le n }[/math].

To prove this claim, we recall the definition that [math]\displaystyle{ Y_i=\mathbf{E}[f(X_1,\ldots,X_n)\mid X_1,\ldots,X_{i}] }[/math], thus,

[math]\displaystyle{ \begin{align} \mathbf{E}[Y_i\mid X_1,\ldots,X_{i-1}] &=\mathbf{E}[\mathbf{E}[f(X_1,\ldots,X_n)\mid X_1,\ldots,X_{i}]\mid X_1,\ldots,X_{i-1}]\\ &=\mathbf{E}[f(X_1,\ldots,X_n)\mid X_1,\ldots,X_{i-1}]\\ &=Y_{i-1}, \end{align} }[/math]

where the second equation is due to the fundamental fact about conditional expectation introduced in the first section.

The Doob martingale describes a very natural procedure to determine a function value of a sequence of random variables. Suppose that we want to predict the value of a function [math]\displaystyle{ f(X_1,\ldots,X_n) }[/math] of random variables [math]\displaystyle{ X_1,\ldots,X_n }[/math]. The Doob sequence [math]\displaystyle{ Y_0,Y_1,\ldots,Y_n }[/math] represents a sequence of refined estimates of the value of [math]\displaystyle{ f(X_1,\ldots,X_n) }[/math], gradually using more information on the values of the random variables [math]\displaystyle{ X_1,\ldots,X_n }[/math]. The first element [math]\displaystyle{ Y_0 }[/math] is just the expectation of [math]\displaystyle{ f(X_1,\ldots,X_n) }[/math]. Element [math]\displaystyle{ Y_i }[/math] is the expected value of [math]\displaystyle{ f(X_1,\ldots,X_n) }[/math] when the values of [math]\displaystyle{ X_1,\ldots,X_{i} }[/math] are known, and [math]\displaystyle{ Y_n=f(X_1,\ldots,X_n) }[/math] when [math]\displaystyle{ f(X_1,\ldots,X_n) }[/math] is fully determined by [math]\displaystyle{ X_1,\ldots,X_n }[/math].

The following two Doob martingales arise in evaluating the parameters of random graphs.

edge exposure martingale

Let [math]\displaystyle{ G }[/math] be a random graph on [math]\displaystyle{ n }[/math] vertices. Let [math]\displaystyle{ f }[/math] be a real-valued function of graphs, such as, chromatic number, number of triangles, the size of the largest clique or independent set, etc. Denote that [math]\displaystyle{ m={n\choose 2} }[/math]. Fix an arbitrary numbering of potential edges between the [math]\displaystyle{ n }[/math] vertices, and denote the edges as [math]\displaystyle{ e_1,\ldots,e_m }[/math]. Let

[math]\displaystyle{ X_i=\begin{cases} 1& \mbox{if }e_i\in G,\\ 0& \mbox{otherwise}. \end{cases} }[/math]

Let [math]\displaystyle{ Y_0=\mathbf{E}[f(G)] }[/math] and for [math]\displaystyle{ i=1,\ldots,m }[/math], let [math]\displaystyle{ Y_i=\mathbf{E}[f(G)\mid X_1,\ldots,X_i] }[/math].

The sequence [math]\displaystyle{ Y_0,Y_1,\ldots,Y_n }[/math] gives a Doob martingale that is commonly called the edge exposure martingale.

vertex exposure martingale

Instead of revealing edges one at a time, we could reveal the set of edges connected to a given vertex, one vertex at a time. Suppose that the vertex set is [math]\displaystyle{ [n] }[/math]. Let [math]\displaystyle{ X_i }[/math] be the subgraph of [math]\displaystyle{ G }[/math] induced by the vertex set [math]\displaystyle{ [i] }[/math], i.e. the first [math]\displaystyle{ i }[/math] vertices.

Let [math]\displaystyle{ Y_0=\mathbf{E}[f(G)] }[/math] and for [math]\displaystyle{ i=1,\ldots,n }[/math], let [math]\displaystyle{ Y_i=\mathbf{E}[f(G)\mid X_1,\ldots,X_i] }[/math].

The sequence [math]\displaystyle{ Y_0,Y_1,\ldots,Y_n }[/math] gives a Doob martingale that is commonly called the vertex exposure martingale.