Code: E_EBE3_MTAF
Time: 12:00 am
Duration: 2 34 hours
Graphical calculator
allowed: No
Number of Questions: 6
Remarks Hand in the lined paper, each paper with your name and student number
You may keep the questions
Grades: The grades will be made public on: January 04; 2016
Question 1
a) For any constants a and b the following system of equations in the unknowns x; y; z
is given:
8
< x 2y + az = 1
2x + y 2az = 5
:
2x y + (3a + 3) z = b
Find all values of a and b for which this system has exactly one solution, has no
solution or has innitely many solutions.
Note: you do not need to solve the system.
b) If possible, nd the solution of the following system:
8
< x y + z = 1
2x 2y + 2z = 2
:
y 2z = 2
Question 2
a) The function f is a function of the variables x; y and z and is given by
f (x; y; z) = x2 (y + z) :
We are interested in values of this function under the constraint x2 + y 2 + z 2 = 6:
Find the nature of the points (x; y; z) = (2; 1; 1) and (x; y; z) = (2; 1; 1) and
(x; y; z) = (2; 1; 1) (minimum, maximum, saddle point, or other).
Note: If you cant nish certain computations in time, at least make clear what ex-
actly you want to compute and how the rules are you want to use for your conclusion;
by doing so the penalty for not nishing may be relatively minor.
b) The function f is dened by
f (x; y; z) = x4 4xy + 2y 2 + 16z 2 + 50:
Find all minima, maxima and saddle points of the function f: Include the value of
the function for each of these points!
You may use the following results (you do not need to check them):
@2f 2 2 @2f @2f @2f
@x2
= 12x2 ; @@yf2 = 4; @@zf2 = 32; @x@y = 4; @x@z = 0; @y@z =0
2
Question 3
a) Given is the following function
f (x; y; u) = xey + u = e + 2
g (x; y; u) = x + eux y 2 = e2
dy
Find the derivative dx
and nd and nd the value of this derivative for the point
(x; y; u) = (1; 1; 2) :
Question 4
a) Find
Z !
x2 p
d
e3t 1 + e3t dt :
dx 0
b) If possible, compute
Z 1
t e t dt:
0
3
Question 5
For a closed economy the following model is given:
Yt = Ct + It
1
Ct = Yt 1 + (4t + 6)
4
3 1
It = Yt 1 Yt 2
4 3
where Yt is national income in period t, It is total investment in period t; and Ct is
total consumption in period t, including an autonomous trend in the equation for the
consumption.
From these equations you can prove (but you do not need to do that!)
1
Yt Yt 1 + Yt 2 = 4t + 6
4
Find the general solution of this dierence equation. Describe the behaviour of the solution
for large t:
Question 6
a) The density function of the random variables X and Y is given by:
1
2
x + 14 y 0 x 1; 0 y 2
f (x; y) =
0 elsewhere.
4
Methoden en Technieken van AE/FE October 20,2014
@ @
(x0 b + c) = (b0 x + c) = b
@x @x
@ 0 @2
x Ax = (A + A0 ) x = 2Ax x0 Ax = 2A
@x @x@x0
Inverse functions:
1
g (f (x)) = x ) g 0 (f (x)) =
f0 (x)
Limits:
n
1 1
lim 1+ = lim (1 + x) x = e
n!1 n x!0
a n
lim 1+ = ea
n!1 n
xp
lim =0 if a > 1 and p > 0
x!1 ax
X1
N
kN 1
ak n = a (k 6= 1)
n=0
k 1
Taylor:
5
Integration
Z b(t)
f (x) dx = F (b (t)) F (a (t))
a(t)
Z b(t)
d
f (x) dx = f (b (t)) b0 (t) f (a (t)) a0 (t)
dt a(t)
Z Z
0
f (x) g (x) dx = f (x) g (x) f 0 (x) g (x) dx
Z
f (g (x)) g 0 (x) dx = F (g (x)) + C
Tangent plane:
@f (x0 ; y0 ) @f (x0 ; y0 )
f (x; y) t f (x0 ; y0 ) + (x x0 ) + (y y0 )
@x @y
Optimization:
Let x0 be a stationary point of a function f (x), then
Constrained optimization:
6
Z 1
Eh (X) = h (x) f (x) dx:
1
2
var (X) = E (X X) = EX 2 2
X = EX 2 (EX)2
E (X + Y) = E (X) + E (Y)
E (AXB) = A E (X) B
E (cX) = E (Xc) = c E (X) = E (X) c
0
var (X) = E (X X ) (X X) = X
var (AX) = A var (X) A0 = A X A0
(AB)0 = B0 A0
(AB) 1 = B 1A 1
Cramer
b1 a12 a13 a11 b1 a13 a11 a12 b1
b2 a22 a23 a21 b2 a23 a21 a22 b2
b3 a32 a33 a31 b3 a33 a31 a32 b3
x1 = ; x2 = ; x3 =
jAj jAj jAj
7
Dierence equations:
xt+1 axt = 0
xt = Aat
xt = Amt + Btmt
p t a 1 a
xt = b (A cos ( t) + B sin ( t)) cos = p or = cos p
2 b 2 b
Some special function values on [0; ]:
1 1 1 1 2 3 5
x 0 6p 4p 3 2 3 4p 6p
1 1 1 1 1 1
cos x 1 2
3 2p
2 p2
0 p2 2p
2 2
3 1
1 1 1 1 1 1
sin x 0 2 2
2 2
3 1 2
3 2
2 2
0
f=
2
Cycle period T
1 2
T = =
f
(h)
xt = ut + ut
abc formula:
p
2 b b2 4ac
ax + bx + c = 0 ) x1;2 =
2a
8
Question 1- M&T AE/FE December 07, 2015 - solutions
1a)
8
< x 2y + az = 1
2x + y 2az = 5
:
2x y + (3a + 3) z = b
or
0 10 1 0 1
1 2 a x 1
@ 2 1 2a A @ y A = @ 5 A
2 1 3a + 3 z b
0 1 0 1
1 2 a j 1 1 2 a j 1
@ 2 ! !
1 2a j 5 A @ 0 -3 0 j 3 A
(r2 + 2r1 ) (r3 + r2 )
2 1 3a + 3 j b 0 3 a+3 j b 2
(r3 2r1 )
0 1
1 2 a j 1
@ 0 3 0 j 3 A
0 0 a+3 j b 5
Unique solution if a + 3 6= 0 ) a 6= 3
No solution if a + 3 = 0 and b 6= 5
Innitely many solutions if a = 3 and b = 5:
Alternatively:
1 2 a 1 2 a
2 1 2a = 0 3 0 = 3a 9
2 1 3a + 3 0 3 a+3
So a unique solution if a 6= 3: For a = 3 you need to use Gaussian elimination as
above.
1b)
8
< x y + z = 1
2x 2y + 2z = 2
:
y 2z = 2
0 1 0 1
1 1 1 j 1 1 1 1 j 1
@ 2 2 2 j 2 A ! @ 0 0 0 j 0 A !
0 1 2 j 2 (r2 2r1 ) 0 1 2 j 2 (r2 r3 )
3 variables, 2 equations ! 1 degree of freedom (innitely many solutions)
Let z = t; then y = 2 + 2t and x = 1 t + (2 + 2t) = 3 + t
0 1 0 1 0 1
x 3 1
@ y A = @ 2 A + t@ 2 A
z 0 1
9
Question 2- M&T AE/FE December 07, 2015 - solutions
a)Lagrange function:
h (x; y; z; ) = x2 (y + z) x2 + y 2 + z 2 6
Stationary points (rst order conditions):
@h
= 2xy + 2xz 2x = 0
@x
@h
= 2y + x2 = 0
@y
@h
= 2z + x2 = 0
@z
@h
= x2 + y 2 + z 2 6 = 0
@
By substitution one can verify that the following are solutions (we include ):
(x; y; z; ) = (2; 1; 1; 2) and (x; y; z; ) = (2; 1; 1; 2) :
0 4 2 2
0 4 2
4 0 4 4
B2 = 4 0 4 = 128 > 0 B3 = = 768 < 0
2 4 4 0
2 4 4
2 4 0 4
B2 < 0; B3 > 0 ) maximum point
f (2; 1; 1) =?
0 1
0 4 2 2
B 4 0 4 4 C
Bordered Hessian for (x; y; z; ) = (2; 1; 1; 2) : B C
@ 2 4 4 0 A
2 4 0 4
0 4 2 2
0 4 2
4 0 4 4
B2 = 4 0 4 = 128 > 0 B3 = = 768 < 0
2 4 4 0
2 4 4
2 4 0 4
10
B2 < 0; B3 < 0 ) minimum point
f (2; 1; 1) =?
The point (x; y; z) = (2; 1; 1) is not a stationary point.
b)
(x; y; z) = (0; 0; 0)
0 4
D1 = 0 =0>0 D2 = = 16 < 0
4 4
0 4 0
D3 = 4 4 0 = 512 (not needed because of D2 )
0 0 32
Sadlepoint because D2 < 0
f (0; 0; 0) = 50
(x; y; z) = (1; 1; 0) and also for (x; y; z) = ( 1; 1; 0)
12 4
D1 = 12 = 12 > 0 D2 = = 32 > 0
4 4
12 4 0
D3 = 4 4 0 = 1024
0 0 32
Minimum because D1 > 0; D2 > 0; D3 > 0
f (1; 1; 0) = f ( 1; 1; 0) = 49
11
Question 3- M&T AE/FE December 07, 2015 - solutions
a)
h (x; y; t) = h = xey + ln x + y 2 + xt3 = 9
y = y (x; t) around the point (x; y; t) = (1; 0; 2) :
Preferably make a scheme where we denote x = x e in the bottom row,
or directly use total dierentiation to xof h (x; y (x; t) ; t) = 9
@h @h @h @y 1 @y
= + = 0 ) ey + + t3 + (xey + 2y) =0
@ex @x @y @x x @x
y 1 3
@y e + x +t
=
@x (xey + 2y)
@y e0 + 11 + 23 10
= 0
=
@x (1;0;2) 1 e +2 0 1
b) Note: 3 variables and two equations, so we have one degree of freedom. We consider
u = u (x) and y = y (x) as dierentiable functions of x around the point P =
(x; y; u) = (1; 1; 2) :
f (x; y; u) = xey + u = e + 2
g (x; y; u) = x + eux y 2 = e2
dy
Find the derivatives dx
:
Use the schemesor dierentiate everything to x:
@f @f dy @f du
+ + = 0
@x @y dx @u dx
@g @g dy @g du
+ + = 0
@x @y dx @u dx
dy du dy du
ey + xey +1 = 0 ) xey + = ey
dx dx dx dx
dy du dy du
1 + ueux 2y + xeux = 0 ) 2y + xeux = 1 ueux
dx dx dx dx
dy
Solve dx from these equations use Cramer s rule.
ey 1
ux
dy 1 ue xeux ueux xey eux + 1
= =
dx xey 1 2y + x2 ey eux
2y xeux
dy 2e2 e3 + 1
=
dx (x;y;u)=(1;1;2) 2 + e3
12
Question 4 - M&T AE/FE December 07, 2015 - solutions
a) Find
Z !
x2 p
d
e3t 1 + e3t dt :
dx 0
p R R
Let F (t) = e3t 1 + e3t dt = f (t) dt; then
Z x2 p !
d d 2
p
e3t 1 + e3t dt = F x2 F (0) = f x2 2x 0 = e3x 1 + e3x2 2x
dx 0 dx
R1 t
b) Compute 0
te dt:
Z Z
t t t t t
te dt = te e dt = te e +C
Z 1
t t t 1
te dt = te e 0
=1
0
13
Question 5 - M&T AE/FE December 07, 2015 - solutions
Dierence equation:
1
Yt Yt 1 + Yt 2 = 4t + 6
4
Characteristic equation
1 1
m2 m+ = 0 ) m1;2 =
4 2
1 t 1 t
Independent solutions of the homogeneous equation are y1 (t) = 2
and y2 (t) = t 2
;
so general homogeneous solution
t t
(h) 1 1
Yt =A + Bt
2 2
Particular solution:
gt = k1 t + k0
gt 1 = k1 t k1 + k0
gt 2 = k1 t 2k1 + k0
1
k1 t + k0 (k1 t k1 + k 0 ) + (k1 t 2k1 + k0 ) =
4
1 1 1
= k1 t + k0 + k1 = 4t + 6
4 4 2
1
k1 = 4 ) k1 = 16
4
1 1
k0 + k1 = 6 ) k0 = 8
4 2
so
Yt = 16t 8
General solution
t t
(g) (h) 1 1
Yt = Yt + Yt = A + Bt + 16t 8
2 2
14
Question 6 - M&T AE/FE December 07, 2015 - solutions
1
2
x + 14 y 0 x 1; 0 y 2
f (x; y) =
0 elsewhere.
a) Integration area: (the area below the line y = x2 )
2.2
2
1.8
1.6
1.4
1.2
y
1
0.8
0.6
0.4
0.2
0
0.2 0.4 x 0.6 0.8 1
Let p = P (Y X 2) :
Z Z ! Z !
1 x2 1 x2
1 1 1 1
p = x+ y dy dx = xy + y 2 dx
0 0 2 4 0 2 8 0
Z 1 1
1 3 1 4 1 1 3
= x + x dx = x4 + x5 =
0 2 8 8 40 0 20
b)
cov (B1 ; B3 ) 30
corr (B1 ; B3 ) = p =p 0:530
var (B1 ) var (B3 ) 40 80
c)
0 10 1
100 10 10 6 0
B 10 40 20 C B
30 C B 2 C
var (B2 + B3 2B1 ) = 0 2 1 1 B C
@ 10 20 60 10 A @ 1 A
6 30 10 80 1
0 1
24
B 70 C
= 0 2 1 1 B C = 240:
@ 90 A
10
15