Leong YK & Wong WY 1

UECM2233 January 2019

Statistical Decisions
Tutorial 3 Solution

1. Consider the a no-data decision problem with the following loss matrix:

a1 a2 a3 a4 a5
1 3 5 6 4 4
2 4 1 3 6 4

(a) Determine the minimax pure action.

(b) Determine the minimax mixed action.
(c) Construct the regret table.
(d) Determine the minimax (pure and mixed) action using regret.
(e) Determine a mixed action with losses equal to that of action a5 .

Solution
(a) a1 or a5 ( preferably a1 why ? )
(b) The minimax action ~p  p  a1  (1  p)  a2  ( why? )
with p  4 / 5 .
(c)
Regret a1 a2 a3 a4 a5
1 0 2 3 1 1
2 3 0 2 5 3

(d) regret minimax pure action : a 2

regret minimax mixed action : q  a1  (1  q)  a2 
with q  2 / 5
(e) The answer is not unique. One answer is given by
4 2 1
 a1    a3    a4 
7 7 7
Leong YK & Wong WY 2

2. Determine the minimax loss and minimax regret pure actions for the decision
problem with losses as follows:

a1 a2 a3 a4
1 1 2 0 1
2 2 2 3 0
3 4 3 1 2

Solution
Pure minimax loss action : a 4
Regret Table :

Regret a1 a2 a3 a4
1 0 3 1 2
2 4 0 5 2
3 3 2 0 1
Pure minimax regret action : a 4

3. A lot of five items is to be accepted ( a0 ) or rejected ( a1 ). The state of

nature is characterized by the number  of defective items among the five.
Assume losses equal to twice the number of defectives in lots that are
passed, and equal to the number of good items in lots that are rejected.
Determined the minimax mixed action.
Solution

 0 1 2 3 4 5
a0 0 2 4 6 8 10
a1 5 4 3 2 1 0

Let ~
p  p  a0  (1  p)  a1  .
Then L(0, ~ p )  5(1  p) , L(1, ~
p )  2 p  4(1  p) , L(2, p)  4 p  3(1  p)
L(3, ~
p )  6 p  2(1  p) , L(4, ~p )  8 p  (1  p) , L(5, ~
p )  10 p
1 2
Answer : mixed minimax action :  a 0    a 2 
3 3
Leong YK & Wong WY 3

4. Consider a decision problem with two actions and five states of nature. The
loss table is given as follows:

1 2 3 4 5
a1 5 3 2 0 4
a2 1 0 4 3 2

(a) Determine the losses of the mixed action

~
p  p  a1  (1  p)  a2  .
(b) For each choice of p , what is the maximum expected loss of ~
p ?
(c) Determine the value of p so that the maximum expected loss of ~p
is minimum.
(d) What is the minimum value of the maximum expected loss?

Solution
(a) L(1, ~ p )  3 p , L(3 , ~
p )  5 p  (1  p) , L( 2 , ~ p )  2 p  4(1  p)
p )  3(1  p) , L(5 , ~
L( 4 , ~ p )  4 p  2(1  p)
4  2 p , 0  p  1 / 2
(b) max L( , ~ p)  
 1  4 p , 1 / 2  p  1
(c) p  1 / 2
(d) 3
5. A lot of six items is to be accepted ( a1 ) or rejected ( a2 ). The state of nature is
characterized by the number  of defective items among the six. Assuming
losses equal to the number of good items in lots that are rejected, and equal
twice the number of defectives in the lots that are accepted. Determined the
minimax pure and mixed actions.
Solution
It is clear that action a2 ( rejection) is the minimax pure action.
Let ~ p  p  a1  (1  p)  a2  be a mixed action. By writing out the
expected losses L( , ~ p ) under various states of nature, it is found that the
minimax mixed action is
~ 1 2
p*   a1    a2 
3 3
Leong YK & Wong WY 4

6. Consider a decision problem in which   {1 ,  2 ,  } , A  { a0 , a1 ,  }

and the loss function is given by
L(i , a0 )  1 / 2 for all i and for j  1,
0 , i  j
L(i , a j )   .
1 , i  j
(a) Show that a0 is the only admissible action.
(b) Show that a0 is not Bayes against any prior distribution of  .
(c) If
 : P(  i )  pi  0 for all i
is a prior distribution of  , can you find an action in A that is Bayes
against  ? Explain.

Solution
(a) For any integer k , 1 / 2  L( n , a0 ) < L( n , ak )  1 if n  k
Thus no action a k ( k  1 ) dominates a0
(b) For any prior probability function of 
 (i )  wi , wi  0 , i  1, 2 ,  ; i wi  1
n
Choose n large enough so that  wi  1 / 2 . Then
i 1
1
L( , an )  L( , a0 )
2
(c) No! For any prior distribution  , L( , am )  L( , an ) for m  n .

7. Suppose that   { 1 , 2 , 3} and A  {a1, , an }. Show that for any

for any prior distribution  of the state of nature, the Bayes action can be found
in A.
Note : The Bayes loss of the mixed action ~ p  in1 pi  ai  is defined as
L( , ~
p )  in1 pi L( , ai ) .
Leong YK & Wong WY 5
Solution
Let a * be the Bayes action. Then for any mixed action ~
p  in1 pi  ai ) ,
3 n n  3 
L( , p )    pi L( j , ai ) ( j )   pi  L( j , ai ) ( j ) 
~ 
j 1i 1

i 1  j 1


n
  pi L( , a*)  L( , a*)
i 1

8. Consider a decision problem in which the state space   {1, 2 , 3 , 4 }, the

action space A  {a1, a2 , a3}, and the losses is specified by following table
(T1)

1 2 3 4
a1 0 1 3 1
a2 2 0 4 2
a3 3 2 0 0

(a) What is the minimax pure action?

(b) Suppose that the prior probability function of  is such that
P(  1 )  1 / 8 , P(  2 )  3 / 8 , P(  3 )  P(  4 )  2 / 8 .
Show that action a3 is Bayes against the prior distribution.
(c) Suppose that the loss table (T1)is replaced by (T2)

1 2 3 4
a1 4 0 0 1
a2 6 1 1 2
a3 7 1 3 0

Show that against any prior distribution of  , the Bayes action when the
loss table is T1 are the same as the Bayes action when the loss table is T2.
Leong YK & Wong WY 6

(a) Actions a1 and a3 are minimax pure actions.

(b) The Bayes losses of the pure actions are:
3 2  (3  1) 11
L( , a1 )  1   
8 8 8
2 2  ( 4  2) 14
L( , a2 )    .
8 8 8
1 3 9
L( , a3 )  3   2  
8 8 8
(c) By Calculating the Bayes losses of the actions with respect to loss table T2,
one can verify that action a3 is Bayes against the prior distribution.

9. Consider the no-data decision problem with the following loss table

a1 a2 a3 a4
1 2 5 3 1
2 3 1 2 5

Suppose the prior probability function of  is given by

 : P(  1 )  w , P(  2 )  1  w ; 0  w  1.
(a) Determine the Bayes loss action.
(b) Determine the Bayes regret action.
(c) Suppose the loss table is replaced by the following los table

a1 a2 a3 a4
1 5 8 6 4
2 2 0 1 4

Show that the Bayes loss action and the Bayes regret action remain
unchanged as found in part (a) or part (b). Can you explain why this
can happen ?
Leong YK & Wong WY 7

Solution
(a) The Bayes losses of the actions are
L( , a1 )  2w  3(1  w) , L( , a2 )  5w  (1  w) ,
L( , a3 )  3w  2(1  w) , L( , a4 )  w  5(1  w)
Thus the Bayes actions against the prior distribution is
a 2 , 0  w  1/ 3
a , 1/ 3  w  1/ 2

a   3
 a1 , 1/ 2  w  2 / 3
a4 , 2/3  w 1
(b) The regret table is given by

a1 a2 a3 a4
1 1 4 2 0
2 2 0 1 4

The Bayes regret action would be the same of a given in (a)

(c) One can verify that the Bayes (loss or regret) action remains unchanged.