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All Journal Indonesian Journal of Mathematics and Applications Mikailalsys Journal of Mathematics and Statistics
Habibi, Reza
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Computer Science & IT Education Engineering Mathematics Mechanical Engineering Other

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Conditional Beta Approximation: Two Applications Habibi, Reza
Indonesian Journal of Mathematics and Applications Vol. 2 No. 1 (2024): Indonesian Journal of Mathematics and Applications (IJMA)
Publisher : Universitas Brawijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.ijma.2024.002.01.2

Abstract

Suppose that X,Y are two independent positive continuous random variables. Let P=X/(X+Y) and Z=X+Y. If X, Y have gamma distributions with the same scale parameter, then P distribution will be beta and P, Z are independent.  In the case that the distributions of these two variables are not gamma, the P distribution is well approximated by the beta distribution. However, P,Z are dependent. According to matching moment method, it is necessary to compute the moments of conditional distribution for beta fitting. In this paper, some new methods for computing moments of conditional distribution of P given Z are proposed. First of all, it is suggested to consider the regression method. Then Monte Carlo simulation is advised. The Bayesian posterior distribution of P is suggested. Applications of differential equations are also reviewed. These results are applied in two applications namely variance change point detection and winning percentage of gambling game are proposed. The probability of change in variance in a sequence of variables, as a leading indicator of possible change, is proposed. Similarly, the probability of winning in a sequential gambling framework is proposed. The optimal time to exit of gambling game is proposed. A game theoretic approach to problem of optimal exit time is proposed. In all cases, beta approximations are proposed. Finally, a conclusion section is also given.
Conditional Beta Approximation: Two Applications Habibi, Reza
Indonesian Journal of Mathematics and Applications Vol. 2 No. 1 (2024): Indonesian Journal of Mathematics and Applications
Publisher : Universitas Brawijaya

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.21776/ub.ijma.2024.002.01.2

Abstract

Suppose that X,Y are two independent positive continuous random variables. Let P=X/(X+Y) and Z=X+Y. If X, Y have gamma distributions with the same scale parameter, then P distribution will be beta and P, Z are independent.  In the case that the distributions of these two variables are not gamma, the P distribution is well approximated by the beta distribution. However, P,Z are dependent. According to matching moment method, it is necessary to compute the moments of conditional distribution for beta fitting. In this paper, some new methods for computing moments of conditional distribution of P given Z are proposed. First of all, it is suggested to consider the regression method. Then Monte Carlo simulation is advised. The Bayesian posterior distribution of P is suggested. Applications of differential equations are also reviewed. These results are applied in two applications namely variance change point detection and winning percentage of gambling game are proposed. The probability of change in variance in a sequence of variables, as a leading indicator of possible change, is proposed. Similarly, the probability of winning in a sequential gambling framework is proposed. The optimal time to exit of gambling game is proposed. A game theoretic approach to problem of optimal exit time is proposed. In all cases, beta approximations are proposed. Finally, a conclusion section is also given.
A Short Note on: Optimal Control in Matching Pennies Game Habibi, Reza
Mikailalsys Journal of Mathematics and Statistics Vol 3 No 3 (2025): Mikailalsys Journal of Mathematics and Statistics
Publisher : Darul Yasin Al Sys

Show Abstract | Download Original | Original Source | Check in Google Scholar | DOI: 10.58578/mjms.v3i3.7336

Abstract

This short note explores the application of optimal control theory in identifying mixed equilibrium strategies within the context of the Matching Pennies game. The study emphasizes the role of gradient descent as a fundamental mechanism in the players' learning dynamics. By formulating the game as an optimal control problem, the approach enables systematic analysis of strategic adaptation over time. In addition to the theoretical framework, simulation results are presented to illustrate and validate the effectiveness of the method in converging toward mixed equilibrium. The findings highlight the potential of control-theoretic techniques in advancing game-theoretic learning models.
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