Past exam of the mathematics course of the University of Cambridge 2007 iii Paper 35 5 Solution Created 2026-10-03 Updated 2026-10-14
For any , implies . Hence , and taking expected values gives the Chernoff boundAt this is the trivial bound one; an infinite exponential moment merely gives a noninformative bound. For positive at which all required moment-generating functions are finite, define . Independence of the source random variables impliesApplying the Chernoff bound to givesConsequentlyHere and, for a nontrivial target, .
The effective bandwidth is the capacity charge of one source for this exponential-moment tail criterion. Independent sources contribute additively. It incorporates variability as well as mean demand: the Jensen inequality gives , and, under exponential integrability near zero, as . For bounded traffic its large- limit is the essential peak, as described by the mean and peak limits of effective bandwidth. Thus larger gives more weight to rare high demands. This is a one-window demand bound; a queue's overflow probability over many windows requires additional temporal modeling, not just this single-window calculation.
For the normal distribution , completing the square in its density gives the moment-generating functionWrite and for the aggregate mean and variance. The exponential-moment capacity condition becomesFor , the last two terms are minimized at , where their sum is . Therefore Gaussian effective bandwidth yields the sufficient conditionEquivalently, optimizing the exponential bound directly when gives ; when the best nonnegative- bound is one. The square-root condition is sufficient rather than necessary because an exponential bound does not equal the exact normal tail.
For the exact condition, independence and multiplication of the normal moment-generating functions show that . For , let be the standard normal distribution function. The normal law is continuous, soSince is continuous and strictly increasing from zero to one, the exact Gaussian overflow constraint isThe constant depends only on the desired tail exponent , not on the source counts. It is positive when , zero when , and negative when . For example, at the exact normal quantile is about , whereas the Chernoff bound uses ; the latter reserves more capacity.
Finally, the positive-variance hypothesis must not be hidden. If , then almost surely, and the zero-variance boundary of an overflow constraint gives . For , the exact condition is then . In particular does not meet the target even though substituting into the printed non-strict square-root inequalities would allow it. The displayed normal-quantile equivalence applies to nondegenerate Gaussian traffic; the deterministic case requires this strict boundary convention.