The Information Structuralist

Blackwell’s proof of Wald’s identity

Posted in Mathematics, Probability by mraginsky on April 29, 2011

Every once in a while you come across a mathematical argument of such incredible beauty that you feel compelled to tell the whole world about it. This post is about one such gem: David Blackwell’s 1946 proof of Wald’s identity on the expected value of a randomly stopped random walk. In fact, even forty years after the publication of that paper, in a conversation with Morris DeGroot, Blackwell said: “That’s a paper I’m still very proud of. It just gives me pleasant feelings every time I think about it.”

Let {X^\infty = (X_1,X_2,\ldots)} be a sequence of independent real-valued random variables with common mean {\mu}. Let {\tau} be a stopping time, i.e., a random variable taking values in {{\mathbb N}}, such that the occurrence or nonoccurrence of the event {\{\tau=n\}} is determined only by {X^n := (X_1,\ldots,X_n)}. We say that Wald’s identity holds for the pair {(X^\infty,\tau)} if

\displaystyle  \mathop{\mathbb E}\left[ X_1 + \ldots + X_\tau\right] = \mu \cdot \mathop{\mathbb E} \tau.

The first result of this type has appeared in the seminal paper of Abraham Wald on sequential hypothesis testing (hence the name), and it can be stated as follows:

Theorem 1 Assume that {X_1,X_2,\ldots} are i.i.d., {\mathop{\mathbb E} |X_i| = \mathop{\mathbb E} |X_1| < \infty}, and {\mathop{\mathbb E} \tau < \infty}. Then Wald’s identity holds for the pair {(X^\infty,\tau)}.

The standard proof of this theorem uses martingale arguments. In 1946, David Blackwell found a beautiful proof that uses only Kolmogorov‘s Strong Law of Large Numbers (SLLN) and its converse. Since the latter is, perhaps, less well known than the former, I will just give both for convenience (see, e.g., Chapter 12 in Probability With Martingales by David Williams):

  1. SLLN: Let {U_1,U_2,\ldots} be i.i.d. with {\mathop{\mathbb E} |U_i| = \mathop{\mathbb E} |U_1| < \infty} for all {i}. Then

    \displaystyle  	\lim_{n \rightarrow \infty} \frac{U_1 + \ldots + U_n}{n} = \mathop{\mathbb E} U_1 \qquad \text{a.s.}

  2. Converse to SLLN: If {U_1,U_2,\ldots} are i.i.d. with {\mathop{\mathbb E} |U_i| = \mathop{\mathbb E} |U_1| = \infty}, then

    \displaystyle  	\lim_{n \rightarrow \infty} \frac{U_1 + \ldots + U_n}{n} \text{ does not exist a.s.}

Blackwell’s proof

Let us define recursively a sequence of random variables {\tau_1,\tau_2,\ldots} as follows. Let {\tau_1 = \tau}. Then, assuming {\tau_1,\ldots,\tau_k} have been defined, let

\displaystyle  \tau_{k+1} = \tau(X_{\tau_1+\ldots+\tau_k+1}, X_{\tau_1 + \ldots + \tau_k + 2},\ldots).

In other words, {\tau_1} is the stopping time determined by the original full sequence {X^\infty}, {\tau_2} is the stopping time determined by the remaining data after the first stopping time, i.e., by {X^\infty_{\tau_1+1}}, {\tau_3} is the stopping time determined by the data remaining after the second stopping time, i.e., by {X^\infty_{\tau_1+\tau_2 + 1}}, etc. We now claim that {\tau^\infty = (\tau_1,\tau_2,\ldots)} is an i.i.d. sequence. To see this, let us compute the conditional probability that {\tau_{k+1} = n} given {\tau^k = (\tau_1,\ldots,\tau_k)}. Given positive integers {j_1,\ldots,j_k}, define the event

\displaystyle  S = \left\{ \tau_1 = j_1,\ldots,\tau_k = j_k \right\}

as well as the event

\displaystyle  R = \left\{ \tau(X^\infty_{j_1+\ldots +j_k +1}) = n \right\}.

By construction, the occurrence or nonoccurrence of {S} is determined only by {X^{j_1 + \ldots + j_k}}, so {S} is independent of {R}. Therefore,

\displaystyle  \begin{array}{rcl}  	\Pr\Big(\tau_{k+1}= n |\tau_1 = j_1,\ldots,\tau_k = j_k\Big) &=& \frac{\Pr\left(S \cap \left\{ \tau_{k+1} = n\right\}\right)}{\Pr(S)} \\ 	&=& \frac{\Pr(S \cap R)}{\Pr(S)} \\ 	&=& \Pr(R). \end{array}

Moreover, since the {X_i}‘s are i.i.d., {\Pr(R) = \Pr(\tau_1 = n) =: \pi_n}. Thus, we have shown that, for every {k = 1,2,\ldots} and every {n},

\displaystyle  \Pr(\tau_{k+1} = n |\tau_1,\ldots,\tau_k) = \pi_n,

from which we conclude that {\tau_1,\tau_2,\ldots} is an i.i.d. sequence.

Now let us define, for each {k}, the random variable

\displaystyle  S_k = X_{\tau_1 + \ldots + \tau_{k-1} + 1} + \ldots + X_{\tau_1 + \ldots + \tau_k}

(where {S_1 = X_1 + \ldots + X_{\tau_1} \equiv X_1 + \ldots + X_\tau}). Exactly the same argument as above can be used to show that {S_1,S_2,\ldots} are i.i.d.. Now, noting that

\displaystyle  S_1 + \ldots + S_k = X_1 + X_2 + \ldots + X_{\tau_1 + \ldots + \tau_k},

we can write

\displaystyle  	\frac{S_1 + \ldots + S_k}{k} = \frac{X_1 + \ldots + X_{\tau_1 + \ldots + \tau_k}}{k} = \frac{X_1 + \ldots + X_{\tau_1 + \ldots + \tau_k}}{\tau_1 + \ldots + \tau_k} \cdot \frac{\tau_1 + \ldots + \tau_k}{k}.

Let’s see what happens as {k \rightarrow \infty}. First of all, if we let {Z_n := n^{-1}(X_1 + \ldots + X_n)}, then, by the SLLN, {Z_n \rightarrow \mathop{\mathbb E} X_1 =\mu} a.s. as {n \rightarrow \infty}. Since any subsequence of a convergent sequence converges to the same limit, we have

\displaystyle  \lim_{k \rightarrow \infty} \frac{X_1 + \ldots + X_{\tau_1 + \ldots + \tau_k}}{\tau_1 + \ldots + \tau_k} = \lim_{k \rightarrow \infty} Z_{\tau_1 + \ldots + \tau_k} = \mu, \qquad \text{a.s.}

Moreover, since {\tau_1,\tau_2,\ldots} are i.i.d. with mean {\mathop{\mathbb E} \tau}, {k^{-1}(\tau_1 + \ldots + \tau_k) \rightarrow \mathop{\mathbb E}\tau} almost surely as {k \rightarrow \infty}. Therefore,

\displaystyle  \lim_{k \rightarrow \infty} \frac{S_1 + \ldots + S_k}{k} = \mu \cdot \mathop{\mathbb E}\tau \qquad \text{a.s.}

Now we invoke the converse to the SLLN (more precisely, the contrapositive to the converse): Since {S_1,S_2,\ldots} are i.i.d. and the limit of {k^{-1}(S_1+\ldots+S_k)} exists a.s., then {\mathop{\mathbb E} S_1} is finite and equal to this limit. Hence,

\displaystyle  \mathop{\mathbb E} (X_1 + \ldots + X_\tau) = \mathop{\mathbb E} S_1 = \mu \cdot \mathop{\mathbb E} \tau.

The theorem is proved.


4 Responses

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  1. Vijay Subramanian said, on April 29, 2011 at 11:56 am

    Seems like a renewal-reward theorem argument with the \tau sequence being the renewal epochs and the S sequence being the rewards that one gets.

  2. Anand Sarwate said, on April 29, 2011 at 4:16 pm

    Ah so cute!

  3. Linkage « An Ergodic Walk said, on May 1, 2011 at 11:36 pm

    […] Blackwell’s proof of Wald’s Identity, as told by Max. […]

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