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= Exercise 1: The Gumbel Distribution =   
= Exercise 1: The Gumbel Distribution =   
 
Let's go back to the end of Lecture 1.
In the spirit of the central limit theorem, you look for a scaling form: 
In the Gaussian case, expand <math>A(E)</math> around <math>a_M</math>:
 
<center> <math>Q_M(E) \sim \exp\left(-M P(E)\right) \sim \exp\left(-M e^{A(a_M) +A'(a_M)\cdot (E-a_M)}\right) </math> </center>
<center><math> E_{\min} = a_M + b_M z </math></center> 
Show that by setting  
 
<center> <math>a_M = E_{\min}^{\text{typ}}=-\sigma \sqrt{2 \log M} + \ldots \quad \text{and} \quad b_M = \frac{1}{A'(a_M)}= \frac{ \sigma}{\sqrt{2 \log M}}</math> </center>
 
 
The constants <math>a_M</math> and <math>b_M</math> absorb the dependence on <math>M</math>, while the random variable <math>z</math> is distributed according to a probability distribution that does not depend on <math>M</math>. 
 
In the Gaussian case, expand <math>A(E)</math> around <math>a_M</math>:  
 
By setting
 
<center><math>
a_M = E_{\min}^{\text{typ}} = -\sigma \sqrt{2 \log M} + \ldots
\qquad\text{and}\qquad
b_M = \frac{1}{A'(a_M)} = \frac{\sigma}{\sqrt{2 \log M}}
</math></center>
 
you find   
you find   


<center><math>
<center><math>

Revision as of 14:50, 31 August 2025

In the following exercises, we will use the notation from extreme value statistics as introduced in the course.

Exercise 1: The Gumbel Distribution

Let's go back to the end of Lecture 1. In the Gaussian case, expand A(E) around aM:

QM(E)exp(MP(E))exp(MeA(aM)+A(aM)(EaM))

Show that by setting

aM=Emintyp=σ2logM+andbM=1A(aM)=σ2logM

you find

exp(A(aM))=1MandQM(E)Prob(Emin>E)exp[exp(EaMbM)]


Therefore, the variable z=(EaM)/bM is distributed according to an M-independent distribution.

It is possible to generalize this result and classify the scaling forms into the Gumbel universality class:

  • Characteristics:
    • Applies when the tails of p(E) decay faster than any power law.
    • Examples: the Gaussian case discussed here or exponential distributions p(E)=exp(E)withE(,0).
  • Scaling Form:
P(z)=exp(z)exp(ez)

esercizio 2: The weakest link

Exercise 3: number of states above the minimum

Definition of n(x):Given a realization of the random energies E1,E2,,EM, define

n(x)=#{iEmin<Ei<Emin+x}

that is, the number of random variables lying above the minimum

Emin

but less than

Emin+x

. This is itself a random variable. We are interested in its mean value:

n(x)=k=0M1kProb[n(x)=k]

The Final goal is to show that, for large M (when the extremes are described by the Gumbel distribution), you have:

n(x)=ex/bM1

Step 1: Exact manipulations: You start from the exact expression for the probability of k states in the interval:

Prob[n(x)=k]=M(M1k)dEp(E)[P(E+x)P(E)]k[1P(E+x)]Mk1

To compute n(x), you must sum over k. Use the identity

k=0M1k(M1k)(AB)kBM1k=(AB)ddAk=0M1(M1k)(AB)kBM1k=(M1)(AB)AM2

to arrive at the form:

n(x)=M(M1)dEp(E)[P(E+x)P(E)](1P(E))M2=MdE[P(E+x)P(E)]dQM1(E)dE

where QM1(E)=[1P(E)]M1.

Step 2: the Gumbel limit So far, no approximations have been made. To proceed, we use QM1(E)QM(E) and its asymptotics Gumbel form:

dQM1(E)dEdEexp(EaMbM)exp[exp(EaMbM)]dEbM=ezeezdz

where z=(EaM)/bM.

The main contribution to the integral comes from the region near EaM, where P(E)e(EaM)/bM/M.


Compute the integral and verify that you obtain:

n(x)=(ex/bM1)dze2zez=ex/bM1