0

In need of implementing a solution for this, I've read through this prior stack exchange discussion that describes an approach to the problem. I've also read this paper The Longest Run of Heads Author(s): Mark F. Schilling, but am struggling to understand the first paragraph under The Exact Distribution of the Longest Run, (where he describes a set of successful permutations). Am I wrong in the approach that I've outlined below, which seems completely different but simpler? The stack exchange discussion defines the problem as:

To find that probability that [the longest heads run of] a biased coin, having probability of heads p, in n trials, exceeds m.

For the moment, I think we can greatly simplify the problem by phrasing it as:

To find that probability that [the longest heads run of] a biased coin, having probability of heads p, in n trials, is m or greater.

Later we can substitute $(m+1)$ for $m$ in our formula to account for the difference in expression, (> vs >=).

We can look at $n$ trials as a set of opportunities, we'll call them run trials, to make a run of $m$.

Let's define a run trial as a single chance to make run of $m$. So in a run trial, $n=m$. Someone hands you a coin and asks you the chance of making ten heads in a row, with ten flips.

The probability of a successful run trial is: $p^{m}$

Given $n$ total trials, how many run trials do we have? We effectively have $k = n - m + 1$ run trials to find a successful outcome, (a successful run of $m$).

To explain the bit above, imagine you're flipping a coin 20 times, looking for a run of 10 heads or more. You're ninth and tenth flips come up tails. This next flip, your 11th, is you last opportunity to have a run of $m$. The number ($k$) of opportunities you have had to make a run of $m$ is $11 = 20 - 10 +1$.

Now we can say, what is the probability of a successful run of $m$ given $k$ run trails?

We know the probability of success in a single run trial:

$p^m$

The probability of an unsuccessful run trial is

$1 - p^m$

To answer the question, we ask what is the probability of not having any successful run trials, given k opportunities?

So the probability of not having any successful run of $m$ in $k$ run trials is $$(1- p^m)^k$$

Therefor, the probability of at least one run of m or greater in n total trials is:

$$1-(1-p^m)^{k}$$

We can substitute $n - m + 1$ for $k$ again to get a full expression with only the original variables.

$$1-(1-p^m)^{n - m + 1}$$

This should answer our rephrased question above. To answer the probability that the longest run exceeds $m$, we find the probability of a run of $m + 1$ or greater, substituting $m + 1$ for $m$.

And the probability that the longest run exceeds $m$ is $$1-(1-p^{(m+1)})^{n - (m + 1) + 1}$$ $$1-(1-p^{m+1})^{n - m - 1 + 1}$$ $$1-(1-p^{m+1})^{n - m}$$

To me the above answer makes sense logically, and I struggle to understand, let alone implement, the math used in other solutions for the software project I need this for. Perhaps someone could tell me where I'm going wrong, since something must be wrong with my assumptions. Thanks.

  • 1
    The run trial you defined has overlapping trials with the neighboring run trials in general, so there are dependency between them. So all the calculations are fine until you try to multiply them to get $(1 - p^m)^k$ as the probability of no successful run. – BGM Jul 20 '24 at 22:42
  • @BGM ah that makes sense, thank you for the help! – koalacombatsystems Jul 20 '24 at 23:39

0 Answers0