## Friday, 14 February 2014

### Discrete Fourier transforms and p.g.f.s

In non-examinable sections Section 13.4 and 13.5 I have tried to show you some moderately sophisticated applications of the simple ideas we are learning about p.g.f. and conditional expectation. I have added an Appendix B to the notes to say a bit more about the fast Fourier transform.

The brief story is this. To find the distribution of $Y$, the sum of two i.i.d. r.vs $X_1$ and $X_2$ taking values in $\{0,1,\dotsc,N-1\}$, we might find its p.g.f. $p_Y(z)=p(z)^2=(p_0+p_1z+\cdots+p_{N-1}z^{N-1})^2$.
This would take $O(N^2)$ multiplications of the form $p_ip_j$.

However, it is quicker to evaluate $p(z)$ at $2N$ complex values $z=\omega^0,\dotsc,\omega^{2N-1}$, square those values, and then recover the real coefficients of the polynomial $p(z)^2$. The calculation simplifies because by taking $\omega$ as a $2N$th root of unity the calculation of the $p(\omega^k)$, $k=0,\dotsc,2N-1$, can be done by a clever method, the discrete fast Fourier transform, which needs only $O(N\log N)$ multiplications.

Further details are in the notes on pages 52, 53 and 99, and then in the Part II course, Numerical Analysis.