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Joseph Y. Halpern

Cornell University, Computer Science Department Ithaca, NY 14853 http://www.cs.cornell.edu/home/halpern

halpern@cs.cornell.edu

I recently wrote a paper (Halpern, 1999) casting doubt on how compelling a justi cation for probability is provided by Cox's celebrated theorem (Cox, 1946). I have received (what seems to me, at least) a surprising amount of response to that article. Here I attempt to clarify the degree to which I think Cox's theorem can be salvaged and respond to a glaring inaccuracy on my part pointed out by Snow (1998). (Fortunately, it is an inaccuracy that has no a ect on either the correctness or the interpretation of the results of my paper.) I have tried to write this note with enough detail so that it can be read independently of (Halpern, 1999), but I encourage the reader to consult (Halpern, 1999), as well as the two major sources it is based on (Cox, 1946; Paris, 1994), for further details and discussion. Here is the basic situation. Cox's goal is to \try to show that : : : it is possible to derive the rules of probability from two quite primitive notions which are independent of the notion of ensemble and which : : : appeal rather immediately to common sense" (Cox, 1946). To that end, he starts with a function Bel that associates a real number with each pair (U; V ) of subsets of a domain W such that U 6= ;. We write Bel(V jU ) rather than Bel(U; V ), since we think of Bel(V jU ) as the belief, credibility, or likelihood of V given U . Cox's Theorem as informally understood, states that if Bel satis es two very reasonable restrictions, then Bel must be isomorphic to a probability measure. The rst one says that the belief in V complement (denoted V ) given U is a function of the belief in V given U ; the second says that the belief in V \ V given U is a function of the belief in V given V \ U and the belief in V given U . Formally, we assume that there are functions S and F such that A1. Bel(V jU ) = S (Bel(V jU )) if U 6= ;, for all U; V W . A2. Bel(V \ V jU ) = F (Bel(V jV \ U ); Bel(V jU )) if V \ U 6= ;, for all U; V; V W . If Bel is a probability measure, then we can take S (x) = 1 ? x and F (x; y) = xy. Before going on, notice that Cox's result does not claim that Bel is a probability measure, just that it is isomorphic to a probability measure. Formally, this means that there is a continuous one-to-one onto function g : IR ! IR such that g Bel is a probability measure on W , and g(Bel(V jU )) g(Bel(U )) = g(Bel(V \ U )) if U 6= ;, (1) where Bel(U ) is an abbreviation for Bel(U jW ).

0 0 0 0 0

The assumptions needed to prove Cox's Theorem are discussed and examined. Various sets of assumptions under which a Cox-style theorem can be proved are provided, although all are rather strong and, arguably, not natural.

Abstract

1

of course. E ] with e < E such that Bel(V jU ) 2 e. Paris (1994) proves Cox's Theorem under the following additional assumptions: Par1. The F is A2 is strictly increasing (in each coordinate) in (0. All of the positive versions of the theorem that I state can be proved in a straightforward way by adapting the proof given by given by Paris (1994). U W . with all the hypotheses stated clearly. and each of jBel(U4 jU3 ) ? j. Dubois and Prade (1990) give an example of a function Bel. they require additional assumptions beyond those stated by the authors). W must be in nite. de ned on a nite domain. and Bel(U jU ) = E . . to satisfy Par5. For all 0 . I show in my paper that the result is false under some quite strong assumptions (see below). it cannot be the case that the beliefs are incomparable).jU ) = 0 and Bel(U jU ) = 1 if U 6= . The problematic assumption here is Par5 (called A4 in (Halpern. My result also suggests that most of the other proofs given of Coxstyle theorems are at best incomplete (that is. 1]. Par5. it does not strike me as a natural 2 . the set of values that Bel(U jV ) takes on is dense in 0. in particular. it is well known that A1 and A2 by themselves do not su ce to prove Cox's Theorem. Bel(. 1994) If Par1-5 hold. While \natural" and \reasonable" are. rigorous proof the result of which I am aware. The S in A1 is decreasing. Par2. there are sets U1 U2 U3 U4 such that U3 6= . y) and S (x) = 1 ? x but is not isomorphic to a probability measure. The goal of this note is to clarify what it takes to prove a Cox-style theorem. I believe it is worth identifying all these variants. 1978) exactly what additional assumptions his proofs need. by giving a number of hypotheses under which the result can be proved. jBel(U3 jU2 ) ? j. It is hard to dig out of Cox's papers (1946.jU ) = e. 1]2 and continuous.) Nevertheless. Cox justi es them in his original paper). 1994)). Theorem 1: (Paris. in the eye of the beholder. provided we accept that beliefs should be linearly ordered.If we are willing to accept that belief is real valued (this is a strong assumption since. all we need to assume is that there is some interval e. it says that for each xed V . Thus. Par5 can be thought of as a density requirement. There is nothing special about 0 and 1 in Par1 and Par2. and jBel(U2 jU1 ) ? j is less than . we must have either Bel(U ) Bel(V ) or Bel(V ) Bel(U ). among other things. Bel(. Nor is it hard too hard to justify Par3 and Par4 (indeed. These assumptions certainly seem reasonable. then A1 and A2 are very reasonable. see (Halpern. 1999) and Co5 in (Paris. (This is the one correct. The range of Bel is 0. Par5 cannot be satis ed in nite domains. y) = min(x. 1]. Unfortunately. 1 and > 0. If this were all it took to prove Cox's Theorem. that satis es A1 and A2 with F (x. It follows that. 1999) for discussion. we need to have additional assumptions. then Bel is isomorphic to a probability measure. since they are philosophically quite di erent. among other things. if we are to prove Cox's Theorem. E ] for all V... then it indeed would be a very compelling argument for the use of probability. Par4. commits us to the assumption that belief cannot be partially ordered| for any two events U and V . Par3.

z . z ). and u3 = F (x. x) = 0. 1]2 . As I pointed out in (Halpern. the counterexample I give in (Halpern. and z = Bel(U3 jU4 ). Let x = Bel(U4 jU3 ). This is particularly true since many domains of interest in AI (and other application areas are nite). they do seem like reasonable technical restrictions. Moreover. y). y. He does require at various times that F be twice di erentiable. z )) = F (F (x. and u3 = Bel(U4 jU1 ). z . S (x) = 1 ? x (so that S is strictly decreasing and in nitely di erentiable). z . However. Bel0 is not isomorphic to a probability measure. Aczel. any version of Cox's Theorem that uses Par5 is simply not applicable in these domains. and Reichenbach. 1999) that none of the authors who had proved variants of Cox's Theorem. Cox shows that A2 forces F to be an associative function. z )) = F (F (x. z = Bel(U2 jU1 ). and strictly increasing in each argument in (0. that F (x. 1]3 . 2. z ) for all x. 1999) There is a function Bel0. Can we weaken Par5? Cox does not require anything like Par5 in his paper. F is commutative. 1) = F (1. z )) = F (F (x. Combined with the continuity of F assumed in Par4. this tells us that (2) holds for all x. By A2. and that S be twice di erentiable. seemed to be aware of the need to make (2) holds for all x. y. y. u2 = F (y. In the course of his proof. z ).. Cox never collects his assumptions in any one place. z ). 1999).2 I was wrong in including Cox in this list. and functions S and F satisfying A1 and A2. it is useful to review part of Cox's argument. What I show is the following. y = Bel(U3 jU2 ).1 While di erentiability assumptions are perhaps not as compelling as continuity assumptions. that is. so it is somewhat di cult to tell exactly what he thinks he needs for his proof. 1]2 . y). F (y. F is in nitely di erentiable. Unfortunately. and explicitly makes this assumption at 1. nondecreasing in each argument in 0. F (y. y). y. Suppose U1 U2 U3 U4 . 1] for U 6= . we have that u1 = F (x. F (x. It shows only that the equality holds for those x.) As Snow (1998) points out. including Cox himself. x) = x. More on this later. z for which there exist U1 U2 U3 U4 such that x = Bel(U1 jU2 ). Aczel recognized this problem in later work (Aczel & Daroczy. respectively. Theorem 2: (Halpern. a nite domain W . z ): (2) Here is Cox's argument. To understand what makes the counterexample tick and the role of Par5. y. y = Bel(U2 jU3 ). I had claimed in (Halpern. 3 . u2 ) = F (u1 . 1975). y. u1 = Bel(U4 jU2 ). Note that this argument does not show that F (x. Par5 guarantees that the set of such x. z is dense in 0. 0) = F (0. It follows that F (x. and F (x. z . Cox actually does realize that F must satisfy (2) for all x. such that Bel0 (V jU ) 2 0. (This is the glaring inaccuracy I referred to above. 1999) shows that these assumptions do not su ce to prove Cox's theorem. with a continuous second derivative. y). F (y. u2 = Bel(U3 jU1 ).or reasonable assumption in any obvious sense of the words.

Of course. Cox shows that S must satisfy the following two functional equations for all sets U1 U2 U3 : S S (Bel(U2 jU1 ))] = Bel(U2 jU1 ) (3) and Bel(U2 jU1 ) S (Bel(U3 jU1 )=Bel(U2 jU1 )) = S S (Bel(U2 jU1 ))=S (Bel(U3 jU1 ))]S (Bel(U3 jU1 )) (4) This means that for all x and y > 0 for which there exist sets U1 . the only use made of Par5 is in deriving the associativity of F and the fact that S satis es (5) and (6).a certain point in his rst paper (Cox. Cox starts with (4) and derives the more symmetric functional equation yS S (x)=y] = xS S (y )=x]. y)] = f (x)f (y). then F is isomorphic to multiplication. Let me stress that the conclusion that F is isomorphic to multiplication just follows from the fact that it is associative and has continuous second derivatives. (6) follows from Par5 and the fact that F must be isomorphic to multiplication. there exists a function f and constant C such that Cf F (x. Par4. It is this latter functional equation that he assumes holds for all x and y . we need to assume that (5) and (6) both hold for all x and y. if anything. For future reference. we have S (S (y)) = y (5) yS (x=y) = S (x)S S (y)=S (x)]: (6) Cox actually wants these equations to hold for all x and y. Par4. it can be shown that S is continuous (see and Lemma 3. In fact. rather than (6). by the time we are willing to assume that there is a function F that is isomorphic to multiplication that satis es A2. it makes matters worse.) Without Par5. U2 . as I mentioned above. 1946). 1978). Later in his argument. it does not seem to. we immediately get the following variant of Cox's Theorem. Actually. as Cox himself shows. although he does not make this assumption explicitly in his (more informal) later paper (Cox. then we are well on the way to showing that Bel is isomorphic to a probability measure. 1]. Cox shows that if F is associative and has continuous second derivatives. Paris shows that this follows from Par1{5. In any case. 3. then we get (6). and Par5. 4 . This combined with Par5 easily gives us that (5) holds for all y 2 0. Par2.8 in (Paris. I remark that Paris shows (in his Lemma 3. it does not make his theorem any less palatable. Does this su ce to get rid of Par5 altogether? Unfortunately. (Here is Paris's argument. Using Par3.3 In the proof given by Paris for Theorem 1. 1994)). Par2. and U3 such that x = Bel(U3 jU1 ) and y = Bel(U2 jU1 ). Associativity is a rather strong assumption. and has nothing to do with A2. Indeed. and Par5 su ce to show that F is isomorphic to multiplication (and that we can take C = 1). that is. although Cox escapes from my criticism by recognizing the need to make this assumption. If we replace x by S (x) everywhere and use (5). Unfortunately. Thus. and that is what Cox does. suppose we are willing to strengthen Par4 so as to require F to be associative as well as continuous and strictly increasing.7) that Par1. the latter fact is shown by Paris to follow from Par1.

the functions F and S then have to be uniform across all domains.e. we would get the following. and a function Bel+ extending Bel de ned on all subsets of W + such that A1 and A2 hold for Bel+ and all subsets U. in addition. it is hard (at least for me) to view (6) as a \natural" requirement. or di erentiability assumptions on F . Then Bel+ (and hence 0 Theorem 4: Given a function Bel on a domain W . Snow is not alone. this makes the result less compelling. y 2 0. y) = min(x. As I observed in (Halpern. Is this reasonable or compelling? Of course. For example. 5 . We can get a variant even closer to what Cox (1946) shows by replacing Par4 by the assumption that F is twice di erentiable. 1999). However. and to do so in a way that is guaranteed to continue to satisfy Par1-5. 1999. A number of other variants of Cox's Theorem which are correct are discussed in (Halpern. Note that we need to make some continuity. a large family of domains). Section 5). Formally. Of course.Theorem 3: If Par1-4 hold and. 1]2 (although it is nondecreasing). 1]. but use Par5 (or slight variants of it). As I mentioned earlier. V. The advantage of replacing Par5 by the requirement that F be associative and that S satisfy (5) and (6) is that this variant of Cox's Theorem now applies even if W is nite. (5)) are certainly natural mathematical assumptions. More precisely. Dubois and Prade show there is a Bel that is not isomorphic to a probability function for which S (x) = 1 ? x and F (x. but on all domains (or at least. In any case. On the other hand. nor is it strictly increasing in each coordinate in (0. Snow (1998) essentially uses it as well. then Bel is isomorphic to a probability measure. the F in A2 is associative and the S in A1 satis es both (5) and (6) for all x. y 2 0. it is made by Savage (1954) in the course of justifying one of his axioms for preference. While assumptions like associativity for F and idempotency for S (i. this gives us the following variant of Cox's Theorem. these are assumptions that needed to be highlighted by anyone using Cox's Theorem as a justi cation for probability. suppose there exists a domain W + W Bel) is isomorphic to a probability measure. Let me conclude by formalizing two of them that apply to nite domains. that is up to the reader to judge. rather than being swept under the carpet. rather than assuming that F must be associative and that S must satisfy (5) and (6) for all pairs x. The rst essentially assumes that we can extend any nite domain to an in nite domain by adding a su ciently many \irrelevant" propositions. The requirement that S must satisfy (6) is not even mentioned by Snow (1998). but is not twice di erentiable. the only justi cation for requiring them on all of 0. we can avoid mentioning (5) and (6) by just requiring that S (x) = 1 ? x (as Cox (1978) does). The second variant assumes that Bel is de ned not just on one domain W . monotonicity.. it does not seem to be mentioned in any other discussion of Cox's results either (other than by Paris). whose proof is a trivial variant of that of Theorem 1. such as the tosses of fair coin. y). 1]. 1] seems to be that they provably follow from the other assumptions for certain tuples in the range of Bel. this type of extendability argument is fairly standard. The min function is di erentiable (and a fortiori continuous). let alone discussed. V of W + and Par1-5 hold for Bel+ . The problem with this approach is that it requires us to extend Bel to events we were never interested in considering in the rst place.

we have that g Bel is a probability measure on each W and for all U. V W . and each of jBel(U4 jU3 ) ? j. While the hypotheses of Theorems 4 and 5 may seem more reasonable than some others (at least. 1{13. Probability. Co5 is compatible with a notion of belief that takes on countably many (although not nitely many) values. U2 . New York. 4. U3 .. in particular. Cox. 1999) (which appeared in AAAI '96. U4 W such that U1 U2 U3 U4 .. On Measures of Information and Their Characterizations. 1] by continuity considerations (again. frequency. .4 I will stop at this point and leave it to the reader to from his or her own beliefs. and reasonable expectation. for all 0 . pp. and the following variant of Par5 holds: 0 Par5 . but the viewpoint that assumed that Bel varies continuously from 0 to 1. 1313{ 1319) as saying `Cox's Theorem \disallows a notion of belief that takes on only nitely many or countably many gradations". jBel(U3 jU2 ) ? j. Acknowledgments References Aczel. R. to some readers!). where it does refer to Cox's Theorem. g : IR ! IR such that for all W 2 W . Z. y. This conception of one function Bel de ned uniformly over a family of domains seems consistent with the philosophy of both Cox and Jaynes (see. This work was supported in part by the NSF. U3 6= . there exist function F and S satisfying A1 and A2 for all the domains W 2 W . J. (1975). The advantage of this formulation is that W can consist of only nite domains.) 6 .' but what I say disallows a notion of belief is not Cox's Theorem.. & Daroczy. (1946). In fact. (Essentially the same sentence appears in the journal version of the paper. there exists W 2 W and sets U1 . and jBel(U2 jU1 ) ? j is less than . but it is still a nontrivial requirement. American Journal of Physics. Academic Press. under grant IRI-96-25901. like all the other variants of Cox's Theorem that I am aware of. 14 (1). One can justify a notion of belief that takes on all values in 0. 1 and > 0. in that there exists a function \ U )) if U 6= . Par1{4 hold for these functions F and SS . we never have to venture into the in nite (although then W would have to include in nitely many nite domains). Snow (1998) quotes the conference version of (Halpern. z )).Theorem 5: Suppose we have a function Bel de ned on all domains W in some set W of domains. disallow a notion of belief that has only nitely many gradations. but without the phrase \or countably". assuming that one accepts a linearly-ordered notion of belief). I'd like to thank Paul Snow for some useful email exchanges on this topic (and for pointing out that Cox had in fact realized the need to assume that F was associative for all (x. not that they still both essentially require Par5 and. we have g(Bel(V jU )) g(Bel(U )) = g(Bel(V Then Bel is uniformly isomorphic to a probability measure. (1996)).

Foundations of Statistics. (1999). International Journal of Approximate Reasoning. Computational Intelligence. (1990). R. & Tribus. Journal of A. 23{46. available at http://bayes. 452{459. (1978). Mass. (Eds. 76{85. 7 . The Maximum Entropy Formalism. E. & Prade. John Wiley & Sons. Cambridge. Dubois.I.edu. Probability Theory|The Logic of Science. (1994). Unpublished.. 119{167. P. Savage. U. Paris.). Halpern. A counterexample to theorems of Cox and Fine. pp. Cambridge University Press. R. Snow. Y. (1954). In Levine. New York.K. H. D. Cambridge. (1996). 4 (1). L. J.Cox. Jaynes.wustl. 14 (3). D. J. MIT Press. M. On the correctness and reasonableness of Cox's Theorem for nite domains. (1998). The logical view of conditioning and its application to possibility and evidence theories. Of inference and inquiry: An essay in inductive logic. B. 10. Research. T.. J. The Uncertain Reasoner's Companion.

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