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Fundamentals of Probability
and Random Variables
Mani Bhushan and Sachin Patawardhan
Department of Chemical Engineering
I.I.T. Bombay
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Outine
Sample Space
Probability Space
Computing Probabilities
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Note
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Probability
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(Maybeck, 1979)
P ( A)
lim
N ( A)
N N
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Sample Space
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Field
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Field (F)
A field F is a non - empty class of sets such that if
( a ) A F then A F and
(b) A, B F then A B F
Using these properties, it can be shown that
(a) If A,B F then A B F
________
A B F A B A B F
(b) The field contains the " certain event" ( S A A )
and the " impossible event" ( A A )
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Axioms of Probability
The probability function (or probability measure) P (.)
is defined to be a real scalar - valued function
defined on Borel field B that assigns a value, P( Ai ),
to each Ai which is a member of B ( Ai B) such that :
1. P( Ai ) 0 for all A i B
2. P( S ) 1
3. If A1,A2 ,...AN are disjoint or mutually exclusive
N
i 1
i 1
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P(A)+P(B)
N
N
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A7
A2
Cones A1,A2 ,..., A7 ,...
A1
are disjoint or
mutually exclusive
sets : Relatively easy
to assign a probability
value to each set
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Probability Space
Probability space : Defined by the triplet ( S, B, P)
of the sample space, the underlying Borel field, and
the probability function, all defined axiomatically.
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P3 : 1.9 5.3 4 (1 / 6)
P3 : 1 0 ;
P3 : 10 1
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Points to Note
PrA 0 does NOT imply A
PrA 1 does NOT imply A S
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Computing Probabilities
Consider a probability sapce ( S , B, P ).
Given an event A B, in some cases, it is easier to find P ( A ) than P ( A).
Then, using the fact A A S and ( A, A ) are disjoint, we can write
P( S ) P ( A) P ( A ) 1
P( A) 1 P ( A )
Odds of event A P ( A) / P( A ) P( A) / 1 P ( A)
Non-Disjoint Events
Let A and B be two events in B that are NOT disjoint.
We can write
A A B A B
which are disjoint.
P ( A) P A B P A B ........( I )
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Computing Probabilities
Non-Disjoint Events (contd.)
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and so on.
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For i 3, we have
P (3) P (T , T , H ) p(1 p )2
..........
For i n, we have
P ( n) P (T , T ,...., T , H ) p(1 p ) n 1
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p 1 (1 p ) (1 p ) 2 ......
1
p
1
1 (1 p )
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Random Variable
Problem 1: A sample space associated with a random
phenomenon need not consist of elements that are
not numbers.
Example 1: A die with 6 faces painted with 6
different colors
Example 2: Candidates appearing in an election held
in a constituency
How to perform numerical calculations
involving such sample spaces?
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Random Variable
Problem 2: We often have to consider multiple random
phenomena simultaneously. Even if the sample spaces
associated with these random phenomenon consists of
numbers, their ranges can be widely different.
Example: Temperature, pressure and feed
concentration fluctuations in a chemical reactor.
To understand the reactor behavior, these
multiple random phenomenon have to be
considered simultaneously.
How can we treat such problems through a
unified mathematical framework?
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Random Variable
It is possible to define a transformation
such that we can perform all the calculations using
a generic sample space
and
a generic Borel field
defined using the generic sample space?
The concept of a random variable is introduced
because, we need a mapping from the sample space
to the set of real numbers for carrying out
quantitative analysis through
a unified mathematical framework.
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Advantage
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A1 x x1 ( , x1 ]
A2 x x2 ( , x2 ]
A x x1 , R ( , x1 ]* ( x1 , )
*
1
A1* A2 ( x1 , x2 ]
Taking complement s, unions, and intersections of the sets Ai
leads to finite intervals (open, closed, half open) and point values.
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lim
lim
Fx ( x ) and Fx ( x )
F (x )
0
0 x
for 0 0
Property 1
F ( ) 1 and F ( ) 0
Property 2
Fx ( x ) is a non - decreasing function of x,
i.e., if x1 x2 then Fx ( x1 ) Fx ( x2 ).
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Property 5
P(x x ) Fx ( x ) Fx ( x ).
Property 6
P( x1 x x2 ) Fx ( x2 ) Fx ( x1 )
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Fx ( x ) q for 0 x 1
1 for 1 x
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Probability Measured
A Probability Measure on B 4
P (Ci ) 1 / 6 for i 1,2,...,6
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1
6
1
6
1
Fx (29.5) P{- x 29.5} in B R PC1, C2 in B4 2
6
Fx (6) P {- x 6} in B R P{ } in B4 0
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( ai )
i , ai x
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Fx ( x )
x
x
( )d
p ( a )d
i
pi ( ai )d
i
( ai )
i ,ai x
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f x (4)=0.0001
0 for x 0
Fx ( x ) 0.6561 for 0 x 1
0.9477 for 1 x 2
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0.9963 for 2 x 3
Fx ( x ) 0.9999 for 3 x 4
1
for 4 x
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Probability Function on B
P (t1 t2 )
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t2 t1
for any 0 t1 t2 T
T
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Define a continuous RV as
x( ) when [0 ,T ]
New sample space ( S R ) R
Event [0, t ] B Event x ( , t ] B R
(for 0 t T )
An event in B R , x ( , a ], where a T
is associated with the certain event, S , in B.
An event in B R , x ( , t ], where t 0
is associated with the impossible event in B.
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0 if - t 0
Define Fx (t ) P( x t ) (t/T ) if 0 t T
1
if T t
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P (t1 x t2 ) P( x t2 ) P (x t1 )
Thus, P(t1 x t2 ) Fx (t2 ) Fx (t1 )
t2 t1
,
T
Note
Now, suppose t1 t and t2 t
where 0 is a small number, then
2
P(t x t )
0 as 0
T
This is an example of a continuous random variable.
Which attributes qualify a RV to be called continuous?
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P ( a x b) f X ( x )dx ......(1)
a
( x )dx 1
F (a ) P( x a )
( x )dx
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Typical f x (x )
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P(a x a )
( x )dx
As 0, it follows that P( a ) 0
This implies that for a continuous random variable,
we need not be precise about of the intervals :
P(a x b)=P (a<x b)=P (a<x<b)=P (a x<b)
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Note
( x )dx 2 f X ( x )
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Uniform Distribution
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0 if - x a
Fx ( x ) ( x/ (b a )) if a x b
1
if b x
Differentiating Fx ( x ), we get
0
f x ( x ) 1 /(b a )
xa
a xb
xb
Uniform Density Function
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By letting n
P (x t )
lim qt 1 n
qt
1 exp
n V n
V
qt
Fx (t ) P(x t )
1 exp for t 0
V
and associated probability density function is
for t 0
0
qt
f x (t ) q
exp for t 0
V
V
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Exponential Distribution
fx (t )
Fx (t )
t
Probability Density Function
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Exponential Distribution
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Points to Note
F ( a ) P ( x a ) P x ( , a ]
( x )dx
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Histogram
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Summary
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Summary
Moreover
a generic probability function, P(.), is defined
for all events of the form A ( , x ]
Fx ( x ) P(( , x ])
where 0 1
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Appendix
Conditional Probabilities
and Independence
(Dekking et al., 2005)
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Conditional Probability
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Note
P( A | B )
P( A | B ) P( A | B )
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P( A B)
P( B )
P( A B ) P( A B )
P( B )
P( B )
P ( A B ) ( A B ) P( B )
1
P( B )
P( B )
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Conditional Probability
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Note
The conditional probability function
satisfies all the axioms of probability, and,
thus, is a valid probability function in itself.
Multiplication rule for any events A and B
P( A B ) P( A | B ) P( B ) P( B | A) P( A)
Consider event A, which can be expressed as
A ( A B) ( A B )
the probability of event A
P( A) P ( A B ) P ( A B )
P( A | B ) P( B ) P( A | B ) P( B )
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Note : S B B
P( B ) 0.02 P( B ) 0.98
Problem is to find P(T )
Since T (T B ) (T B )
P (T ) P(T B ) P(T B )
P (T ) P(T | B ) P ( B ) P (T | B ) P ( B )
0.7 0.02 0.1 0.98 0.112
This is an application of the law of total probability.
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P(T )
P(T B ) P(T B )
P(T | B ) P( B )
P(T | B ) P( B ) P(T | B ) P( B )
0.7 0.02
0.125
0.7 0.02 0.1 0.98
P( B | T )
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Interpretation
If we know nothing about a cow, we would say
that there is a 2% chance it is infected.
However, if we know it tested positive, then we
can say there is a 12.5% chance the cow is
infected.
Finding P( B | T ) using P(T | B ) is an
application of Bayes' Rule derived by English
clergyman Thomas Bayes in the 18th century.
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Bayes Rule
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P ( A | Ci ) P (Ci )
P ( A | C1 ) P (C1 ) ...... P ( A | Cm ) P (Cm )
P ( A | Ci ) P (Ci )
P ( A)
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Independence
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Independence
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P ( A B ) P( A) P ( B )
P( B )
P( A)
P ( A)
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References
1.
2.
3.
4.
5.
6.
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