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Probability
Probability
OPRE 6301
Random Experiment. . .
Experiment Outcomes
Flip a coin Heads, Tails
Roll a die Numbers: 1, 2, 3, 4, 5, 6
Exam Marks Numbers: (0, 100)
Course Grades F, D, C, B, A
Task completion times Nonnegative values
1
Sample Space. . .
S = {O1, O2, . . .}
2
Events. . .
S = {1, 2, · · · , 6}
Simple Event: The outcome “3”.
Event: The outcome is an even number (one of 2, 4, 6)
Event: The outcome is a low number (one of 1, 2, 3)
3
Assigning Probabilities. . .
Requirements
Approaches
4
Classical Approach. . .
S = {1, 2, · · · , 6}
Probabilities: Each simple event has a 1/6 chance of
occurring.
5
Relative-Frequency Approach. . .
S = {1, 2, · · · , 6}
Probabilities: Roll the given die 100 times (say) and sup-
pose the number of times the outcome 1 is observed
is 15. Thus, A = {1}, nA = 15, and n = 100.
Therefore, we say that P (A) is approximately equal
to 15/100 = 0.15.
7
The approximate probabilities are:
8
Subjective Approach. . .
9
Example 1: Horse Race
Consider a horse race with 8 horses running. What is the
probability for a particular horse to win? Is it reason-
able to assume that the probability is 1/8? Note that
we can’t apply the relative-frequency approach.
People regularly place bets on the outcomes of such “one-
time” experiments based on their judgment as to how
likely it is for a particular horse to win. Indeed, having
different judgments is what makes betting possible!
10
Basic Rules of Probability. . .
Complement
P (Ac) = 1 − P (A) .
P ({3}) = 1/6
P (the outcome is not a 3) = 1 − 1/6 = 5/6
11
Union/Addition
P (A ∪ B) = P (A) + P (B) −P (A ∩ B) .
P (A ∪ B) = P (A) + P (B) .
12
Conditional Probability
B
A B
A
Venn Diagram
13
Example: Pick a Card from a Deck
Suppose a card is drawn randomly from a deck and found
to be an Ace. What is the conditional probability for
this card to be Spade Ace?
A = Spade Ace
B = an Ace
A ∩ B = Spade Ace
P (A) = 1/52; P (B) = 4/52; and P (A ∩ B) = 1/52
Hence,
1/52 1
P (A | B) = = .
4/52 4
14
Multiplication
P (A ∩ B) = P (A | B)P (B) ;
or,
P (A ∩ B) = P (B | A)P (A) .
A = an Ace
B = a Spade
A ∩ B = the Spade Ace
P (B) = 13/52; P (A | B) = 1/13
Hence,
P (A ∩ B) = P (A | B)P (B)
1 13 1
= · = .
13 52 52
15
Example 2: Selecting Students
16
The calculation above can be visualized as multiplying
probabilities along the branches of a probability
tree:
Joint probabilities
First selection Second selection
P(FF)=(3/10)(2/9)
( F | F ) = 2/9
P
=3 /1 0
P ( F ) P( M|F
) = 7/ 9
P(FM)=(3/10)(7/9)
P( M ) )= 3/9 P(MF)=(7/10)(3/9)
= 7 /1 P(F |M
0
P( M|M
) = 6/9
P(MM)=(7/10)(6/9)
17
Independence
18
A = the first ball drawn is black
B = the second ball drawn is black
A ∩ B = both balls are black
P (A) = 3/10; P (B | A) = P (B) = 3/10, i.e., B and A
are independent
Hence,
P (A ∩ B) = P (B | A)P (A)
3 3
= ·
10 10
9
= .
100
19
Bayes’ Law. . .
Suppose we know the conditional probabilities of an event
for all possible “causes” of the event. We can use this
information to find the probability of the possible cause,
given that this event has occurred.
20
Let K c = the student does not know the answer
We know that:
P (K) = p
P (K c) = 1−p
P (C | K) = 1
P (C | K c) = 1/m
21
To compute P (C), observe that
P (C) = P (C ∩ K) + P (C ∩ K c) ,
and that the second probability above is
P (C ∩ K c ) = P (C | K c )P (K c)
1
= · (1 − p) .
m
Hence,
1
P (C) = 1 · p + · (1 − p) .
m
It follows that
p
P (K | C) = .
p + (1 − p)/m
Summary:
P (C | K)P (K)
P (K | C) = c c
.
P (C | K)P (K) + P (C | K )P (K )
22
Bayes’ Law
P (A | Bi)P (Bi)
P (Bi | A) = Pk . (2)
i=1 P (A | Bi )P (Bi )
23
Divide and Conquer. . .
X
k
P (A) = P (A | Bi)P (Bi) . (3)
i=1
24