Professional Documents
Culture Documents
Textbook Introduction To Probability 2Nd Edition Dimitri P Bertsekas John N Tsitsiklis Ebook All Chapter PDF
Textbook Introduction To Probability 2Nd Edition Dimitri P Bertsekas John N Tsitsiklis Ebook All Chapter PDF
https://textbookfull.com/product/abstract-dynamic-programming-
second-edition-dimitri-p-bertsekas/
https://textbookfull.com/product/introduction-to-probability-
david-f-anderson/
https://textbookfull.com/product/introduction-to-
electromagnetism-from-coulomb-to-maxwell-2nd-edition-martin-j-n-
sibley/
https://textbookfull.com/product/introduction-to-probability-
second-edition-joseph-k-blitzstein/
Introduction to Financial Models for Management and
Planning Second Edition John P. Daley
https://textbookfull.com/product/introduction-to-financial-
models-for-management-and-planning-second-edition-john-p-daley/
https://textbookfull.com/product/introduction-to-probability-for-
computing-1st-edition-harchol-balter/
https://textbookfull.com/product/introduction-to-probability-and-
statistics-metric-edition-1925-2009-mendenhall/
https://textbookfull.com/product/hermitian-analysis-from-fourier-
series-to-cauchy-riemann-geometry-2nd-edition-john-p-dangelo/
https://textbookfull.com/product/introduction-to-probability-and-
statistics-metric-version-15th-edition-william-mendenhall/
LECTURE NOTES
Course 6.041-6.431
M.I.T.
FALL 2000
Introduction to Probability
Contents
................
1.1. Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
.....................
1.4. Independence . . . . . . . . . . . . . . . . . . . . . . . . . .
............
1.6. Counting
...........................
....................
.................
2.1. Basic Concepts . . . . . . . . . . . . . . . . . . . . . . . . .
...................
2.6. Conditioning . . . . . . . . . . . . . . . . . . . . . . . . . .
2.7. Independence . . . . . . . . . . . . . . . . . . . . . . . . . .
....................
.................
.............
................
....................
....................
4.1. Transforms . . . . . . . . . . . . . . . . . . . . . . . . . . .
.......
iii
iv
Contents
....
...................
....................
................
5. The Bernoulli and Poisson Processes . . . . . . . . . . . . . .
6. Markov Chains . . . . . . . . . . . . . . . . . . . . . . .
..................
.....
7. Limit Theorems . . . . . . . . . . . . . . . . . . . . . . .
...................
................
Preface
These class notes are the currently used textbook for “Probabilistic
Systems Analysis,” an introductory probability course at the
Massachusetts Institute of Technology. The text of the notes is quite
polished and complete, but the problems are less so.
Dimitri P. Bertsekas
bertsekas@lids.mit.edu
John N. Tsitsiklis
jnt@mit.edu
Probability
Contents
1.1. Sets . . . . . . . . . . . . . . . . . . . . . . . . . . . p. 3
.................
p. 16
........
p. 25
1.5. Independence . . . . . . . . . . . . . . . . . . . . . .
p. 31
1.6. Counting
.......................
p. 41
................
p. 48
Chap. 1
concerned relative.
RELATIVE: Nurse, what is the probability that the drug will work?
RELATIVE: But let’s see, out of a hundred patients that are treated
under similar conditions, how many times would you expect it to
work?
NURSE (somewhat annoyed): I told you, every person is different,
for some it works, for some it doesn’t.
RELATIVE (insisting): Then tell me, if you had to bet whether it will
work or not, which side of the bet would you take?
NURSE (exasperated):
Sec. 1.1
Sets
making.
In fact, the choices and actions of a rational person, can reveal a lot
about the inner-held subjective probabilities, even if the person does
not make conscious use of probabilistic reasoning. Indeed, the last
part of the earlier dialog was an attempt to infer the nurse’s beliefs
in an indirect manner. Since the nurse was willing to accept a one-
for-one bet that the drug would work, we may infer that the
probability of success was judged to be at least 50%. And had the
nurse accepted the last proposed bet (two-for-one), that would have
indicated a success probability of at least 2/3.
1.1 SETS
S = {x 1 , x 2 , . . .},
Chap. 1
{x | x satisfies P }.
(The symbol “|” is to be read as “such that.”) For example the set of
even integers can be written as {k | k/ 2 is integer }. Similarly, the
set of all scalars x in the interval [0 , 1] can be written as {x | 0 ≤ x
≤ 1 }. Note that the elements x of the latter set take a continuous
range of values, and cannot be written down in a list (a proof is
sketched in the theoretical problems); such a set is said to be
uncountable.
Ω|x/
Note that Ω c = Ø.
The union of two sets S and T is the set of all elements that belong
to S
Thus,
S ∪ T = {x | x ∈ S or x ∈ T },
S ∩ T = {x | x ∈ S and x ∈ T }.
In some cases, we will have to consider the union or the intersection
of several, even infinitely many sets, defined in the obvious way. For
example, if for every positive integer n, we are given a set Sn, then
∞
Sn = S 1 ∩S 2 ∩··· = {x|x ∈ Sn for all n}.
n=1
Sec. 1.1
Sets
The set of scalars (real numbers) is denoted by ; the set of pairs (or
triplets) of scalars, i.e., the two-dimensional plane (or three-
dimensional space, respectively) is denoted by 2 (or 3, respectively).
T
T
(a)
(b)
(c)
(d)
(e)
(f)
Figure 1.1: Examples of Venn diagrams. (a) The shaded region is S
∩ T . (b) The shaded region is S ∪ T . (c) The shaded region is S ∩
T c. (d) Here, T ⊂ S.
S ∪ T = T ∪ S,
S ∪ ( T ∪ U ) = ( S ∪ T ) ∪ U,
S∩(T∪U)=(S∩T) ∪(S∩U),S∪(T∩U)=(S∪T)∩(
S ∪ U ) , ( Sc) c = S,
S ∩ Sc = Ø ,
S ∪Ω=Ω,
S ∩ Ω = S.
Sn
=
Scn,
Sn
Scn.
Chap. 1
Probability
Law
Event B
P( B )
Experiment
P( A )
Event A
Sample Space Ω
(Set of Outcomes)
A
Events
Sec. 1.2
Probabilistic Models
Chap. 1
Sequential Models
Sample Space
Sequential Tree
Pair of Rolls
Description
1, 1
4
1, 2
1, 3
1, 4
2nd Roll
Root
Leaves
1st Roll
Figure 1.3: Two equivalent descriptions of the sample space of an
experiment involving two rolls of a 4-sided die. The possible
outcomes are all the ordered pairs of the form ( i, j), where i is the
result of the first roll, and j is the result of the second. These
outcomes can be arranged in a 2-dimensional grid as in the figure on
the left, or they can be described by the tree on the right, which
reflects the sequential character of the experiment. Here, each
possible outcome corresponds to a leaf of the tree and is associated
with the unique path from the root to that leaf. The shaded area on
the left is the event {(1 , 4) , (2 , 4) , (3 , 4) , (4 , 4) } that the
result of the second roll is 4. That same event can be described as a
set of leaves, as shown on the right. Note also that every node of
the tree can be identified with an event, namely, the set of all leaves
downstream from that node. For example, the node labeled by a 1
can be identified with the event {(1 , 1) , (1 , 2) , (1 , 3) , (1 , 4) }
Probability Laws
Sec. 1.2
Probabilistic Models
Probability Axioms
1. (Nonnegativity) P( A) ≥ 0, for every event A.
P( A ∪ B) = P( A) + P( B) .
Furthermore, if the sample space has an infinite number of elements
P( A 1 ∪ A 2 ∪ · · ·) = P( A 1) + P( A 2) + · · ·
3. (Normalization) The probability of the entire sample space Ω is
equal to 1, that is, P(Ω) = 1 .
P(Ø) = 0 .
10
Chap. 1
P( A 1 ∪ A 2 ∪ A 3) = P A 1 ∪ ( A 2 ∪ A 2)
= P( A 1) + P( A 2 ∪ A 3)
= P( A 1) + P( A 2) + P( A 3) .
Discrete Models
If the coin is fair, i.e., if we believe that heads and tails are “equally
likely,” we should assign equal probabilities to the two possible
outcomes and specify that P {H} = P {T } = 0 . 5. The additivity
axiom implies that P {H, T } = P {H} + P {T } = 1 , which is
consistent with the normalization axiom. Thus, the probability law is
given by
P {H, T } = 1 ,
P {H} = 0 . 5 ,
P {T } = 0 . 5 ,
P(Ø) = 0 ,
Sec. 1.2
Probabilistic Models
11
Using additivity, the probability of A is the sum of the probabilities of
its elements: P {HHT, HT H, T HH} = P {HHT } + P {HT H} + P {T
HH}
P {s 1 , s 2 , . . . , sn} = P {s 1 } + P {s 2 } + · · · + P {sn} .
Number of elements of A
P( A) =
Fig. 1.4). We assume the dice are fair, and we interpret this
assumption to mean
Another random document with
no related content on Scribd:
Mr Nuttall’s notice is as follows:—“The Dusky Grous breeds in the
shady forests of the Columbia, where we heard and saw them
throughout the summer. The male at various times of the day makes
a curious uncouth tooting, almost like the sound made by blowing
into the bung-hole of a barrel, boo wh’h, wh’h, wh’h, wh’h, the last
note descending into a kind of echo. We frequently tried to steal on
the performer, but without success, as, in fact, the sound is so
strangely managed that you may imagine it to come from the left or
right indifferently. They breed on the ground, as usual, and the brood
keep together nearly all winter. The Ruffed Grous also breeds here
commonly, and I one day found the nest concealed near a fallen log,
but it was at once forsaken after this intrusion, though I did not touch
the eggs.”
From the examination of specimens in my possession, I am
persuaded that this species, like Tetrao Cupido, has the means of
inflating the sacs of bare skin on the sides of the neck, by means of
which, in the breeding season, are produced the curious sounds
above described.
Tetrao obscurus, Dusky Grous, Ch. Bonaparte, Amer. Ornith. vol. iii. pl.
18.—Id. Synopsis of Birds of United States, p. 127.—Richards. and Swains.
Fauna Bor.-Amer. vol. ii. p. 344.
Dusky Grous, Nuttall, Manual, vol. i. p. 666.
Corvus Nuttalli.
PLATE CCCLXII. Adult.
Corvus Nuttalli.
Corvus Stelleri, Gmel. Linn. Syst. Nat. vol. i. p. 370.—Lath. Ind. Ornith. vol.
i. p. 158.—Ch. Bonaparte, Synopsis of Birds of United States, p. 438.
Steller’s Jay, Garrulus Stelleri, Ch. Bonaparte, Amer. Ornith. vol. ii. p.
44.
Garrulus Stelleri, Steller’s Jay, Fauna Bor.-Amer. vol. ii. p. 294.
Steller’s Jay, Nuttall, Manual, vol. ii. p. 229.
Adult Male. Plate CCCLXII. Fig. 2.
Bill shorter than the head, strong, straight, a little compressed; upper
mandible with the dorsal line declinate and convex toward the end,
the sides sloping and becoming more convex toward the tip, which is
declinate, thin edged and obtuse, the edges sharp and overlapping,
with a slight notch; lower mandible straight, the angle short and
broad, the dorsal outline ascending and slightly convex, the sides
convex, the edges sharp and directed outwards, the tip narrow.
Nostrils basal, roundish, covered by reversed bristly feathers.
Head large, ovate, eyes of moderate size; neck rather short; body
compact. Legs of moderate length, strong; tarsus much compressed,
with seven large anterior scutella, and two long plates behind,
meeting so as to form a sharp edge. Toes stout, with large scutella,
the outer adherent as far as its second joint to the middle toe; first
very strong; lateral toes nearly equal, third much longer. Claws
strong, arched, compressed, sharp.
Plumage full, soft, blended; stiff bristly feathers with disunited barbs
over the nostrils, some of them extending a third of the length of the
bill; at the base of the upper mandible several longish slender
bristles. The feathers on the top of the head and occiput linear-
oblong, slightly recurved, and forming an erectile crest an inch and a
half in length. Wings of moderate length, convex, and much rounded;
the first quill very short, the second an inch and a quarter longer, the
third nine-twelfths longer than the second, and three-twelfths shorter
than the fourth, which is one-twelfth shorter than the fifth, the latter
being the longest, although scarcely exceeding the sixth. Tail long,
rounded, of twelve rather broad, rounded, and acuminate feathers, of
which the shafts are undulated.
Bill and feet black. Iris hazel. Head and neck, with the fore part and
middle of the back brownish-black, of a lighter tint on the back, and
on the throat streaked with dull grey; the feathers on the forehead
tipped with bright blue; the hind part of the back, the rump, and the
upper tail-coverts, light blue; as are the lower tail-coverts, the sides
and lower parts of the rump, the sides of the body, and the whole of
the breast; the middle of the abdomen paler, the tibial feathers, and
the lower wing-coverts dusky, tinged with blue. Wings blue, the
secondary coverts and quills rich indigo and ultra-marine, narrowly
barred with black, the outer coverts of the primaries pale; the inner
webs of the primaries and outer secondaries dusky; tail blue with
numerous narrow, inconspicuous dusky bars; the lower surface of
the wings and tail dusky.
Length to end of tail 13 inches; bill along the ridge 1 1 1/2/12, along the
edge of lower mandible 1 4 1/2/12; wing from flexure 5 11/12; tail 6;
1/2
tarsus 1 8/12; hind toe 7 /12, its claw 7/12; middle toe 11/12, its claw
5/ .
12
Corvus Ultramarinus.
PLATE CCCLXII. Adult.
6 1/2/ .
12
Nucifraga columbiana.
PLATE CCCLXII. Adult.
Clarke’s Crow, Corvus columbianus, Wils. Amer. Ornith. vol. iii. p. 29. pl.
20, fig. 2.
Corvus columbianus, Ch. Bonaparte, Synopsis of Birds of United States, p.
57.
Columbian Crow, Nuttall, Manual, vol. ii. p. 218.