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You are on page 1of 27

Chapter 2

Introduction to probability

Random variables

A random variable x denotes a quantity that is

uncertain

May be result of experiment (flipping a coin) or a real

world measurements (measuring temperature)

If observe several instances of x we get different

values

Some values occur more than others and this

information is captured by a probability distribution

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 2

Discrete Random Variables

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 3

Continuous Random Variable

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 4

Joint Probability

Consider two random variables x and y

If we observe multiple paired instances, then some

combinations of outcomes are more likely than

others

This is captured in the joint probability distribution

Written as Pr(x,y)

Can read Pr(x,y) as probability of x and y

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 5

Joint Probability

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 6

Marginalization

We can recover probability distribution of any variable in a joint distribution

by integrating (or summing) over the other variables

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 7

Marginalization

We can recover probability distribution of any variable in a joint distribution

by integrating (or summing) over the other variables

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 8

Marginalization

We can recover probability distribution of any variable in a joint distribution

by integrating (or summing) over the other variables

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 9

Marginalization

We can recover probability distribution of any variable in a joint distribution

by integrating (or summing) over the other variables

whatever variables are left

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 10

Conditional Probability

Conditional probability of x given that y=y1 is relative

propensity of variable x to take different outcomes given that

y is fixed to be equal to y1.

Written as Pr(x|y=y1)

11

Computer vision: models, learning and inference. 2011 Simon J.D. Prince

Conditional Probability

Conditional probability can be extracted from joint probability

Extract appropriate slice and normalize

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 12

Conditional Probability

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 13

Conditional Probability

variables

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 14

Bayes Rule

From before:

Combining:

Re-arranging:

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 15

Bayes Rule Terminology

Likelihood propensity for Prior what we know

observing a certain value of about y before seeing x

x given a certain value of y

know about y after ensure that the left hand

seeing x side is a valid distribution

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 16

Independence

If two variables x and y are independent then variable x tells

us nothing about variable y (and vice-versa)

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 17

Independence

If two variables x and y are independent then variable x tells

us nothing about variable y (and vice-versa)

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 18

Independence

When variables are independent, the joint factorizes into a

product of the marginals:

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 19

Expectation

Expectation tell us the expected or average value of some

function f [x] taking into account the distribution of x

Definition:

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 20

Expectation

Expectation tell us the expected or average value of some

function f [x] taking into account the distribution of x

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 21

Expectation: Common Cases

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 22

Expectation: Rules

Rule 1:

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 23

Expectation: Rules

Rule 2:

expected value of function

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 24

Expectation: Rules

Rule 3:

functions

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 25

Expectation: Rules

Rule 4:

is product of expectations of functions if x and y are independent

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 26

Conclusions

Rules of probability are compact and simple

probability, Bayes rule and expectation underpin all of the

models in this book

discussed later

Computer vision: models, learning and inference. 2011 Simon J.D. Prince 27

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