18.

600: Lecture 17
Continuous random variables

Scott Sheffield

MIT
Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Continuous random variables

I Say X is a continuous random variable if there exists a

probability density
R function
R f = fX on R such that
P{X B} = B f (x)dx := 1B (x)f (x)dx.
Continuous random variables

I Say X is a continuous random variable if there exists a

probability density
R function
R f = fX on R such that
P{X B} = B f (x)dx := 1B (x)f (x)dx.
R R
I We may assume R f (x)dx = f (x)dx = 1 and f is
non-negative.
Continuous random variables

I Say X is a continuous random variable if there exists a

probability density
R function R f = fX on R such that
P{X B} = B f (x)dx := 1B (x)f (x)dx.
R R
I We may assume R f (x)dx = f (x)dx = 1 and f is
non-negative.
Rb
I Probability of interval [a, b] is given by a f (x)dx, the area
under f between a and b.
Continuous random variables

I Say X is a continuous random variable if there exists a

probability density
R function R f = fX on R such that
P{X B} = B f (x)dx := 1B (x)f (x)dx.
R R
I We may assume R f (x)dx = f (x)dx = 1 and f is
non-negative.
Rb
I Probability of interval [a, b] is given by a f (x)dx, the area
under f between a and b.
I Probability of any single point is zero.
Continuous random variables

I Say X is a continuous random variable if there exists a

probability density
R function R f = fX on R such that
P{X B} = B f (x)dx := 1B (x)f (x)dx.
R R
I We may assume R f (x)dx = f (x)dx = 1 and f is
non-negative.
Rb
I Probability of interval [a, b] is given by a f (x)dx, the area
under f between a and b.
I Probability of any single point is zero.
I Define cumulative distribution function R
a
F (a) = FX (a) := P{X < a} = P{X a} = f (x)dx.
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is P{X (0, 1) (3/2, 5)}?
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is P{X (0, 1) (3/2, 5)}?
I What is F ?
Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is P{X (0, 1) (3/2, 5)}?
I What is F ?

0
a0
I F (a) = FX (a) = a/2 0 < a < 2

1 a2

Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is P{X (0, 1) (3/2, 5)}?
I What is F ?

0
a0
I F (a) = FX (a) = a/2 0 < a < 2

1 a2

I In general P(a x b) = F (b) F (x).

Simple example

(
1/2 x [0, 2]
I Suppose f (x) =
0 x6 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is P{X (0, 1) (3/2, 5)}?
I What is F ?

0
a0
I F (a) = FX (a) = a/2 0 < a < 2

1 a2

I In general P(a x b) = F (b) F (x).

I We say that X is uniformly distributed on [0, 2].
Another example

(
x/2 x [0, 2]
I Suppose f (x) =
0 06 [0, 2].
Another example

(
x/2 x [0, 2]
I Suppose f (x) =
0 06 [0, 2].
I What is P{X < 3/2}?
Another example

(
x/2 x [0, 2]
I Suppose f (x) =
0 06 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
Another example

(
x/2 x [0, 2]
I Suppose f (x) =
0 06 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
Another example

(
x/2 x [0, 2]
I Suppose f (x) =
0 06 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is F ?
Another example

(
x/2 x [0, 2]
I Suppose f (x) =
0 06 [0, 2].
I What is P{X < 3/2}?
I What is P{X = 3/2}?
I What is P{1/2 < X < 3/2}?
I What is F ?

0
a0
I FX (a) = a2 /4 0<a<2

1 a2

Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Expectations of continuous random variables
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [X ] = p(x)x.
x:p(x)>0
Expectations of continuous random variables
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [X ] = p(x)x.
x:p(x)>0

I How should we define E [X ] when X is a continuous random

variable?
Expectations of continuous random variables
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [X ] = p(x)x.
x:p(x)>0

I How should we define E [X ] when X is a continuous random

variable?
R
I Answer: E [X ] = f (x)xdx.
Expectations of continuous random variables
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [X ] = p(x)x.
x:p(x)>0

I How should we define E [X ] when X is a continuous random

variable?
R
I Answer: E [X ] = f (x)xdx.
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [g (X )] = p(x)g (x).
x:p(x)>0
Expectations of continuous random variables
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [X ] = p(x)x.
x:p(x)>0

I How should we define E [X ] when X is a continuous random

variable?
R
I Answer: E [X ] = f (x)xdx.
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [g (X )] = p(x)g (x).
x:p(x)>0

I What is the analog when X is a continuous random variable?

Expectations of continuous random variables
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [X ] = p(x)x.
x:p(x)>0

I How should we define E [X ] when X is a continuous random

variable?
R
I Answer: E [X ] = f (x)xdx.
I Recall that when X was a discrete random variable, with
p(x) = P{X = x}, we wrote
X
E [g (X )] = p(x)g (x).
x:p(x)>0

I What is the analog when X is a continuous random variable?

R
I Answer: we will write E [g (X )] = f (x)g (x)dx.
Variance of continuous random variables

I Suppose X is a continuous random variable with mean .

Variance of continuous random variables

I Suppose X is a continuous random variable with mean .

I We can write Var[X ] = E [(X )2 ], same as in the discrete
case.
Variance of continuous random variables

I Suppose X is a continuous random variable with mean .

I We can write Var[X ] = E [(X )2 ], same as in the discrete
case.
I Next, if g =R g1 + g2 then R
RE [g (X )] = g1 (x)f

(x)dx + g2 (x)f (x)dx =
g1 (x) + g2 (x) f (x)dx = E [g1 (X )] + E [g2 (X )].
Variance of continuous random variables

I Suppose X is a continuous random variable with mean .

I We can write Var[X ] = E [(X )2 ], same as in the discrete
case.
I Next, if g =R g1 + g2 then R
RE [g (X )] = g1 (x)f

(x)dx + g2 (x)f (x)dx =
g1 (x) + g2 (x) f (x)dx = E [g1 (X )] + E [g2 (X )].
I Furthermore, E [ag (X )] = aE [g (X )] when a is a constant.
Variance of continuous random variables

I Suppose X is a continuous random variable with mean .

I We can write Var[X ] = E [(X )2 ], same as in the discrete
case.
I Next, if g =R g1 + g2 then R
RE [g (X )] = g1 (x)f

(x)dx + g2 (x)f (x)dx =
g1 (x) + g2 (x) f (x)dx = E [g1 (X )] + E [g2 (X )].
I Furthermore, E [ag (X )] = aE [g (X )] when a is a constant.
I Just as in the discrete case, we can expand the variance
expression as Var[X ] = E [X 2 2X + 2 ] and use additivity
of expectation to say that
Var[X ] = E [X 2 ] 2E [X ] + E [2 ] = E [X 2 ] 22 + 2 =
E [X 2 ] E [X ]2 .
Variance of continuous random variables

I Suppose X is a continuous random variable with mean .

I We can write Var[X ] = E [(X )2 ], same as in the discrete
case.
I Next, if g =R g1 + g2 then R
RE [g (X )] = g1 (x)f

(x)dx + g2 (x)f (x)dx =
g1 (x) + g2 (x) f (x)dx = E [g1 (X )] + E [g2 (X )].
I Furthermore, E [ag (X )] = aE [g (X )] when a is a constant.
I Just as in the discrete case, we can expand the variance
expression as Var[X ] = E [X 2 2X + 2 ] and use additivity
of expectation to say that
Var[X ] = E [X 2 ] 2E [X ] + E [2 ] = E [X 2 ] 22 + 2 =
E [X 2 ] E [X ]2 .
I This formula is often useful for calculations.
Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Uniform random variables on [0, 1]

I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) =
0 x 6 [0, 1].
Uniform random variables on [0, 1]

I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) =
0 x 6 [0, 1].
I Then for any 0 a b 1 we have P{X [a, b]} = b a.
Uniform random variables on [0, 1]

I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) =
0 x 6 [0, 1].
I Then for any 0 a b 1 we have P{X [a, b]} = b a.
I Intuition: all locations along the interval [0, 1] equally likely.
Uniform random variables on [0, 1]

I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) =
0 x 6 [0, 1].
I Then for any 0 a b 1 we have P{X [a, b]} = b a.
I Intuition: all locations along the interval [0, 1] equally likely.
I Say that X is a uniform random variable on [0, 1] or that X
is sampled uniformly from [0, 1].
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
2 1
R R1 
I Indeed, f (x)xdx = 0 xdx = x2  = 1/2.
0
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
2 1
R R1 
I Indeed, f (x)xdx = 0 xdx = x2  = 1/2.
0
I What is the general moment E [X k ] for k 0?
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
2 1
R R1 
I Indeed, f (x)xdx = 0 xdx = x2  = 1/2.
0
I What is the general moment E [X k ] for k 0?
I Answer: 1/(k + 1).
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
2 1
R R1 
I Indeed, f (x)xdx = 0 xdx = x2  = 1/2.
0
I What is the general moment E [X k ] for k 0?
I Answer: 1/(k + 1).
I What would you guess the variance is? Expected square of
distance from 1/2?
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
2 1
R R1 
I Indeed, f (x)xdx = 0 xdx = x2  = 1/2.
0
I What is the general moment E [X k ] for k 0?
I Answer: 1/(k + 1).
I What would you guess the variance is? Expected square of
distance from 1/2?
I Its obviously less than 1/4, but how much less?
Properties of uniform random variable on [0, 1]
I Suppose X is a random
( variable with probability density
1 x [0, 1]
function f (x) = which implies
0 x 6 [0, 1],

0
a<0
FX (a) = a a [0, 1] .

1 a>1

I What is E [X ]?
I Guess 1/2 (since 1/2 is, you know, in the middle).
2 1
R R1 
I Indeed, f (x)xdx = 0 xdx = x2  = 1/2.
0
I What is the general moment E [X k ] for k 0?
I Answer: 1/(k + 1).
I What would you guess the variance is? Expected square of
distance from 1/2?
I Its obviously less than 1/4, but how much less?
I VarE [X 2 ] E [X ]2 = 1/3 1/4 = 1/12.
Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Uniform random variables on [, ]

I Fix < and suppose X is a random ( variable with

1
x [, ]
probability density function f (x) =
0 x 6 [, ].
Uniform random variables on [, ]

I Fix < and suppose X is a random ( variable with

1
x [, ]
probability density function f (x) =
0 x 6 [, ].
ba
I Then for any a b we have P{X [a, b]} = .
Uniform random variables on [, ]

I Fix < and suppose X is a random ( variable with

1
x [, ]
probability density function f (x) =
0 x 6 [, ].
ba
I Then for any a b we have P{X [a, b]} = .
I Intuition: all locations along the interval [, ] are equally
likely.
Uniform random variables on [, ]

I Fix < and suppose X is a random ( variable with

1
x [, ]
probability density function f (x) =
0 x 6 [, ].
ba
I Then for any a b we have P{X [a, b]} = .
I Intuition: all locations along the interval [, ] are equally
likely.
I Say that X is a uniform random variable on [, ] or that
X is sampled uniformly from [, ].
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
+
I Intuitively, wed guess the midpoint 2 .
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
+
I Intuitively, wed guess the midpoint 2 .
I Whats the cleanest way to prove this?
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
+
I Intuitively, wed guess the midpoint 2 .
I Whats the cleanest way to prove this?
I One approach: let Y be uniform on [0, 1] and try to show that
X = ( )Y + is uniform on [, ].
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
+
I Intuitively, wed guess the midpoint 2 .
I Whats the cleanest way to prove this?
I One approach: let Y be uniform on [0, 1] and try to show that
X = ( )Y + is uniform on [, ].
I Then expectation linearity gives
+
E [X ] = ( )E [Y ] + = (1/2)( ) + = 2 .
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
+
I Intuitively, wed guess the midpoint 2 .
I Whats the cleanest way to prove this?
I One approach: let Y be uniform on [0, 1] and try to show that
X = ( )Y + is uniform on [, ].
I Then expectation linearity gives
+
E [X ] = ( )E [Y ] + = (1/2)( ) + = 2 .
I Using similar logic, what is the variance Var[X ]?
Uniform random variables on [, ]

I Suppose X is a random
( variable with probability density
1
x [, ]
function f (x) =
0 x 6 [, ].
I What is E [X ]?
+
I Intuitively, wed guess the midpoint 2 .
I Whats the cleanest way to prove this?
I One approach: let Y be uniform on [0, 1] and try to show that
X = ( )Y + is uniform on [, ].
I Then expectation linearity gives
+
E [X ] = ( )E [Y ] + = (1/2)( ) + = 2 .
I Using similar logic, what is the variance Var[X ]?
I Answer: Var[X ] = Var[( )Y + ] = Var[( )Y ] =
( )2 Var[Y ] = ( )2 /12.
Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Outline

Continuous random variables

Expectation and variance of continuous random variables

Uniform random variable on [0, 1]

Uniform random variable on [, ]

Measurable sets and a famous paradox

Uniform measure: is probability defined for all subsets?

I One of the
( very simplest probability density functions is
1 x [0, 1]
f (x) = .
0 0 6 [0, 1].
Uniform measure: is probability defined for all subsets?

I One of the
( very simplest probability density functions is
1 x [0, 1]
f (x) = .
0 0 6 [0, 1].
I If B [0, 1] is an interval, then P{X B} is the length of
that interval.
Uniform measure: is probability defined for all subsets?

I One of the
( very simplest probability density functions is
1 x [0, 1]
f (x) = .
0 0 6 [0, 1].
I If B [0, 1] is an interval, then P{X B} is the length of
that interval.
R R
I Generally, if B [0, 1] then P{X B} = B 1dx = 1B (x)dx
is the total volume or total length of the set B.
Uniform measure: is probability defined for all subsets?

I One of the
( very simplest probability density functions is
1 x [0, 1]
f (x) = .
0 0 6 [0, 1].
I If B [0, 1] is an interval, then P{X B} is the length of
that interval.
R R
I Generally, if B [0, 1] then P{X B} = B 1dx = 1B (x)dx
is the total volume or total length of the set B.
I What if B is the set of all rational numbers?
Uniform measure: is probability defined for all subsets?

I One of the
( very simplest probability density functions is
1 x [0, 1]
f (x) = .
0 0 6 [0, 1].
I If B [0, 1] is an interval, then P{X B} is the length of
that interval.
R R
I Generally, if B [0, 1] then P{X B} = B 1dx = 1B (x)dx
is the total volume or total length of the set B.
I What if B is the set of all rational numbers?
I How do we mathematically define the volume of an arbitrary
set B?
Idea behind parodox
I Hypothetical: Consider the interval [0, 1) with the two
endpoints glued together (so it looks like a circle). What if we
could partition [0, 1) into a countably infinite collection of
disjoint sets that all looked the same (up to a rotation of the
circle) and thus had to have the same probability?
Idea behind parodox
I Hypothetical: Consider the interval [0, 1) with the two
endpoints glued together (so it looks like a circle). What if we
could partition [0, 1) into a countably infinite collection of
disjoint sets that all looked the same (up to a rotation of the
circle) and thus had to have the same probability?
I If that probability was zero, then (by countable additivity)
probability of whole circle would be zero, a contradiction.
Idea behind parodox
I Hypothetical: Consider the interval [0, 1) with the two
endpoints glued together (so it looks like a circle). What if we
could partition [0, 1) into a countably infinite collection of
disjoint sets that all looked the same (up to a rotation of the
circle) and thus had to have the same probability?
I If that probability was zero, then (by countable additivity)
probability of whole circle would be zero, a contradiction.
I But if that probability were a number greater than zero the
probability of whole circle would be infinite, also a
contradiction...
Idea behind parodox
I Hypothetical: Consider the interval [0, 1) with the two
endpoints glued together (so it looks like a circle). What if we
could partition [0, 1) into a countably infinite collection of
disjoint sets that all looked the same (up to a rotation of the
circle) and thus had to have the same probability?
I If that probability was zero, then (by countable additivity)
probability of whole circle would be zero, a contradiction.
I But if that probability were a number greater than zero the
probability of whole circle would be infinite, also a
contradiction...
I Related problem: if (in a non-atomic world, where mass was
infinitely divisible) you could cut a cake into countably
infinitely many pieces all of the same weight, how much would
each piece weigh?
Idea behind parodox
I Hypothetical: Consider the interval [0, 1) with the two
endpoints glued together (so it looks like a circle). What if we
could partition [0, 1) into a countably infinite collection of
disjoint sets that all looked the same (up to a rotation of the
circle) and thus had to have the same probability?
I If that probability was zero, then (by countable additivity)
probability of whole circle would be zero, a contradiction.
I But if that probability were a number greater than zero the
probability of whole circle would be infinite, also a
contradiction...
I Related problem: if (in a non-atomic world, where mass was
infinitely divisible) you could cut a cake into countably
infinitely many pieces all of the same weight, how much would
each piece weigh?
I Question: Is it really possible to partition [0, 1) into
countably many identical (up to rotation) pieces?
Cutting things into identical slices: a warmup problem

I Consider the set of numbers {0, 1, 2, . . . , 99}.

Cutting things into identical slices: a warmup problem

I Consider the set of numbers {0, 1, 2, . . . , 99}.

I Lets suggest one fancy way to divide this set into ten equal
subsets that are translations of each other modulo 100.
Cutting things into identical slices: a warmup problem

I Consider the set of numbers {0, 1, 2, . . . , 99}.

I Lets suggest one fancy way to divide this set into ten equal
subsets that are translations of each other modulo 100.
I Two numbers are equivalent modulo 10 if their difference is
a multiple of 10 (so they end in same digit). Pick a set
S {0, 1, 2, . . . , 99} with one number from each equivalence
class, e.g., S = {40, 21, 42, 53, 94, 5, 76, 27, 28, 39}.
Cutting things into identical slices: a warmup problem

I Consider the set of numbers {0, 1, 2, . . . , 99}.

I Lets suggest one fancy way to divide this set into ten equal
subsets that are translations of each other modulo 100.
I Two numbers are equivalent modulo 10 if their difference is
a multiple of 10 (so they end in same digit). Pick a set
S {0, 1, 2, . . . , 99} with one number from each equivalence
class, e.g., S = {40, 21, 42, 53, 94, 5, 76, 27, 28, 39}.
I Then for each j {0, 10, 20, . . . , 90} define the set
Sj = {s + j : s S}, where addition is modulo 100.
Cutting things into identical slices: a warmup problem

I Consider the set of numbers {0, 1, 2, . . . , 99}.

I Lets suggest one fancy way to divide this set into ten equal
subsets that are translations of each other modulo 100.
I Two numbers are equivalent modulo 10 if their difference is
a multiple of 10 (so they end in same digit). Pick a set
S {0, 1, 2, . . . , 99} with one number from each equivalence
class, e.g., S = {40, 21, 42, 53, 94, 5, 76, 27, 28, 39}.
I Then for each j {0, 10, 20, . . . , 90} define the set
Sj = {s + j : s S}, where addition is modulo 100.
I Now observe that every number in {0, 1, 2, . . . , 99} lies in
exactly one of the ten Sj sets we have defined.
Cutting things into identical slices: a warmup problem

I Consider the set of numbers {0, 1, 2, . . . , 99}.

I Lets suggest one fancy way to divide this set into ten equal
subsets that are translations of each other modulo 100.
I Two numbers are equivalent modulo 10 if their difference is
a multiple of 10 (so they end in same digit). Pick a set
S {0, 1, 2, . . . , 99} with one number from each equivalence
class, e.g., S = {40, 21, 42, 53, 94, 5, 76, 27, 28, 39}.
I Then for each j {0, 10, 20, . . . , 90} define the set
Sj = {s + j : s S}, where addition is modulo 100.
I Now observe that every number in {0, 1, 2, . . . , 99} lies in
exactly one of the ten Sj sets we have defined.
I On next slide, were going to do something similar with [0, 1)
in place of {0, 1, 2, . . . , 99} and the rational numbers in
[0, 1) in place of {0, 10, 20, . . . , 90}.
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
I Call x, y equivalent modulo rationals if x y is rational
(e.g., x = 3 and y = 9/4). An equivalence class is
the set of points in [0, 1) equivalent to some given point.
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
I Call x, y equivalent modulo rationals if x y is rational
(e.g., x = 3 and y = 9/4). An equivalence class is
the set of points in [0, 1) equivalent to some given point.
I There are uncountably many of these classes.
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
I Call x, y equivalent modulo rationals if x y is rational
(e.g., x = 3 and y = 9/4). An equivalence class is
the set of points in [0, 1) equivalent to some given point.
I There are uncountably many of these classes.
I Let A [0, 1) contain one point from each class. For each
x [0, 1), there is one a A such that r = x a is rational.
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
I Call x, y equivalent modulo rationals if x y is rational
(e.g., x = 3 and y = 9/4). An equivalence class is
the set of points in [0, 1) equivalent to some given point.
I There are uncountably many of these classes.
I Let A [0, 1) contain one point from each class. For each
x [0, 1), there is one a A such that r = x a is rational.
I Then each x in [0, 1) lies in r (A) for one rational r [0, 1).
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
I Call x, y equivalent modulo rationals if x y is rational
(e.g., x = 3 and y = 9/4). An equivalence class is
the set of points in [0, 1) equivalent to some given point.
I There are uncountably many of these classes.
I Let A [0, 1) contain one point from each class. For each
x [0, 1), there is one a A such that r = x a is rational.
I Then each x in [0, 1) lies in r (A) for one rational r [0, 1).
I Thus [0, 1) = r (A) as r ranges over rationals in [0, 1).
Formulating the paradox precisely

I Consider wrap-around translations r (x) = (x + r ) mod 1.

I We expect r (B) to have same probability as B.
I Call x, y equivalent modulo rationals if x y is rational
(e.g., x = 3 and y = 9/4). An equivalence class is
the set of points in [0, 1) equivalent to some given point.
I There are uncountably many of these classes.
I Let A [0, 1) contain one point from each class. For each
x [0, 1), there is one a A such that r = x a is rational.
I Then each x in [0, 1) lies in r (A) for one rational r [0, 1).
I Thus [0, 1) = r (A) as r ranges over rationals in [0, 1).
P
I If P(A) =
P0, then P(S) = r P(r (A)) = 0. If P(A) > 0 then
P(S) = r P(r (A)) = . Contradicts P(S) = 1 axiom.
Three ways to get around this
I 1. Re-examine axioms of mathematics: the very existence
of a set A with one element from each equivalence class is
consequence of so-called axiom of choice. Removing that
axiom makes paradox goes away, since one can just suppose
(pretend?) these kinds of sets dont exist.
Three ways to get around this
I 1. Re-examine axioms of mathematics: the very existence
of a set A with one element from each equivalence class is
consequence of so-called axiom of choice. Removing that
axiom makes paradox goes away, since one can just suppose
(pretend?) these kinds of sets dont exist.
I 2. Re-examine axioms of probability: Replace countable
additivity with finite additivity? (Doesnt fully solve problem:
look up Banach-Tarski.)
Three ways to get around this
I 1. Re-examine axioms of mathematics: the very existence
of a set A with one element from each equivalence class is
consequence of so-called axiom of choice. Removing that
axiom makes paradox goes away, since one can just suppose
(pretend?) these kinds of sets dont exist.
I 2. Re-examine axioms of probability: Replace countable
additivity with finite additivity? (Doesnt fully solve problem:
look up Banach-Tarski.)
I 3. Keep the axiom of choice and countable additivity but
dont define probabilities of all sets: Instead of defining
P(B) for every subset B of sample space, restrict attention to
a family of so-called measurable sets.
Three ways to get around this
I 1. Re-examine axioms of mathematics: the very existence
of a set A with one element from each equivalence class is
consequence of so-called axiom of choice. Removing that
axiom makes paradox goes away, since one can just suppose
(pretend?) these kinds of sets dont exist.
I 2. Re-examine axioms of probability: Replace countable
additivity with finite additivity? (Doesnt fully solve problem:
look up Banach-Tarski.)
I 3. Keep the axiom of choice and countable additivity but
dont define probabilities of all sets: Instead of defining
P(B) for every subset B of sample space, restrict attention to
a family of so-called measurable sets.
I Most mainstream probability and analysis takes the third
approach.
Three ways to get around this
I 1. Re-examine axioms of mathematics: the very existence
of a set A with one element from each equivalence class is
consequence of so-called axiom of choice. Removing that
axiom makes paradox goes away, since one can just suppose
(pretend?) these kinds of sets dont exist.
I 2. Re-examine axioms of probability: Replace countable
additivity with finite additivity? (Doesnt fully solve problem:
look up Banach-Tarski.)
I 3. Keep the axiom of choice and countable additivity but
dont define probabilities of all sets: Instead of defining
P(B) for every subset B of sample space, restrict attention to
a family of so-called measurable sets.
I Most mainstream probability and analysis takes the third
approach.
I In practice, sets we care about (e.g., countable unions of
points and intervals) tend to be measurable.
Perspective

I More advanced courses in probability and analysis (such as

18.125 and 18.175) spend a significant amount of time
rigorously constructing a class of so-called measurable sets
and the so-called Lebesgue measure, which assigns a real
number (a measure) to each of these sets.
Perspective

I More advanced courses in probability and analysis (such as

18.125 and 18.175) spend a significant amount of time
rigorously constructing a class of so-called measurable sets
and the so-called Lebesgue measure, which assigns a real
number (a measure) to each of these sets.
I These courses also replace the Riemann integral with the
so-called Lebesgue integral.
Perspective

I More advanced courses in probability and analysis (such as

18.125 and 18.175) spend a significant amount of time
rigorously constructing a class of so-called measurable sets
and the so-called Lebesgue measure, which assigns a real
number (a measure) to each of these sets.
I These courses also replace the Riemann integral with the
so-called Lebesgue integral.
I We will not treat these topics any further in this course.
Perspective

I More advanced courses in probability and analysis (such as

18.125 and 18.175) spend a significant amount of time
rigorously constructing a class of so-called measurable sets
and the so-called Lebesgue measure, which assigns a real
number (a measure) to each of these sets.
I These courses also replace the Riemann integral with the
so-called Lebesgue integral.
I We will not treat these topics any further in this course.
I We usually limit our attention to probability density functions
fR and sets B for which the ordinary Riemann integral
1B (x)f (x)dx is well defined.
Perspective

I More advanced courses in probability and analysis (such as

18.125 and 18.175) spend a significant amount of time
rigorously constructing a class of so-called measurable sets
and the so-called Lebesgue measure, which assigns a real
number (a measure) to each of these sets.
I These courses also replace the Riemann integral with the
so-called Lebesgue integral.
I We will not treat these topics any further in this course.
I We usually limit our attention to probability density functions
fR and sets B for which the ordinary Riemann integral
1B (x)f (x)dx is well defined.
I Riemann integration is a mathematically rigorous theory. Its
just not as robust as Lebesgue integration.