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SE513: Modeling & Systems Identification I: Dr. Samir Al-Amer

This document provides an overview of probability and random variables. It defines probability as the ratio of favorable outcomes to total possible outcomes. It discusses concepts such as independent events, mutually exclusive events, and non-mutually exclusive events. Random variables are defined as real-valued functions of outcomes in the sample space. Both discrete and continuous random variables are covered. The key concepts of mean, variance, and standard deviation are introduced for random variables. Examples are provided to illustrate calculating these metrics for both discrete and continuous distributions.

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Syed Ali
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Download as PPTX, PDF, TXT or read online on Scribd
74 views32 pages

SE513: Modeling & Systems Identification I: Dr. Samir Al-Amer

This document provides an overview of probability and random variables. It defines probability as the ratio of favorable outcomes to total possible outcomes. It discusses concepts such as independent events, mutually exclusive events, and non-mutually exclusive events. Random variables are defined as real-valued functions of outcomes in the sample space. Both discrete and continuous random variables are covered. The key concepts of mean, variance, and standard deviation are introduced for random variables. Examples are provided to illustrate calculating these metrics for both discrete and continuous distributions.

Uploaded by

Syed Ali
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
You are on page 1/ 32

SE513: Modeling & Systems Identification I

Lecture 3
Review of Probability & random variables

DR. SA MI R A L- A MER

2007 Dr. Samir Al-Amer( c)

513

Lecture Outlines
2

Probability
Probability of multiple events
Independent events
Mutually exclusive events
Non- Mutually exclusive events
Mean and variance
Continuous variable

2007 Dr. Samir Al-Amer( c)

513

Probability
Let

X be an event occurring as a result of some


experiments or trials
n : # of trials resulting in X
x

n : total # of trials

nx
Probabilit y of X p(X) lim
n n

Conduct an infinite number of trials

Probabilit y of X
513

# of tirals resulting in X
total number of trials

2007 Dr. Samir Al-Amer( c)

Probability
Alternative definition/ more practical

Let
X be an event occurring as a result of some experiments
or trials
N : # of all possible outcomes (size of sample space)
N : # of outcomes favorable to X
x

Nx
Probabilit y of X p(X)
N

513

Tossing a fair coin


Two possible outcomes { H,T}
X= getting a head {H} in first trial
2007 Dr. Samir Al-Amer( c)
N=2, Nx=1 p(X)=0.5

Probability
Example
5

When a die is tossed


Sample space ={1,2,3,4,5,6}
Let X be the occurrence of 4
N=6
Nx=1
p(4)=1/6

2007 Dr. Samir Al-Amer( c)

513

Probability
Example
6

When a die is tossed once


Sample space ={1,2,3,4,5,6}
Let X be the occurrence of an even

number ( 2 , 4 or 6)
N=6
Nx=3
p(even)=3/6 =0.5
2007 Dr. Samir Al-Amer( c)

513

What do you know about p(X)?

2007 Dr. Samir Al-Amer( c)

513

Probability of Multiple Events


8

Independent events
Mutually exclusive events
Non- Mutually exclusive events

2007 Dr. Samir Al-Amer( c)

513

Probability of Independent Events


9

Two events X and Y are independent

if the occurrence of X does not affect the


probability of Y and vice versa
If X and Y are independent then

p(X Y)=p(X) p(Y)


Probability of X and Y

2007 Dr. Samir Al-Amer( c)

513

Probability of Independent Events


10

Two dice are tossed.


What is the probability that 3 appears twice?

X : 3 appears at the top of the first die


Y : 3 appears at the top of the second die

X and Y are independent

P(X Y)=P(X) P(Y)


P(3)=1/6
P(3 3 )=P(3)P(3)=1/36
2007 Dr. Samir Al-Amer( c)

513

Probability of Independent Events


11

If X1 , X2,, Xm are independent

then
P(X1 X2 Xm)=P(X1) P(X1) P(X1)

2007 Dr. Samir Al-Amer( c)

513

Notation
p ( X |Y ) probabilit y of occurrence of event
X knowing that Y occurred
If X and Y are independen t
p ( X |Y ) p( X )
p (Y | X ) p(Y )

513

2007 Dr. Samir Al-Amer( c)

12

Probability of Dependent Events


13

p(XY)=p(X)p(Y|X)

Probability of X and Y is the product of probability of X times the

probability of Y given that X occurred

X: first ball taken is blue


Y: Second ball taken is blue

G R B
G R B

P(X)=2/6
P(Y|X)=1/5
P(XY)=(2/6)(1/5)
2007 Dr. Samir Al-Amer( c)

G R
G R B

513

Probability of Mutually Exclusive Events


14

Two events X and Y are mutually

exclusive if the occurrence of X


precludes the occurrence of Y and vice
versa.
X and Y can not occur at the same time
p(X+Y): the probability of occurrence of X or Y
p(X+Y)= p(X)+ p(Y)

2007 Dr. Samir Al-Amer( c)

513

Probability of Non-Mutually Exclusive


Events
15

If X and Y are non-mutually exclusive


then
p(X+Y)=p(X)+p(Y)-p(XY)
XY
X

What is the probability one 2 appears in


two-dice toss?
2007 Dr. Samir Al-Amer( c)

513

Alternative Notation

p( X Y ) p( X Y )
P( X YZ ) P ( X Y Z )
p( X Y ) p( X Y )
p( X Y Z ) p( X Y Z )
513

2007 Dr. Samir Al-Amer( c)

16

DeMorgans Laws

(X Y ) X Y
(X Y ) X Y
X (Y Z ) ( X Y ) ( X Z )
X (Y Z ) ( X Y ) ( X Z )

513

2007 Dr. Samir Al-Amer( c)

17

18

RANDOM
VARIABLES

2007 Dr. Samir Al-Amer( c)

513

Random Variables
19

Random variables are real valued functions whose

domain is the sample space.


Example:
Toss a coin
Sample Space={H,T}
Define the random variable X as
X(H)=0
X(T)=1
2007 Dr. Samir Al-Amer( c)

Sample Space
H

Real line

513

Random Variables
Notation
20

Capital letters are used for Random variables


Lower case letters are used for the values a

random variable takes.


Example: p(X=x)
The probability that the random variable X is equal
to x.
p(X=1)=?
0.5 if we have a fair coin

2007 Dr. Samir Al-Amer( c)

513

Random Variables
21

Example:
4 dice are tossed
x = # of appearance of 5 on the top of
four dice toss.
There are four possible values that x can
take 0,1,2,3 and 4
X is a random variable. It is a number
that is assigned to each possible events
2007 Dr. Samir Al-Amer( c)

513

Example
22

Define F(x) as the frequency of


occurrence of the event associated with
x
Four dice are tossed 100 times

2007 Dr. Samir Al-Amer( c)

513

Random Variables
Example

X=life length of a transistor={x|0x }

Frequency
of
occurrence

0.5e

0.5 x

Sample Space

513

2007 Dr. Samir Al-Amer( c)

23

Continuous Random Variable


24

A random variable is continuous if it takes on the infinite number of

possible values associated with intervals of real numbers

What is p)2( ?

p)X(

0.5e

0.5

0.5 x

2007 Dr. Samir Al-Amer( c)

513

Probability Functions
Probability Density Function

p( x )
Properties
p(x) 0
p( ) 0
p( ) 0
p ( a x b) P ( b) P ( a )

Cumulative Distribution Function

P( x ) p( X x )

Properties
0 P( x ) 1
P ( ) 0
P ( ) 1
dP ( x )
0
dx
P( x )

513

2007 Dr. Samir Al-Amer( c)

p( x ) dx
25

26

MEAN AND
VARIANCE

2007 Dr. Samir Al-Amer( c)

513

Random Variables
27

Example:
4 dice are tossed
x = # of appearance of 5 on the top of
four dice toss.
There are four possible values that x can
take 0,1,2,3 and 4
X is a random variable. It is a number
that is assigned to each possible events
2007 Dr. Samir Al-Amer( c)

513

Example
28

x
F(x) xF(x) x2F(x)
0
48
0
0
1
39
39
39
2
11
22
44
3
2
6
18
4
0
0
0
________________________
Sums
100
67
101
2007 Dr. Samir Al-Amer( c)

513

Mean and Variance


xF ( x)

Mean E{x} x
F ( x)
x x F ( x)

Variance E{x }

F ( x)
2

standard deviation

x x F ( x)

Third Central Moment


F ( x)
3

513

2007 Dr. Samir Al-Amer( c)

29

Mean and Variance


Mean E{x} x
E{ x }
2

x p( x ) dx

x 2 p( x ) dx

Variance V {x} x2 E x E{x} E{x 2 } ( E{x})2


2

Properties of E{.}
E{aX} a E{X}
E{aX b} aE{X} b
V{aX b} a 2V ( X )
513

2007 Dr. Samir Al-Amer( c)

30

Mean and Variance


Example

e z

z0

z0

x is a random variable with p ( z )


E{x}

E{ x }
2

x p( x ) dx x e x dx 1

x p ( x ) dx x e dx 2
2

Variance V {x} E{x 2 } ( E{x})2 2 1 1


513

2007 Dr. Samir Al-Amer( c)

31

Reading Material
32

Chapter 1 J.A. Borrie. Stochastic Systems For

Engineers

2007 Dr. Samir Al-Amer( c)

513

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