Prob Review

Why Probability ?
ECE/CSC 570
Extensive use in modeling network traffic
Area of mathematics most fundamentally related to

computer networking
Leads on to more powerful analysis tools and modeling

paradigms
Markov chains
Probability Theory Review
Queueing theory, etc.
Deterministic approach is infeasible!
You cant rely on simulations/test-bed for every possible

scenarios
We need insight, to be able to predict, optimize system in a
systematic way
ECE/CSC 570, Fall 2014
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More on Probability
Probability and Random Variables
Sample space : A set of all possible outcomes

sample points) of an experiment
Event: a subset of , denoted as A, B, C, etc.
Random variable
sample space, i.e.,
(or
Example: roll a dice = {1,2,3,4,5,6}

Event: {2,4,6}, {1,5},
Random variable: e.g., x = 0 if it is even and =1 if odd.
: a function of the outcome in a
E.g., X(k) = k2 square of the values
Probability: A measure of possibility an event of the sample space

happened
Probability Axiom
Probability: set function (mapping) from an event to [0,1]
Some properties of probability

If A B, then P(A) P(B)
P(A B) P(A) + P(B)
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Discrete Random Variables
Infinite sample space
Discrete sample space, i.e., countable set: finite or

(countable) infinite outcomes
Finite sample space Roulette wheel
Count the number of telephone calls Y arrived at a server in time

interval [0,1] Repeating the experiment many times.
We have
Y is called a Poisson r.v. with parameter
Total N slots, each slot is marked with a label picked up from

(There are Ni slots marked with label xi
Now spin the wheel.
X is a r.v. that records the outcome of the

spin test. Probability pi that xi appears:
2
3
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(check!)
Continuous Random Variables
Example: Exponentially distributed random variable X

with rate > 0 :
Probability distribution function of X :
Properties:
F(t) is non-decreasing in t, F() = 1
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Conditional Probability
A and B
An event A occurs given that event B has occurred

P( A B)
P( A | B)
for P(B) 0
P(B)
Examples:
A
1. Roulette Wheel Example

B={1, 2, 3}, A= {1,4}
Probability density function (pdf) of X:
Properties:
P{X A | X B}
P{X A B}
1
N1
P{X B}
N1 N 2 N 3 4
2. Let Y be a Poisson r.v.
P{Y 1 | Y 0}
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e
P{Y 1 and Y 0}
P{Y 1}
P{Y 0}
1 P{Y 0} 1 e
Theorem of Total Probability
Conditional Probability (contd)

3. Let X be the lifetime of a communication link that is
exponentially distributed with rate 0 , we want to
estimate its probability that it will survive for at least t more
seconds, given that has been alive for a seconds.
Let Bi be a partition of , i.e., Bis are disjoint and
P{ X a t | X a}
_________ __________
B1
_________ __________ P{ X t }
B2
A B1
Note: This property is called memoryless, namely,
B3
P{ X a t | X a} P{ X t}
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Bayes Theorem
Let {Ei, i=1,2, , N} be a partition of
Then:
Updates prob. assigned to Ei in light of occurrence of F
F is regarded as new evidence
Widely used in inference systems
B4
Example
3 coins are given: two of them are fair, one of them is

biased (P{H}=2/3, P{T}=1/3)
We dont know which one is biased; they all look the same
Flip three coins in a row and we have observed

The first and second coins both show heads, while the third one
shows tail
Class Exercise: Given the observation, P {the first coin is

the biased one} = ?
Further question: flip one more (any of three) costs $1;
pick the biased one you earn $2. Do you want to continue?
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Moments of an RV
Another example: Monty Hall problem

3 doors; only one of them leads to prize; the other two have goats
(or no prize).
You choose one of three, and the other (Monty Hall) open one of the
other two (unselected) and show that there is a goat.
Monty asks you: Do you want to stay on your choice or switch to the
other unopened door?
The CDF (or PDF) provides complete info. about a r.v. X

determines probability of any event involving r.v. X
Often, we need/want a lot less info about an experiment:

We are not interested in all possible events.
We cannot provide/digest so much information
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Instead, some partial information is OK
Moments of the PDF provide useful partial info.
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Expected Value
Higher Moments
E{X} denotes the expected value (average) of RV X:
E{Xn} denotes the n-th moment of RV X:
Definition:
Definition:
discrete RV:
discrete RV:
continuous RV:
continuous RV:
Expected value of X is the sum of the values of X weighted by

their probabilities
If Y = g(X):
discrete RV:
continuous RV:
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First moment: expected value E{X}
Second moment: E{X2}
So on
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Variance
X2 or Var{X} denote the variance of RV X

Definition: X2 = E{(X-E{X})2}
Example
A r.v. X is geometrically distributed with parameter p (0,1)
Check if
the second moment around the mean

measure of the spread of X around its mean
extremely important, widely used in statistics
X2 = E{X2} E2{X}
Standard deviation, X: defined as
n 1
n 1
E{X} n pn n (1 p ) p n 1
same dimension (units) as the mean E{X}
n p n 1 n p n (n 1) p n n p n
more realistic measure of the spread of X
n 1
n 1
n 0
n 1
n 0
n 0
n 0
n 0
n pn pn n pn pn
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Exponentially distributed RV X with rate
Independence of events
Example (2)
1
1 p
Two events A and B are said to be independent if and

only if P(A|B) = P(A).
Occurrence of B tells us nothing about occurrence of A
E{X} = ? Var{X} = ?
Poisson r.v. X with rate E{X} ? E{X2}=?
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We have
If A and B are independent,
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Independence of random variables
Two discrete r.v.s X and Y are independent
Independence implies E{ XY } E{ X }E{Y },
P( X xi, Y yi ) P( X xi )P(Y yi )
Consider two continuous r.v.s X and Y,

Joint density function:
f X ,Y ( x, y )
P{ X x, Y y}
Joint distribution function of X and Y:
Independence of random variables

uncorrelated
E{ XY } xy f X ,Y ( x, y )dxdy
But, the converse is not true!!
Example?
2
d P{ X x, Y y}
dxdy
The two r.v.s X and Y are independent
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f X ,Y ( x, y ) f X ( x) f Y ( y )
Stochastic Dynamic Systems
Dynamic systems: those that evolve in time
Must describe the sequence of states a system enters
Example: the length of the queue at a router interface
Arrival (or Counting) process
need a model to describe these changes over time
Example: # of packet/call arrivals over time [0, t]
Stochastic process: models dynamic systems

combines the concept of RV with the notion of time
informally: a vector RV with infinite dimensions
{N(t), t 0} be a discrete-space, continuous time stochastic

process
Definition: {N(t); t 0} is a counting (or arrival) process if:
1.
2.
3.
4.
the queue length changes as packets arrive or leave
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1.
N(0)=0
N(t) is integer valued.
N(t) is non-decreasing; i.e., if s t, then N(s) N(t).
For s < t, N(t) - N(s) = # of events (or arrivals) in (s,t] (right continuous
property).
N(t) = # of telephone
calls arrived in time
interval [0,t]
2. N(t) = # of packets
generated in time
interval [0,t], etc.
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N(t)
t1 t2
t3
Time
Independent Increments Property

N(t1)-N(s1)
s1
t1
Not so strong property: quite popular assumption!

For any t, s 0, the distribution of N(t+s) N(t) is
independent of t.
N(t2)-N(s2)
s2
t2
Stationary Increments Property
(s1,t1] and (s2,t2]: two non-overlapping time intervals

Y1 = N(t1) N(s1), Y2 = N(t2) N(s2): RVs representing # of events in
each interval
If arrivals in two intervals are independent, then RVs Y1 and Y2 are
also independent
the process has independent increments (very strong property)
P{N(t+s) N(t) = n}
= P{N(t1+s) N(t1) = n}
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= P{N(s) = n}
Note: N(t+s) N(t) N(s) in general: They have the

same distribution, but are not equal.
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Poisson Process (contd)
Poisson Process
Two Definitions:
Definition 1: An arrival process {N(t); t 0} is
said to be a Poisson Process with rate > 0, if
N(0)=0
It has stationary and independent increments
P{N(h) = 1} = h + o(h)
P{N(h) 2} = o(h): rules out simultaneous arrivals
What is P{N(h)=0} then?
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Equivalent Definition:
Definition 2: An arrival process {N(t), t 0} is said to

be a Poisson Process with rate , if
N(0)=0
The process has independent increments.
The number of arrivals in any interval of length s is Poisson
distributed with mean s. In other words, for all s and t 0,
Note:
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Interarrival times of Poisson Process
Joint Distribution: Complete Characterization
For any increasing time instants (t1 , t2 , , tk ) and nondecreasing integers (n1 , n2 , , nk ), we want to compute
Consider a Poisson process with rate

X2
X1
X3
For instance, P{N(3)=4, N(5)=6, N(8)=10} = ?

t=0
t=1
t=2
t=3
Let Xn be the time between the (n-1)st and the nth event
(arrival). Then, {Xn, x 1} forms a sequence of interarrival
times.
Distribution ?
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Interarrival times of Poisson Process
First, what is the distribution of X1?
X1 has an exponential distribution with mean 1/.
Repeating the argument
In fact, Xn, n 1, are independent and identically

distributed (i.i.d.) exponential random variables with
mean 1/.
Another way of constructing a Poisson process?
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Sn: Time until the nth Arrival
Sn can be expressed as:
The event {Sn t}, the nth arrival before time t is

equivalent to the event {N(t) n}, the number of arrivals
occurring by time t is at least n.
Sn t
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Memoryless Property
Paradox of Residual Life
Let { N(t), t 0} be a Poisson process with rate

Let t0 be the time since the last arrival
Q: what is the distribution of time till the next arrival?
t
Xn
Xn+1
Xn+2
Suppose that buses arrive at a stop according to a

Poisson process with rate .
Assume that you arrive at that bus-stop at some arbitrary
point in time.
Question: How long would you expect to wait?
Exponential distribution is memoryless residual life paradox

Exponential dist. is the only one with the memoryless property!
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Two logical answers.
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Answer 1: Average wait = 1/(2)
Note that average time between bus arrivals = 1/

Xn
Bus arrives
Xn+1
Since buses arrive according to a Poisson process with rate ,

the time you have to wait is independent of how long it has
taken since the last bus, i.e., the average wait = 1/.
In fact, by the second argument, if buses have been

operational for a long time, then by the memory-less property,
the expected time since the last bus arrival is also 1/
This implies that the expected time between the last bus and
the next bus arrival in your interval = 2/
So, which answer is correct?
On average, you will arrive exactly in the middle of an

inter-arrival time.
Your average wait for the next bus = E{Xi} = 1/(2)
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Answer 2: Average wait = 1/
Xn+2
Bus arrives
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Paradox of Residual Life
Answer 2 is in fact correct!

This is because the interval that you arrive in is not a typical
interval, i.e., it is in fact more likely that you will arrive in a larger
time interval.
In the case of a Poisson process, if you are sufficiently far from the
origin, this interval that you arrive is in fact two times as long as
the average interval.
Utilities of Poisson Processes
It has been shown that the number of call (or connection)

arrivals received in a network system in a time interval
[0,t] is well modeled by a Poisson process.
Connection with Binomial distribution
Many nice properties
Inspection Paradox: also applies to other arrival

processes
SN(t)
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SN(t)+1
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Poisson as a Limit of Binomial Distribution
Binomial random variable

Xi: i.i.d., P{Xi=1} = 1 P{Xi=0} = p
Utilities of Poisson Processes
Bn has binomial distribution with parameters (n, p)
Now, n large, p=p(n) small, such that
Then, as n gets large, Bn converges to a Poisson random

variable with mean
# of phone call (packet) arrivals at central switch over small

time interval I (of size O(1/n))
Xk = 1 if there is a call arrival over I with probability p from kth source
Superposition of two independent Poisson processes are

again a Poisson process.
Let N1(t) be a Poisson process with rate 1, and N2(t) be a Poisson
process with rate 2, and they are independent.
Then, N1(t)+N2(t) is also a Poisson process with rate 1 + 2
Statistically splitting Poisson arrival into two arrival

processes (using a Bernoulli r.v. for splitting) Poisson
processes !
Total n sources, while np
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Other Arrival Processes
Renewal Process: A counting process for which

the interarrival times are i.i.d. with an arbitrary
distribution
Regenerative Method
Example 1: To transmit packets from source to destination.
Packet
Source
Destination
Note: if i.i.d. exponential dist. Poisson process !

SENDER
PACKET
CRC
SEQ. #
RECEIVER
acknowledge packet
if no errors
TIMEOUT
ACK
retransmit
if no ACK
time
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Assumptions:
X = # of flips until tail shows up
When destination receives a correct packet, an ACK would be

generated, otherwise a NACK would be generated and sent back
to source.
A packet is correctly transmitted with probability (1-p)
A packet in error must be retransmitted.
Transmission of packets is independent
X = # of transmissions needed for destination to get a

correct packet. P{X n} pn-1 (1-p)
Y = # of transmissions needed for destination to get a

correct packet given that the first transmission is error.
Coin Flip Analogy
Regenerative Method (2)
1
, with probabilit y ( 1-p)
X
1 Y , with probabilit y p
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time
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Regenerative Method (3)
Since Y and X have the same distribution (Y is statistical

replica of X):
E{ X } 1 ( 1-p) p( 1 E{Y })
1-p p( 1 E{ X })
E{ X } 1/( 1-p)
Note: The purpose of regenerative method is to introduce

a simple algebra calculation method instead of complex
calculation
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Example 2 (contd)
X:
# of days he takes to reach freedom
E{X}: average days he takes to reach freedom
Yi : # of days he takes if his previous choice is door-i other
than the one leads to freedom
In class exercise: E{X} = ?
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Example 2
Example description: A prison cell has 4 doors (see figure).
Only 1 door lets to freedom,

the other 3 doors, if a
prisoner enters, he would be
trapped and kept inside for 1
day, 3 days, 5 days each.
Door-4
1 day
Door-3
Prison Cell
5 days
FREE
Door-2
Door-1
3 days
Assumptions:
It takes a prisoner 1 day to get to each door.
A prisoner immediately forgets which door he takes every time.
A prisoner chooses each door with equal probability.
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Prob Review

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Prob Review

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Copyright:

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Why Probability ?

Extensive use in modeling network traffic

Area of mathematics most fundamentally related to

Leads on to more powerful analysis tools and modeling

Probability Theory Review

Queueing theory, etc.

Deterministic approach is infeasible!

You cant rely on simulations/test-bed for every possible

ECE/CSC 570, Fall 2014

Probability and Random Variables

Sample space : A set of all possible outcomes

Event: a subset of , denoted as A, B, C, etc.

Example: roll a dice = {1,2,3,4,5,6}

: a function of the outcome in a

E.g., X(k) = k2 square of the values

Probability: A measure of possibility an event of the sample space

Probability: set function (mapping) from an event to [0,1]

Some properties of probability

ECE/CSC 570, Fall 2014

ECE/CSC 570, Fall 2014

Discrete Random Variables

Infinite sample space

Discrete sample space, i.e., countable set: finite or

Count the number of telephone calls Y arrived at a server in time

Y is called a Poisson r.v. with parameter

Total N slots, each slot is marked with a label picked up from

Now spin the wheel.

X is a r.v. that records the outcome of the

ECE/CSC 570, Fall 2014

Continuous Random Variables

Example: Exponentially distributed random variable X

Probability distribution function of X :

ECE/CSC 570, Fall 2014

An event A occurs given that event B has occurred

1. Roulette Wheel Example

Probability density function (pdf) of X:

2. Let Y be a Poisson r.v.

ECE/CSC 570, Fall 2014

Theorem of Total Probability

Conditional Probability (contd)

Let Bi be a partition of , i.e., Bis are disjoint and

Note: This property is called memoryless, namely,

ECE/CSC 570, Fall 2014

Let {Ei, i=1,2, , N} be a partition of

Updates prob. assigned to Ei in light of occurrence of F

F is regarded as new evidence

Widely used in inference systems

ECE/CSC 570, Fall 2014

3 coins are given: two of them are fair, one of them is

Flip three coins in a row and we have observed

Class Exercise: Given the observation, P {the first coin is

ECE/CSC 570, Fall 2014

ECE/CSC 570, Fall 2014

Another example: Monty Hall problem

The CDF (or PDF) provides complete info. about a r.v. X

Often, we need/want a lot less info about an experiment:

ECE/CSC 570, Fall 2014

Instead, some partial information is OK

Moments of the PDF provide useful partial info.

ECE/CSC 570, Fall 2014

E{X} denotes the expected value (average) of RV X:

E{Xn} denotes the n-th moment of RV X:

Expected value of X is the sum of the values of X weighted by

ECE/CSC 570, Fall 2014