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Stochastic Processes
Lecture -1
(Review of Basics of Probability)
Prerequisite
• Linear Algebra
• Calculus
• Introduction to Probability
• Discrete mathematic
Evaluation :
• Mid term : 35%
• Final term :45 %
• Quiz (5) :10 %
• Assignments (5) : 10%
Text Book to follow.
• Type of Systems
o Deterministic Systems
o Stochastic Systems
• Data modelling
• Prediction and Forecasting
• Planning
Random Experiment
Definition:
An experiment in which the outcome varies in unpredictable fashion when the experiment
is repeated under same conditions.
Specification:
A random experiment is specified by stating an experimental procedure and a set of one or
more measurements or observations.
Experiment E 1 : Select a ball from an urn containing balls numbered 1 to 50. Note the number of
the ball.
Experiment E2 : Select a ball from an urn containing balls numbered 1 to 4. Suppose that balls 1
and 2 are black and that balls 3 and 4 are white. Note the number and color of the ball you select.
Experiment E3 : Toss a coin three times and note the sequence of heads and tails.
Experiment E4: Toss a coin three times and note the number of heads.
Random Experiment
Experiment E5: A block of information is transmitted repeatedly over a noisy channel until an error-
free block arrives at the receiver. Count the number of transmissions required.
Experiment E6: Pick a number at random between zero and one.
Experiment E7: Measure the time between page requests in a Web server.
Experiment E8: Measure the lifetime of a given computer memory chip in a specified environment.
Experiment E9 : Determine the value of an audio signal at time t1;
Experiment E10: Determine the values of an audio signal at times t1 and t2
Experiment E11: Pick two numbers at random between zero and one.
Experiment E12: Pick a number X at random between zero and one, then pick a number Y at
random between zero and X.
The Sample Space
Definition
Set of all possible outcomes for an experiments.
Example
Example
Experiment E3 : Toss a coin three times and note the sequence of heads and tails.
Example :
S1 and S3 are example of discrete sample space.
Set Operations
Basics of Set Theory
Basics of Set Theory
Complement of a Set
Associative Property
Distributive Property
De Morgan Law
Concept of Event
Definition
A subset of a sample space is called an event.
Example :
Example :
Disjoint event
Two sets (or event )A and B are said to be disjoint if their intersection is a Null set.
Consider an example of tossing a fair coin. There are two event may happen, i.e. , H or T. so both
the event are equally likely. Then,
Probability Axioms
Probability Axioms
Example
Probability Axioms
Example :
General Definition of Probability law
Example :
consider a pair of four sided dice. It is assumed that dice are fair and each outcome is equally likely.
Then P[“ the sum of roll is even”]=?
P [“The sum of roll is odd”]=?
Some Properties of Probability Laws
Probability of Disjoint Events
Proof of Property (b)
(1)
By solving last three equations , we can get the above equation (1)
Proof of property (d)
We will show how beneficial are these two expression in determining the probabilities in sequential
Experiments.
Conditional Probability
Sequential experiment
Consider an urn with two white balls {W1, W2} and two black balls {B1, B2}. If we draw one ball (at a time)
and note the color of the ball. One of the possibility is as shown
Possible outcome of
B2 W2 2nd draw
W2 B2
Conditional Probability
Sequential experiment
B1 W1
P[B1] P[W 1]
B2 W2
W2 B2
P [W 2 | B1]
P[ B 2 | B1]
Sequential experiment
The paths from the top node to a bottom node correspond to the possible outcomes in the drawing of two
balls from an urn without replacement. The probability of a path is the product of the probabilities in the
associated transitions