Probability Review Definitions/Identities Random Variables

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Presentation transcript:

Probability Review Definitions/Identities Random Variables Expected Value Joint Distributions Conditional Probabilities

Probability Defined an event (experiment) has a set of possible outcomes, each with a probability, that measures their relative (anticipated) frequencies of occurrence normalized to 1.

Probability Identities Events and outcomes: Probability of each outcome: Probability distribution:

Joint Distributions Two (or more) events Each event has an outcome Joint distribution stipulates the probability of every combination of outcomes

Two Events

Random Variables

Multiple Random Variables

Joint probability matrix

Conditional Probability Random variables are often NOT independent P(rain in Pittsburgh), P(rain in Monroeville), P(rain in New York), P(rain in Hong Kong) P(Heads up), P(Tails down) P(D1=5), P(D2=6) P(D1=1), P(D1 + D2=2)

Dice Example

Conditional Probability P(A|B) = P(AB) P(B) AB

Example p(y1) = 0.2 p(y2) = 0.1 p(y3) = 0.7

Markov Processes State transition probabilities Matrix or Diagram Matrix Multiplication predicts multiple transition probabilities Mk Converges to steady state