Stochastic Models

Probability Review

Fall, 2015

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Outline

1 Probability
Probability

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 Probability Probability

Outline

1 Probability
Probability

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 Probability Probability

Probability Model

Random phenomena are common in natural as well as in man-made

systems,
The subject of probability provides us with a mathematical tool to
understand such random phenomena,
A probability model has three basic components:
1 sample space (Ω);
2 events (F );
3 probability of events (P).

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 Probability Probability

Probability Model

Random phenomena are common in natural as well as in man-made

systems,
The subject of probability provides us with a mathematical tool to
understand such random phenomena,
A probability model has three basic components:
1 sample space (Ω);
2 events (F );
3 probability of events (P).

ISE 305 4 / 15
 Probability Probability

Probability Model

Random phenomena are common in natural as well as in man-made

systems,
The subject of probability provides us with a mathematical tool to
understand such random phenomena,
A probability model has three basic components:
1 sample space (Ω);
2 events (F );
3 probability of events (P).

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 Probability Probability

Sample Space

Definition
(Sample Space, Ω): A sample space is the set of all possible outcomes of
a random phenomenon.

A sample space is generally denoted by the Greek letter Ω (omega),

Elements of Ω, generally denoted by ω, are called the “outcomes” or
“sample points”.

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 Probability Probability

Sample Space

Definition
(Sample Space, Ω): A sample space is the set of all possible outcomes of
a random phenomenon.

A sample space is generally denoted by the Greek letter Ω (omega),

Elements of Ω, generally denoted by ω, are called the “outcomes” or
“sample points”.

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 Probability Probability

Sample Space

Definition
(Sample Space, Ω): A sample space is the set of all possible outcomes of
a random phenomenon.

A sample space is generally denoted by the Greek letter Ω (omega),

Elements of Ω, generally denoted by ω, are called the “outcomes” or
“sample points”.

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 Probability Probability

Events – a collection of events

Definition
(Event): An event is a subset of the sample space.
Since Ω is a subset of Ω, we see that Ω is an event. It is called the
universal event.
Similarly the null set Ø is a subset of Ω Hence it is also an event,
called the null event.
Thus the universal event always takes place, while the null event never
takes place.

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DeMorgan’s Laws and Rules

( ni=1 Ei )c = ni=1 Eic

S T

( ni=1 Ei )c = ni=1 Eic

T S

The operations of unions, intersections and complements of events

obey the rules of Commutative, Associative and Distributive not
dissimilar to the rules of algebra.

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 Probability Probability

Definitions

Events E1 , E2 , ... are said to be exhaustive if at least one of the

events always takes place.
S∞
i=1 En = Ω.
Similarly, events E1 , E2 , ... are said to be mutually exclusive or
disjoint if at most one of the events can take place:
En = 0/ if i 6= j
T
Ei
Thus, when E1 , E2 , .. are mutually exclusive and exhaustive they
define a partition of Ω, i.e., each sample point ω ∈ Ω belongs to one
and only one En .

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Example: Die Tossing

Let E1 be the event that we get an even number, and let E2 be the
event that we get an odd number on the die.
Then E1 = {2, 4, 6}and E2 = {1, 3, 5} are mutually exclusive and
exhaustive.
Let E3 denote that we get a number larger than 3 on the die. Then
E3 = {4, 5, 6}.
The event "E1 or E3 " is given by E1 UE3 = {2, 4, 5, 6} . The event "E2
and E3 " is given by {5} .

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Probability of Events

The third component of a probability model is the probability function,

It associates a numerical value to each event that describes the
likelihood of observing the event,

Definition
(Probability of Events, P): Probability of an event E , written P (E ), is a
number representing the likelihood of occurrence of the event E .

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Requirements for P function

Axioms of Probability

1) 0 ≤ P(E ) ≤ 1,

2) P(Ω) = 1,

3) If E1 , E2 , ... are disjoint, then

 
∞
S ∞
P En = ∑ P(En )
n=1 n=1

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Example: Equally Likely Outcomes

Consider a probability model with finite sample space Ω = {1, 2, ..., N} .

Suppose each of these N outcomes is equally likely. Let Ei = {i}, for
1 ≤ i ≤ N . Thus we have:
P(Ei ) = N1 .
Let m(E ) be the number of outcomes that result in an event E ⊆ Ω
Then the axioms of probability imply that we must have:
m(E )
P(E ) = N .

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Theorems

Theorem

P(E C ) = 1 − P(E ).

Proof.

E and E C are mutually exclusive and exhaustive events, hence:

S C
1 = P(Ω) = P(E E ) = P(E ) + P(E C ).

Theorem

Let E and F are two events, not necessarily disjoint then:

F ) = P(E ) + P(F ) − P(EF ). (what about for three events?)
S
P(E
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 Appendix For Further Reading

References and Further Reading I

V. G. Kulkarni.
Modeling, Analysis, Design and Control of Stochastic Systems.
Springer, 1999.
D. C. Montgomery and G. C. Runger.
Applied Statistics and Probability for Engineers.
Third Ed., John Wiley & Sons, Inc., 2003.
S. M. Ross.
Introduction to Probability Models.
Ninth Ed., Academic Press, Ltd., 2007.
S. M. Ross.
A First Course in Probability.
Fifth Ed., Prentice Hall, Ltd., 1997.

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