MATHEMATICS
2
SCHOOL OF ENGINEERING
ES183 – ENGINEERING MATHEMATICS & SYSTEMS
MODELLING: MATHEMATICS
Study Notes for Week 22: DISCRETE PROBABILITY THEORY
AIM
• Discrete & Continuous Random variables
• Probability distribution function
• Cumulative distribution function
• Expected value and variance
• Standardised random variable
• Binomial distribution
• Poisson distribution
3
RANDOM VARIABLES
RANDOM VARIABLES
4
RANDOM VARIABLES (continued)
RANDOM VARIABLES
5
PROBABILITY DISTRIBUTION FUNCTION
3 1 3 3 3 9
P HT , P HH
4 4 16 4 4 16
x 0 1 2
i
f xj
j 1
• Note
– if xi x j then FX xi FX x j
– FX x1 f x1
– FX xn 1
x 0 1 2
i 1
– mean of X
• Variance
2
Var X xi X f xi
n
i 1
E X 2 X 2 X2
• Standard deviation
X Var X
1 2 6 2 9
E X 0 1 2
42 21
2 2
16 16 16 16 8
2
21 3
Var X E X 2 X 2
3
8 2 8
3
X 0.612
8
– E X * 0 and Var X * 1
BINOMIAL DISTRIBUTION
16
BINOMIAL DISTRIBUTION (continued)
n n!
where
k k ! n k !
– probability of no successes b0; n, p q n
probability of 1 successes is 1 q n
BINOMIAL DISTRIBUTION
17
BINOMIAL DISTRIBUTION (continued)
• Expected value
np
• Variance
2 npq
– standard deviation
npq
BINOMIAL DISTRIBUTION
18
BINOMIAL DISTRIBUTION (continued)
BINOMIAL DISTRIBUTION
19
BINOMIAL DISTRIBUTION (continued)
• Probability of 4 heads
1 1 1
b 4;6, b 5;6, b 6;6,
2 2 2
6 1 1 6 1
4 2 5 6
1 1 15 6 1
4 2 2 5 2 2 2 64 64 64
11
32
BINOMIAL DISTRIBUTION
20
BINOMIAL DISTRIBUTION (continued)
• Expected value
1
np 6 3
2
• Variance
1 1 3
npq 6
2
2 2 2
• Standard deviation
3
npq
2
BINOMIAL DISTRIBUTION
21
POISSON DISTRIBUTION
k
p k ; e , k 0,1, 2,
k!
POISSON DISTRIBUTION
22
POISSON DISTRIBUTION (continued)
• Expected value
• Variance
2
– standard deviation
POISSON DISTRIBUTION
23
POISSON DISTRIBUTION (continued)
POISSON DISTRIBUTION
24
POISSON DISTRIBUTION (continued)
• Setting np
– p k; gives approximation to binomial
distribution b k ; n, p
• Valid for
– n large
– p small
– np moderate size
POISSON DISTRIBUTION
25
RANDOM VARIABLES
RANDOM VARIABLES
26
RANDOM VARIABLES (continued)
RANDOM VARIABLES
27
PROBABILITY DENSITY FUNCTION
– f x 0
– f x dx 1
b
– P a X b f x dx
a
• Example
x x 2 , 0 x 1,
f x 0
0, elsewhere,
1
x x
1 2 3
i.e. f x dx 0 x x dx 2 3 6
2
6
dx
2 2
• P 0 X 1 f x dx 6 x x 2
2
0 0
1
x x 2 1
2 3
6
2 3 0 2
3 3
1 3
4 4
•
P X
f x dx 6 x x 2
dx
4 4 1 1
4 4
3
x 2 x3 11 4
6
2 3 1 16
4
f x dx, a
– if a b then FX a FX b
– lim FX x 0
x
– lim FX x 1
x
d
– FX x f x
dx
CUMULATIVE DISTRIBUTION FUNCTION
31
CUMULATIVE DISTRIBUTION FUNCTION (continued)
x
0 2 3 0
– and for x 1
1
t t
1 2 3
FX x 6 t t dt 6 1
2
0 2 3 0
CUMULATIVE DISTRIBUTION FUNCTION
32
EXPECTED VALUE AND VARIANCE
E X x f x dx
X
• Variance
Var X x f x dx X2
2
X
E X 2 X2
• Standard deviation
X Var X
• In previous example
1
E X x f x dx x6 x x 2 dx
0
1
1
x x 3 4
6 x x dx 6
2 3
0 3 4 0
1
X
2
2
1
Var X E X 2
X
2
x f x dx
2
2
1
x 6 x x dx
2 1 2
0
4
1
1
x x 1 1 4 5
6 x x dx 6
3 1 4
0
4 4 5 0 4 20
and X Var X
1 1
20 2 5