Académique Documents
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Welcome and Introduction
Course Information
Lecture Timings:
My Office:
Room # A-312
Office Hours
Tuesday: 5:30pm-7:20pm
Thursday: 5:30pm-6:20pm
www.lms.nust.edu.pk
Facebook group
The lecture notes are designed and developed by Dr. Ali Khayam.
TIME / DAYS
5:30pm-6:20pm
6:30pm-7:20pm
7:30pm-8:20pm
8:30pm-9:20pm
course Code
Adv. Computer
Networks
Adv. Digital
Commnication
Tuesday
Wednesday
Thursday
Stochastic Systems
Stochastic Systems
Library/Make-up
Class/Seminar
Library/Make-up
Class/Seminar
Library/Make-up
Class/Seminar
Subject
Instructor
Adv. Computer
Networks
Friday
Saturday
Adv. Digital
Commnication
Library/Make-up
Class/Seminar
Library/Make-up
Class/Seminar
Library/Make-up
Class/Seminar
Credit Hours
Stochastic Systems
3+0
EE 831
Advanced Digital
Signal Processing
3+0
EE 823
Advanced Digital
System Design
3+0
Stochastic Systems
3+0
CSE-820
Adv. Computer
Networks
3+0
Adv. Digital
Commnication
3+0
EE-851
Manager-PG
Academic Coord Branch
(Iftikhar Ahmed)
Sep 2013
Monday
Tuesday
Wednesday
Power Electronics
and
Power Electronics and Stochastic Systems Electric Drives
Electric Drives
CR #5
6:30pm-7:20pm
Linear Control
Systems
Thursday
Stochastic
Systems
CR #5
Linear Control
Systems
Friday
Saturday
Library/Make-up Library/Make-up
Class/Seminar Class/Seminar
7:30pm-8:20pm
Library/Make-up
Class/Seminar
8:30pm-9:20pm
course Code
Subject
Library/Make-up
Library/Make-up
Class/Seminar Library/Make-up Class/Seminar
Class/Seminar
Instructor
Credit Hours
EE-871
CSE-801
Stochastic Systems
EE-901
3+0
3+0
3+0
4
Textbooks
Albert Leon-Garcia
Sheldon M. Ross
Garnett P. Williams
Course Outline
Syllabus
Stochastic Processes
Prediction and Estimation
Markov Chain and Processes (time permitting)
Grading
(subject to change)
Final Exam:
Midterm Exam:
Quizzes:
Homework Assignments:
45%
30%
15%
10%
Policies
Attendance:
Will be taken at the beginning of the class.
The current rules of the school will be followed (75%
minimum requirement).
We will cover:
Independence
Law of Total Probability
Bayes Theorem
Definition of Probability
Probability:
1 : the quality or state of being possible
2 : something (as an event or circumstance) that is possible
10
A procedure
An outcome
Procedure
(e.g., flipping a coin)
Outcome
(e.g., the value
observed [head, tail] after
flipping the coin)
Sample Space
(Set of All Possible
Outcomes)
11
12
s1
s5
s6
s4
s2
s3
13
S = {1, 2, 3, 4, 5, 6}
A = the outcome is even = {2, 4, 6}
B = the outcome is greater than 4 = {5, 6}
14
Axioms of Probability
15
Mutual Exclusivity
s5
s1
s6
A2
s2
s4
s3
16
Mutual Exclusivity
Pr{A1 U A2} = ??
s5
s1
s6
s4
s2
s3
S
Copyright Syed Ali Khayam 2008
17
Mutual Exclusivity
s1
s6
s4
s2
s3
S
Copyright Syed Ali Khayam 2008
18
Conditional Probability
s5
s1
Event B has
already occurred
s6
s2
s4
s3
s5
s1
s6
s2
s4
s3
19
Conditional Probability
s5
s1
s6
s2
s4
Event B has
already
occurred
s3
s5
s1
s6
s4
s2
s3
Conditional Probability
Pr
s5
s1
s4
s3
s5
s1
s6
s2
Pr
Pr =
Pr
Pr{6 }
1/6
1
=
=
=
Pr{}
3/6
3
Event B has
already
occurred
s6
s4
s2
s3
21
Independence
In other words, the fact that B has already happened does not
affect the probability of As outcomes
Implications:
(|) = ()
= ()
()
( ) = ()()
22
Independence: Example
s2
s6
s4
s5
s1
s3
23
Independence: Example
s2
s6
s4
s5
s1
s3
S
Copyright Syed Ali Khayam 2008
24
Independence: Example
Yes!
s2
s6
s4
s5
s1
s3
S
Copyright Syed Ali Khayam 2008
25
Independence: Example
s2
s6
s4
s5
s1
s3
S
Copyright Syed Ali Khayam 2008
26
Independence: Example
No!
s2
s6
s4
s5
s1
s3
S
Copyright Syed Ali Khayam 2008
27
28
29
S={
A1
30
31
32
33
34
35
36
Recap
1.
2.
3.
In general, we have:
37
Recap
4.
5.
6.
38
T1
R0
Pr{R1|T1}
R1
39
Pr{R0|T0}
T0
T1
R0
Pr{R1|T1}
R1
40
T1
R0
Pr{R1|T1}
R1
41
T1
R0
Pr{R1|T1}
R1
42
T1
R0
Pr{R1|T1}
R1
43
T1
R0
Pr{R1|T1}
R1
1 01
Pr = Pr Pr = 01 =
2
2
1 1 1
Pr Pr = =
2 2 4
Copyright Syed Ali Khayam 2008
44
Total Probability
S = B 1 U B2 U U BN
Bi Bj = , i j
B2
B1
s1
B3
B4
s2
s5
s4
s6
s3
45
Total Probability
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
46
Total Probability
B1 B2 .. Bn = and B1 U B2 U .. U Bn = S
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
47
Total Probability
B1 B2 .. Bn = and B1 U B2 U .. U Bn = S
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
48
Total Probability
B1 B2 .. Bn = and B1 U B2 U .. U Bn = S
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
49
Total Probability
B1 B2 .. Bn = and B1 U B2 U .. U Bn = S
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
50
Total Probability
B1 B2 .. Bn = and B1 U B2 U .. U Bn = S
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
51
Total Probability
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
52
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
53
Bayes Theorem
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
54
Bayes Theorem
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
55
Bayes Theorem
Pr{Bi|A} = Pr{A|Bi} Pr{Bi} / Pr{A}
From the Law of Total Probability, we have:
Pr{A} = Pr{A|B1} Pr{B1} + Pr{A|B2} Pr{B2} + + Pr{A|BN} Pr{BN}
Bayes Rule
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
56
Bayes Theorem
B2
s1
B1
s5
A
B4
s2
s4
s6
B3
s3
57
A Fishy Problem
Azeem (Iqbal) is a fisherman.
Azeem is an educated man.
Azeem builds a fishing robot that will do his work for him.
B2
B3
B1
B4
58
A Fishy Problem
Question: If Azeems robot catches a fish that is detected red, what species is it?
Answer: It could be any of four species in Azeems part of the sea.
B2
B3
B1
B4
59
A Fishy Problem
Lets change the question:
What is the chance that a red fish is a species B1, B2, B3
and B4?
B2
B3
B1
B4
60
A Fishy Problem
B2
B3
B1
B4
61
62
Copyright Syed Ali Khayam 2009