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IE 5004: Engineering Probability and Simulation
IE 5004: Engineering Probability and Simulation
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Condit ional Probabilit y
Thisisaversionoffamousgameshow.Therearethreedoors.Youknow
thatthereisaprizebehindoneofthem,andnothingisbehindtheother
two.Thegameshowhosttellsyouthatyoushallreceivewhateverisbehind
thedoorofyourchoice.However,beforeyouchoose,hepromisesthat
ratherthanimmediatelyopeningthedoorofyourchoicetorevealits
contents,hewillopenoneoftheothertwodoorstorevealthatitisempty.
Hewillthengiveyoutheoptiontoswitchyourchoice.
YouchooseDoor3.HeopensDoor2andrevealsthatitisempty.Younow
knowthattheprizeliesbehindeitherDoor3orDoor1.Shouldyouswitch
yourchoicetoDoor1?
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LetBk denotetheeventthattheprizeisbehindDoornumberk.
LetHj denotetheeventthatthehostopensDoornumberj.
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Ans:Youshouldswitch!
LetBk denotetheeventthattheprizeisbehindDoornumberk.
LetHj denotetheeventthatthehostopensDoornumberj.
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.
Independence
EventsAandBareindependent ifP(AB)=P(A)P(B).
Thefollowingfourstatementsareequivalent;thatis,eitherallarefalseor
allaretrue.
(1)EventsAandBareindependent.
(2)P(AB)=P(A)P(B)
(3)P(A|B)=P(A)
(4)P(B|A)=P(B)
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Independence
Thefollowingfourstatementsareequivalent.
(1)EventsAandBareindependent.
(2)EventsA
C
andBareindependent.
(3)EventsAandB
C
areindependent.
(4)EventsA
C
andB
C
areindependent.
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Independence
ExtendedMultiplicationRule:ForanynonemptyeventsA1,A2,...,An,
P(A1A2...An)
=P(A1)P(A2|A1)P(A3|A1A2)...P(An|A1...An1).
TheneventsA1,A2,...,Anare(jointly)independentifandonlyif
P(Ai1A2...Aik)=P(Ai1)P(Ai2)...P(Aik),
foreverysubsetAi1,Ai2,...,Aikofthenevents,fork=2,3,...,n.
Aweakerformofindependenceispairwiseindependence,whichrequires
onlythateverypairofeventsbeindependent.
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Independence
Note:MutuallyExclusivevs.Independence
(Example)
RolltwodiceandletA =thefirstdieis4,B1=theseconddieis2andB2=
thesumoftwodiceis3.CheckifeventsA andB1andeventsA andB2are
independent.
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Independence
Example:RolltwodiceandletA=thefirstdieis4,B1=theseconddieis2
andB2=thesumoftwodiceis3.CheckifeventsAandB1andeventsA
andB2areindependent.
P A B
1
= P 4,2 =
1
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A and B
1
are not mutually exclusive.
P A P B
1
= P 4 P 2 =
1
6
1
6
= P A B
1
A and B
1
are independent.
P A B2 = P = u
A and B
2
are mutually exclusive.
P A P B2 = P 4 P 1,2 , 2,1 =
1
6
2
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= u = P A B2
A and B
2
are note independent.
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Example4(Ross,Ch3,Problems3.23):UrnI contains2whiteand4red
balls,whereasurnII contains1whiteballand1redball.Aballisrandomly
chosenfromurnI andputintournII,andaballisthenrandomlyselected
fromurnII.
a) WhatistheprobabilitythattheballselectedfromurnII iswhite?
b) Whatistheconditionalprobabilitythatthetransferredballwaswhite
giventhatawhiteballisselectedfromurnII?
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44
A= A white ball is transferred from urn I to urn II
B= A white ball is chosen from urn II
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Example5(Ross,Ch3,Example4f):Independenttrialsareperformed
continuously.Eachtrialresultsinasuccesswithprobabilityp andafailure
probability1p.
a) Whatistheprobabilitythatatleast1successoccursinthefirstn trials?
b) Whatistheprobabilitythatexactlyk successesoccursinthefirstn trials?
c) Whatistheprobabilitythatalltrialsresultsinsuccess?
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Example5(Ross,Ch3,Example4f):
Solution:
(a) E
i
= failure on the ith trial.
Note that E
i
s are independent and P(E
i
) = 1-p, for all i.
P(at least 1 success)=1-P(no success)
= 1-P(E
1
E
2
E
n
) = 1-P(E
1
) P(E
2
) P(E
n
) =1- 1 - p
n
.
(b)
n
k
p
k
1 -p
n-k
.
(c) P lim
n
E
1
C
E
2
C
E
n
C
= lim
n
P E
1
C
E
2
C
E
n
c
= lim
n
P E
1
C
P E
2
C
P E
n
C
= lim
n
p
n
= _
u i p < 1
1 i p = 1
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Pract ice Problems
Ch2Examples:5b,5d,5l.
Ch3Examples:2b,3a,3b,3c,4c,4g,5a.
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