SCHOOL OF ENGINEERING

ES183 – ENGINEERING MATHEMATICS

AND SYSTEMS MODELLING

MATHEMATICS

DR. MIKE CHAPPELL

OFFICE: F327 - Email: M.J.Chappell@warwick.ac.uk
The topics to be covered in Term 2
Each week's work is self-contained, and covers:
•Week 15 – Integration I
•Week 16 – Integration II
•Week 17 – Applications of Integration I
•Week 18 – Applications of Integration II
•Week 19 – First Order Ordinary Differential Equations
•Week 20 – Second Order Ordinary Differential Equations
•Week 21 – Laplace Transforms
•Week 22 – Basic Probability Theory
•Week 23 – Discrete Probability Distributions
•Week 24 – Continuous Probability Distributions.

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 process with discrete sample space S

• Discrete random variable X is a function that
assigns a real number to each outcome s  S
X :S 
– X is a "measure" related to the random process
Ps  S: X  s  a
– is written P X  a 

RANDOM VARIABLES
4
 RANDOM VARIABLES (continued)

• Weighted coin where

3 1
P H   and P T  
4 4

• Tossing coin twice gives sample space

S  TT , TH , HT , HH

• Number of heads is random variable

X  S   0,1, 2

RANDOM VARIABLES
5
 PROBABILITY DISTRIBUTION FUNCTION

• Discrete random variable X (on sample space S)

with values
X  S   x1 , x2 ,, xn 
where x1  x2    xn
• Probability distribution function
f  xi   P X  xi , i  1, 2,, n
f  xi   0, i  1, 2,, n  f x   1
n
• Note and i
i 1
• cf. frequency distribution

PROBABILITY DISTRIBUTION FUNCTION

6
 PROBABILITY DISTRIBUTION FUNCTION
(continued)

• Weighted coin example

– since successive tosses of coin are independent
events
 1  1 1  1   3 3
P TT        , P TH        ,
 4   4  16  4   4  16

 3  1  3  3  3 9
P HT        , P HH       
 4   4  16  4   4  16

PROBABILITY DISTRIBUTION FUNCTION

7
PROBABILITY DISTRIBUTION FUNCTION
(continued)

– since events in S are mutually exclusive

1
f  0  P TT   ,
16
6
f 1  P TH   P HT   ,
16
9
f  2  P HH  
16

PROBABILITY DISTRIBUTION FUNCTION

8
PROBABILITY DISTRIBUTION FUNCTION
(continued)

– probability distribution function

x 0 1 2

f(x) 1/16 6/16 9/16

PROBABILITY DISTRIBUTION FUNCTION

9
CUMULATIVE DISTRIBUTION FUNCTION (continued)

• Cumulative distribution function

FX  xi   P X  xi 

 
i
  f xj
j 1

• Note
– if xi  x j then FX  xi   FX x j  
– FX  x1   f  x1 
 
– FX xn  1

CUMULATIVE DISTRIBUTION FUNCTION

10
CUMULATIVE DISTRIBUTION FUNCTION (continued)

• Weighted coin example

– cumulative distribution

x 0 1 2

FX(x) 1/16 7/16 1

CUMULATIVE DISTRIBUTION FUNCTION

11
 EXPECTED VALUE AND VARIANCE

• Discrete random variable X with values

X  x1 , x2 ,, xn  and probability distribution
function f  xi , i  1, 2,, n
• Expected value
E  X    xi f  xi    X
n

i 1

– mean of X

EXPECTED VALUE AND VARIANCE

12
EXPECTED VALUE AND VARIANCE (continued)

• Variance
2

Var  X     xi  X  f  xi 
n

i 1

 E  X 2   X 2   X2

• Standard deviation
 X  Var X 

EXPECTED VALUE AND VARIANCE

13
EXPECTED VALUE AND VARIANCE (continued)

• Weighted coin example

 1  6  9  24 3
E  X   0   1   2   
 16   16   16  16 2

 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

EXPECTED VALUE AND VARIANCE

14
 STANDARISED RANDOM VARIABLE

• Discrete random variable X with expected

value  X and standard deviation  X
• Standardised random variable
X  X
X 
*
X

– E  X *   0 and Var X *   1

STANDARISED RANDOM VARIABLE

15
 BINOMIAL DISTRIBUTION

• Binomial distribution models random process

consisting of repeated independent events
• Each event has only two possible outcomes
– "success" or "failure"
P success  p
P failure  q  1  p

BINOMIAL DISTRIBUTION
16
 BINOMIAL DISTRIBUTION (continued)

• Probability of k successes in n events

 n k n  k
b k ; n, p    p q , k  0, 1, , n
 k

 n n!
where  
 k  k ! n  k  !
– probability of no successes b0; 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)

• A fair coin is tossed 6 times

1
pq
2
• Probability of exactly 2 heads
 1  6 2
 1  1
4
15
b 2;6,         
 2   2  2   2  64
• Probability of  1 heads
6
 1 63
1 q  1   
6
 2 64

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

• Poisson distribution models random process

consisting of repeated occurrence of single
event in fixed interval
• Probability of k occurrences

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)

• Occurrence of typographical errors on page

1
– Poisson distribution with  
2
• Probability of 2 errors
2
1  1   21
p2;      e  0.076
2!  2 

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 process with sample space S

• Continuous random variable X is a function that
assigns a real number to each event A  S
–X :S 
– X is a "measure" related to the random process

• P A  S: X  A  a, b 

– is written P a  X  b

RANDOM VARIABLES
26
 RANDOM VARIABLES (continued)

• Amount of time that a computer functions

before crashing

• Diameter of ball bearings produced in

manufacturing process

RANDOM VARIABLES
27
 PROBABILITY DENSITY FUNCTION

• Continuous random variable X with values

 X  

• Probability density function f 

– f  x  0


–  f  x dx  1

b
– P a  X  b   f  x dx
a

PROBABILITY DENSITY FUNCTION

28
 PROBABILITY DENSITY FUNCTION (continued)

• Example
 
 x  x 2 , 0  x  1,
f x     0
 0, elsewhere,


•  f  x dx  1 for a probability density function



 1
x x  
 
1 2 3
i.e.  f x dx 0  x  x dx    2  3   6
2

  6

PROBABILITY DENSITY FUNCTION

29
PROBABILITY DENSITY FUNCTION (continued)
1 1

      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

PROBABILITY DENSITY FUNCTION

30
 CUMULATIVE DISTRIBUTION FUNCTION
• Cumulative distribution function
FX  a   P X  a 
a



 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

• In previous example let FX  x   f  t  dt


– then for x  0
FX  x  0
– for 0  x  1
x
t t 
 
x 2 3
FX x    6 t  t dt  6    3x 2  2 x 3
2

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

• Continuous random variable X with values

   X   and probability density
function f  x
• Expected value


E X    x f  x dx  

X

EXPECTED VALUE AND VARIANCE

33
EXPECTED VALUE AND VARIANCE (continued)

• Variance


Var  X    x    f  x  dx   X2
2
X


 E X 2    X2

• Standard deviation
 X  Var X 

EXPECTED VALUE AND VARIANCE

34
EXPECTED VALUE AND VARIANCE (continued)

• 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

EXPECTED VALUE AND VARIANCE

35
EXPECTED VALUE AND VARIANCE (continued)

 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

EXPECTED VALUE AND VARIANCE

36