Bertsekas Probability Notes

Ravi Mohan
July 12, 2012

Chapter 1. Sample Space and Probability

(1) Definiton:

Chapter 2. Discrete Random Variables

(1) Definiton: Random Variable: A Random Variable is a mapping from an

outcome of an experiment to a real number.
e.g: Experiment: Throw 2 six sided dice. Outcome: { (1,1) ... (6,6) }
Random Variable X maps outcome to the sum of the numbers on the dice.
Thus X( (1,1) ) 2
The domain of the RV is the Sample Space. The range is Real Number.
(2) Notation: X(o) = r, o Sample Space is written as X = r;
(3) An RV is discrete if its range is discrete. Discrete = Finite or Countably
Infinite.
(4) A Random Variable X has a Probablity Mass Function (PMF) denoted by
X which maps each value of its range to the probability of its occurence.
If x is an element of Xs range then probablity mass of x is X (x) =
P (outcome {o | X(o) = x}).
e.g: Experiment: Throw 2 six sided dice. Outcome: { (1,1) ... (6,6) }
Random Variable X maps outcome to the sum of the numbers on the dice.
then
X (2) = P (outcome {o | X(o) = 2})
=
X (2) = P (outcome {(1, 1)})
=
X (2) = P (outcome = (1, 1))

=
X (2) =

1
36

(5) A Random Variable can be discrete even if its domain is infinite. Only the
range needs to be finite or countably infinite.

if p > 0
1
0
if p = 0
e.g: sgn(P )

1 if p < 0
is a discrete random variable, though the domain is infinite.
(6) A Discrete Random Variable has an associated Probability Mass Function
or PMF that maps each value of the *range* of the RV to the probability
of its occurrence.
Thus
RV: outcome R
PMF: range(RV ) probability
If x is a variable over the range of discrete Random Variable X, the probablitiy mass of x, denoted X (x) = the probability of the event P({ X =
x}).
To calculate the PMF of a discrete RV X, for each possible value x of the
range of the RV,
(1) Collect all experiment outcomes, oi that give rise to X having a value x
(2) Collect all these outcomes oi into a single event A
(3) Calculate P(A)
Check for PMF (X) is
X
X (x) = 1
x

Example:
Experiment = 2 consecutive rolls of a fair die
Sample Space = { (1,1),(2,2)...(6,6)}
Random Variable X = number of sixes in outcome = { 0,1,2 }
X (2) = P(outcome = (6,6)) =

1
36

X (1) = P(outcome {(1,6),(2,6)..(5,6),(6,1),(6,2)..(6,5) } =

X (0) = 1 -

11
36

25
36

Thus,
X (x) =

25
36
10
36
1
36

if x = 0
if x = 1
if x = 0
otherwise
2

10
36

Chapter 3. General Random Variables

(1) Brief Review of Integration

(a) Integration by linearity (corresponding to linearity of dervatives)
(1) sum
rule
R
R
R
[v(x) + w(x)] dx = v(x)dx + w(x)dx
(2) constant
rule R
R
cv(x)dx = c v(x)
(3) linearity
R
R
R
[av(x) + bw(x)] dx = a v(x)dx + b w(x)dx
(b) Integration as Anti Derivative (corresponding to chain rule of derivatives)
(1) Chain Rule of Derivatives:
Example:
2

df
dx

df du
du dx

d(sin x)
dx

d(sin x)
dx

Let u = sinx, then

d(u2 )
dx

Chain Rule of Derivatives:

2u du
dx

df
dx

df du
du dx

Substitute back u = sinx

2sin(x) d sin(x)
dx
=
Differentiating sin(x)
2sin(x)cos(x)
(2) Integration by Anti Derivatives reverses this process.
The key is to find a function u within the given function f so that f
= u du (ignoring constants) Thus given
R
sin(x)cos(x)
= R Identify u to be sin(x) ,
u du
R n
n+1
=
u du = u n + C
u2
2 +C
=
Substituting back u = sin(x),
sin2 x
+C
2
(c) Integration by Parts (corresponding to product rule of derivatives)
(1) Product Rule of Derivatives:
Example

d
dx u(x)v(x)

d 2
dx x sin(x)

=
Product Rule of Derivatives:
d
u(x) dx v(x)
3

d
d
= v(x) dx
u(x)+u(x) dx
v(x)

d
dx u(x)v(x)

d
= v(x) dx
u(x) +

d
d 2
x2 dx
sin(x) + sin(x) dx
x
=
Differentiating each part
x2 cos(x) + 2 x sin(x)

(2) Integration by parts reverses Product Rule.

The Product Rule for differentiation is
d
d
d
dx u v = v dx u + u dx v
=
d
d
d
u dx
v = dx
u v v dx
u
Integrating
both
sides,
R
R
d
d
u(x) dx
v(x)dx = u(x)v(x) v(x) dx
u(x)dx
This is the equation for Integration by Parts.
The problem of integrating u dv is converted into the problem of
integrating v du.
Very Important: Note the presence of dx in the integral forms.
The
key is to find functions
R
R d u and v such that the given integral
f dx is equivalent to u dx
v dx -note explicit presence of dx s
Example
R
ln x dx
=
Let u(x) = ln x, v(x) = x.
d
d
Then dx
v(x) = 1 and dx
v(x)dx = 1dx = dx
R
d
u(x) dx v(x)dx
=
Integration
R by dParts
u(x)v(x) v(x) dx
u(x)dx
=
Substituting
for
u(x) and v(x)
R d
x ln(x) x dx
ln(x)dx
d
1
=
dx ln(x)
R =1 x
x ln(x)
R 1 x x dx
=
x x dxR
x ln(x) 1dx
=
x ln(x) x
(d) Definite Integrals
R
Rb
if v(x)dx = f (x) + C then a v(x) = f (b) f (a)
(e) Partial Derivatives
(f) Multiple Integrals

4 Chapter 4. Further Topics on Random Variables

5

Chapter 5. Limit Theorems

Chapter 6. Bernoulli and Poisson Processes

Chapter 7. Markov Chains

Chapter 8. Bayesian Statistical Inference

Chapter 9. Classical Statistical Inference