Module 1 Lecture 3 : Random Vibrations & Failure Analysis

Introduction to Probability -II

Sayan Gupta Department of Applied Mechanics Indian Institute of Technology Madras

Wednesday 29 January 2014

Denitions: Terminologies

is the sample space consisting of all possible outcomes of an experiment

Elements of are the experimental outcomes. Subsets of the elements are called the events

Example: Coin tossing: Sample space cardinality)

= { H, T}; size of = 2 (dened as

Two coins being tossed:

sample space = { HH, HT, TH, TT}; cardinality=4

Coin being tossed till a head appears: ={H, TH, TTH, TTTH,....},

cardinality is innite; since we can count the sample space, it is countably innite

The rst two examples have a cardinality of countably nite; examples of

Wednesday 29 January 2014

sample spaces with uncountably nite and uncountably innite will be given later

Denitions: Terminologies

Elements of

are called sample points

A number of subsets can be built from the sample points of

Example: Tossing of two coins: The sample points are HH, HT, TH, TT

A subset consists of some or all of these sample points Thus, a subset could be {HH}, {HT}, {TH}, {TT}
{HH, HT}, {HH, TH}, {HH,TT}, {HT,TH}, {HT,TT},{TH,TT} {HH,HT,TH}, {HH,HT,TT},{HH,TH,TT},{HT,TH,TT}, {HH,HT,TH,TT},

It can be shown that No. of subsets =n C0 +n C1 + . . .n Cn = 2n

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Denitions: Terminologies

E is the event space consisting of all subsets of

Thus, the size of E = 2n Elements of E are called events

( if is nite)

If is innite, then E is the sigma algebra of the subsets of

Before explaining sigma algebra, we need to discuss the following slides.

Wednesday 29 January 2014

Measure theory
The concept of -algebra can be explained more elegantly using measure theory. The mathematical concept of measure is a generalization of the concepts such as length, area, volume etc to more abstract notions. Thus, for a set E dened in d space, one can dene a measure on E which takes positive values only. For a class of subsets A belonging to E , one can state that the measure of A is given by (A) [0, ]. A are referred to as measurable sets.

It is obvious that the measure of the null set , is zero, i.e., () = 0. If the sets A and B are disjoint and measurable, then
This is known as the additive property. Now, if this property is extended to an innite sequence of disjoint measurable subsets An , then ( An ) = ( An ) . n1
n 1

( A B ) = ( A) + ( B ) .

This countable additive property is referred to as -additivity.

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Measure theory
Let us assume that (E ) < . For a measurable set A, it is obvious that A Ac = E . It follows from the additive property that ( Ac ) = ( E ) ( A) < and is measurable. Thus, a collection of subsets E which contains the null set E , is stable under unions, i.e., is dened as algebra.
n 1 An

E , where, An are disjoint sets, and

contains the complement of every element, i.e., if A E , then Ac E ,

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Measure theory

Thus, formally one can dene measure as follows: Let E be a algebra of subsets of . (, E ) is called a measurable space. A positive measure on (, E ) is dened as a function : E [0, ] such that, () = 0, and for any sequence of disjoint sets An E ( )= ( An ) n1
n 1

, then an element A E is called a measurable set and (A) is its measure. Examples of measure are Lebesgue measure, Radon measure etc. Probability is also a measure.

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Measure theory
Let us consider a set with E being the set of events. E forms a -algebra. A probability measure on (, E ) is a positive nite measure denoted by P having a total mass of unity. (, E , P ) is then called the probability space. Mathematically, the probability measure is represented as a function P : E [0, 1] with the probability measure of a set A denoted as P (A).

The question on the importance of dening the probability space triplet (, E , P ) will be addressed later in this course.

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Axioms of Probability Assign to each event A , a number P (A) , is called the probability of event A such that,

P ( A) 0 P () = 1 ,
and if A B = , where A and B are mutually exclusive events, then

P ( A + B ) = P ( A) + P ( B ) .

Probability space is dened as the ordered triplet (, E , P )

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Corollary of Axioms of Probability

The consequences of the axioms of probability are

P ( ) = P ( c ) = 0 P ( A) = 1 P ( Ac ) 1
As A Ac = , A Ac = and as P () = 1 , it follows that

P ( A A c ) = P ( A) + P ( Ac )

It also follows that

P ( A B ) = P ( A) + P ( B ) P ( A B ) P ( A) + P ( B )
The above results can be easily proved by drawing Venn diagrams.

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Wednesday 29 January 2014