Dynamic Programming Lecture #4

Transcription

1 Dynamic Programming Lecture #4 Outline: Probability Review Probability space Conditional probability Total probability Bayes rule Independent events Conditional independence Mutual independence

2 Probability Space Sample Space: A set Ω Event: A subset of Ω To any subset of A Ω, we denote Axioms: 1. P [A] 0 2. P [Ω] = 1 3. For disjoint sets A 1, A 2, A 3,... P [A] = the probabilty of A P [ A 1 A2 A3... ] = P [A1 ] + P [A 2 ] + P [A 3 ] +... We will restrict our attention to countable probability spaces: Ω = {ω 1, ω 2, ω 3,...} P [ω i ] = p i P [A] = p i ω i A

3 Example: Pair of Dice Ω = {(i, j) : 1 i 6 & 1 j 6} Visualization: i\j Set P [(i, j)] = p ij For fair dice, p ij = 1/36 for all rolls, i.e., (i, j) pairs. To compute probabilities, must translate statements into events (i.e., subsets): Doubles: p p 66 Larger die = 3: p 13 + p 23 + p 33 + p 32 + p 31 Sum of dice = 4: p 13 + p 22 + p 31 Same events regardless of p ij values only resulting probabilities differ.

4 Conditional Probability Motivation: Compare probability of an event versus probability of the same event GIVEN additional information. Example: (Probability sum of dice 7) (Probability sum of dice 7) given (one of dice 5) Example: Probability car needs repair given engine light is on? Conditional Probability: Let A and B be events. Define probability of A given B : P [A B] = P [A B] P [B] Note that A B is another event, interpreted as both A and B. Ω A A&B B given B effectively redefines the sample space of events. Extreme examples: A B? B A? A B =?

5 Example: Dice What is probability (sum of dice 4) given (larger die = 3)? Translate to events: A : (sum of dice 4) = {(1, 1), (1, 2), (1, 3), (2, 1), (2, 2), (3, 1)} i\j X X X 2 X X 3 X B : (larger die = 3) = {(1, 3), (2, 3), (3, 3), (3, 2), (3, 1)} A B = {(1, 3), (3, 1)} Result: P [A B] = i\j X 2 X 3 X X X p 13 + p 31 p 13 + p 23 + p 33 + p 32 + p 31 Neither the definition nor computation relies on natural probabilities of dice.

6 Total Probability Suppose A 1 and A 2 satisfy: A 1 A2 = A 1 A2 = Ω i.e., A 1 and A 2 form a partition of Ω. For any event B: B = (B A 1 ) (B A 2 ) From axioms: P [B] = P [ B A 1 ] + P [ B A2 ] Using conditional probability: P [B] = P [B A 1 ] P [A 1 ] + P [B A 2 ] P [A 2 ] More generally, given a mutually exclusive A 1,..., A N partition of Ω: P [B] = P [B A 1 ] P [A 1 ] P [B A N ] P [A N ] Ω Α2 Α1 B Α3

7 Bayes Rule Recall Total Probability: Given a mutually exclusive A 1,..., A N partition of Ω: P [B] = P [B A 1 ] P [A 1 ] P [B A N ] P [A N ] For any A i : same RHS numerator P [A i B] = P [A i & B] P [B] P [B A i ] = P [A i & B] P [A i ] P [A i B] P [B] = P [B A i ] P [A i ] Now rewrite, using total probability: Known as Bayes rule P [A i B] = Utility: Hypothesis revision A i : hypotheses B: new data P [B A i ]: anticipated data given hypothesis P [B A i ] P [A i ] P [B A 1 ] P [A 1 ] P [B A N ] P [A N ] P [A i ]: before-data (prior) belief/confidence P [A i B]: after-data (posterior) belief/confidence

8 Example: Cheater Detection Two coins: Coin 1: P [H] = p 1, P [T ] = (1 p 1 ) Coin 2: P [H] = p 2, P [T ] = (1 p 2 ) After seeing data, which coin is being used? Never know for sure, but can compute probabilities. Associate: A 1 : using coin 1 A 2 : using coin 2 B: observed data Suppose we see 2 flips of coin: HH P [HH A 1 ] = p 2 1 P [HH A 2 ] = p 2 2 Similar with other flips, HT, T H, T T. Now apply Bayes rule: P [A i B] = P [B A i ] P [A i ] P [B A 1 ] P [A 1 ] + P [B A 2 ] P [A 2 ] Numerical example: P [A 1 ] = 0.3, P [A 2 ] = 0.7, p 1 = 0.9, p 2 =.5, B = HH: P [A 1 HH] = (0.9) 2 (0.3) (0.9 2 )(0.3) + (0.5) 2 (0.7) = 0.58 (0.5) 2 (0.7) P [A 2 HH] = (0.9 2 )(0.3) + (0.5) 2 (0.7) = 0.42 i.e., increased suspicion of cheating!

9 Independent Events Define: Events A and B are Independent if In terms of conditional probability: P [ A B ] = P [A] P [B] P [A B] = P [A B] P [B] = P [A] P [B] P [B] = P [A] (if independent!) Information of B does not affect probability of A. Example: Fair dice A = doubles B = sum of roll 3 P [A B] = 1/36 = P [A] P [B] = (1/6)(3/36)? Not independent. Changing B to event (first die = 3) results in independence. Independence depends on events A & B and underlying probabilities.

10 Conditional Independence Conditional independence: Given an event C, the events A and B are conditionally independent given C if P [ A B C ] = P [A C] P [B C] Rewrite: P [ A B C ] = P [A B C] P [C] = P [A (B C)] P [B C] P [C] (under conditional independence) P [A C] = P [ A (B C) ] i.e., additional knowledge of B does not affect probability of A Conditioning may change independence. Example: Two coins. Probability of heads for each coin p A and p B Randomly choose coin (A, B) with probability (q, 1 q) Toss selected coin 2 times Events: E 1 = heads on first toss E 2 = heads on second toss E 0 = choose coin A Question: Are E 1 and E 2 independent? No. P [E 1 &E 2 ] = P [E 1 ] P [E 2 ]? P [E 1 &E 2 E 0 ] P [E 0 ] + P [E 1 &E 2 E c 0] P [E c 0] = p 2 Aq + p 2 B(1 q) = ( p A q + p B (1 q) ) ( p A q + p B (1 q) )? Are E 1 and E 2 conditionally independent on E 0? Yes. P [E 1 &E 2 E 0 ] = p 2 A = P [E 1 E 0 ] P [E 2 E 0 ] = P [ A (B C) ] P [B C]

11 Mutual Independence Mutual independence: A set of events A 1,..., A N are mutually independent if for any sub-collection, S P A i i S = Π i S P [A i ] Pairwise independence does not imply mutual independence. Example: 2 fair dice A : doubles; B : first die = 6; C : second die = 1. i\j (A, C) 2 C A 3 C A 4 C A 5 C A 6 (B, C) B B B B (A, B) A&B are independent, A&C are independent, B&C are independent. P [A & B & C] = 0 P [A] P [B] P [C]