32. PROBABILITY 2017 Review（32。）.pdf

32. Probability 1 32. PROBABILITY Revised September 2009 by G. Cowan (RHUL). 32.1. General [1–8] An abstract definition of probability can be given by considering a set S , called the sample space, and possible subsets A, B, . . . , the interpretation of which is left open. The probability P is a real-valued function defined by the following axioms due to Kolmogorov [9]: 1. For every subset A in S , P (A) ≥ 0; 2. For disjoint subsets (i.e., A ∩ B = ∅), P (A ∪ B) = P (A) + P (B); 3. P (S) = 1. In addition, one defines the conditional probability P (A |B) (read P of A given B) as P (A ∩ B) P (A |B) = . (32.1) P (B) From this definition and using the fact that A ∩ B and B ∩ A are the same, one obtains Bayes’ theorem, P (B |A)P (A) P (A |B) = . (32.2) P (B) From the three axioms of probability and the definition of conditional probability, one obtains the law of total probability, P (B) = P (B |A )P (A ) , (32.3) i i i for any subset B and for disjoint A with ∪ A = S . This can be combined with Bayes’ i i i theorem (Eq. (32.2)) to give P (B |A)P (A)