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    Stochastic Structural Dynamics: Lecture-1 Definition of Probability Measure and Conditional Probability

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    Sooraj Rajendran
    This document provides an introduction to a course on Stochastic Structural Dynamics. It begins with an overview of the course topics, including reviewing the theory of probability and analyzing structures under uncertain dynamic loads from sources such as earthquakes, wind, and traffic. It then reviews key concepts from probability theory, such as the classical, relative frequency, and axiomatic definitions of probability. It also defines important terms like sample space, events, probability measures, and conditional probability. Examples are provided to illustrate independence and computing conditional probabilities. The document serves to introduce students to the core concepts that will be built upon in the course.

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    Stochastic Structural Dynamics: Lecture-1 Definition of Probability Measure and Conditional Probability

    Uploaded by

    Sooraj Rajendran
    27 views30 pages
    This document provides an introduction to a course on Stochastic Structural Dynamics. It begins with an overview of the course topics, including reviewing the theory of probability and analyzing structures under uncertain dynamic loads from sources such as earthquakes, wind, and traffic. It then reviews key concepts from probability theory, such as the classical, relative frequency, and axiomatic definitions of probability. It also defines important terms like sample space, events, probability measures, and conditional probability. Examples are provided to illustrate independence and computing conditional probabilities. The document serves to introduce students to the core concepts that will be built upon in the course.

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    This document provides an introduction to a course on Stochastic Structural Dynamics. It begins with an overview of the course topics, including reviewing the theory of probability and analyzing structures under uncertain dynamic loads from sources such as earthquakes, wind, and traffic. It then reviews key concepts from probability theory, such as the classical, relative frequency, and axiomatic definitions of probability. It also defines important terms like sample space, events, probability measures, and conditional probability. Examples are provided to illustrate independence and computing conditional probabilities. The document serves to introduce students to the core concepts that will be built upon in the course.

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    © All Rights Reserved
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    27 views30 pages

    Stochastic Structural Dynamics: Lecture-1 Definition of Probability Measure and Conditional Probability

    Uploaded by

    Sooraj Rajendran
    This document provides an introduction to a course on Stochastic Structural Dynamics. It begins with an overview of the course topics, including reviewing the theory of probability and analyzing structures under uncertain dynamic loads from sources such as earthquakes, wind, and traffic. It then reviews key concepts from probability theory, such as the classical, relative frequency, and axiomatic definitions of probability. It also defines important terms like sample space, events, probability measures, and conditional probability. Examples are provided to illustrate independence and computing conditional probabilities. The document serves to introduce students to the core concepts that will be built upon in the course.

    Copyright:

    © All Rights Reserved
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    of 30

    Stochastic Structural Dynamics

    Lecture-1
    Definition of probability measure and conditional probability
    Dr C S Manohar
    Department of Civil Engineering
    Professor of Structural Engineering
    Indian Institute of Science
    Bangalore 560 012 India
    manohar@civil.iisc.ernet.in

    ThisLecture
    Whatisthiscourseabout?
    Beginreviewingtheoryofprobability

    Loadsonengineeringstructures

    Earthquake
    Wind
    Waves
    Guidewayunevenness
    Traffic
    Dynamic
    Random

    Loadsonengineeringstructures
    Earthquake

    Loadsonengineeringstructures
    Wind

    Loadsonengineeringstructures
    Guidewayunevenness

    Uncertaintiesinstructuralengineeringproblems
    Loads (earthquakes,wind,waves,guideway
    unevenness)
    Structuralproperties (elasticconstants,mass,damping,
    strength,boundaryconditions,joints)
    Modeling (analytical,computationalandexperimental)
    Conditionassessmentinexistingstructures
    Humanerrors

    Stochastic structural dynamics


    Branch of structural dynamics in which the uncertainties in loads are
    quantified mathematically using theory of probability, random processes
    and statistics.
    Random vibration analysis; probabilistic structural dynamics
    Failure of structures under uncertain dynamic loads
    Design of structures under uncertain dynamic loads

    Also important in experimental vibration analysis


    Measurement of frequency response and impulse response functions
    Seismic qualification testing
    Condition assessment of existing structures
    Pre-requisites
    Basic background in
    Linear vibration analysis
    Probability and statistics

    Mathematicalmodelsforuncertainty:
    Probability,randomvariables,randomprocesses,statistics.
    Fuzzylogic.
    Intervalalgebra.
    Convexmodels.

    Review of probability and random processes

    Suggested books
    1. A Papoulis and S U Pillai, 2006, Probability, random variables and stochastic processes,
    4th Edition , McGraw Hill, Boston.
    2. J R Benjamin and C A Cornell, 1970, Probability, statistics, and decision for civil engineers,
    McGraw Hill Book Company, Boston.

    Definitions of probability:

    1.Classical definition
    2.Relative frequency
    3.Axiomatic
    10

    Classical (mathematical or a priori) definition:


    If a random experiment can result in n outcomes, such that
    these outcomes are
    equally likely
    mutually exclusive
    collectively exhaustive
    and, if out of these n outcomes, m are favourable to the
    occurrence of an event A, then the probability of the event A is
    given by P(A)=m/n.
    Example: P(getting even number on die tossing)=3/6=1/2.
    Objections
    What is equally likely?
    What if not equally likely? (what is the probability that sun
    would rise tomorrow?)
    No room for experimentation.
    Probability is required to be a rational number.

    11

    Relative frequency (posteriori) definition


    Ifarandomexperimenthasbeenperformedn numberoftimesandifm outcomes
    arefavorabletoeventA,thentheprobabilityofeventAisgivenby

    m
    .
    n n

    P A lim

    Objections
    Whatismeantbylimithere?
    Onecannottalkaboutprobabilitywithoutconductinganexperiment.
    Whatistheprobabilitythatsomeonemeetswithanaccidenttomorrow?

    Probabilityisrequiredtobearationalnumber.

    12

    Example:
    Toss a die 1000 times; note down how many times an even
    number turns up (say, 548).
    P(even number)=548/1000.
    N=1000 here is deemed to be sufficiently large.
    There is no guarantee that as the
    number of trials increases, the probability would converge.
    The die need not be fair.

    13

    Axiomaticdefinition
    Undefinednotions
    (primitives)
    Experiments
    Trials
    Outcomes

    Anexperimentisaphysical
    phenomenonthatcanbe
    observedrepeatedly.Asingle
    performanceofanexperimentis
    atrial.Theobservationmadeon
    atrialisitsoutcome.
    Axiomsarestatementsthatare
    commensuratewithour
    experience.Noproofsexist.All
    truthsarerelativetothe
    acceptedaxioms.
    14

    Random experiment (E)


    is an experiment such that

    the outcome of a specific trial


    cannot be predicted, and
    it is possible to predict all
    possible outcomes of any trial.

    Remarks

    E : the first technical term.

    Example: Toss a coin. We know that


    we will either get head or tail. In any
    given trial however we do not know
    before hand what would be the
    outcome.
    What cannot be envisaged, does not
    enter the theory.

    15

    Axiomaticdefinition(continued)
    Sample space ()
    Set of all possible outcomes of a random experiment.
    Examples
    (1) Coin tossing: = h t ; Cardinality=2; finite sample space.
    (2) Die tossing: = 1 2 3 4 5 6 ; Cardinality=6; finite sample space.
    (3) Die tossing till head appears for the first time:
    = h th tth ttth tttth ; Cardinality=; countably infinite sample space.
    (4) Maximum rainfall in a year: = 0 X< ;
    Cardinality=; uncountably infinite sample space.

    16

    Elements of are called sample points.


    can be thought of as outcome space.
    Consider a set with n elements.
    Number of subsets= nCo nC1 nC2 nCn (1 1) n 2n

    17

    Axiomaticdefinition(continued)
    Event space ( B )
    is finite : B is the set of all subsets of .
    Ex : h t ; B h t
    Cardinality of B 2 N ; N cardinality of .

    Elements of B are
    known as events

    In general : B is the sigma algebra of subsets of


    Definition
    Let C be a class of subsets of . If
    (a) A AC ,&

    (b) A Ai

    i i 1

    i 1

    then, we say that C is a sigma algebra of subsets of .

    18

    Axiomaticdefinition(continued)
    Probability (P)
    P : B 0,1 such that

    Axiom 1 (axiom of non - negativity) P A 0A B


    Axiom 2 (axiom of normalization) P 1
    Axiom 3 (axiom of additivity)

    i i 1


    , Ai A j i j P Ai P Ai
    i 1 i 1

    Probability space is the ordered triplet : , B, P

    19

    Note:
    We wish to assign probability to not only to elementary events
    (elements of sample space) but also to compound events
    (subsets of sample space).
    When sample space is not finite, ( as when it is the real line)
    there exists subsets of sample space which cannot be
    expressed as countable union and intersections of intervals.
    On such events we will not be able to assign probabilities consistent
    with the third axiom.
    To overcome this difficulty we exclude these events from the event space.

    Remarks

    (1) P A 1 P A
    c

    ( 2) A B P A P B

    (3) P A B P A PB P A B
    (4) P 0
    21

    Proof 1
    E E c ; E E c


    P PE P E 1 (Axiom 2)
    P E 1 PE
    P E E c PE P E c (Axiom 3)
    c

    Proof 4 : Use proof 1 with E ;


    Note : .
    c

    Proof 3

    A B A Ac B ;

    A Ac B

    P A B P A P Ac B (Axiom 3) (1)

    A B A B
    PB P A B P A B (Axiom 3) (2)
    B A B Ac B ;

    From (1) and (2)

    P A B P A P B P A B

    Proof 2 : hint :Use proof 3.

    Conditionalprobabilityandstochasticindependence
    Definition
    P A | B Probability of event A given that B has occurred
    PA B

    ; PB 0.
    P B
    Example: Fair Die tossing
    = 1 2 3 4 5 6
    The die has been tossed and an even number has been observed.
    P 2 | Even ?
    Approach 1: Even= 2 4 6
    P 2 | Even 1/ 3 (Classical definition)
    Approach 2:
    P 2 | Even

    P 2 Even
    P Even

    2 Even (2)
    P 2 | Even

    Conditional Probability obeys all the axioms


    (1) P A | B 0
    (2) P | B 1

    1/ 6
    1/ 3.
    1/ 2

    (3) P A C | B P A | B P C | B if A C
    24

    Stochastic independence
    Events A and B are said to be stochastically independent
    if any one of the following four statements is true:
    (1) The probability of occurrence of event A is not affected
    by the occurrence of event B.
    (2) P A B P A P B
    (3) P A | B P A
    (4)

    P A B
    P( B)

    Notation : A and B are independent


    A B P A B P APB

    P ( A); P ( B ) 0.
    Remarks
    (1) Defintion 1 is not useful to verify if A and B are independent.
    (2) If we need to verify if A and B are independent, we need to
    find P A , P ( B ), P ( B | A),& P ( A B ) and use defintions 2,3, or 4.
    (3) Independence of more than two events can also be defined. Thus

    Ai i=1
    3

    are said to be independent if

    (1) P Ai A j P Ai P A j i, j 1, 2,3 & i j , and


    (2)P A1 A2 A3 P A1 P A2 P A3

    25

    Example
    Toss two coins.
    = hh ht

    tt

    th

    Let a, b 0, such that (a b) 1.


    Let P(hh) a 2

    P tt b 2

    P ht P th ab.

    Clearly P()=P (hh) P tt P ht P th (a b)2 1.


    Define two events
    E1 head on the first coint= hh ht
    E2 head on the second coint= hh th
    Question : verify if E1 & E2 are independent.
    P E1 P hh ht a 2 ab a (a b) a
    P ( E2 ) P hh th a 2 ab a (a b) a
    P E1 E2 P (hh) a 2
    P E1 E2 P E1 P E2
    E1 & E2 are independent.
    26

    Example: in which three events are pairwise


    independent but are not independent.
    Consider a fair tetrahedron (this has four faces)
    Let the four faces be painted as
    Green, Yellow, Black and G+Y+B.
    1
    1 1 1
    P (Y ) ; P (G ) P ( B ) ;
    2
    4 4 2
    1
    P (GY ) P (G ) P (Y )
    4
    1
    P (GB ) P (G ) P ( B )
    4
    1
    P (YB ) P (Y ) P ( B )
    4
    1
    1
    P (GYB ) P (G ) P (Y ) P ( B ) .
    4
    8

    Example
    Consider a random experiment involving tossing
    of two dies. Define
    A (even on die 1)
    B (even on die 2)
    C (sum of numbers on die 1 and die 2)
    Examine if A, B, and C are independent.

    Total probability theorem


    Let A i i 1 constitute a partition of .
    N

    That is,

    A ;

    Ai A j i j.

    i 1

    Let B be a set.
    B

    A B
    i

    i 1

    P B P Ai B
    i 1

    P B

    P A B
    i

    i 1

    P B | A P( A )
    i

    i 1

    29

    Bayes' theorem
    P Ai | B
    P Ai | B

    P Ai B

    P( B)

    P B | Ai P( Ai )
    P( B)

    P B | Ai P ( Ai )
    N

    P B | A P( A )
    i

    i 1

    P ( Ai ) a priori probability
    P ( Ai | B) posteriori probability

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