ME 5352 - Probabilistic Design

Chapter 2: Mathematics of Probability

Instructor: Professor Stephen Ekwaro-Osire

Department of Mechanical Engineering
Texas Tech University
Lubbock, Texas, USA
Chapter Outline

• Introduction to Set Theory

• Probability: Axioms and Theorems

• Examples

Chapter 2: Mathematics of Probability 2

• Introduction to Set Theory

• Probability: Axioms and Theorems

• Examples

Chapter 2: Mathematics of Probability 3

Introduction to Set Theory
• An experiment is any well-defined action (test/trail to illustrate
result/validation of a hypothesis/possibility of something previously
untried);

• A Venn diagram provides a simple but comprehensive pictorial

description of the problem;

E1 E2
S
E1E2

• Sample Space for an experiment is a set S containing each physical

outcome that corresponds to exactly one element (Sample Point) of S.
– Discrete Sample Space : discrete and countable sample points
– Continuous Sample Space: Continuum of Sample Points

Chapter 2: Mathematics of Probability 4

Introduction to Set Theory
• Event : Any subset ‘E’ of a sample space ‘S’

• Special events:
– Impossible event (i.e. )
– Certain event (e.g. S)
– Complementary event (e.g. 𝐸)

• Combination of events:
–  : intersection, AND Combination, product (E1  E2 or simply E1 E2 )
–  : union, OR combination, sum
–  : belongs to, is contained in
–  : contains
– Mutually exclusive events: E1  E2 =  (Null set)
– Collectively exhaustive events: E1  E2 = S

Chapter 2: Mathematics of Probability 5

Introduction to Set Theory
• Mutually exclusive events
𝐸1 𝐸2

• Collectively exhaustive events

𝐸1 𝐸2
𝐸1 𝐸2

• Mutually exclusive &

collectively exhaustive events 𝐸1 𝐸1

𝐸1 𝐸2

Chapter 2: Mathematics of Probability 6

Introduction to Set Theory

• Commutative rule: E1  E2 = E2  E1

• Associative rule: (E1  E2)  E3 = E1  (E2  E3)

• Distributive rule: (E1  E2)E3 = E1E3  E2E3

• De Morgan’s Rule: Evaluates union or intersection of many sets/events

𝐸1 ∪ 𝐸2 = 𝐸1 ∩ 𝐸2 = 𝐸1 𝐸2
𝐸1 ∩ 𝐸2 = 𝐸1 𝐸2 = 𝐸1 ∪ 𝐸2

Chapter 2: Mathematics of Probability 7

Introduction to Set Theory Example

• Consider three steel specimens that are subjected to tensile loads. Let
E1 denote the even that the ith specimen fails under these loads.

What is the expression for: failure occurs only in two specimens?

𝐸1 𝐸2 𝐸3 ∪ 𝐸1 𝐸2 𝐸3 ∪ 𝐸1 𝐸2 𝐸3
or
𝐸1 ∩ 𝐸2 ∩ 𝐸3 ∪ 𝐸1 ∩ 𝐸2 ∩ 𝐸3 ∪ 𝐸1 ∩ 𝐸2 ∩ 𝐸3

Chapter 2: Mathematics of Probability 8

Introduction to Set Theory Example

• Consider a Chain with 2 Links

F F

Let 𝐸1 = Breakage of Link 1 and Link 1 Link 2

𝐸2 = Breakage of Link 2
Failure of the Chain = 𝐸1 ∪ 𝐸2
No Failure of the Chain = 𝐸1 ∪ 𝐸2

Since no failure means that both chains survive

No Failure of the Chain = 𝐸1 ∩ 𝐸2 = 𝐸1 𝐸2
Therefor
Demonstration of validity of the
𝐸1 ∪ 𝐸2 = 𝐸1 ∩ 𝐸2 = 𝐸1 𝐸2 de Morgan’s Rule applied to an
engineering problem.

Chapter 2: Mathematics of Probability 9

• Introduction to Set Theory

• Probability: Axioms and Theorems

• Examples

Chapter 2: Mathematics of Probability 10

Probability: Axioms & Theorems Set theory, Probability

Set theory Probability theory

Space, S Sample space, sure event, certain even
Empty set,  Impossible event
Elements a, b,… Sample points a, b,… (or simple events)
Sets A, B Events A, B
A Event A occurs
A Event A does not occur
AB At least one of A and B occurs
AB Both A and B occur
A is a subevent of B (i.e. the occurrence of A necessarily
AB
implies the occurrence of B)
A and B are mutually exclusive (i.e. they cannot occur
AB = 
simultaneously)

Chapter 2: Mathematics of Probability 11

Probability: Axioms and Theorems

• Axiom 1: The probability of an event, denoted hereafter as P(E), will

always be nonnegative, that is, P(E) ≥ 0
(nonnegative)

• Axiom 2: The probability of sample space S is 1, that is, P(S) = 1 or the

probability of a certain event E within the sample space is 0 ≤ P(E) < 1
(normed)

• Axiom 3: For two mutually exclusive events 𝐸1 and 𝐸2

𝑃 𝐸1 ∪ 𝐸2 = 𝑃 𝐸1 + 𝑃 𝐸2
(additive)

Chapter 2: Mathematics of Probability 12

 Probability: Axioms & Theorems important properties

Useful properties of the probability function derived from the three axioms:

• P() = 0

• If A  C, then P(A) ≤ P(C)

• Given two arbitrary events E1 and E2, it follows

P(E1  E2) = P(E1) + P(E2) - P(E1E2)

𝐸1 𝐸2

counted twice!

Chapter 2: Mathematics of Probability 13

 Probability: Axioms and Theorems

𝑃 𝐸1 𝐸2
• Conditional Probability: 𝑃 𝐸2 |𝐸1 = where 𝑃 𝐸1 ≠ 0
𝑃 𝐸1

• Independent Events: Events E1 and E2 are statistically independent if

and only if:
− 𝑃 𝐸1 𝐸2 = 𝑃 𝐸1 𝑃 𝐸2

• Multiplication Rule:
− 𝑃 𝐸1 𝐸2 = 𝑃 𝐸2 |𝐸1 𝑃 𝐸1
− Used to find the probability of the simultaneous occurrence of two
events if the events are not independent
− Relates conditional and joint probabilities

Chapter 2: Mathematics of Probability 14

Probability: Axioms and Theorems
• Theorem of Total Probability:
- Suppose that structural damage (D) to a building can only be caused by three
events: fire (F), high wind (W), or earthquake (E).
- Assume further that F, W, and E are collectively exhaustive (their union
constitutes the entire sample), mutually exclusive events (no overlapping) and
their probabilities is greater than zero.
S 𝐷 = 𝐷𝑆
D =𝐷 𝐹∪𝑊∪𝐸

F W E = 𝐷𝐹 ∪ 𝐷𝑊 ∪ 𝐷𝐸

- Since the events are mutually exclusive

𝑃 𝐷 = 𝑃 𝐷𝐹 + 𝑃 𝐷𝑊 + 𝑃 𝐷𝐸
- By virtue of the multiplication rule
𝑃 𝐷 = 𝑃 𝐷|𝐹 𝑃 𝐹 + 𝑃 𝐷|𝑊 𝑃 𝑊 + 𝑃 𝐷|𝐸 𝑃 𝐸

Chapter 2: Mathematics of Probability 15

Probability: Axioms and Theorems
• Theorem of Total Probability: Used to calculate probability of an Event
A, whose occurrence depends on occurrences of other events Ei (i =
1,2,….,n).

Therefore, for the generalized case, the theorem of total probability is given by:

𝑃 𝐴 = 𝑃 𝐴|𝐸1 𝑃 𝐸1 + 𝑃 𝐴|𝐸2 𝑃 𝐸2 + ⋯ + 𝑃 𝐴|𝐸𝑛 𝑃 𝐸𝑛

Chapter 2: Mathematics of Probability 16

Probability: Axioms and Theorems
• Bayes’ Theorem: Gives the probability of an event Ei given that A has
occurred. This is the inverse of the problem solved by the theorem of
total probability.
- Knowing that the building has been damaged, the probabilities that the
damage was caused by fire, wind, or earthquake can be calculated by:
𝑃 𝐷|𝐹 𝑃 𝐹 𝑃 𝐷|𝑊 𝑃 𝑊 𝑃 𝐷|𝐸 𝑃 𝐸
𝑃 𝐹|𝐷 = ; 𝑃 𝑊|𝐷 = ; 𝑃 𝐸|𝐷 =
𝑃 𝐷 𝑃 𝐷 𝑃 𝐷

where 𝑃 𝐷 = 𝑃 𝐷|𝐹 𝑃 𝐹 + 𝑃 𝐷|𝑊 𝑃 𝑊 + 𝑃 𝐷|𝐸 𝑃 𝐸

- Therefore, for the generalized case, the Bayes’ theorem is given by:

𝑃 𝐴|𝐸𝑖 𝑃 𝐸𝑖 𝑃 𝐴|𝐸𝑖 𝑃 𝐸𝑖
𝑃 𝐸𝑖 |𝐴 = = 𝑛
𝑃 𝐴 𝑖=1 𝑃 𝐴|𝐸𝑖 𝑃 𝐸𝑖

Chapter 2: Mathematics of Probability 17

• Introduction to Set Theory

• Probability: Axioms and Theorems

• Examples

Chapter 2: Mathematics of Probability 18

Example 1 (System Reliability Calculation)

Consider the bars system shown beside, in

which: 1 2

A = Event of failure of bar 1; B = Event of failure of bar 2;

P(A) = 0.04; P(B) = 0.03
Determine the probability of failure and the probability of non-failure (reliability) of
the system
𝑃 failure = 𝑃 𝐴 ∪ 𝐵 = 𝑃 𝐴 + 𝑃 𝐵 − 𝑃 𝐴𝐵
Assuming events A and B are independent:
𝑃 𝐴𝐵 = 𝑃 𝐴 𝑃 𝐵 = 0.04 × 0.03 = 0.0012
Therefore, 𝑃 failure = 0.04 + 0.03 – 0.0012 = 0.0688

On the other hand, 𝑃 non−failure = reliability = 1 – 0.0688 = 0.9312

Chapter 2: Mathematics of Probability 19

Example 2

Chapter 2: Mathematics of Probability 20

Example 2

Theorem of total probability

S
Bayes’ theorem
D
F W E

Chapter 2: Mathematics of Probability 21

Example 3 (Optional)

Chapter 2: Mathematics of Probability 22

Example 3 (Optional)

Chapter 2: Mathematics of Probability 23