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1 P, IST, José Bioucas, 2007 Probability mathematical language to quantify uncertain Observation mechanism: Priors: Parameters Role in inverse problems

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Page 1: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

1IP, IST, José Bioucas, 2007

Probability

The mathematical language to quantify uncertainty

Observation mechanism:

Priors:

Parameters

Role in inverse problems

Page 2: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

2IP, IST, José Bioucas, 2007

Overview of Probability

Definition; Properties

Independency; Conditional probability; Bayes theorem

Random variables; Cumulative distribution function

Examples of random variables

Bivariate distributions; Marginal distribution;Conditional distribution

Multivariate distributions; Marginal distribution;Conditional distributions

Expectation of a random variable; Variance; Covariance

Conditional expectation of a random variable; Variance; Covariance

Weak law of large numbers

Ref. Larry Wasserman, All of Statistics. A Concise Course in Statistical Inference, Springer, 2004

Page 3: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

3IP, IST, José Bioucas, 2007

Definition

Frequencist interpretation:

Number of occurenciesof A

Number of repetitions

Bayesain interpretation: Measures an observer’s strength of belief that A is true

In probability the interpretation does not matter

sample space

event

Page 4: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

4IP, IST, José Bioucas, 2007

Independency; Conditional probability

Page 5: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

5IP, IST, José Bioucas, 2007

Random variables

Page 6: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

6IP, IST, José Bioucas, 2007

Random variables

Page 7: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

7IP, IST, José Bioucas, 2007

Some discrete random variables

From Wikipedia

Page 8: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

8IP, IST, José Bioucas, 2007

Some discrete random variables

From Wikipedia

Page 9: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

9IP, IST, José Bioucas, 2007

Some continuous random variables

Page 10: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

10IP, IST, José Bioucas, 2007

Some continuous random variables

Page 11: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

11IP, IST, José Bioucas, 2007

Some continuous random variables

Page 12: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

12IP, IST, José Bioucas, 2007

Bivariate distributions

Page 13: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

13IP, IST, José Bioucas, 2007

Bivariate distributions

Page 14: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

14IP, IST, José Bioucas, 2007

Bivariate distributions

Page 15: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

15IP, IST, José Bioucas, 2007

Expectation

Page 16: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

16IP, IST, José Bioucas, 2007

Expectation

Page 17: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

17IP, IST, José Bioucas, 2007

Expectation

Page 18: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

18IP, IST, José Bioucas, 2007

Expectation

Page 19: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

19IP, IST, José Bioucas, 2007

Expectation

Page 20: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

20IP, IST, José Bioucas, 2007

Expectation

Page 21: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

21IP, IST, José Bioucas, 2007

Expectation

Page 22: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

22IP, IST, José Bioucas, 2007

Multivariate Normal

Page 23: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

23IP, IST, José Bioucas, 2007

Multivariate Normal

Page 24: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

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Inequalities

Page 25: IP, IST, José Bioucas, 2007 1 Probability The mathematical language to quantify uncertainty  Observation mechanism:  Priors:  Parameters Role in inverse

25IP, IST, José Bioucas, 2007

Laws of large numbers

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26IP, IST, José Bioucas, 2007

Central Limit Theorem