Good Review Materials http://www.imageprocessingbook.com/DIP2E/dip2e_downloads/review_material_downloads.htm Random Variables and Random Vectors • (Gonzales & Woods review materials) • Chapt. 1: Linear Algebra Review • Chapt. 2: Probability, Random Variables, Random Vectors Tim Marks, Cognitive Science Department Tim Marks, Cognitive Science Department Random variables Discrete random variables • Samples from a random variable are real numbers • Discrete random variables have a pmf (probability mass function), P P(X = a) = P(a) • Example: Coin flip 1 – A random variable is associated with a probability distribution over these real values – Two types of random variables • Discrete – Only finitely many possible values for the random variable: X ∈ {a1, a2, …, an} – (Could also have a countable infinity of possible values) » e.g., the random variable could take any positive integer value – Each possible value has a finite probability of occurring. X = 0 if heads X = 1 if tails – What is the pmf of this random variable? • Continuous – Infinitely many possible values for the random variable – E.g., X ∈ {Real numbers} P (a ) 0.5 0 0 Tim Marks, Cognitive Science Department Continuous random variables • Discrete random variables have a pmf (probability mass function), P 1 P(X = a) = P(a) P (a ) • Example: Die roll • Continuous random variables have a pdf (probability density function), p • Example: Uniform distribution p(x) p(1.3) = ? 0 0 1 2 3 4 5 6 a p(2.4) = ? What is the probability that X = 1.3 exactly: P(X = 1.3) = ? 0.5 0.5 Tim Marks, Cognitive Science Department a Tim Marks, Cognitive Science Department Discrete random variables X ∈ {1, 2, 3, 4, 5, 6} – What is the pmf of this random variable? 1 1 2 x Probability corresponds to area under the pdf. 1.5 P(1 < X < 1.5) = ∫? p(x) dx = 0.25 Tim Marks, Cognitive Science Department 1 –1 Continuous random variables Random variables • What is the total area under any pdf ? • How much change do you have on you? ∞ – Asking a person (chosen at random) that question can be thought of as sampling from a random variable. ∫ p( x)dx = 1? −∞ • Example continuous random variable: Human heights p(h) p(h) • Is the random variable “Amount of change people carry” discrete or continuous? p(h) h h h Tim Marks, Cognitive Science Department Tim Marks, Cognitive Science Department Random variables: Mean & Variance An important type of random variable • These formulas can be used to find the mean and variance of a random variable when its true probability distribution is known. Definition Mean µ µ = E(X) Variance E ((X − µ) 2 ) Var(X) Discrete r.v. Continuous r.v. µ = ∑ ai P (ai ) µ= 2 i ∫ x p(x) dx −∞ i ∑ (a − µ) ∞ ∞ P(ai ) ∫ (x − µ) 2 p(x) dx −∞ i Tim Marks, Cognitive Science Department Tim Marks, Cognitive Science Department The Gaussian distribution p(x) = 1 2π σ e Estimating the Mean & Variance − ( x − µ )2 2σ 2 X ~ N(µ, σ 2) Tim Marks, Cognitive Science Department – After sampling from a random variable n times, these formulas can be used to estimate the mean and variance of the random variable. • Samples x1, x2, x3, …, xn Estimated mean: m= 1 n ∑ xi n i=1 Estimated variance: σ2 = 1 n ∑ (x i − m)2 n i=1 σ2 = 1 ∑ (x i − m)2 ← unbiased estimate n −1 i=1 ← maximum likelihood estimate n Tim Marks, Cognitive Science Department –2 Finding mean, variance in Matlab Example continuous random variable – Samples x = [x1 x 2 x 3 L x n ] – Mean >> m = (1/n)*sum(x) • People’s heights (made up) – Variance 1 σ = [x1 − m n 2 Method 1: Method 2: x1 − m x − m x 2 − m L x n − m] 2 M x n − m >> v = (1/n)*(x-m)*(x-m)’ >> z = x-m >> v = (1/n)*z*z’ – Gaussian µ = 67 , σ2 = 20 • What if you went to a planet where heights Gaussian µ = 75 , σ2 = 5 – How would they be different from us? Tim Marks, Cognitive Science Department Tim Marks, Cognitive Science Department Example continuous random variable • Time people woke up this morning – Gaussian µ = 9 , σ2 = 1 Random vectors – An n-dimensional random vector consists of n random variables that are all associated with the same events. – Example 2-D random vector: X V = Y where X is random variable of human heights Y is random variable of wake-up times – Sample n times from V. v1 v 2 L v n x1 x 2 L x n y1 y 2 L y n Tim Marks, Cognitive Science Department Random Vectors • What will the graph of V look like? 67 m = 10 Tim Marks, Cognitive Science Department x (heights) Mean of a random vector • Estimating the mean of a random vector Mean – Mean of X is 67 – Mean of Y is 10 y (wake-up times) Tim Marks, Cognitive Science Department – n samples from V • What is mean of V ? Let’s collect some samples and graph them: m= v1 v 2 L v n x1 x 2 L x n y1 y 2 L y n n n 1 1 x m x v i = ∑ i = ∑ n i=1 n i=1 y i m y – To estimate mean of V in Matlab >> (1/n)*sum(v,2) Tim Marks, Cognitive Science Department –3 Random vector – Example 2-D random vector: X V = Y where X is random variable of human heights Y is random variable of human weights v1 v 2 L v n x1 x 2 L x n y1 y 2 L y n • Sample n times from V – What will graph look like? Covariance of two random variables • Height and wake-up time are uncorrelated, but height and weight are correlated. • Covariance Cov(X, Y) = 0 for X = height, Y = wake-up times Cov(X, Y) > 0 for X = height, Y = weight – Definition: Cov(X,Y ) = E ((X − µx )(Y − µy )) If Cov(X, Y) < 0 for two random variables X, Y , what would a scatterplot of samples from X, Y look like? Tim Marks, Cognitive Science Department Tim Marks, Cognitive Science Department Estimating covariance from samples • Sample n times: Cov(X,Y ) = Cov(X,Y ) = x1 y1 Estimating covariance in Matlab – Samples x2 L xn y2 L yn – Means mx ← m_x my ← m_y x = [x1 x 2 x 3 L x n ] y = [y1 y 2 y 3 L y n ] 1 n ∑ (x i − mx )(y i − my ) n i=1 ← maximum likelihood estimate 1 n ∑ (x i − mx )(y i − my ) n −1 i=1 ← unbiased estimate – Covariance 1 Cov(X,Y ) = [x1 − m x n x 2 − mx y1 − m y y 2 − my L x n − mx ] M y n − my • Cov(X, X) = ?Var(X) Method 1: >> v = (1/n)*(x-m_x)*(y-m_y)’ • How are Cov(X, Y) and Cov(Y, X) related? Method 2: >> w = x-m_x >> z = y-m_y >> v = (1/n)*w*z’ Cov(X, Y) = Cov(Y, X) Tim Marks, Cognitive Science Department Covariance matrix of a D-dimensional random vector ( X − µX = E [X − µX Y − µY Example covariance matrix • People’s heights (made up) • In 2 dimensions X V = Y T Cov(V) = E (V − µ )(V − µ ) Tim Marks, Cognitive Science Department X ~ N(67, 20) ) Var(X ) Cov(X,Y ) Y − µY ] = Var(Y) Cov(X,Y ) • In D dimensions T Cov(V) = E ((V − µ )(V − µ ) ) • When is a covariance matrix symmetric? A. always, B. sometimes, or C. never Tim Marks, Cognitive Science Department • Time people woke up this morning Y ~ N(9, 1) • What is the covariance matrix of X V = Y ? 20 0 0 1 Tim Marks, Cognitive Science Department –4 Estimating the covariance matrix from samples (including Matlab code) – Sample n times and find mean of samples v1 v 2 L v n x V = 1 y1 x2 L xn y2 L yn 1 Cov(V ) = n x1 − m x y1 − m y • 1-dimensional Gaussian is completely determined by its mean, µ, and variance, σ 2 : mx m= my – Find the covariance matrix x1 − mx x 2 − mx L x n − mx x 2 − mx y 2 − my L y n − my M x n − mx >> m = (1/n)*sum(v,2) >> z = v - repmat(m,1,n) >> v = (1/n)*z*z’ Tim Marks, Cognitive Science Department Gaussian distribution in D dimensions X ~ N(µ, σ 2) y1 − m y y 2 − my M y n − my p(x) = 1 2π σ e − (x− µ )2 2σ 2 • D-dimensional Gaussian is completely determined by its mean, µ, and covariance matrix, Σ : X ~ N(µ, Σ) p(x) = 1 (2π ) D/2 Σ 1/ 2 e − 12 (x−µ )T Σ −1 (x−µ ) –What happens when D = 1 in the Gaussian formula? Tim Marks, Cognitive Science Department –5