Probabilistic Systems Analysis and Applied Probability (MIT 6.041) [Playlist w/ Textbooks]

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Course Description

Welcome to 6.041/6.431, a subject on the modeling and analysis of random phenomena and processes, including the basics of statistical inference. Nowadays, there is broad consensus that the ability to think probabilistically is a fundamental component of scientific literacy. For example:

  • The concept of statistical significance (to be touched upon at the end of this course) is considered by the Financial Times as one of “The Ten Things Everyone Should Know About Science”.
  • recent Scientific American article argues that statistical literacy is crucial in making health-related decisions.
  • Finally, an article in the New York Times identifies statistical data analysis as an upcoming profession, valuable everywhere, from Google and Netflix to the Office of Management and Budget.

The aim of this class is to introduce the relevant models, skills, and tools, by combining mathematics with conceptual understanding and intuition.

General Information

Welcome to 6.041/6.431! This fundamental subject is concerned with the nature, formulation, and analysis of probabilistic situations. No previous experience with probability is assumed. This course is fun, but also demanding.

Students intending to take the undergraduate version of the course need to sign up for 6.041, while those intending to take the graduate version should sign up for 6.431, which includes full participation in 6.041, together with some additional homework problems, additional topics, and possibly different quiz and exam questions.

6.041/6.431 has three types of class sessions: lectures, recitations, and tutorials. The lectures and recitations each meet twice a week. In addition, there will be a tutorial once a week, which is not mandatory, but is highly recommended.

Lectures serve to introduce new concepts. They have an overview character, but also include some derivations and motivating applications. In recitation, your instructor elaborates on the theory, works through new examples with your participation, and answers your questions about them. In tutorial, you discuss and solve new examples with a little help from your classmates and your instructor. Tutorials are active sessions to help you develop confidence in thinking about probabilistic situations in real time. Tutorials are highly recommended; past students have found them to be very helpful.

Prerequisites

The prerequisite for 6.041/6.431 is 18.02, or a year of college-level calculus for those with undergraduate degrees from other universities.

Text

The text for this course is:

Amazon logo Bertsekas, Dimitri, and John Tsitsiklis. Introduction to Probability. 2nd ed. Athena Scientific, 2008. ISBN: 9781886529236.

]Textbook [PDF]

Solutions to end-of-chapter problems are available: (This resource may not render correctly in a screen reader.PDF – 1.5MB)

A few of these problems will be covered in recitation and tutorial. The remaining ones can be used for self-study (for best results, always try to solve a problem on your own, before reading the solution).

Additionally, the following books may be useful as references. They cover many of the topics in this course, although in a different style. You may wish to consult them to get a different perspective on particular topics.

Amazon logo Drake, Alvin. Fundamentals of Applied Probability Theory. McGraw-Hill, 1967. ISBN: 9780070178151.

Textbook [PDF]

Amazon logo Ross, Sheldon. A First Course in Probability. 8th ed. Prentice Hall, 2009. ISBN: 9780136033134.

Textbook [PDF]

Instructor: Prof. John Tsitsiklis
MIT Course Number: 6.041 / 6.431
Recorded: Fall 2010
Level: Undergraduate / Graduate

Lecture Slides (PDF)

All Course Materials

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Reading:

Amazon logo Bertsekas, Dimitri, and John Tsitsiklis. Introduction to Probability. 2nd ed. Athena Scientific, 2008. ISBN: 978188652923.

LEC #TOPICSREADINGS
1Probability models and axiomsSections 1.1–1.2
2Conditioning and Bayes’ ruleSections 1.3–1.4
3IndependenceSection 1.5
4CountingSection 1.6
5Discrete random variables; probability mass functions; expectationsSections 2.1–2.4
6Discrete random variable examples; joint PMFsSections 2.4–2.5
7Multiple discrete random variables: expectations, conditioning, independenceSections 2.6–2.7
8Continuous random variablesSections 3.1–3.3
9Multiple continuous random variablesSections 3.4–3.5
10Continuous Bayes rule; derived distributionsSections 3.6; 4.1
11Derived distributions; convolution; covariance and correlationSections 4.1–4.2
12Iterated expectations; sum of a random number of random variablesSections 4.3; 4.5
13Bernoulli processSection 6.1
14Poisson process – ISection 6.2
15Poisson process – IISection 6.2
16Markov chains – ISections 7.1–7.2
17Markov chains – IISection 7.3
18Markov chains – IIISection 7.3
19Weak law of large numbersSections 5.1–5.3
20Central limit theoremSection 5.4
21Bayesian statistical inference – ISections 8.1–8.2
22Bayesian statistical inference – IISections 8.3–8.4
23Classical statistical inference – ISection 9.1
24Classical inference – IISections 9.1–9.4
25Classical inference – III; course overviewSections 9.1–9.4

Assignments:

 Recitations:

 Tutorials:

TUTORIALSSOLUTIONS
Tutorial 1 (PDF)Tutorial 1 Solutions (PDF)
Tutorial 2 (PDF)Tutorial 2 Solutions (PDF)
Tutorial 3 (PDF)Tutorial 3 Solutions (PDF)
Tutorial 4 (PDF)Tutorial 4 Solutions (PDF)
Tutorial 5 (PDF)Tutorial 5 Solutions (PDF)
Tutorial 6 (PDF)Tutorial 6 Solutions (PDF)
Tutorial 7 (PDF)Tutorial 7 Solutions (PDF)
Tutorial 8 (PDF)Tutorial 8 Solutions (PDF)
Tutorial 9 (PDF)Tutorial 9 Solutions (PDF)
Tutorial 10 (PDF)Tutorial 10 Solutions (PDF)
Tutorial 11 (PDF)Tutorial 11 Solutions (PDF)

 Exams:

QUIZZESSOLUTIONS
Quiz 1
General information (PDF)
Review slides (PDF)
Spring 2009 (PDF)Spring 2009 Solutions (PDF)
Fall 2009 (PDF)Fall 2009 Solutions (PDF)
Fall 2010 (PDF)Fall 2010 Solutions (PDF)
Quiz 2
General information (PDF)
Review slides (PDF)
Spring 2008 (PDF)Spring 2008 Solutions (PDF)
Fall 2009 (PDF)Fall 2009 Solutions (PDF)
Fall 2010 (PDF)Fall 2010 Solutions (PDF)
Final Exam
General information (PDF)
Spring 2009 (PDF)Spring 2009 Solutions (PDF)
Fall 2009 (PDF)Fall 2009 Solutions (PDF)
Fall 2010 (PDF)Fall 2010 Solutions (PDF)

 

(Source: MIT Open Courseware & YouTube | MIT)

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