Transcript lecture1 - Computer Science and Engineering

CSE 221: Probabilistic Analysis of Computer Systems
Topics covered:
Course outline and schedule
Introduction (Sec. 1.1-1.4)
General information
CSE 221
Instructor
Phone
Email
Office
Lecture time
Office hours
Web page
: Probabilistic Analysis of Computer Systems
: Swapna S. Gokhale
: 6-2772.
: [email protected]
: ITEB 237
: Mon/Fri 12:30 – 1:45 pm
: By appointment
(I will hang around for a few minutes at the end of
each class).
: http://www.engr.uconn.edu/~ssg/cse221.html
(Lecture notes, homeworks, and general announcements
will be posted on the web page)
Course goals
 Appreciation and motivation for the study of probability
theory.
 Definition of a probability model
 Application of discrete and continuous random variables
 Computation of expectation and moments
 Application of discrete and continuous time Markov chains.
 Estimation of parameters of a distribution.
 Testing hypothesis on distribution parameters
Expected learning outcomes
 Sample space and events:
Define a sample space (outcomes) of a random experiment and
identify events of interest and independent events on the
sample space.
 Compute conditional and posterior probabilities using Bayes
rule.
 Identify and compute probabilities for a sequence of Bernoulli
trials.
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 Discrete random variables:
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Define a discrete random variable on a sample space along with
the associated probability mass function.
Compute the distribution function of a discrete random
variable.
Apply special discrete random variables to real-life problems.
Compute the probability generating function of a discrete
random variable.
Compute joint pmf of a vector of discrete random variables.
Determine if a set of random variables are independent.
Expected learning outcomes (contd..)
 Continuous random variables:
Define general distribution and density functions.
 Apply special continuous random variables to real problems.
 Define and apply the concepts of reliability, conditional failure
rate, hazard rate and inverse bath-tub curve.
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 Expectation and moments:
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Obtain the expectation, moments and transforms of special and
general random variables.
 Stochastic processes:
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Define and classify stochastic processes.
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Derive the metrics for Bernoulli and Poisson processes.
Expected learning outcomes (contd..)
 Discrete time Markov chains:
Define the state space, state transitions and transition
probability matrix
 Compute the steady state probabilities.
 Analyze the performance and reliability of a software
application based on its architecture.
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 Statistical inference:
Understand the role of statistical inference in applying
probability theory.
 Derive the maximum likelihood estimators for general and
special random variables.
 Test two-sided hypothesis concerning the mean of a random
variable.
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Expected learning outcomes (contd..)
 Continuous time Markov chains:
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Define the state space, state transitions and generator matrix.
Compute the steady state or limiting probabilities.
Model real world phenomenon as birth-death processes and
compute limiting probabilities.
Model real world phenomenon as pure birth, and pure death
processes.
Model and compute system availability.
Textbooks
Required text book:
1. K. S. Trivedi, Probability and Statistics with Reliability, Queuing and
Computer Science Applications, Second Edition, John Wiley.
(Book will be available week of Sept. 6)
Course topics
 Introduction (Ch. 1, Sec. 1.1-1.5, 1.7-1.11):
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Sample space and events, Event algebra, Probability axioms,
Combinatorial problems, Independent events, Bayes rule,
Bernoulli trials
 Discrete random variables (Ch. 2, Sec. 2.1-2.4, 2.5.1-2.5.3,
2.5.5,2.5.7,2.7-2.9):
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Definition of a discrete random variable, Probability mass and
distribution functions, Bernoulli, Binomial, Geometric, Modified
Geometric, and Poisson, Uniform pmfs, Probability generating
function, Discrete random vectors, Independent events.
 Continuous random variables (Ch. 3, Sec. 3.1-3.3, 3.4.6,3.4.7):
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Probability density function and cumulative distribution
functions, Exponential and uniform distributions, Reliability and
failure rate, Normal distribution
Course topics (contd..)
 Expectation (Ch. 4, Sec. 4.1-4.4, 4.5.2-4.5.7):
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Expectation of single and multiple random variables, Moments
and transforms
 Stochastic processes (Ch. 6, Sec. 6.1, 6.3 and 6.4)
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Definition and classification of stochastic processes, Bernoulli
and Poisson processes.
 Discrete time Markov chains (Ch. 7, Sec. 7.1-7.3):
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Definition, transition probabilities, steady state concept.
Application of discrete time Markov chains to software
performance and reliability analysis
 Statistical inference (Ch. 10, Sec. 10.1, 10.2.2, 10.3.1):
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Motivation, Maximum likelihood estimates for the parameters
of Bernoulli, Binomial, Geometric, Poisson, Exponential and
Normal distributions, Parameter estimation of Discrete Time
Markov Chains (DTMCs), Hypothesis testing.
Course topics (contd..)
 Continuous time Markov chains (Ch. 8, Sec. 8.1-8.3, 8.4.1):
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Definition, Generator matrix, Computation of steady
state/limiting probabilities, Birth-death process, M/M/1 and
M/M/m queues, Pure birth and pure death process, Availability
analysis.
Course topics and exams calendar
Week #1 (Aug. 28):
1. Aug. 28: Logistics, Introduction, Sample Space, Events
2. Sept. 1: Event algebra, Probability axioms, Combinatorial problems
Week #2 (Sept. 4):
Sept. 4: Labor Day (no class)
3. Sept. 8: Combinatorial problems, Conditional probability, Independent events.
Week #3 (Sept. 11):
Sept. 11: No class.
4. Sept. 15: Bayes rule, Bernoulli trials (HW #1)
Week #4 (Sept. 18):
5. Sept. 18: Discrete random variables, Mass and Distribution functions
6. Sept. 22: Bernoulli, Binomial and Geometric pmfs.
Week #5 (Sept. 25):
7. Sept. 25: Poisson pmf, Probability Generating Function (PGF)
8. Sept. 29: Discrete random vectors, Independent random variables. (HW #2)
Course topics and exams calendar (contd..)
Week #6 (Oct. 2):
9. Oct. 2: Continuous random variables, Uniform & Normal distributions
10. Oct. 6: Exponential distribution, Reliability, Failure rate (HW#3)
Week #7 (Oct. 9):
11. Oct 9: Expectation of random variables, Moments
12. Oct. 13: Multiple random variables, Transform methods
Week #8 (Oct. 16):
13. Oct. 16: Moments and transforms of some distributions
14. Oct. 20: Stochastic process, Bernoulli and Poisson process (HW #4)
Week #9 (Oct. 23):
15. Oct. 23: Discrete Time Markov Chains
16. Oct. 27: Discrete Time Markov Chains
Week #10 (Oct. 30):
17. Oct. 30: Discrete Time Markov Chains (HW #5)
18. Nov. 3: Statistical inference, Parameter estimation
Week #11 (Nov. 6):
19. Nov. 6: Statistical inference, Parameter estimation
Nov. 10 – no class
Course topics and exams calendar (contd..)
Week #12 (Nov. 13):
20. Nov. 13: Hypothesis testing (HW #6)
21. Nov. 17: Continuous Time Markov Chains, Birth-Death process (Project)
Week #13 (Nov. 20):
Thanksgiving (no class)
Week #14: (Nov. 27)
22. Nov. 27: Simple queuing models
23. Dec. 1: Simple queuing models (contd..)
Week #15: (Dec. 4)
23. Dec. 4: Pure birth/pure death process, Availability analysis (HW #7)
24. Dec. 8: Overview
Assignment/Homework logistics
 There will be one homework based on each topic
(approximately)
 One week will be allocated to complete each homework
 Homeworks will not be graded, but I encourage you to do
homeworks since the exam problems will be similar to the
homeworks.
 Solution to each homework will be provided after a week.
 Homework schedule is as follows:
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HW
HW
HW
HW
HW
HW
HW
#1 (Handed: Sept. 15, Lectures #1-#4)
#2 (Handed: Sept. 29, Lectures #5-#8)
#3 (Handed: Oct. 6, Lectures #9-#10)
#4 (Handed: Oct. 20, Lectures #11-#14)
#5 (Handed: Oct. 30, Lectures, #15-#17)
#6 (Handed: Nov. 13, Lectures #18-#20)
#7 (Handed: Dec. 4, Lectures #21-#24)
Exam logistics
 Exams will have problems similar to that of the homeworks.
 Exam I: (Oct. 6)
 Lectures 1 through 8
 Exam II: (Nov. 3)
 Lectures 9 through 14
 Exam III: (Dec. 1)
 Lectures 15 through 20
 Exams will be take-home.
Project logistics
 Project will be handed in the week before Thanksgiving, and
will be due in the last week of classes.
 2-3 problems:
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Experimenting with design options to explore tradeoffs and to
determine which system has better performance/reliability etc.
Parameter estimation, hypothesis testing with real data.
May involve some programming (can be done using Java, Matlab
etc.)
 Project report must describe:
Approach used to solve the problem.
 Results and analysis.
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Grading system
Homeworks – 0%
- Ungraded homeworks.
Midterms - 45%
- Three midterms, 15% per midterm
Project – 25%
- Two to three problems.
Final
- 30%
- Heavy emphasis on the final
Attendance policy
Attendance not mandatory.
Attending classes helps!
Many examples, derivations (not in the book) in the class
Problems, examples covered in the class fair game for the
exams.
 Everything not in the lecture notes
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Feedback
Please provide informal feedback early and often, before the formal
review process.
Introduction and motivation
 Why study probability theory?
 Answer questions such as:
Probability model
 Examples of random/chance phenomenon:
 What is a probability model?
Sample space
 Definition:
 Example: Status of a computer system
 Example: Status of two components: CPU, Memory
 Example: Outcomes of three coin tosses
Types of sample space
 Based on the number of elements in the sample space:
 Example: Coin toss
 Countably finite/infinite
 Countably infinite
Events
 Definition of an event:
 Example: Sequence of three coin tosses:
 Example: System up.
Events (contd..)
 Universal event
 Null event
 Elementary event