[Math] Probability that any $n$ independent events occur

independenceprobability

Say there are n independent events, each with a probability p of occurring. What is the probability that any of these events occur?

My guess is that the probability is

$$ P(any) = p(1) + p(2) + p(3)+… + p(n)$$
$$ P(any) = p + p^2 + p^3 +… + p^n$$
$$ P(any) = \sum_{i=1}^n p^i$$

Does this sum have another form that can be computed easily? For example, if $n=800$, I don't want to actually calculate all $800$ terms.

Best Answer

  • 2 events $A$ and $B$ are independent if

$$P(A)P(B) = P(A \cap B)$$

  • 3 events $A,B,C$ are independent if

$$P(A)P(B) = P(A \cap B)$$ $$P(A)P(C) = P(A \cap C)$$ $$P(C)P(B) = P(C \cap B)$$ $$P(A)P(B)P(C) = P(A \cap B \cap C)$$

If we have the 1st 3 but not the 4th, then $A,B,C$ are not independent, but they are pairwise independent.

  • So what's the probability of $A \cup B \cup C$? The probability at least one occurs is equal to 1 - the probability that none occur.

$$P(A \cup B \cup C) = 1-P(A^c \cap B^c \cap C^c)$$

$$ = 1-P(A^c)P(B^c)P(C^c) \tag{***}$$

$$ = 1-(1-P(A))(1-P(B))(1-P(C))$$

$$ = 1-(1-p)(1-p)(1-p)$$

$$ = 1-(1-p)^3$$

What just happened at $(***)$?

Actually, if $A$ and $B$ are independent, then

  1. $A^C$ and $B^C$ are independent
  2. $A^C$ and $B$ are independent
  3. $A$ and $B^C$ are independent

Similarly, if $A$, $B$ and $C$ are independent, then $A^C, B^C, C^C$ are independent.

Hence

$$P(A^C)P(B^C) = P(A^C \cap B^C)$$ $$P(A^C)P(C^C) = P(A^C \cap C^C)$$ $$P(C^C)P(B^C) = P(C^C \cap B^C)$$ $$P(A^C)P(B^C)P(C^C) = P(A^C \cap B^C \cap C^C)$$

The last part is what is used to justify $(***)$.

Now finally how about for $n$ independent events $A_1, A_2, ..., A_n$?

$$P(A_1 \cup ... \cup A_n) = 1-P(A_1^c \cap ... \cap A_n^c)$$

$$ = 1-P(A_1^c)...P(A_n^c)$$

$$ = 1-(1-P(A_1))...(1-P(A_n))$$

$$ = 1-(1-p)...(1-p)$$

$$ = 1-(1-p)^n$$


It looks like you meant to compute probability exactly 1 occurs, probability exactly 2 events occur, etc.

To compute probability exactly 1 occurs:

$$P(A_1 \cap A_2^C \cap ... \cap A_n^C) = P(A_1)P(A_2^C) ... P(A_n^C) = p(1-p)^{n-1}$$

Similarly, we have

$$P(A_1^C \cap A_2 \cap ... \cap A_n^C) = p(1-p)^{n-1}$$

etc

Thus we have

Probability exactly 1 occurs = $np(1-p)^{n-1}$, not $p$

Note that

$$np(1-p)^{n-1} = \binom{n}{1}p^1(1-p)^{n-1}$$

Similarly, probability exactly 2 occur = $\binom{n}{2}p^2(1-p)^{n-2}$

Thus probability any $n$ occur =

$$\binom{n}{1}p^1(1-p)^{n-1} + \binom{n}{2}p^2(1-p)^{n-2} + ... + \binom{n}{n}p^n(1-p)^{n-n}$$

By binomial expansion, we have:

$$= ((p) + (1-p))^n - \binom{n}{0}p^0(1-p)^{n-0} = 1 - (1-p)^n$$

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