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 Math Notes >> Bayes Theory

Bayes formula and it's extensions [Bayes Theory
Posted on June 1, 2007 @ 02:04:24 PM by Paul Meagher

Let wj represent a particular state of the world.

Let p(wj) represent the prior probability of observing a particular state of the world.

Let x represent a measurement value.

Let p(x|wj) represent the likelihood of a measurement value given a particular state of the world. We may now state Bayes formula as:

p(wj|x) = p(x|wj)p(wj)/p(x)

In words:

posterior = likelihood x prior / evidence

One of the first extensions we might want to make to this formula is to include more than one measurement value in our x term. We can let x (i.e., bolded x) denote a vector of measurement values. Part of the beauty of Bayes formula is how easy it is to extend the formula to handle such vector quantities:

p(wj|x) = p(x|wj)p(wj)/p(x)

When studying Bayes theory we often think we have learned it when we have mastered a particularly simple version of Bayes formula; namely, a version where:

  • There are only 2 states of the world.
  • There is only one measurement value.
  • There are only discrete valued terms.
  • The resulting action only involves deciding on what state of the world exists (i.e., an "epistemic action").
  • The only type of "loss" we are concerned with is the probability of error.

I hope this little exercise in generalizing Bayes formula to use a vector of measurements rather than just one will start you on the track to becoming a more sophisticated user of Bayes formula by exploring its various extensions.

The extension to using a vector of measurements is particularly useful in building classifiers where x represents a set of featural/dimensional measurements and wj represents a particular classification that is possible.



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