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Segmentation of Stochastic Images using ... - Jacobs University

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Chapter 3<br />

SPDEs and Polynomial Chaos Expansions<br />

This chapter deals with the fundamentals required to develop stochastic images. First, we review<br />

notation and results from probability theory. Afterwards, we introduce SPDEs and the polynomial<br />

chaos expansion, the main ingredient for the numerical approximation <strong>of</strong> random variables.<br />

3.1 Basics from Probability Theory<br />

This section provides background from probability theory for the presentation <strong>of</strong> the stochastic images<br />

and SPDEs. First, we introduce the basic ingredients, probability measures, probability spaces<br />

and random variables.<br />

Definition A probability space (Ω,A ,Π) is a triple consisting <strong>of</strong> a sample space Ω containing all<br />

possible outcomes, a σ-algebra <strong>of</strong> events A ⊂ 2 Ω and a probability measure Π. The probability<br />

measure Π is defined on the σ-algebra A and has the following properties:<br />

• Π is non-negative: Π(A) ≥ 0 for all A ∈ A .<br />

• The measure <strong>of</strong> the sample space Ω is one: Π(Ω) = 1.<br />

• Π is countable additive, i.e. for a countable number <strong>of</strong> pairwise disjoint sets A i ⊂ A we have<br />

Π(∪A i ) = ∑(Π(A i )).<br />

On the probability space (Ω,A ,Π) we define functions from this space into the real numbers.<br />

Definition A random variable f : Ω → IR is a function from the sample space Ω into the real numbers<br />

that is measurable with respect to the σ-algebras A and B, where B is the Borel measure.<br />

Random variables are an important object for the definition <strong>of</strong> stochastic images. In Chapter 5, we<br />

will see that every pixel <strong>of</strong> a stochastic image is a random variable. For random variables, it is<br />

possible to define the probability density function (PDF):<br />

Definition The function ρ is called probability density function (PDF) <strong>of</strong> the random variable f if it<br />

satisfies Π(a < f < b) = ∫ b<br />

a ρ(x)dx for all a,b ∈ IR.<br />

Having the probability density at hand, we define further properties <strong>of</strong> random variables. The most<br />

important property <strong>of</strong> random variables is the expected value:<br />

Definition The expected value or first moment <strong>of</strong> a random variable X : Ω → IR with PDF ρ is<br />

∫<br />

∫<br />

∫<br />

E(X) = X(ω)dω = xρ(x)dx = xdΠ . (3.1)<br />

Ω<br />

In (3.1) we used dΠ = f dx to characterize integration with respect to the PDF.<br />

Knowing the probability density <strong>of</strong> a random variable allows us to transform the integral over the<br />

sample space Ω into an easier computable integral over the real numbers weighted by the probability<br />

density. Using this equality, it is also possible to compute higher-order moments <strong>of</strong> random variables:<br />

IR<br />

IR<br />

25

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