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Reading Randomvariables

The document discusses key concepts in probability and statistics relevant to designing ocean vehicles, including random variables, expected value, probability distributions, and the central limit theorem. Random variables assign outcomes to experiments. Expected value is the average outcome over many trials. Probability distributions describe outcomes as discrete, continuous, or functions of other variables. The central limit theorem states that averages of samples are approximately normally distributed as the number of samples increases.

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Rajeuv Govindan
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© Attribution Non-Commercial (BY-NC)
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Download as PDF, TXT or read online on Scribd
51 views

Reading Randomvariables

The document discusses key concepts in probability and statistics relevant to designing ocean vehicles, including random variables, expected value, probability distributions, and the central limit theorem. Random variables assign outcomes to experiments. Expected value is the average outcome over many trials. Probability distributions describe outcomes as discrete, continuous, or functions of other variables. The central limit theorem states that averages of samples are approximately normally distributed as the number of samples increases.

Uploaded by

Rajeuv Govindan
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
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13.

42 Design Principles for Ocean Vehicles

Reading #

13.42 Design Principles for Ocean Vehicles


Prof. A.H. Techet Spring 2005

1. Random Variables
A random variable is a variable, x , whose value is assigned through a rule and a random experiment, , that assigns a priori a value to the outcome of each experiment, A1 , A2 , A3 ,... This rule states that x( A1 ) = x1 x( A2 ) = x2
L

x( An ) = xn

One example of a random variable is a Bernoulli random variable which assigns either a 1 or 0 to the outcome. For example, toss a fair coin. If it lands heads up you get one dollar, if it land tails up you loose a dollar. The amount won or lost in this case is the random variable. Symbolically, x( ) denotes the random variable which is a function of the random event = { A1 , A2 ,, An } which has associated probabilities: p( A1 ) = p1 , p ( A2 ) = p2 , etc. A1 x1 , p1 A2 x2 , p2
M

An xn , pn

2004, 2005 A. H. Techet

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13.42 Design Principles for Ocean Vehicles

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The variables xi are the values of the random variable, Ai , the possible events in the event space, and pi is the probability of event Ai .

EXPECTED VALUE of the random variable can be thought of as follows: after many ( M ) repetitions of a random experiment in which event A1 occurred d1 times, A2 occurred d 2 times, and so on to An occurred d n times, the total number of experiments is simply M = d1 + d 2 + d3 + L + d n .
(19)

If a weight, or cost, xi , is assigned to each event, Ai , then the total cost of all of the events is xT = d1 x1 + d 2 x2 + L + d n xn .
(20)

Then given pi , the probability of event Ai , the expected value of the event is
N

x = E { X ( )} = pi xi .
i =1

(21)

Hence the AVERAGE INCOME per trial is

x=

xT M

(22)

As m :

di M

pi . In other words the number of occurrences of each event, di , divided

by the total number of events, M , is equal to the probability of the event, pi , and the expected value of x is the average income as defined in 22 as M

2004, 2005 A. H. Techet

Version 3.1, updated 2/14/2005

13.42 Design Principles for Ocean Vehicles

Reading #

x = x1 p1 + x2 p2 + L + xn pn .

(23)

Expected Value Properties

E{x + y} = E{x} + E{ y} E{C} = C ; C is a constant


E { g ( x( ))} = i =1 g ( xi ) pi
n

Properties of Variance

Vx

=E x( ) x

}
}

= E x 2 ( ) 2 x( ) x + x 2

= E{x( ) 2 } 2 xE{x( )} + x 2

= E { x 2 ( )} x 2

The Standard deviation is defined as the square root of the variance: = V .

2. Probability Distribution
Discrete Random Variable: possible values are a finite set of numbers or a countable set

of numbers.

Continuous Random Variable: possible values are the entire set or an interval of the

real numbers. The probability of an outcome being any specific point is zero (improbable but not impossible).

EXAMPLE: On the first day of school we observe students at the Coop buying computers. The random variable x is zero if a desktop is bought or one if the laptop is bought. If
20% of all buyers purchase laptops then the pmf of x is
2004, 2005 A. H. Techet 3 Version 3.1, updated 2/14/2005

13.42 Design Principles for Ocean Vehicles

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p(0) = p( X = 0) = p(next customer buys a desktop) = 0.8 p (1) = p ( X = 1) = p(next customer buys a laptop) = 0.2

p( x) = p( X = x) = 0 for x 0 or 1.

Probability Density Function (pdf): of a continuous random variable, x , is defined as

the probability that x takes a value between xo and xo + dx , divided by dx , or f x ( xo ) = p( xo x < xo + dx) /dx.

(24)

This must satisfy f x ( x) 0 for all x where

f x ( x) = 1 is the area under the entire

graph f x ( x) . It should be noted that a PDF is NOT a probability.

3. Cumulative Distribution Function (CDF)


At some fixed value of x we want the probability that the observed value of x is at most xo . This can be found using the cumulative distribution function, P ( x) .

Discrete Variables: The cumulative probability of a discrete random variable xn with

probability p( x) is defined for all x as


F ( x xk ) = p ( xk )
j =1 k

(25)

Continuous Variables: The CDF, F ( x) , of a continuous random variable X with pdf

f x ( x) is defined for all x as


Fx ( xo ) = p ( X xo ) =
xo

f x ( y )dy

(26)

2004, 2005 A. H. Techet

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13.42 Design Principles for Ocean Vehicles

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which is the area under the probability density curve to the left of value xo . Note that F ( xo ) is a probability in contrast to the PDF. Also
F ( xo ) = p ( x xo ) =
xo

f x ( x)dx

(27)

and dF ( xo ) . dx

f x ( xo ) =

(28)

Let x be a continuous random variable with a pdf f x ( x) and cdf F ( x) then for any value,
a,

p ( x > a) = 1 F (a);

(29)

and for any two numbers, a and b,

p(a x b) = F (b) F (a )

(30)

Expected Value: The expected value of a continuous random variable, x, with pdf f x ( x)

is

x = E ( x) = x f x ( x)dx

(31)

If x is a continuous random variable with pdf f x ( x) and h( x) is any function of that random variable then
E[h( x)] = h ( x ) = h( x) f x ( x) dx

(32)

2004, 2005 A. H. Techet

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13.42 Design Principles for Ocean Vehicles

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Conditional Expectations: The expected value of the random variable given that the

variable is greater than some value.


Example:

Variance: The variance of a continuous random variable, x, with pdf f x ( x) is

x2 = V {x} = E{[ x x]2 } = ( x x ) 2 f x ( x)dx

(33)

4. Functions of Random Variables


Given a random variable, X ( ) or pdf, f x ( x) , and a function, y = g ( x) , we want to find the probability of some y , or the pdf of y, f y ( y ) .

F ( X xo ) = F ( y ( x) g ( xo ))

(34)

The probability that the random variable, X, is less than some value, xo , is the same as the probability that the function y ( x) is less than the at function evaluated at xo . EXAMPLE: Given y = x + b and the pdf f x ( x) for all > 0 , then x + b < yo for
x
yo b

and
F ( y yo ) =
yo b

f x ( x)dx

(35)

3 EXAMPLE: Given y = x3 : F ( X xo ) = F ( y xo ).

If y x has one solution and pdfs f y and f x f y | dy |= f x | dx | f y = fx/ | dy | | dx |

(36) (37)

2004, 2005 A. H. Techet

Version 3.1, updated 2/14/2005

13.42 Design Principles for Ocean Vehicles

Reading #

If y x1 , x2 ,L, xn then
f x ( x1 )
dy ( x1 ) dx

fy =

+L+

f x ( xn )
dy ( xn ) dx

(38)

5. Central Limit Theorem


Let x1 , x2 ,, xn be random samples from an arbitrary distribution with mean, , and variance, 2 . If n is sufficiently large, x has an approximately normal distribution. So as n , if f x ( x) can be approximated by a Gaussian distribution. then 1 n xi n i =1

x=

(39

and

2 ( x) =

1 n 2 i n i =1

(40)

2004, 2005 A. H. Techet

Version 3.1, updated 2/14/2005

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