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STRUCTURAL
RELIABILITY
Module # 02
Lecture 3

Course Format: Web


Instructor:
Dr. Arunasis Chakraborty
Department of Civil Engineering
Indian Institute of Technology Guwahati

Course Instructor: Dr. Arunasis Chakraborty
1
3. Lecture 03: Theory of Probability
(Contd.)
Random Variables
Random variable is a variable whose values are always associated with a probability of
occurrence, i.e. the numerical value of the random variable cannot be predicted with certainty
before experiment.
Random variable X in sample space S is a set of real number. It may be discrete or
continuous.
Ex. : Let a die is thrown. The outcome is { } 6 , 5 , 4 , 3 , 2 , 1 = S . Draw the probability mass function
(pmf) and cumulative probability distribution function (CDF).
Discrete Random Variables
pmf,
| | ( ) x p x X P
X
= = 2.3.1
It satisfies three axioms of probability
( ) 1 0 s s x p
X
2.3.2

( )

=
i
x all
i X
x p 1
2.3.3

| | ( )

s
s
= s s
b x all
a x all
i X
i
i
x p b X a P
2.3.4

Jointly Distributed Discrete Random Variables

Two or more random variables

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
2

Joint pmf,

( ) | | ( ) ( ) | | y Y x X P y Y x X P y x p
j i j i XY
= = = = = = , ,
2.3.5


Joint CDF,
for Discrete RV

( ) ( )

s s
=
x x y y
j i XY XY
i j
y x p y x F , ,
2.3.6
for Continuous RV

( ) ( ) ( ) | | y Y x X P y x F
j i XY
s s = ,
2.3.7
Note: ( ) 0 , > y x p
XY
& ( )

=
i j
x all y all
j i XY
y x p 1 ,
Ex.: Five beams are tested in the laboratory and the load corresponding to first crack at SLS and
ULS is determined. The joint pmf is given in following table

X
Y
Total
0 1 2 3 4 5
0 0.000 0.020 0.000 0.000 0.000 0.000 0.020
1 0.010 0.050 0.000 0.000 0.000 0.000 0.060
2 0.020 0.010 0.100 0.010 0.000 0.000 0.140
3 0.030 0.015 0.010 0.150 0.015 0.000 0.220
4 0.040 0.020 0.015 0.010 0.250 0.010 0.345
5 0.050 0.020 0.020 0.015 0.010 0.100 0.215
Total 0.150 0.135 0.145 0.185 0.275 0.110 1.000

Plot the pmf first and evaluate the probability of an event E in which same number of beams fail
in both SLS and ULS.

Marginal Distribution

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
3

( ) | | ( )

= = =
j
y all
j i XY X
y x p x X P x p ,
2.3.8
Note: It is possible to get distribution for the individual variable i.e. marginal distribution from
the joint distribution. Similar expression can be written for ( ) y p
Y
.

Ex.: Evaluate marginal distribution from the previous example. (Task for the reader)

Conditional Distribution
Let us assume two discrete random variables X and Y with values x and y
1
. Then the
conditional mass function is given by

( )
( )
( )
1
1
1 |
,
|
y p
y x p
y x p
Y
XY
Y X
=
2.3.9

The conditional pmf to be proper, following conditions are to be satisfied

( ) 1 , 0
|
s s y x p
Y X

2.3.10


( ) 1 ,
|
=
i
x all
i Y X
y x p
2.3.11

( ) 0
1
= y p
Y
2.3.12

Continuous RV
CDF
( ) | | ( )
}

= s =
x
X X
dx x f x X P x F for all x 2.3.13

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
4
In the above expression ( ) x f
X
is called the probability distribution function or pdf. If X is
positive and is only defined in 0 to , then CDF is
( ) | | ( )
}
= s =
x
X X
dx x f x X P x F
0
for all x in 0 to 2.3.14
( ) x F
X
to be a proper distribution function, the following conditions are to be satisfied
( ) 0 =
X
F 2.3.15
( ) 1 = +
X
F 2.3.16
( )
}
+

=1 dx x f
X
2.3.17
( ) 0 > x f
X
2.3.18
( ) 0 > x F
X
and is a non-decreasing function in x 2.3.19
Note: For continuous random variable

| | ( ) ( ) ( ) ( ) a F b F dx x f dx x f b X a P
X X
a
X
b
X
= = s s
} }

2.3.20
Ex: The strength of a concrete cube is known to randomly vary from 20 to 40kN/m
2
with pdf
( )
1 20 40
40
0
X
y
k x
f x
elsewhere
| |
s s
|
=
\ .

Where, k is constant. Find out the probability of failure under the uniform load of 30kN/m
2
.

Jointly Distributed Continuous Random Variables
Let us assume two continuous random variables X and Y. Then the joint probability density
function is given by

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
5

| | ( )
} }
= s s s s
2
1
2
1
, ,
2 1 2 1
a
a
b
b
XY
dxdy y x f b Y b a X a P
2.3.21
Note: RHS is the volume under the pdf ( ) y x f
XY
, .
The joint pdf ( ) y x f
XY
, between X and Y satisfies the following conditions
( ) 0 , > y x f
XY
for all x and y 2.3.22
( )
} }
+

+

=1 , dxdy y x f
XY
2.3.23
Note: ( ) ( ) y x F
y x
y x f
XY XY
, ,
2
c c
c
= & ( ) | | y Y x X P y x F
XY
s s = , ,

Marginal Distribution Function
Marginal pdf,
( ) ( )
}
+

= dy y x f x f
XY X
, 2.3.24
Marginal CDF,
( ) | | ( ) ( ) = = s =
}
+

, x F dx x f x X P x F
XY X X
2.3.25

Conditional Distribution
Conditional pdf of X such that Y has taken a value of y
1
is given by

( )
( )
( )
1
1
1 |
,
,
y f
y x f
y x f
Y
XY
Y X
=
2.3.26

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
6

( ) ( )
}

=
x
Y X Y X
dx y x f y x F
1 | 1 |
, , 2.3.27
Ex: If the joint pdf of two random variables X and Y is given by ( ) xy y x F
XY
= , for 1 0 < < x
and 2 0 < < y , evaluate joint CDF ( ) y x F
XY
, , marginal density function of X and conditional
pdf of Y ( ) x y f
X Y
|
|
.
Note: if two random variables X and Y are independent, then

( ) ( ) ( ) ( ) ( ) x p y x p y p x p y x p
X Y X Y X XY
= = | . ,
|
for DRV
2.3.28


( ) ( ) ( )
( ) ( ) ( )
( ) ( )
( ) ( )
( ) ( ) x F y x F
y f x y f
x f y x f
y F x F y x F
y f x f y x f
X Y X
Y X Y
X Y X
Y X XY
Y X XY
=
=
=
=
=
|
|
|
. ,
. ,
|
|
|
for CRV 2.3.29
DRV: Discrete random variable, CRV: Continuous random variable
Functions of Random Variables
In science and engineering, very often we encounter two random variables one of which depends
on another. For example, lateral pressure on a wall and water level in a tank. Let Z be a
dependent random variable that depends on the independent random variable X such that
( ) X g Z = & ( ) z g x
1
=
( ) | |
dz
dz
z g d
dx
1
= 2.3.30
where, Z is a single valued function of X and g is a monotonically increasing function then
| | | | ( ) | | z g X P x X P z Z P
1
= = = = = 2.3.31
For discrete random variable

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
7
( ) ( ) | | z g p z p
X Z
1
= 2.3.32


( ) ( )
( )

s
=
z g x all
j X Z
j
x p z F
1

2.3.33
For continuous random variable
( ) | | | | ( ) | | z g F x X P z Z P z F
X Z
1
= s = s = 2.3.34

( ) ( ) ( ) | | ( ) | |
} }


= =
x z
X X Z
dz z g
dz
d
z g f dx x f z F
1 1
2.3.35

( ) ( ) | | ( ) | | ( )
dz
dx
x f z g
dz
d
z g f z f
X X Z
= =
1 1
2.3.36

( ) ( ) | | z g nf
dz
dx
z f
X Z
1
.

= 2.3.37
Note: Modulus is for monotonically decreasing function and n is for a function where z
corresponds to n values of x.

Ex: If h d T o + = , where T is the dependent random variable and h is the independent random
variable whose pdf is given by
( ) ( ) 2 exp
2
1
2
h h f
H
=
t
for 0 > h
Evaluate pdf of T i.e. ( ) t f
T
.
Ans.: ( ) ( ) t g d t h
1
= = o
Using the transformation given in eq 2.3.37, one can get

Lecture 03: Theory of Probability (Contd.)
Course Instructor: Dr. Arunasis Chakraborty
8
( ) ( )

|
.
|

\
|
=
(

=
2
.
2
1
exp
2
1
.
1
.
o
t
o o
d t
h f
d t
dt
d
t f
H T
d t >