LECTURE 5: Discrete random variables:

probability mass functions and expectations

• Random variables: the idea and the definition

- Discrete: take values in finite or countable set

• Probability mass function (PMF)

• Random variable examples

- Bernoulli
Uniform
Binomial
Geometric

• Expectation (mean) and its properties

The expected value rule
- Linearity
Random variables: the idea
 e fo ma ·sm

• A andom variable ( u .v ") assoc·ates a value (a umbe )

to every possible outcome
• Mathematically: ,A fu ction fi om the sample spac ,e Q to the real numbers

• t can take discrete or continuous va ues

o a random variable X numer·cal value x

• We can have several random va ·ables defined on the same sample space

• A function of one o several random variables 1s a so a random variab l,e

- meaning of X + Y:
 robabi ·ty mass · nction (PM ) of a discrete .v. X X

X
• It is the uprobabil1ty law" or • probability distributio " of X
5
• If we t·x some x, then ux - x" ·s an event

1
prob= -
4
Px(x) - P(X - x) = P({w E Q s.t. X(w) = x})

• Properties: Px(x) >O Px(x) =1

X
 M calcula ·on

• wo ro Is of a tetra edral die • Le every possib e ,ou · come ave probability 1/16

4
z _x Y

Y = Second 3 • repeat for a ll z:

roll ------
2 col ect a I possib e outcomes for which Z ·s equa l to z
- add t ei p obab i ·ti es
1

1 2 3 4
X = First roll
pz(z) )~

,._
,
1 2 3 4 5 6 7 8 9 z
Th simples ra dam variable. ernou · wi p ram rpE[ ,1

w. - . p
X = 1,
0, w.p. 1 - p

• Models a trial that results ·n success/fa·1ure, Heads/Tails, etc.

• Indicator r.v. of a event A . IA 1 1f A oc r

e·nomial random var·able, param ters. o ·t·ve int ger n; p E [ , 1

• Experiment. n independent tosses of a co·n with P(Heads) =p

• Sample space. Set of sequences of H and T, of length n
• andom variable X. numb ,e of eads observed
• Mode l of: number of successes in a given number of independent trials

HHH

Px(k)
0
1- p 'fff
 n - 3 n -- 10 n - 100
0.4 0.25 0.08

0.35 0.07
0.2
0.3 0.06

0.25 p - 0.5 0.15 p - 0.5 0.05 p - 0.5

,.......
-2.,
X 0.2 ---
C,
X ~ 0.04
0.. 0.. 0..

0.1
0.15 0.03

0.1 0.02
0.05
0.05 0.01

0 0 0
-1 -0.5 0 0.5 1.5 2 2.5 3 3.5 4 0 2 4 6 8 10 0 10 20 30 40 50 60 70 80 90 100
l{ X l{

0.7 0.35 0.14

( )

--
0.6 0.12 -
-
0.3 )

0.5
p - 0.2
0.25
p 0.2
0.1
G:

G>
p 0.1
-
G:
0.4 0.2 0.08 -
)
'x 'x 'x
'--"x
0..
x
0..
x
0..
0.3 0.15 0.06 Ci: -
:i>

0.2 0.1 0.04 -

Gl Ki:)

0.1 0.05 0.02 Ll ti> -

0 0 0-
~
-1 -0.5 0 0.5 1 1.5 2 2.5 3 3.5 4 0 2 4 6 8 10 0 10 20 30 40 50 60 70 80 90 100
X X X
Geometric rando v, riab e: para e er p: o<p < 1
• Experiment. i finitely many independent toss ,es of a coin P( eads) - p

• Sample space: Set of inf 1 ·te seque ces of H and T

• Random variable X. numbe of tosses unt·1 the first Heads

• Model of: wa·ting times; number of tria s u til a success

Px(k) -

Px(k)
p-1/3
( o He d ev r)

1 2 3 4 5 6 7 8 9 k
Exp ctation/mean o a random variable
1, w.p. 2/10
• Mo ivation. Play a game 1000 times.
X- 2, w.p. 5/10
Random gain at each play described by:
4, w.p. 3/10
• "Average" gain:

[X] • In erpretation. Av ,erage in large number

• Definition
X of indepe · dent repetitions oft e experiment

• Caut1 n. If we have an inf·n·te sum it needs to be well-defined.

We assu e ~]xi Px(x) < oo
X
Expec a ·on of a Ber o Iii r.v

1, w.p. P
X=
0, w.p 1 - p

If X is the indicator of an event A, X IA :

 xpec ation of a ·rorm r v.

• nifor on0,1, ... ,n

Px(x) ~

1
n+l

••••••

0 1 n X

E[X
Expectation as a population average

• n students

• Weight of ith student: xi

• Exp ,eriment: pick a student at random, all equally likely

• Random variable X : weight of selected student

- assume the xi are distinct

Px(xi) =

E[X] =
le en ary properties of expec a ions
• Defini ·on: [X]
X
• If X > 0, then E[X] >

• If a < X < b, then a < [X] < b

• If c 1sa constant, E[c C

 he expecte value rule, for calc ating E[g(X)] X y

• Let X be a r.v. and let Y - g(X) g

• Averaging over y: E[Y] - LYPy(y)

y
prob

• Averag·ng over x:

Proof:

• Ca t10 · In g,e e al, E[g(X) -::/=g(E[X])

Linearity of expectation: E[aX + b] = aE[X] + b

• Intuitive

• Derivation, bas,ed on the expected value rule:

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Resource: Introduction to Probability

John Tsitsiklis and Patrick Jaillet

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