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STRUCTURAL RELIABILITY
Module # 02 Lecture 5
Course Format: Web

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

5. Lecture 05: Probability Distributions

In probability theory, a set of observations of random variable, discrete or continuous, generally follows a peculiar distribution (which is clearer for larger sample size). In this course, the Instructor have only considered continuous random variables, thus this lecture will only discuss probability distributions with respect to continuous random variables. Mathematically, many probability distribution models are defined for ease in calculations. These functions define shape of the probability distribution of random variables and are called Probability Density Function (pdf). It basically informs about probability associated with occurrence or likelihood of a random variable value and is denoted by , where is random variable and is the random value. Another mathematical counterpart of probability distribution is Cumulative Distribution Function (CDF) which specifies the cumulative probability distribution. In other words, it gives area under pdf for the random variable value. Thus, CDF can be expressed as

2.5.1

This (if is continuous) implies that pdf is first derivative of CDF (see Eq. 2.5.2). = 2.5.2

CDF value ranges from 0 to 1. Several such probability distribution models are present in literatures but a few continuous distributions are mentioned with their parameters in the table at the last of this lecture (see Table 2.5.1). Out of which a few distributions are discussed below. Normal Distribution Normal Distributions are very common and widely used distribution scheme in the field of probability and it is also known as Gaussian distribution. The pdf of random variable following normal distribution is = 1 2
2 2 2

2.5.3

Course Instructor: Dr. Arunasis Chakraborty 1

Lecture 05: Probability Distributions where, and denote mean and standard deviation of , respectively. It can also be expressed as function of standard normal pdf . . The above equation is valid for from to and the value of also ranges from to . This can be shown in Figure 2.5.1. Based on the understanding from Eq. 2.5.1 one can get the CDF as = 1

2 1 = 1 + erf 2 2

2 2 2

2.5.4

where, . is standard normal CDF and erf . is error function, =

is also valid for same range of (as explained above). In this course, standard normal pdf and CDF are denoted with special notations as explained above. Standard normal variables are those which follows normal distribution with zero mean and unit standard deviation (see Figure 2.5.1). This can be expressed as = = 1 2

. This expression

1 2

2 2

2.5.5 2.5.6

2 2

1 1 + erf 2 2

fX(x)

Course Instructor: Dr. Arunasis Chakraborty 2

Lecture 05: Probability Distributions Figure 2.5.1 Probability density function for normal distribution

Lognormal Distribution Consider a random variable whose logarithm (with base ) is following normal distribution then the random variable is governed by lognormal distribution scheme. For clear understanding, one can say random variable = such that follows normal distribution is lognormal distributed. Hence, the pdf of random variable with lognormal distribution (see Figure 2.5.2) is given by = 1 ln 2
ln 2 2 2ln

2.5.7

where parameters, and ln are median of and standard deviation of ln . Also, Eq. 2.5.7 is valid for non-zero and positive value. These parameters are expressed as
2 2 ln = ln + 1

2.5.8 2.5.9

2 ln 2

where, is coefficient of variation / of . Now, CDF for lognormal distribution can be defined as
1 = 2 ln

ln 2 2 2ln

2.5.10

Both, pdf and CDF (see Eq. 2.5.7 and 2.5.10) of lognormal distribution can be expressed in terms of standard normal distribution, too. Assume a random variable such that = On differentiating, one gets = 1 ln 2.5.12 ln ln 2.5.11

Substituting Eq. 2.5.11 and 2.5.12 into Eq. 2.5.10, one gets = 1 2

2 2

2.5.13

Course Instructor: Dr. Arunasis Chakraborty 3

Lecture 05: Probability Distributions = = = ln ln 2.5.14

ln 1 1 + erf 2 2 ln

and again, pdf can be expressed as = ln 1 ln ln 2.5.15

Further, in Figure 2.5.2 one can observe the effect of parameter (specially, ln ) on the pdf shape of lognormal distribution. Here, parameters, is considered as for three different values of ln (i.e., 0.5, 1 and 1.5).

fX(x)

Figure 2.5.2

x Probability density function for lognormal distribution

Uniform Distribution Uniform distribution is the simplest probability distribution. Unlike the above discussed distributions this distribution is defined from a lower to upper bound values (see Figure 2.5.3). In Course Instructor: Dr. Arunasis Chakraborty 4

Lecture 05: Probability Distributions other words, the distribution is valid for interval , , where , , , . The uniform pdf is given by = 1 , 0 elsewhere 2.5.16

where, mean and standard deviation are = = And, the CDF is 0 = 1 , < , < , 2.5.19 + 2 2 3 2.5.17 2.5.18

fX(x)

1/(u l)

u Figure 2.5.3

Probability density function for uniform distribution

Course Instructor: Dr. Arunasis Chakraborty 5

Lecture 05: Probability Distributions Table 2.5.1 General probability distribution models and associated parameters Relation between Parameters and Mean and Variance = + 12

Distribution and Designation Uniform Normal (Gaussian) , 1 1 ,

pdf
2

1 exp 2 2 1

2 and

Lognormal , ln

ln

1 ln / exp 2 ln 2

1 2 = exp ln 2
2 2 ln = ln + 1

Gamma ,

1 ,

0; , 0

2 ; = 2 + 2 + + + 1

Beta , , ,

1 1 , , +1

= +
2 = 2

Type 1 extreme (largest) 1, , Type 1 extreme (smallest) 1, , Type 2 extreme (largest) 2, ,

exp exp exp exp

+1

, ,

= + =

0.5772 2 2 ; = 2 6 0.5772 2 2 ; = 2 6 1 , > 1

exp

= 1

Course Instructor: Dr. Arunasis Chakraborty 6

Lecture 05: Probability Distributions

2 = 2 1

2 1 2 1 1

> 2

Type 3 extreme (smallest) 3, ,

exp

= + 1 + ,
2 = 2

1+

2 1 2 1 +

Poisson ()

, !

= 0, 1, 2,

=
2 =

Exponential ()

1 1 2 = 2 = = 2 2

Rayleigh

1 exp 2 2

2 = 2 2

Course Instructor: Dr. Arunasis Chakraborty 7

Course Instructor: Dr. Arunasis Chakraborty 8