Lecture 2 RV-Continuous PDF

Lecture 2 Probability Analysis for Civil Engineering
Lecture 2
Continuous Random Variables
Dr. Jie Zhang

Tongji University
Email: cezhangjie@tongji.edu.cn
Course Email: civilriskcourse@126.com
Random variable
• A device to:
a) formalize description of event
b) facilitate computation of
probability
0.6 0.6
PMF PMF: probability

0.2 0.2 0.2 mass function
0.2
4 5 6 X 26 30 34 M
Discrete random variables
wider distribution
PDF
PDF: probability
density function
4 5 6 X 26 30 34 M
Continuous random variables

CDF
PMF PX(x) FX(x)
PDF fX(x) FX(x)
dFX ( x )
f X ( x) 
dx
Main descriptors of R.V.
• The PMF or PDF completely define the r.v.

• Descriptors (e.g., mean, std) give partial
information about the r.v.
Mean value for a discrete random variable
Define  = E(X)
= expected value of X or
mean value of X
  xi PX ( xi )
i
a measure of central tendency
Mean value for a continous random variable
Define  = E(X)
where f(x) = PDF of x

Standard deviation for a discrete random

variable
Define s2 = var(X)
where var(x) = variance of x

s = standard deviation
Standard deviation for a continous

random variable

var( X )   [ x  E( x)]
2
f ( x)dx

It is a measure of variability
Example 1
• Suppose the undrained strength of a clay, cu, has three
possible values:
P(cu = 10 kPa) = 0.1
P(cu = 20 kPa) = 0.6
P(cu = 30 kPa) = 0.3.
• The mean of cu is E(cu) = 10 × 0.1 + 20 × 0.6 + 30 ×

0.3 = 1+12+9 = 22 kPa
• The standard deviation of cu is

var (cu) = (10-22)2× 0.1 + (20-22)2× 0.6 + (30-22)2×
0.3= 36 kPa2
Std(cu) = 6 kPa
Example 2
Measure of spread
• Standard deviation sX  Var ( X )

• Coefficient of variation (cov)
sX
• X  dimensionless %
X
Normal distribution
1  1  x   2 
f X ( x) 
2s
exp     
 2  s     x  
fX(x) 0.25
0.20
X : N (, s)
0.15
0.10 N (5, 2)
0.05
0.00
-5 0 5 10 15 20 x
=5
Standard normal distribution
1
1  s2 0.50
f S (s)  e 2 f(s)
2 0.40
0.30
0.20
0.10
0.00
s
-6 -4 -2 0 2 4 6
Let F(s) denote cumulative function of s. The mean and standard

deviation of s are 0 and 1, respectively. It can be shown that
x a a a
P( x  a)  P(  )  P( s  )  F( )
s s s s
1
a 1  s2
F(a)   e 2
ds

2
-5 -4 -3 -2 -1 0 1a2 3 4 5
F(0)  0.5 F(1)  0.8413

F(2)  0.97725
F(1)  1  F(1)  0.1587
F(4)  1  0.00003167  0.9999683
Table of Standard Normal Probability
Excel function:
norm.dist(x,mean, std,pdf/cdf)
Example 2.1: retaining wall
Suppose X = N(200,30)
What is the probability that x
is in the range of 230-260?
x P(230  x  260)
=P( x  260)  P( x  230)
 260  200   230  200 
 F F 
F  30   30 
 F (2)  F (1)
 0.977  0.841  0.136
If the retaining wall is designed such that the

reliability against sliding is 99%,
How much friction should be provided?
P( x  F )  99%
 F  200     200 
F F   0.99
 30   30 
F  200
 F 1 (0.99)
30
1
 F  200  30  F (0.99)  270
2.33
Lognormal distribution
1  1  ln x    
2
f X ( x)  exp      x0
2 x  2    
fX(x) Parameter  
What is the excel function?
0 2 4 6 8
x
Parameters  
1 2
  ln   
2
 s  2
  ln 1  2   ln 1   
2 2
  
  ln xm
for   0.3,  
Probability for Log-normal distribution
 ln a   
P( X  a)  F  
  
 ln b     ln a   
P (a  X  b)  F  F 
     
If a is xm, then  is not needed.

Gamma distribution
 v  vx k 1  vx
 e x0
f X ( x)   ( k )

 0 x0

(k )=  x k 1e x dx
0
Excel function: Gamma(k)

Gamma distribution
k
x 
v
k
sx  2
v
Evaluating Gamma-PDF with Excel
Excel function: Gammadist(x,, )
PDF in this lecture PDF in Excel
 v  vx k 1  vx  x 1 x
 e x0   e x0
f X ( x)   ( k ) f X ( x)    ( )
  x0
 0 x0  0
  k ,   1/ v
Beta distribution
q 1 r 1
(q  r ) ( x  a) (b  x)
f X ( x)  q  r 1
 ( q ) ( r ) (b  a)
fX(x) a xb
0.3 q = 2.0 ; r = 6.0
0.2 e.g., c, f
0.1 probability
0.0 x
0 2 4 6 8 10 12
a = 2.0 b = 12
Gumbel distribution
• To model the distribution of the maximum (or the

minimum) of a number of samples of various
distributions.
• Example: the maximum level of a river in a

particular year if there was a list of maximum
values for the past ten years.
• Useful in predicting the chance of an extreme

earthquake, flood or other natural disasters
Gumbel minimum
Minimum Gumbel (Type 1 least extreme values distribution):

 z  
F  z   1  exp  e 

 
1  z   z  
f  z   exp   exp  e  P 207
     
Mean and variance of z:
E  z     0.5772 
  
2
P 214
var  z    
 6
Gumbel maximum
Maximum Gumbel:
  z  
F  z   exp  e 

 
z 
1  z     
f  z   exp    exp  e


      P 207
Mean and variance of z:
E  z     0.5772
  
2 P 213
var  z    
 6 
Gumbel distribution
Gumble distributions may also be written

inters of mean () and COV () as follows
Minimum Gumbel:

 
  z      0.5772 6  
F  z   1  exp  exp 
  

  6    
  
Mximum Gumbel:

 
   z      0.5772 6  
F  z   exp  exp 
  

  6    
  
Example
Suppose at a site the following values are measured for

the cohesion:
12 kPa, 14 kPa, 18 kPa, 15 kPa, 16.2 kPa, 17. 6 kPa, 13 kPa
Assuming cohesion follows the Gamma distribution.

Determine the probability of cohesion less than 10 kPa.
Multivariate
distributions
Multivariate normal distribution

In many problems we have more than one random
variable.
If x and y are both normal, the can be assumed to follow

the multivariate normal distribution as follows
32
33

q follows the MV distribution with mean of q and
covariance matrix of Cq:
1  1 
f θ   2 
  θ θ 
1
 θ 
T
exp θ μ C θ μ
 2  
n /2 1/2
Cθ
n = dimension of q
Example: when n = 2, q and Cq can be written as follows
 1   s 12 12s 1s 2 
μθ    Cθ   
 2   12s 1s 2 s 22 
34
Homework
Consider the following measurements about the cohesion
of a soil. Work out the solutions of the following two
problems, assuming the cohesion follows the normal and
lognormal distributions, respectively,
12 kPa, 14 kPa, 18 kPa, 15 kPa, 16.2 kPa, 17. 6 kPa, 13 kPa
(1)Draw the PDF of the cohesion;

(2)Evaluate the probability that the cohesion based on is
less than 5 kPa, 10 kPa, and 15 kPa.
(3)Assess the effect of the type of distribution on the
results.

Lecture 2 RV-Continuous PDF

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Lecture 2 RV-Continuous PDF

Uploaded by

Copyright:

Available Formats

Lecture 2 Probability Analysis for Civil Engineering

Dr. Jie Zhang

PMF PMF: probability

Discrete random variables

Continuous random variables

PDF fX(x) FX(x)

Main descriptors of R.V.

• The PMF or PDF completely define the r.v.

Mean value for a discrete random variable

Mean value for a continous random variable

where f(x) = PDF of x

Standard deviation for a discrete random

where var(x) = variance of x

Standard deviation for a continous

• The mean of cu is E(cu) = 10 × 0.1 + 20 × 0.6 + 30 ×

• The standard deviation of cu is

• Standard deviation sX  Var ( X )

Standard normal distribution

Let F(s) denote cumulative function of s. The mean and standard

F(0)  0.5 F(1)  0.8413

Example 2.1: retaining wall

If the retaining wall is designed such that the

What is the excel function?

Probability for Log-normal distribution

If a is xm, then  is not needed.

Excel function: Gamma(k)

Evaluating Gamma-PDF with Excel

Excel function: Gammadist(x,, )

PDF in this lecture PDF in Excel

• To model the distribution of the maximum (or the

• Example: the maximum level of a river in a

• Useful in predicting the chance of an extreme

Minimum Gumbel (Type 1 least extreme values distribution):

Mean and variance of z:

Gumble distributions may also be written

Suppose at a site the following values are measured for

Assuming cohesion follows the Gamma distribution.

Multivariate normal distribution

If x and y are both normal, the can be assumed to follow

Multivariate normal distribution

Multivariate normal distribution

Example: when n = 2, q and Cq can be written as follows

12 kPa, 14 kPa, 18 kPa, 15 kPa, 16.2 kPa, 17. 6 kPa, 13 kPa

(1)Draw the PDF of the cohesion;

You might also like