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**1. Derive the probability density function for 1 , given that 1 = A
**

4

. for the

cases

(i) 1

·

(r) =

1

2

. 0 _ r _ 2

(ii) 1

·

(r) = c exp(÷r). r _ 0.

Plot all density functions.

Solution:

o(r) = A

4

o

0

(r) = 4A

3

.

Mathematically there are four roots given by (obtain these easily by de…n-

ing 1 = 7

2

and 7 = A

2

and performing successive square roots):

r

1

=

4

n. r

2

= ÷

4

n.

r

3

= i

4

n. r

4

= ÷i

4

n.

(i) For

1

·

(r) =

1

2

. 0 _ r _ 2.

the general transformation considering only the positive root is

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1

4n

3/4

1

2

=

1

8n

3/4

. 0 _ n _ 16.

Note that

16

0

1

8n

3/4

dn =

1

8

4

1

n

1/4

16

0

= 1.

The density plots are shown in Figures 27 and 28.

(ii) Given

1

·

(r) = c exp(÷r). r _ 0.

…rst …nd the value of c :

1

0

c exp(÷r)dr = 1.0

== c = 1.0.

As r has a positive range, the negative roots should be neglected for

calculations.

42

0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4

0.0

0.2

0.4

0.6

x

f(x)

Figure 27: Density Function 1

·

(r) = 1´2. 0 _ r _ 2

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

0

1

2

3

4

5

y

f(y)

Figure 28: 1

Y

(n) =

1

8u

3=4

. 0 _ n _ 16

43

Performing the density transformation:

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1

4n

3/4

exp(÷

4

n)

=

1

4n

3/4

exp(÷

4

n). n _ 0.

and

1

0

1

4n

3/4

exp(÷

4

n)dn = 1.

The plots of these density functions are shown in Figures 29 and 30.

0 1 2 3 4 5

0.0

0.2

0.4

0.6

0.8

1.0

x

f(x)

Figure 29: Density Function 1

·

= exp(÷r). r 0

2. For the function 1 = aA

2

. …nd 1

Y

(n) for the cases where

(i) 1

·

(r) = c exp(÷r). r _ 0.

(ii) 1

·

(r) is a Rayleigh density,

(iii) 1

·

(r) is a lognormal density.

Plot all density functions.

Solution: For this case, mathematically there are two roots

r

1

=

n

a

. r

2

= ÷

n

a

.

But since r has a positive range for all cases, so we must drop the negative

root. Therefore, only one root is used to calculate 1

Y

. Performing the

44

0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16

0

1

2

3

4

5

y

f(y)

Figure 30: 1

Y (u)

=

1

4u

3=4

exp(÷

4

n). n _ 0

density transformation:

o(r) = aA

2

o

0

(r) = 2aA

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

.

(i) Given that 1

·

(r) = c exp(÷r). r _ 0. …rst …nd the value of c :

1

0

c exp(÷r)dr = 1.0

== c = 1.0.

Then,

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1

2a

n

a

exp(÷

n

a

)

=

1

2

an

exp(÷

n

a

). n _ 0.

45

0.040.060.080.100.120.140.160.180.200.220.240.260.280.300.320.340.360.380.400.42

0

1

2

3

4

5

x

y

1

2

p

u

exp(÷

n)

For the case a = 1. the plot of density function 1

·

(r) is shown in Figure

31.

0 1 2 3 4 5

0.0

0.2

0.4

0.6

0.8

1.0

x

f(x)

Figure 31: Density Function 1

·

(r) = exp(÷r). r 0

(ii) If 1

·

(r) is a Rayleigh density, it is given by

1(r) =

r

o

2

exp

÷

r

2

2o

2

¸

. r _ 0.

46

As there is only one root, we have

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1

2

an

n

a

1

o

2

exp

÷

n

2ao

2

=

1

2ao

2

exp

÷

n

2ao

2

. n 0.

For the case o = 1 and a = 1. the plots of these density functions are

shown in Figures 32 and 33.

0 1 2 3 4 5

0.0

0.1

0.2

0.3

0.4

0.5

0.6

x

f(x)

Figure 32: Density Function 1

·

(r) = rexp

÷

r

2

2

¸

. r 0

(iii) The lognormal density is given by

1

·

(r) =

1

rc

2¬

exp

÷

1

2

lnr ÷`

c

2

¸

. 0 < r < ·.

So 1

Y

(n) is found as

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1

2a

u

o

1

u

o

c

2¬

exp

÷

1

2

ln

u

o

÷`

c

2

=

1

2nc

2¬

exp

÷

1

2

ln

u

o

÷`

c

2

. n 0.

47

0 1 2 3 4 5

0.1

0.2

0.3

0.4

0.5

y

f(y)

Figure 33: Density Function 1

Y

(n) =

1

2

exp

¸

÷

u

2

. n 0

For mean value ` = 1, standard deviation c = 1. and a = 1. the density

functions are plotted in Figures 34 and 35.

3. Derive the probability density function for 1. given 1 = a+A

3

. Consider

two cases:

(i) 1

·

(r) = c exp(÷r). r _ 0.

(ii) 1

·

(r) is a lognormal density.

Plot all density functions.

Solution:

(i) Given the density 1

·

(r) = c exp(÷r). r _ 0. …rst …nd the value of c :

1

0

c exp(÷r)dr = 1 ==c = 1.

For

A

3

= 1 ÷a.

A has three equal roots,

3

1 ÷a.

48

0 2 4 6 8 10 12 14 16 18 20 22 24

0.00

0.05

0.10

0.15

0.20

x

y

Figure 34: Density Function 1

·

(r) =

1

r

2¬

exp

÷

1

2

lnr ÷1

1

2

¸

. r 0

0 1 2 3 4 5

0.00

0.05

0.10

0.15

0.20

y

f(y)

Figure 35: Density Function 1

Y

(n) =

1

2n

2¬

exp

÷

1

2

ln

n

÷1

1

2

. n

0

49

Performing the density transformation:

r

1

=

3

n ÷a. r

2

=

3

n ÷a. r

3

=

3

n ÷a

o(r) = a +A

3

o

0

(r) = 2A

2

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

+

1

·

(r

2

)

[o

0

(r

2

)[

+

1

·

(r

3

)

[o

0

(r

3

)[

=

3

2(n ÷a)

2

3

exp(÷

3

n ÷a). n _ 0.

Density functions for a = 1 are shown in Figures 36 and 37.

0 1 2 3 4 5

0.0

0.2

0.4

0.6

0.8

1.0

x

f(x)

Figure 36: Density Function 1

·

(r) = exp(÷r). r 0

(ii) The lognormal density is given by

1

·

(r) =

1

rc

2¬

exp

÷

1

2

lnr ÷`

c

2

¸

. 0 < r < ·.

50

0 1 2 3 4 5

0

5

10

15

20

25

x

y

Figure 37: Density function 1

Y

(n) =

3

2(n ÷a)

2

3

exp(÷

3

n ÷a). n 0

Performing the density transformation:

r

1

=

3

n ÷a. r

2

=

3

n ÷a. r

3

=

3

n ÷a

o(r) = a +A

3

o

0

(r) = 2A

2

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

+

1

·

(r

2

)

[o

0

(r

2

)[

+

1

·

(r

3

)

[o

0

(r

3

)[

=

1

2(n ÷a)

2

3

3

3

n ÷ac

2¬

exp

÷

1

2

ln

3

n ÷a ÷`

c

2

¸

=

3

2c

2¬(n ÷a)

exp

÷

1

2

ln

3

n ÷a ÷`

c

2

¸

.

Density functions for ` = 1. c = 1 and a = 1 are shown in Figures 38 and

39.

4. Derive the probability density function for 1. given 1 = A

3

for

1

·

(r) = 1´c

2

. 2 < r < 4.

Sketch all density functions.

Solution: Integrating the density function over the domain yields:

4

2

1

c

2

dr = 1

c

2

= 2.

51

0 1 2 3 4 5 6 7 8 9 10

0.00

0.05

0.10

0.15

0.20

0.25

x

f(x)

Figure 38: Density Function 1

·

(r) =

1

r

p

2t

exp

÷

1

2

ln r1

1

2

¸

. r 0

1 2 3 4 5

0.0

0.5

1.0

1.5

2.0

2.5

y

f(y)

Figure 39: Density Function 1

Y

(n) =

3

2c

2¬(n ÷1)

exp

÷

1

2

ln

3

n ÷1 ÷1

1

2

¸

52

Then, r

1

= n

1/3

and

o(A) = A

3

o

0

(A) = 3A

2

= 31

2/3

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1´2

3n

2/3

=

1

6n

2/3

. 8 < n < 64.

5. The random variables A and 1 are related by the equation

1 = c

·

.

(i) Suppose that A is uniformly distributed as 0 _ A _ 5. Find 1

Y

(n) .

Sketch this density function.

(ii) Suppose now that A is governed by the density function 1

·

= cc

r

.

0 _ A _ 5. where c is a constant. Find 1

Y

(n) . Sketch this density

function.

Solution:

(i) From the given information 1

·

(r) = 1´5. Performing the density trans-

formation:

r

1

= lnn

o(r) = exp(r)

o

0

(r) = exp(r)

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1´5

exp(lnn)

=

1

5n

. 1 _ n _ 148.4

1

Y

(1) = 1´5

1

Y

(148.4) = 1´(5 148.4) = 1.3477 10

3

.

The density functions are shown in Figures 40 and 41.

(ii) Suppose now that A is governed by the density function

1

·

= cc

r

. 0 _ A _ 5.

where c is a constant. Find 1

Y

(n) . Sketch this density function.

First …nd the value of c :

5

0

c exp(÷r)dr = 1 ==c = 1.0068.

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

=

1.0068 exp(÷lnn)

exp(lnn)

=

1.0068

n

2

. 1 _ n _ 148.4

1

Y

(1) = 1.0068

1

Y

(148.4) = 1.0068´ (148.4)

2

= 4. 5717 10

5

.

The density functions are shown in Figures 42 and 43.

53

0 1 2 3 4 5 6

0.05

0.10

0.15

0.20

x

f(x)

Figure 40: Density function 1

·

(r) = 1´5. 0 _ r _ 5

0 20 40 60 80 100 120 140

0.00

0.05

0.10

0.15

0.20

y

f(y)

Figure 41: Density function 1

Y

(n) =

1

5n

. 1 _ n _ 148.4

54

0 1 2 3 4 5

0.0

0.2

0.4

0.6

0.8

1.0

x

f(x)

Figure 42: Density Function, 1

·

(r) = 1.0068c

r

. 0 _ r _ 5

0 20 40 60 80 100 120 140

0.0

0.2

0.4

0.6

0.8

1.0

y

f(y)

Figure 43: Density Function, 1

Y

(n) =

1.0068

n

2

. 1 _ n _ 148.5

55

6. Derive the probability density functions for 1. given 1 = [A[ . and

1

·

(r) =

1

4

if ÷2 _ r _ 0.

1

2

exp(÷r) if r _ 0.

Solution: Performing the density transformation:

r

1

= n. r

2

= ÷n

o(r) = A

o

0

(r) = 1

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

+

1

·

(r

2

)

[o

0

(r

2

)[

=

1

4

+

1

2

exp(÷n) +

1

4

+

1

2

exp(n)

=

1

2

+

1

2

(exp(÷n) + exp(n)) . n 0.

The plots for the density function are shown in Figures 44 and 45.

-3 -2 -1 0 1 2 3 4 5

0.2

0.4

0.6

x

f(x)

Figure 44: 1

·

(r)

7. Given the following: 1 = 3A ÷ 4 and 1

·

(r) = 0.5. where ÷1 _ r _ 1.

…nd 1

Y

(n) and plot both density functions.

Solution: For any density function 1

·

(r) . the general transformation

for one root is:

1

Y

(n) =

1

·

(r

1

)

[o

0

(r

1

)[

.

56

0 1 2 3 4 5

10

20

30

40

50

60

70

y

f(y)

Figure 45: Density Function 1

Y

=

1

2

+

1

2

(exp(÷r) + exp(r)) . n 0

If o(r) = 3A ÷4. then o

0

(r) = 3 and

1

Y

(n) =

0.5

3

= 0.16667. ÷7 _ n _ ÷1.

The plots for the density functions are shown in Figures 46 and 47.

8. Given the following: 1 = 3A ÷4 and 1

·

(r) = ·(0. 0.33). …nd 1

Y

(n) and

plot both density functions.

Solution: As A is governed by the Gaussian density, the probability

density function is given by

1

·

(r) =

1

o

2¬

exp

÷

1

2

r ÷j

o

2

¸

. ÷·< r < ·.

In this case

r

1

= (n + 4)´3.

o(r) = 3r ÷4

o

0

(r) = 3

1

Y

(n) =

1

3

1

o

2¬

exp

¸

¸

¸

¸

÷

(1 + 4)

3

÷j

2

2o

2

¸

. over all r.

1

Y

(n) =

1

3

1

(0.33)

2¬

exp

÷

(1 + 4)

2

18

for j = 0. o = 1.

57

-1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -0.2 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4

0.1

0.2

0.3

0.4

0.5

0.6

x

f(x)

Figure 46: Density Function 1

·

=

1

2

. ÷1 _ r _ 1

-8 -7 -6 -5 -4 -3 -2 -1 0 1

0.05

0.10

0.15

0.20

x

y

Figure 47: Density Function 1

Y

=

1

6

. ÷7 _ r _ ÷1

58

The density function plots are given in Figures 48 and 49.

-1.0 -0.8 -0.6 -0.4 -0.2 0.2 0.4 0.6 0.8 1.0

-1.0

-0.5

0.5

1.0

x

y

Figure 48: Density Function 1

·

(r) =

1

(1)

2¬

exp

÷

1

2

r

1

2

¸

. ÷·_ 0 _ ·.

9. Given the ‡uid drag equation: 1

1

= C

1

\

2

. where C

1

is a constant and

1

\

(·) = 0.1. for the range 10 _ · _ 20. …nd 1

J

D

and plot both density

functions.

Solution: For this case there are two roots

· = ±

1

1

´C

1

. and

d·

d1

1

= ±

1

2

1

1

C

1

.

So the general transformation is given by

1

J

D

(1

1

) =

1

2

C

1

1

1

¸

1

\

1

1

C

1

+1

\

÷

1

1

C

1

¸

n(1

1

) .

where n() is the unit step function. However, since · has a positive range

we must drop the negative root. Therefore,

1

J

D

(1

1

) =

1

2

C

1

1

1

¸

1

10

n(1

1

)

=

1

20

C

1

1

1

n(1

1

) .

Suppose, C

1

= 2.0. Then,

1

J

D

(1

1

) =

1

20

21

1

. 200 _ 1

1

_ 800.

59

-14 -12 -10 -8 -6 -4 -2 0 2 4 6

0.02

0.04

0.06

0.08

0.10

0.12

x

y

Figure 49: Density Function 1

Y

(n) =

1

3

1

(1)

2¬

exp

÷

(n + 4)

2

18(1)

2

. ÷· _ 0 _

·

0 2 4 6 8 10 12 14 16 18 20 22

0.00

0.02

0.04

0.06

0.08

0.10

0.12

v

f(v)

Figure 50: Density Function 1

\

(·) =

1

10

. 10 _ · _ 20

60

0 2 4 6 8 10 12 14 16 18 20 22

0.000

0.005

0.010

0.015

Fd

f(Fd)

Figure 51: Density Function 1

J

D

=

1

20

21

1

. 200 _ 1

1

_ 800

The density plots are shown in Figures 50 and 51.

If 10 _ · _ 20 and ÷10 _ · _ ÷20. then 1

\

(·) = 0.05 and we would

retain both positive and negative roots.

10. For the same drag equation, 1

1

= C

1

\

2

. \ is standard normal ·(0. 1).

Note that 1

1

_ 0. Derive 1

J

D

and sketch both density functions.

Solution:

1

\

(·) =

1

2¬

exp

÷

·

2

2

.

The roots are · = ±

1

1

´C

1

. and here, since \ is governed by a Normal

density, it can be positive or negative and we retain both roots. Thus,

d·

d1

1

= ±

1

2

1

1

C

1

1

J

D

(1

1

) =

1

2

C

1

1

1

¸

1

\

1

1

C

1

+1

\

÷

1

1

C

1

¸

=

1

2¬C

1

1

1

exp

÷

1

1

2C

1

. 1

1

0.

The density function 1

\

(·) is shown in Figure 52.

For C

1

= 2.0. the density function 1

J

D

(1

1

) is shown in Figure 53.

11. For the function 1 = a tanA. a 0. derive the general relation for 1

Y

(n).

Then, assume A is uniformly distributed over [÷¬. ¬] and …nd 1

Y

(n). Then

plot density functions for A and 1.

61

-1.0 -0.8 -0.6 -0.4 -0.2 0.2 0.4 0.6 0.8 1.0

-1.0

-0.5

0.5

1.0

v

f(v)

Figure 52: Density Function 1

\

(·) =

1

2¬

exp

÷

·

2

2

. ÷·_ 0 _ ·

Solution: The general transformation is found as follows:

r

n

= arctan(n´a) . : = .... ÷1. 0. 1. ...

o

0

(r) =

a

cos

2

r

=

a

2

+n

2

a

1

Y

(n) =

a

a

2

+n

2

1

¸

n=1

1

·

(r

n

) .

We have used the geometrical relation implied by the function n = a tanr.

That is, tanr = n´a and therefore,

cos r = a´

a

2

+n

2

.

For the range [÷¬. ¬] . r = arctan(n´a). there is one root. Then,

1

Y

(n) =

a

a

2

+n

2

1

2¬

=

a

2¬(a

2

+n

2

)

.

See Figures 54 and 55.

12. For the function 7 = A1. …nd 1

2

(.) for the cases:

(i) 1

·Y

(r. n) = [(/ ÷a)(d ÷c)]

1

. a _ r _ /. c _ n _ d. Plot.

(ii) 1

·Y

(r. n) = C exp[÷(r +n)]. a _ r _ /. c _ n _ d. Plot.

Solution: Using the general method, we de…ne a variable \.

\ = A.

62

0 1 2 3 4 5

0.05

0.10

0.15

0.20

0.25

0.30

Fd

f(Fd)

Figure 53: Density Function 1

J

D

(1

1

) =

1

2¬C

1

1

1

exp

÷

1

1

2C

1

. 1

1

0

Solving for A and 1 ,

A = \ = o

1

1 =

7

\

= o

2

.

The Jacobian is given by

J =

0o

1

´0. 0o

1

´0n

0o

2

´0. 0o

2

´0n

=

0 1

1´\ ÷7´\

2

= ÷

1

\

.

1

·Y

(r. n) is de…ned on the rectangle de…ned by a < A < / and c < 1 < d.

Since A = \. we know a < \ < /. The range for 7 can be derived from

that of 1. It is given that c < 1 < d. Writing 1 in terms of 7 and \.

c < 1 < d ÷c <

7

\

< d.

Solving for 7.

c\ < 7 < d\.

7 ranges between two lines: 7 = a\ and 7 = d\. Therefore, 1

V2

(n. .)

is de…ned in a domain that resembles a quadrilateral, as shown in Figure

56 and 57.

In order to obtain the marginal density, the joint distribution 1

2

(.) needs

to be integrated over \. The range of \ depends on 7. Assuming ad < c/

63

-1.4 -1.2 -1.0 -0.8 -0.6 -0.4 -0.2 0.2 0.4 0.6 0.8 1.0 1.2 1.4

-5

-4

-3

-2

-1

1

2

3

4

5

x

y

Figure 54: a tanA for a = 1

0.02 0.03 0.04 0.05 0.06 0.07 0.08 0.09 0.10 0.11 0.12 0.13 0.14 0.15 0.16

-5

-4

-3

-2

-1

0

1

2

3

4

5

x

y

Figure 55: 1

Y

(n) =

a

2¬(a

2

+n

2

)

for a = 1

64

a b

c

d

X

Y

Figure 56: Original Domain

Z

W

bd

da

b a

Z = cW

Z = dW

ca

cb

Figure 57: Transformed Domain

65

as shown in Figure 57, \ ranges on

a < \ <

7

c

, ca < 7 < ad

7

d

< \ <

7

c

, ad < 7 < c/

7

d

< \ < /, c/ < 7 < d/.

and the marginal density is given by

1

2

(.) =

:/c

o

÷

1

n

1

·Y

n.

.

n

dn, ca < 7 < ad

=

:/c

:/J

÷

1

n

1

·Y

n.

.

n

dn, ad < 7 < c/

=

b

:/J

÷

1

n

1

·Y

n.

.

n

dn, c/ < 7 < d/.

(i) So for the case

1

·Y

(r. n) = [(/ ÷a)(d ÷c)]

1

.

a _ r _ /. c _ n _ d.

the marginal density is given by

1

2

(.) =

:/c

o

÷

1

n

1

[(/ ÷a)(d ÷c)]

dn, ca < 7 < ad

=

:/c

:/J

÷

1

n

1

[(/ ÷a)(d ÷c)]

dn, ad < 7 < c/

=

b

:/J

÷

1

n

1

[(/ ÷a)(d ÷c)]

dn, c/ < 7 < d/.

For a = 2. / = 3. c = 4 and d = 5. the plot of the marginal density is

shown in Figure 58.

(ii) For the case

1

·Y

(r. n) = C exp[÷(r +n)].

a _ r _ /. c _ n _ d.

First …nd the value of C for a = 2. / = 3. c = 4 and d = 5 :

1

1

1

1

1

·Y

(r. n) drdn = 1

5

4

3

2

C exp[÷(r +n)]drdn = 1

C = 1009.6

66

0 2 4 6 8 10 12 14 16

0.00

0.05

0.10

0.15

0.20

0.25

z

f(z)

Figure 58: Marginal Density Function 1

2

(.)

The marginal density is given by

1

2

(.) =

1

0

÷

1

n

1009.6 exp[÷(n +

.

n

)]dn, ca < 7 < ad

=

1

:

÷

1

n

1009.6 exp[÷(n +

.

n

)]dn, ad < 7 < c/

=

1

:

÷

1

n

1009.6 exp[÷(n +

.

n

)]dn, c/ < 7 < d/.

These equations need to be integrated numerically.

13. For the function 7 = A +1. …nd 1

2

(.) for the cases:

(i) 1

·Y

(r. n) = C exp[÷(r +n)]. 0 _ r _ 1. 0 _ n _ 1. Plot.

(ii) 1

·Y

(r. n) is jointly uniform over the unit square, 0 _ r _ 1. 0 _ n _

1. Plot.

Solution: Using the general method, we de…ne a variable \.

\ = A.

Solving for A and 1 ,

A = \ = o

1

1 = 7 ÷\ = o

2

.

The Jacobian is given by

J =

0o

1

´0. 0o

1

´0n

0o

2

´0. 0o

2

´0n

=

0 1

1 ÷1

= ÷1.

67

1

·Y

(r. n) is de…ned on the rectangle de…ned by a < A < / and c < 1 < d.

Since A = \. we know a < \ < /. The range for 7 can be derived from

that of 1. It is given that c < 1 < d. Writing 1 in terms of 7 and \.

c < 1 < d ÷c < 7 ÷\ < d.

Solving for 7.

c +\ < 7 < d +\.

7 ranges between two lines: 7 = c + \ and 7 = \ + d. Therefore,

1

V2

(n. .) is de…ned in a domain that resembles a parallelogram, as shown

in Figures 59 and 60.

(0,0) (1,0)

(0,1)

X

Y

Figure 59: Original Domain

With 0 _ r _ 1. 0 _ n _ 1. the implication is that a = 0. / = 1. c = 0

and d = 1. In order to obtain the marginal density, the joint density

1

2

(.) needs to be integrated over \. The range of \ depends on 7. As

d +a = c +/ in this case, \ ranges on

0 < \ < 7, 0 < 7 < 1

7 ÷1 < \ < 1, 1 < 7 < 2.

and the marginal density is given by

1

2

(.) =

:

0

[÷1[ 1

·Y

(n. . ÷n) dn, 0 < 7 < 1

=

1

:1

[÷1[ 1

·Y

(n. . ÷n) dn, 1 < 7 < 2.

68

Z

W

1

Z = W

Z = 1 + W

0

1

2

Figure 60: Transformed Domain

(i) For the …rst case,

1

·Y

(r. n) = C exp[÷(r +n)].

0 _ r _ 1.

0 _ n _ 1.

First …nd the value of C :

1

1

1

1

1

·Y

(r. n) drdn = 1

1

0

1

0

C exp[÷(r +n)]drdn = 1

C = 2.5026.

The density function can be written as

1

2

(.) =

:

0

[÷1[ 2.5026 exp[÷(. ÷n +n)]dn. 0 < 7 < 1

=

2

:1

[÷1[ 2.5026 exp[÷(. ÷n +n)]dn. 1 < 7 < 2.

1

2

(.) =

2.5026.c

:

if 0 < 7 < 1

7.5078c

:

÷2.5026.c

:

if 1 < 7 < 2.

The density function is plotted in Figure 61.

69

0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0

0.50

0.75

1.00

1.25

1.50

1.75

2.00

2.25

2.50

z

f(z)

Figure 61: Density Function 1

2

(.)

(ii) 1

·Y

(r. n) is jointly uniform over the unit square, 0 _ r _ 1. 0 _ n _

1. Thus 1

·Y

(r. n) = 1.

1

2

(.) =

:

0

[÷1[ 1dn, 0 < 7 < 1

=

1

:1

[÷1[ 1dn, 1 < 7 < 2

1

2

(.) =

., if 0 < 7 < 1

2 ÷. if 1 < 7 < 2.

The plot of density function is shown in Figure 62

14. List the sequence of transformations needed to derive the general proba-

bility density function 1

Y5

for the function

1

5

=

A

2

1

+A

2

2

+A

3

A

4

.

assuming that all 1

·i

are known.

Solution: The following transformations are needed:

« A

1

÷÷A

2

1

« ÷÷A

2

1

+A

2

« ÷÷

A

2

1

+A

2

2

« ÷÷A

3

A

4

« ÷÷

A

2

1

+A

2

2

+A

3

A

4

.

70

0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0

0.0

0.2

0.4

0.6

0.8

1.0

z

f(z)

Figure 62: Density Function 1

2

(.)

15. Derive the general probability density function 1

Yi

. i = 1. . . . . 5 leading

to 1

5

=

A

2

1

+A

2

2

+A

3

A

4

assuming that all 1

·i

= 1. 0 _ r

I

_ 1.

Solution:

16. Suppose 1 = a

1

A

1

+ a

2

A

2

with A

1

and A

2

uniform with mean values

j

·1

= 2 and j

·2

= 3. Both probability density functions have magnitude

1´2.

(i) Calculate j

Y

from the given information directly.

(ii) Calculate j

Y

using only the respective probability density functions.

(iii) Use the method of transformation of RVs of Section 4.2 to derive 1

Y

assuming the given probability density functions. Then calculate j

Y

.

(iv) Compare all results and discuss.

Solution:

(i) For 1 = a

1

A

1

+a

2

A

2

. the mean value is straightforwardly given by

j

Y

= a

1

j

·1

+a

2

j

·2

= 2a

1

+ 3a

2

.

71

(ii) The expected value of 1 can be calculated as follows,

1¦1 ¦ = a

1

1¦A

1

¦ +a

2

1¦A

2

¦

j

Y

= a

1

1

1

r

1

1(r

1

)dr

1

+a

2

1

1

r

2

1(r

2

)dr

2

= a

1

3

1

r

1

1

2

dr

1

+a

2

4

2

r

2

1

2

dr

2

= a

1

r

2

1

4

3

1

+a

2

r

2

2

4

4

2

dr

2

= 2a

1

+ 3a

2

.

(iii) (iv) In general, there are four general cases to be considered. They

are when

1. a

1

a

2

0 and a

1

a

2

2. a

1

a

2

0 and a

1

< a

2

3. a

1

a

2

< 0 and a

1

a

2

4. a

1

a

2

< 0 and a

1

< a

2

.

Here, let us consider the case where a

1

and a

2

are of the same sign. In

addition, let us assume that a

1

a

2

. Then,

1

Y

(n) =

o1~ r1+o~ r2<:

1

4

d~ r

1

d~ r

2

.

Note that n ranges from a

1

+ 2a

2

and 3a

1

+ 4a

2

. Figure 63 shows the

domain of integration, and there are two discontinuity at n = a

1

+4a

2

and

3a

1

+ 2a

2

. Then, for a

1

+ 2a

2

< n < a

1

+ 4a

2

1

Y

(n) =

ya

1

a

2

2

ya

2

~ x

2

a

1

1

1

4

d~ r

1

d~ r

2

=

1

8

n ÷a

1

a

2

n ÷2a

2

a

1

.

For a

1

+ 4a

2

< n < 3a

1

+ 2a

2

1

Y

(n) =

4

2

ya

2

~ x

2

a

1

1

1

4

d~ r

1

d~ r

2

=

1

4

(n ÷4a

2

)

a

1

+

1

4

(n ÷2a

1

)

a

2

÷

1

2

.

For 3a

1

+ 2a

2

< n < 3a

1

+ 4a

2

1

Y

(n) = 1 ÷

4

y3a

1

a

2

3

ya

2

~ x

2

a

1

1

4

d~ r

1

d~ r

2

= 1 ÷

1

8

3 ÷

(n ÷4a

2

)

a

1

4 ÷

(n ÷3a

1

)

a

2

.

72

y = a + a 2

1 2

y = a + a 3 4

1 2

y = a + a 4

1 2

y = a + a 3 2

1 2

x

1

x

2

1 3

2

4

y - a x

a

x =

1

2 2

Figure 63: Domain of integration

Taking derivatives,

1

Y

(n) =

1

4

n ÷a

1

÷2a

2

a

1

a

2

for a

1

+ 2a

2

< n < a

1

+ 4a

2

=

1

2a

1

for a

1

+ 4a

2

< n < 3a

1

+ 2a

2

=

1

4

4a

2

+n ÷3a

1

a

1

a

2

for 3a

1

+ 2a

2

< n < 3a

1

+ 4a

2

.

The expectation is given by

j

Y

=

3o1+4o2

o1+2o2

n1

Y

(n) dn

=

o1+4o2

o1+2o2

n

1

4

n ÷a

1

÷2a

2

a

1

a

2

dn +

3o1+2o2

o1+4o2

n

1

2a

1

dn

+

3o1+4o2

3o1+2o2

n

1

4

4a

2

+n ÷3a

1

a

1

a

2

dn

= 2a

1

+ 3a

2

.

The same procedure can be used for the other three cases to show that

the expectation is always 2a

1

+ 3a

2

.

17. Reconsider Example 4.8, supposing that the angles are random variables.

The 30

angle now is a random variable with mean of 30

and variance

of 3

and the 45

angle now is a random variable with mean of 45

and

variance of 4

**. The applied force has the same statistics as in the example.
**

Calculate the mean and variance of the tensions.

73

Solution:

18. Derive Equation 4.26.

Solution:

19. Find the general expression for the …rst order approximation for j and o

for the following:

(i)

=

11

¹1

.

with all variables uncorrelated and

j

1

= 1000 o

1

= 10 j

J

= 35 o

J

= 15

j

.

= 0.1 o

.

= 0.01 j

J

= 10 10

6

o

J

= 0.01 10

6

.

(ii) solve (i) except that j

J.

= 0.5 and all other correlations zero.

(iii)

\ = ¬1

3

+ar

3

.

where ¬ and a are constants and

j

J

= 100 o

J

= 5 j

:

= 40 o

:

= 2.

(i·) solve (iii) for the cases: j

J:

= 1. ÷1. 0. Discuss.

Solution :

(i)

= o(1. 1. ¹. 1) =

11

¹1

.

The approximate mean is given by

j

· o(j

1

. j

J

. j

.

. j

J

)

+

1

2

0

2

o

01

2

o

2

1

+

0

2

o

01

2

o

2

J

+

0

2

o

0¹

2

o

2

.

+

0

2

o

01

2

o

2

J

+ 2

0

2

o

0101

j

1J

o

1

o

J

+ 2

0

2

o

010¹

j

1.

o

1

o

.

+ 2

0

2

o

0101

j

1J

o

1

o

J

+2

0

2

o

010¹

j

J.

o

J

o

.

+ 2

0

2

o

0101

j

JJ

o

J

o

J

+ 2

0

2

o

0¹01

j

.J

o

.

o

J

¸

.

j

·

j

1

j

J

j

.

j

J

+

1

2

0 + 0 + 2

j

1

j

J

j

3

.

j

J

o

2

.

+ 2

j

1

j

J

j

.

j

3

J

o

2

J

+ 2

1

j

.

j

J

j

1J

o

1

o

J

÷2

j

J

j

2

.

j

J

j

1.

o

1

o

.

÷2

j

J

j

.

j

2

J

j

1J

o

1

o

J

÷2

j

1

j

2

.

j

J

j

J.

o

J

o

.

÷2

j

1

j

.

j

2

J

j

JJ

o

J

o

J

+ 2

j

1

j

J

j

2

.

j

2

J

j

.J

o

.

o

J

¸

.

74

and variance is

\ ar¦1 ¦ ·

0o

01

2

o

2

1

+

0o

01

2

o

2

J

+

0o

01

2

o

2

J

+

0o

0¹

2

o

2

.

+ 2

0o

01

0o

01

j

1J

o

1

o

J

+ 2

0o

01

0o

01

j

1J

o

1

o

J

+ 2

0o

01

0o

0¹

j

1.

o

1

o

.

+ 2

0o

01

0o

01

j

JJ

o

J

o

J

+ 2

0o

01

0o

0¹

j

J.

o

J

o

.

+ 2

0o

01

0o

0¹

j

J.

o

J

o

.

.

\ ar¦¦ ·

j

J

j

.

j

J

2

o

2

1

+

j

1

j

.

j

J

2

o

2

J

+

÷

j

J

j

1

j

2

.

j

J

2

o

2

.

+

÷

j

J

j

1

j

.

j

2

J

2

o

2

J

+ 2

j

J

j

1

j

2

.

j

2

J

j

1J

o

1

o

J

÷2

j

2

J

j

1

j

3

.

j

2

J

j

1.

o

1

o

.

÷2

j

2

J

j

1

j

2

.

j

3

J

j

1J

o

1

o

J

÷2

j

J

j

2

1

j

3

.

j

2

J

j

J.

o

J

o

.

÷2

j

J

j

2

1

j

2

.

j

3

J

j

JJ

o

J

o

J

+ 2

j

2

J

j

2

1

j

3

.

j

3

J

j

.J

o

.

o

J

.

The …rst term approximation of the mean is

j

· o(j

1

. j

J

. j

.

. j

J

)

=

j

1

j

J

j

.

j

J

=

1000(35)

0.1(10 10

6

)

= 0.035.

As all the variables are uncorrelated, the variance is approximately given

by

\ ar¦¦ ·

j

J

j

.

j

J

2

o

2

1

+

j

1

j

.

j

J

2

o

2

J

+

÷

j

J

j

1

j

2

.

j

J

2

o

2

.

+

÷

j

J

j

1

j

.

j

2

J

2

o

2

J

=

35

0.1 (10 10

6

)

2

(10)

2

+

1000

0.1 (10 10

6

)

2

(15)

2

+

÷

1000(35)

(0.1)

2

(10 10

6

)

2

(0.01)

2

+

÷

1000(35)

0.1 (10 10

6

)

2

2

(0.01 10

6

)

2

= 2.3737 10

4

o

= 1.5407 10

2

.

(ii) When j

J.

= 0.5 and all other correlations zero, the …rst approxima-

75

tion of the mean remains the same whereas the variance is given by

\ ar¦¦ =

j

J

j

.

j

J

2

o

2

1

+

j

1

j

.

j

J

2

o

2

J

+

÷

j

J

j

1

j

2

.

j

J

2

o

2

.

+

÷

j

J

j

1

j

.

j

2

J

2

o

2

J

÷2

j

J

j

2

1

j

3

.

j

2

J

j

J.

o

J

o

.

= 2.3737 10

4

÷2

35 1000

2

(0.1)

3

(10 10

6

)

2

(0.5) (15) (0.01)

= 1.8487 10

4

o

= 1.3597 10

2

.

(iii) Given:

\ = ¬1

3

+ar

3

= o(1. r).

The approximate mean is given by

j

u

= o(1. r) +

1

2

0

2

o

01

2

o

2

J

+

0

2

o

0r

2

o

2

:

+ 2

0

2

o

010r

j

J:

o

J

o

:

¸

= ¬j

3

J

+aj

3

:

+

1

2

¸

6¬j

J

o

2

J

+ 6aj

:

o

2

:

.

The …rst order approximation is

j

u

= ¬j

3

J

+aj

3

:

.

and the variance is given by

\ ar¦1 ¦ ·

0o

01

2

o

2

J

+

0o

0r

2

o

2

:

+ 2

0o

01

0o

0r

j

J:

o

J

o

:

=

3¬j

2

J

2

o

2

J

+

3aj

2

:

2

o

2

:

+ 2

3¬j

2

J

3aj

2

:

j

J:

o

J

o

:

.

(i·) The …rst order approximation of the mean is

j

u

= ¬j

3

J

+aj

3

:

= ¬(100)

3

+a(40)

3

= 3.2056 10

6

for a = 1.

and the variance for a = 1 and j

J:

= 1. ÷1 and 0 are

\ ar¦1 ¦

µ

Lr

=1

=

3¬j

2

J

2

o

2

J

+

3aj

2

:

2

o

2

:

+ 2

3¬j

2

J

3aj

2

:

j

J:

o

J

o

:

=

3¬ (100)

2

2

(5)

2

+

3 (40)

2

2

(2)

2

+2

3¬ (100)

2

3 (40)

2

(1) (5) (2)

= 2.3121 10

11

.

76

\ ar¦1 ¦

µ

Lr

=1

=

3¬ (100)

2

2

(5)

2

+

3 (40)

2

2

(2)

2

+2

3¬ (100)

2

3 (40)

2

(÷1) (5) (2)

= 2.1311 10

11

.

\ ar¦1 ¦

µ

Lr

=0

=

3¬ (100)

2

2

(5)

2

+

3 (40)

2

2

(2)

2

= 2.2216 10

11

.

The standard deviations are then

o = 4.8084 10

5

for j

J:

= 1

o = 4.6164 10

5

for j

J:

= ÷1

o = 4.7134 10

5

for j

J:

= 0.

The correlation between 1 and r has very little e¤ect on the variance and

standard deviation of the system.

20. Reconsider the projectile Example 4.14, except assume that the speed and

angle are correlated with j

\0o

= 0.5. Compare the results with those of

the uncorrelated case. Draw any conclusions you can.

Solution: Recall

1 =

·

2

o

sin2c

j

c

= 30

=

¬

6

c

c

= 0.10

== o

c

= j

c

c

c

=

¬

6

(0.10)

j

u

= 300 m/s

o

u

= 35 m/s.

For the general case of 1 = o(A

1

. A

2

) where in the Taylor expansion

terms to second-derivative are retained, we have

1(1 ) = o

j

·1

. j

·2

+

1

2

0

2

o

0A

2

1

\ arA

1

+

0

2

o

0A

1

0A

2

j

12

o

·1

o

·2

+

1

2

0

2

o

0A

2

2

\ arA

2

\ ar1 =

0o

0A

1

2

\ arA

1

+ 2

0o

0A

1

0o

0A

2

j

12

o

·1

o

·2

+

0o

0A

2

2

\ arA

2

.

where all derivatives are evaluated at the respective mean values. There-

77

fore,

1(1) =

j

2

u

o

sin2j

c

+

1

2

2

o

sin2j

c

o

2

u

+

4j

u

o

cos 2j

c

j

cu

o

c

o

u

+

1

2

÷4

j

2

u

o

sin2j

c

o

2

c

=

300

2

9.8

sin(2

¬

6

) +

1

2

2

9.8

sin

2

¬

6

(35)

2

+

4 300

9.8

cos

2

¬

6

0.5

¬

6

(0.10)

35

+

1

2

÷4

300

2

9.8

sin(2

¬

6

)

¬

6

(0.10)

2

= 7953.3 + 108.25 + 56.100 ÷43.609

= 8074.0.

In this case, the percent di¤erence is

% =

8074.0 ÷7953.3

8074.0

100 = 1.4949%.

The variance is given by

\ ar1 =

2j

u

o

sin2j

c

2

o

2

u

+ 2

2j

u

o

sin2j

c

2

j

2

u

o

cos 2j

c

j

cu

o

c

o

u

+

2

j

2

u

o

cos 2j

c

2

o

2

c

=

2 300

9.8

sin(2

¬

6

)

2

35

2

+2

2 300

9.8

sin(2

¬

6

)

2 300

2

9.8

cos(2

¬

6

)

0.5

¬

6

(0.10)

35

+

2 300

2

9.8

cos(2

¬

6

)

2

¬

6

(0.10)

2

= 3.4439 10

6

+ 8.9236 10

5

+ 2.3122 10

5

= 4.5675 10

6

o

1

=

4.5675 10

6

= 2137.2

c

11

=

4.5675 10

6

8074.0

= 0.26470

c

12

=

4.5675 10

6

7953.3

= 0.26872.

21. Obtain the mean and variance of 1 as expanded in the Taylor series Equa-

tion 4.27.

Solution:

78

Table 1: Random Numbers between 0 and 1

p

I

0.969

0.674

0.298

0.952

0.083

0.095

0.959

0.601

0.329

0.326

22. Recalculate the numerical results of Example 4.11 for the following values

of j

b|

= 0. 0.2. 0.7. 1.0. Compare and discuss the results.

Solution:

23. Using a calculator or chart, generate 10 random numbers between 0 and

1.

Solution: Ten random numbers between 0 and 1 can be obtained by a

calculator. A sample is shown in Table 1

24. Suppose 1 = 1´(/ ÷ a) where a = 2 and / = 4. Use the results of the

previous problem to specify 5 random numbers.

Solution: We use r

I

= a + (/ ÷a)j

I

or r

I

= 2 + 2j

I

.

j

I

r

I

0.969 2 + 2 0.969 = 3.938

0.674 2 + 2 0.674 = 3.348

0.298 2 + 2 0.298 = 2.596

0.952 2 + 2 0.952 = 3.904

0.083 2 + 2 0.083 = 2.166

25. For the cantilever beam of Figure 4.18, with new parameter values 1 = 30

lb and \ is a uniform random variable with j

V

= 100 lb/ft with coe¢-

cient of variation c

V

= 0.10. estimate the mean and standard deviation

of the shear \ and bending moment '.

Solution: From Example 4.16, the length of the beam is 25 ft. The shear

79

and moment at the …xed end are, respectively,

\ = 1 ÷\1

= 30 ÷25\ lb.

' = ÷11 +\1

1

2

= ÷750 + 312.5\ lb-ft.

The shear and moment are functions of \. which is a random variable.

Using the given j

V

and c

V

we can …nd

o

V

= j

V

c

V

= 100 0.10 = 10.

The upper and lower bounds of the uniform density are found using

j

V

=

a +/

2

= 100

o

2

V

=

1

12

(/ ÷a)

2

= 100.

Solving we …nd / = 117 and a = 83. We can utilize the table of random

uniform numbers to generate realizations of \ by using the relation

\

I

= a + (/ ÷a)j

I

.

For each realization \

I

. calculate \

I

and '

I

using the following transfor-

mations:

\

I

= 30 ÷25\

I

'

I

= ÷750 + 312.5\

I

.

Realizations of the shear and moment for 10 values are shown in Table 2.

These mean and the variance values can be averaged using

X

=

1

n

n

X

i=1

xi

X =

v

u

u

t

n

X

i=1

(xi

X

)

2

n 1

;

to estimate their respective means and standard deviations, shown in Table

3. Note that the coe¢cient of variation is shown as a negative number

because the mean value is a negative number. However, the negative is

super‡uous and need not be retained. Also note that to calculate the

standard deviation it is possible to evaluate the mean square value minus

the mean value squared.

80

Table 2: Sample Realizations of \ and '

j

I

\

I

\

I

= 30 ÷25\

I

'

I

= ÷750 + (312.5)\

I

0.42742 97.53 ÷2408.31 29728.84

0.25981 91.83 ÷2265.84 27947.98

0.95105 115.3 ÷2853.40 35292.41

0.28134 92.57 ÷2284.14 28176.74

0.13554 87.61 ÷2160.21 26627.61

0.32111 93.92 ÷2317.94 28599.29

0.31008 93.54 ÷2308.57 28482.1

0.14649 87.98 ÷2169.52 26743.96

0.79250 109.95 ÷2718.63 33607.81

0.99164 116.72 ÷2887.89 35723.68

Table 3: Sample Statistics for \ and '

\ (lb) ' (lb-ft)

j ÷2437.44 30093.04

o 276.55 3456.86

c ÷0.1134 0.1148

26. For the cantilever beam of Figure 4.18, both parameters 1 and 1 are

random variables. 1 is Gaussian with j

J

= 25 ft and o

J

= 0.1 ft; 1 is a

uniform random variable between the values 9. 800 ÷10. 200 lb. Estimate

the mean and standard deviation of the shear \ and bending moment '.

Solution: From Example 4.16, \ is 2500 lb. The shear and moment at

the …xed end are, respectively,

\ = 1 ÷\1

= 1 ÷25001 lb.

' = ÷11 +\1

1

2

= ÷11 + 12501

2

lb-ft.

The shear and moment are functions of 1 and 1 both of which are random

variables. 1 is a uniform random variable with lower limit a = 9. 800 lb

and the upper limit / = 10. 200 lb. 1 is a Gaussian with mean j

J

= 25 ft

and standard deviation o

J

= 0.1 ft.

First, we can use Table of random uniform numbers to generate realiza-

tions of 1 by using the relation 1

I

= a + (/ ÷ a)j

I

. Ten values of 1

I

are

shown in Table 4.

Next the realizations of 1 can be obtained in by one of the two following

methods:

81

Table 4: Sample Realizations of 1

j

I

1

I

0.42742 9470.8

0.25981 8803.1

0.95105 11557

0.28134 8888.9

0.13554 8308.0

0.32111 9047.3

0.31008 9003.4

0.14649 8351.6

0.79250 10925

0.99164 11719

Table 5: Sample Realizations of 1

j

I

:

I

1

I

= j

Ji

+o

Ji

:

I

0.32111 ÷0.67 24.933

0.31008 ÷0.65 24.935

0.14649 ÷1.11 24.889

0.7925 0.73 25.073

0.99164 2.11 25.211

0.62948 3.01 25.301

0.55292 0.11 25.011

0.8825 1.11 25.111

0.70974 0.44 25.044

0.12102 ÷1.21 24.879

Method 1: Using random numbers from the Standard Uniform Table

4.2.

Each value of j

I

is used as the entry point into the standard normal table

to …nd the corresponding approximate value of :

I

. Once :

I

is found, the

realizations of 1 can be obtained by using the relation 1

I

= j

Ji

+ o

Ji

:

I

.

The values are tabulated in Table 5.

Once both 1

I

and 1

I

are found, the realizations of mean and variance

are found using

\

I

= 1

I

÷25001

I

lb.

'

I

= ÷1

I

1

I

+ 12501

2

I

lb-ft.

These are given in the Table 6.

82

Table 6: Sample Realizations of \ and '

1

I

1

I

\

I

= 1

I

÷25001

I

'

I

= ÷1

I

1

I

+ 12501

2

I

9470.8 24.933 ÷52861.7 540932.65

8803.1 24.935 ÷53534.4 557687.48

11557 24.889 ÷50665.5 486685.73

8888.9 25.073 ÷53793.6 562947.77

8308.0 25.211 ÷54719.5 585040.16

9047.3 25.301 ÷54205.2 571270.01

9003.4 25.011 ÷53524.1 556753.61

8351.6 25.111 ÷54425.9 578485.87

10925 25.044 ÷51685 510396.72

11719 24.879 ÷50478.5 482148.80

Table 7: Sample Statistics for \ and '

\ (lb) ' (lb-ft)

j ÷52989.34 543234.88

o 1534.32 37371.22

c 0.029 0.0688

These mean and the variance values can be averaged using

x

=

1

n

n

X

i=1

xi

x =

v

u

u

t

n

X

i=1

(xi

x

)

2

n 1

;

to estimate their respective means and standard deviations, shown in Table

7.

Method 2: Use the standard normal random numbers (Table 4.6).

Pick 10 random numbers from Table 4.6. These are the standard normal

variables :

I

. Once :

I

is found, the realizations of 1 can be obtained by

using the relation

1

I

= j

Ji

+o

Ji

:

I

.

The values are tabulated in Table 8.

Then the standard procedure is followed. The realizations of mean and

variance are found using

\

I

= 1

I

÷25001

I

lb.

'

I

= ÷1

I

1

I

+ 12501

2

I

lb-ft.

These are given in the Table 9

83

Table 8: Sample Realizations of 1

:

I

1

I

= j

Ji

+o

Ji

:

I

0.58885 25.06

÷1.3286 24.87

÷4.1952 10

2

24.1

÷0.46021 24.95

÷0.48187 24.95

1.5813 25.16

0.77828 25.08

0.52954 25.05

÷0.50652 24.95

÷0.23290 24.98

Table 9: Sample Realizations of \ and '

1

I

1

I

\

I

= 1

I

÷25001

I

'

I

= ÷1

I

1

I

+ 12501

2

I

9470.8 25.06 ÷53176.41 547606.96

8803.1 24.87 ÷53364.75 554060.39

11557 24.1 ÷50932.51 492111.31

8888.9 24.95 ÷53496.05 556562.91

8308.0 24.95 ÷54071.53 570941.55

9047.3 25.16 ÷53848.03 563551.23

9003.4 25.08 ÷53691.17 560336.10

8351.6 25.05 ÷54280.79 575330.88

10925 24.95 ÷51448.37 505515.83

11719 24.98 ÷50722.78 487092.99.

Table 10: Sample Statistics for \ and '

\ (lb) ' (lb-ft)

j ÷52903.24 541311.02

o 1340.39 33280.30

c 0.0253 0.0615

84

The respective means and standard deviations are listed in Table 10.

27. Draw the density function Equation 4.38. Generate an additional three

values of r

I

.

Solution:

85

f(x)

0.6

0.4

0.2

0.0 0.0 0.2 0.4 0.6 0.8 1.0 1.2 1.4 1.6 1.8 2.0 2.2 2.4

x

Figure 27: Density Function fX (x) = 1=2; 0

x

2

f(y)

5

4

3

2

1

0 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

y

16

Figure 28: fY (y) =

1 ; 8y 3=4

0

y

16

43

**Performing the density transformation: fY (y) = = = and Z
**

1

fX (x1 ) jg 0 (x1 )j 1 p exp( 4 y) 4y 3=4 1 p exp( 4 y); 3=4 4y

y

0:

0

1 p exp( 4 y)dy = 1: 4y 3=4

**The plots of these density functions are shown in Figures 29 and 30.
**

1.0 0.8 0.6 0.4 0.2 0.0 0 1 2 3 4

f(x)

x

5

Figure 29: Density Function fX = exp( x); x > 0

2. For the function Y = aX 2 ; …nd fY (y) for the cases where (i) fX (x) = c exp( x); x 0; (ii) fX (x) is a Rayleigh density, (iii) fX (x) is a lognormal density. Plot all density functions. Solution: For this case, mathematically there are two roots r r y y x1 = ; x2 = : a a But since x has a positive range for all cases, so we must drop the negative root. Therefore, only one root is used to calculate fY : Performing the 44

f(y)

5

4

3

2

1

0 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15

y

16

Figure 30: fY (y) = density transformation:

1 4y 3=4

exp(

p 4

y);

y

0

g(x) g 0 (x) fY (y)

= aX 2 = = 2aX fX (x1 ) : jg 0 (x1 )j 0; …rst …nd the value of c : = =) 1:0 c = 1:0:

**(i) Given that fX (x) = c exp( x); x Z 1 c exp( x)dx
**

0

Then, fY (y) = = fX (x1 ) jg 0 (x1 )j

1 r exp( y 2a a 1 p exp( 2 ay 45

r r

y ) a

=

y ); a

y

0:

x > 0 (ii) If fX (x) is a Rayleigh density.y 5 4 3 2 1 0 0.4 0.0 0 1 2 3 4 x 5 Figure 31: Density Function fX (x) = exp( x).6 0.400. it is given by f (x) = x 2 exp x2 2 2 .220.8 0.42 x 1 p 2 y exp( p y) For the case a = 1.060.180.320.160.280. the plot of density function fX (x) is shown in Figure 31.0 0.080.240.360.340.380.300.100.260.2 0.200.140. f(x) 1.x 0: 46 .120.040.

the plots of these density functions are shown in Figures 32 and 33.6 0.3 0. 2y 2 47 .x>0 5 Figure 32: Density Function fX (x) = x exp (iii) The lognormal density is given by ( 1 1 ln x fX (x) = p exp 2 x 2 So fY (y) is found as fY (y) = = fX (x1 ) jg 0 (x1 )j n ) x2 2 2 .4 0.1 0. 0 < x < 1: = 8 !2 9 < 1 ln p y = 1 1 a p y p y p exp : 2 .As there is only one root. f(x) 0.0 0 1 2 3 4 x o .2 0. y > 0: 2a 2 2a 2 For the case = 1 and a = 1. 2a a a 2 8 9 !2 < 1 ln p y = 1 a p exp .5 0. we have fY (y) = = = fX (x1 ) jg 0 (x1 )j r 1 y y 1 exp p 2 ay a 2 2a 2 1 y exp . y > 0: : 2 .

For X3 = Y X has three equal roots. (ii) fX (x) is a lognormal density. Solution: (i) Given the density fX (x) = c exp( x). …rst …nd the value of c : Z 1 c exp( x)dx = 1 =) c = 1: 0 0.1 0 1 2 3 4 5 y . the density 3.3 0.4 0. x 0. standard deviation functions are plotted in Figures 34 and 35. given Y = a + X 3 : Consider two cases: (i) fX (x) = c exp( x).5 0. and a = 1. Derive the probability density function for Y. 1 2 exp y 2 = 1.f(y) 0. 48 . p 3 Y a: a. x Plot all density functions.y>0 Figure 33: Density Function fY (y) = For mean value = 1.2 0.

05 0.15 0.y 0.x>0 1 Figure 34: Density Function fX (x) = p exp x 2 ( 1 2 ln x 1 1 2 f(y) 0.y> 49 .20 0.10 0.10 0.05 0.20 0.00 0 2 4 6 8 10 12 14 16 18 20 22 24 x ) .00 0 1 2 3 4 y p y 1 1 5 8 < 1 Figure 35: Density Function fY (y) = exp : 2 2y 2 0 1 p ln !2 9 = . .15 0.

x3 = p 3 y a 2X 2 fX (x1 ) fX (x2 ) fX (x3 ) + + jg 0 (x1 )j jg 0 (x2 )j jg 0 (x3 )j p 3 3 y a). x > 0 (ii) The lognormal density is given by ( 1 ln x 1 fX (x) = p exp 2 x 2 2 ) .4 0.8 0.6 0. y 2 exp( 2(y a) 3 0: Density functions for a = 1 are shown in Figures 36 and 37. 0 < x < 1: 50 .0 0. x2 = 3 y g(x) g 0 (x) fY (y) = a + X3 = = = a.0 0 1 2 3 4 f(x) x 5 Figure 36: Density Function fX (x) = exp( x). 1.Performing the density transformation: p p x1 = 3 y a.2 0.

= 1 and a = 1 are shown in Figures 38 and 4. 2 < x < 4: Sketch all density functions.y 25 20 15 10 5 0 0 1 2 3 4 x p 3 y 5 Figure 37: Density function fY (y) = 3 2(y a) 2 3 exp( a). Solution: Integrating the density function over the domain yields: Z 4 1 dx = 1 c2 2 c2 = 2: 51 . y > 0 Performing the density transformation: p p p x1 = 3 y a. Derive the probability density function for Y. x2 = 3 y a. 2 ) Density functions for 39. x3 = 3 y g(x) g 0 (x) fY (y) = a+X = = = = 3 a 2X 2 fX (x2 ) fX (x3 ) fX (x1 ) + + jg 0 (x1 )j jg 0 (x2 )j jg 0 (x3 )j ( p 1 3 1 ln 3 y a p exp 2 p 2 2(y a) 3 3 y a 2 ( ) p 2 3 1 ln 3 y a p exp : 2 2 2 (y a) = 1. given Y = X 3 for fX (x) = 1=c2 .

x>0 f(y) 2.05 0.f(x) 0.5 0.0 1.5 1.00 0 1 2 3 4 5 6 7 8 9 x 10 Figure 38: Density Function fX (x) = 1 p x 2 exp n 1 2 ln x 1 2 1 o .10 0.0 1 2 3 4 y 1 2 5 3 Figure 39: Density Function fY (y) = p 2 2 (y 1) exp ( ln p 3 y 1 1 1 2 ) 52 .25 0.20 0.0 0.15 0.5 2.

= jg 0 (x1 )j 6y 3y 2=3 8 < y < 64: 5. 1 y 148:4 5y fY (1) = 1=5 fY (148:4) = 1=(5 148:4) = 1:3477 10 3 : The density functions are shown in Figures 40 and 41. The random variables X and Y are related by the equation Y = eX : (i) Suppose that X is uniformly distributed as 0 Sketch this density function. jg 0 (x1 )j exp(ln y) y2 1:0068 1:0068= (148:4) = 4: 5717 2 1 y 148:4 10 5 : The density functions are shown in Figures 42 and 43. (ii) Suppose now that X is governed by the density function fX = ce x . where c is a constant.0 X 5. Find fY (y) : Sketch this density function. Find fY (y) : Sketch this density function. Solution: (i) From the given information fX (x) = 1=5: Performing the density transformation: x1 g(x) g 0 (x) = = = ln y exp(x) exp(x) 1=5 fX (x1 ) = fY (y) = jg 0 (x1 )j exp(ln y) 1 = . where c is a constant.Then. 0 X 5. x1 = y 1=3 and g(X) g 0 (X) fY (y) = = = X3 3X 2 = 3Y 2=3 1 1=2 fX (x1 ) = 2=3 . X 5: Find fY (y) : (ii) Suppose now that X is governed by the density function fX = ce x . R5 First …nd the value of c : 0 c exp( x)dx = 1 =) c = 1:0068: fY (y) fY (1) fY (148:4) = = = 1:0068 exp( ln y) 1:0068 fX (x1 ) = = . 53 .

1 5y y 148:4 54 .10 0.05 0.15 0.10 0.20 0.20 0.15 0. 0 x f(y) 0.00 0 20 40 60 80 100 120 140 y Figure 41: Density function fY (y) = 1 .05 0 1 2 3 4 5 x 5 6 Figure 40: Density function fX (x) = 1=5.f(x) 0.

4 0.0 0 1 2 3 4 5 x 5 Figure 42: Density Function.8 0.2 0.8 0.f(x) 1.0 0 20 40 60 80 100 120 140 y Figure 43: Density Function.0 0.0 0.0 x f(y) 1.6 0.2 0.1 y2 y 148:5 55 . fY (y) = 1:0068 . fX (x) = 1:0068e x .6 0.4 0.

Given the following: Y = 3X 4 and fX (x) = 0:5. and 8 > 1 < if 2 x 0. y > 0: 2 2 x2 = y The plots for the density function are shown in Figures 44 and 45. jg (x1 )j 56 . where …nd fY (y) and plot both density functions. the general transformation for one root is: fX (x1 ) fY (y) = 0 .6. 0.6 f(x) 0. given Y = jXj . Solution: For any density function fX (x) . Derive the probability density functions for Y. 1 x 1.4 0. = X = = = = 1 fX (x1 ) fX (x2 ) + jg 0 (x1 )j jg 0 (x2 )j 1 1 1 1 + exp ( y) + + exp (y) 4 2 4 2 1 1 + (exp ( y) + exp (y)) . 4 fX (x) = 1 > exp ( x) if x 0: : 2 Solution: Performing the density transformation: x1 g(x) g 0 (x) fY (y) = y.2 -3 -2 -1 0 1 2 3 4 x 5 Figure 44: fX (x) 7.

4 and fX (x) = N (0. then g 0 (x) = 3 and fY (y) = 0:5 = 0:16667. Given the following: Y = 3X plot both density functions.f(y) 70 60 50 40 30 20 10 0 1 2 3 4 5 y Figure 45: Density Function fY = If g(x) = 3X 1 2 + 1 2 (exp ( x) + exp (x)) . 0:33). A for over all x. = 0. …nd fY (y) and Solution: As X is governed by the Gaussian density. 8. = 1: . the probability density function is given by ( ) 2 1 x 1 . 1 < x < 1: fX (x) = p exp 2 2 In this case x1 g(x) g 0 (x) = = = (y + 4)=3. 3x 3 4 0 (Y + 4) 3 2 2 (Y + 4) 18 2 2 fY (y) = fY (y) = 1 1 p exp 3 (0:33) 2 57 B 1 1 B p exp B 3 @ 2 1 ! C C C. y > 0 4. 3 7 y 1: The plots for the density functions are shown in Figures 46 and 47.

4 0.3 0.6 -0.4 -0.6 0.4 x Figure 46: Density Function fX = 1 .4 0.8 -0. 2 1 x 1 0.2 0.10 0.5 0. 7 x 58 .2 0.f(x) 0.20 y 0.2 -1.8 1.6 0.0 -0.15 0.1 -1.05 -8 -7 -6 -5 -4 -3 -2 -1 0 x 1 1 1 Figure 47: Density Function fY = 6 .0 0.2 1.4 -1.2 0.0 1.

for the range 10 v 20. since v has a positive range we must drop the negative root. Therefore. 1.5 -1.8 -0.2 0. However.The density function plots are given in Figures 48 and 49. CD = 2:0: Then. Solution: For this case there are two roots v= p FD =CD .6 -0. fFD (FD ) = 1 p .4 0.4 -0. fFD (FD ) = = Suppose.0 Figure 48: Density Function fX (x) = 1 p exp (1) 2 1 2 x 1 2 .0 y 0.8 x 1. and dv = dFD 1 p : 2 FD C D r !# So the general transformation is given by " ! r FD 1 fV fFD (FD ) = p + fV CD 2 CD FD FD CD u (FD ) .6 0.5 -1.2 0. Given the ‡ uid drag equation: FD = CD V 2 .0 -0. where u( ) is the unit step function. …nd fFD and plot both density functions. 1 0 1: 9. where CD is a constant and fV (v) = 0:1. 20 2FD 59 200 FD 800: 1 1 p u (FD ) 2 CD FD 10 1 p u (FD ) : 20 CD FD .0 -0.

6 1 1 p exp Figure 49: Density Function fY (y) = 3 (1) 2 1 (y + 4) 18(1)2 2 1 0 f(v) 0.02 -14 -12 -10 -8 -6 -4 -2 0 2 4 x ! .08 0.06 0.04 0.00 0 2 4 6 8 10 12 14 16 18 20 v 20 22 Figure 50: Density Function fV (v) = 1 10 .06 0.y 0.12 0.04 0.02 0.08 0.10 0.10 0.12 0. 10 v 60 .

and here. assume X is uniformly distributed over [ . FD = CD V 2 . ] and …nd fY (y): Then plot density functions for X and Y: 61 . it can be positive or negative and we retain both roots. 10. V is standard normal N (0. If 10 v 20 and 10 v 20. Thus.015 0. since V is governed by a Normal density. For the function Y = a tan X. 11. derive the general relation for fY (y): Then.f(Fd) 0. 200 20 2FD FD 800 The density plots are shown in Figures 50 and 51. a > 0. For the same drag equation.005 0.010 0.000 0 2 4 6 8 10 12 14 16 18 20 Fd 22 Figure 51: Density Function fFD = 1 p . the density function fFD (FD ) is shown in Figure 53. dv dFD fFD (FD ) = = = 1 p 2 FD CD " 1 p fV 2 CD FD p 1 exp 2 CD FD ! !# r FD CD + fV . For CD = 2:0. Solution: 1 fV (v) = p exp 2 v2 2 : p The roots are v = FD =CD . 1): Note that FD 0: Derive fFD and sketch both density functions. then fV (v) = 0:05 and we would retain both positive and negative roots. r FD CD FD 2CD FD > 0: The density function fV (v) is shown in Figure 52.

y) = C exp[ (x + y)].4 0.0 0.2 0. c y y d: Plot. we de…ne a variable W. n = :::. For the function Z = XY. Then. 12.a x x b. ::: a a2 + y 2 g 0 (x) = = cos2 x a 1 X a fX (xn ) : fY (y) = a2 + y 2 n= 1 We have used the geometrical relation implied by the function y = a tan x: That is. 0.6 -0.0 -0. a Solution: Using the general method. d: Plot. ] .4 -0. y) = [(b a)(d c)] 1 xn = For the range [ 2 .5 -1.8 -0. c b.f(v) 1. …nd fZ (z) for the cases: (i) fXY (x. x = arctan(y=a).2 0. 1 0 1 Solution: The general transformation is found as follows: arctan (y=a) . W = X: 62 . tan x = y=a and therefore. (ii) fXY (x. p cos x = a= a2 + y 2 : . 1.0 1 Figure 52: Density Function fV (v) = p exp 2 v2 2 .5 -1.8 v 1.0 -0. 1.6 0. there is one root. a2 a + y2 1 2 = (a2 a : + y2 ) fY (y) = See Figures 54 and 55.

z) is de…ned in a domain that resembles a quadrilateral.20 0. In order to obtain the marginal density. we know a < W < b: The range for Z can be derived from that of Y: It is given that c < Y < d: Writing Y in terms of Z and W.25 0. as shown in Figure 56 and 57. 1 exp 2 CD FD .15 0. c<Y <d!c< Solving for Z.30 0. cW < Z < dW: Z ranges between two lines: Z = aW and Z = dW: Therefore.10 0. fW Z (w.05 0 1 2 3 4 Fd FD 2CD 5 Figure 53: Density Function fFD (FD ) = p Solving for X and Y . y) is de…ned on the rectangle de…ned by a < X < b and c < Y < d.f(Fd) 0. the joint distribution fZ (z) needs to be integrated over W: The range of W depends on Z: Assuming ad < cb 63 Z < d: W . Since X = W. FD > 0 X = W = g1 Z = g2 : Y = W The Jacobian is given by J = = @g1 =@z @g2 =@z 0 1=W @g1 =@w @g2 =@w 1 Z=W 2 = 1 : W fXY (x.

0 1.02 0.13 0.05 0.2 1.2 -1.y 5 4 3 2 1 -1.2 -1 -2 -3 -4 -5 0.03 0.14 0.10 0.16 -1 -2 -3 -4 -5 x Figure 55: fY (y) = 2 (a2 a for a = 1 + y2 ) 64 .09 0.6 -0.0 -0.4 -0.8 -0.4 x Figure 54: a tan X for a = 1 y 5 4 3 2 1 0 0.4 -1.4 0.11 0.07 0.15 0.06 0.08 0.04 0.6 0.12 0.2 0.8 1.

Y d c X a Figure 56: Original Domain b Z bd Z = dW cb da ca a Z = cW W b Figure 57: Transformed Domain 65 .

the marginal density is given by Z z=c 1 1 dw. d and the marginal density is given by Z z=c z 1 fXY w. cb < Z < db. = w [(b a)(d c)] z=d Z b 1 1 = dw. c = 4 and d = 5 : Z 1 1 3 Z 5 4 Z Z 1 1 fXY (x. c c)] y 1 .as shown in Figure 57. y) dxdy = = = 1 1 1009:6 C exp[ (x + y)]dxdy C 66 2 . W ranges on Z . First …nd the value of C for a = 2. fZ (z) = w [(b a)(d c)] a Z z=c 1 1 dw. = dw. b = 3. w [(b a)(d c)] z=d ca < Z < ad ad < Z < cb cb < Z < db: For a = 2. c = 4 and d = 5. ad < Z < cb d c Z < W < b. y) a = [(b x a)(d b. ad < Z < cb w w z=d Z b 1 z fXY w. d. dw. b = 3. ca < Z < ad c Z Z <W < . ca < Z < ad fZ (z) = w w a Z z=c 1 z = fXY w. x b. c y d. dw. the plot of the marginal density is shown in Figure 58. (ii) For the case fXY (x. cb < Z < db: w w z=d a<W < (i) So for the case fXY (x. y) a = C exp[ (x + y)].

00 0 2 4 6 8 10 12 14 z 16 Figure 58: Marginal Density Function fZ (z) The marginal density is given by Z 1 1 z fZ (z) = 1009:6 exp[ (w + )]dw.05 0. y) = C exp[ (x + y)]. 0 x 1. …nd fZ (z) for the cases: (i) fXY (x.25 0.15 0. 13. x 1. For the function Z = X + Y.20 0. X = W = g1 Y =Z The Jacobian is given by J = = @g1 =@z @g2 =@z 0 1 67 1 1 @g1 =@w @g2 =@w = 1: W = g2 : ca < Z < ad ad < Z < cb cb < Z < db: Solution: Using the general method. w w 0 Z 1 z 1 1009:6 exp[ (w + )]dw. W = X: Solving for X and Y . y) is jointly uniform over the unit square. 0 y (ii) fXY (x. 0 y 1: Plot. 0 1: Plot. we de…ne a variable W. = w w z Z 1 1 z = 1009:6 exp[ (w + )]dw.f(z) 0. w w z These equations need to be integrated numerically.10 0. .

68 . z w) dw. 0 y 1. Z 1 < W < 1.0) Figure 59: Original Domain With 0 x 1.0) (1. W ranges on 0 < W < Z. c<Y <d!c<Z Solving for Z. Y W < d: (0. as shown in Figures 59 and 60. fW Z (w. and the marginal density is given by Z z fZ (z) = j 1j fXY (w. = Z 0 1 z 1 0<Z<1 1 < Z < 2: j 1j fXY (w. c + W < Z < d + W: Z ranges between two lines: Z = c + W and Z = W + d: Therefore. y) is de…ned on the rectangle de…ned by a < X < b and c < Y < d: Since X = W. c = 0 and d = 1.fXY (x. b = 1. In order to obtain the marginal density. z w) dw.1) X (0. 0<Z<1 1 < Z < 2. the implication is that a = 0. z) is de…ned in a domain that resembles a parallelogram. the joint density fZ (z) needs to be integrated over W: The range of W depends on Z: As d + a = c + b in this case. we know a < W < b: The range for Z can be derived from that of Y: It is given that c < Y < d: Writing Y in terms of Z and W.

= Z 0 2 z 1 0<Z<1 1 < Z < 2: 0<Z<1 1 < Z < 2: j 1j 2:5026 exp[ (z w + w)]dw. y) dx dy = = = 1 1 2:5026: C exp[ (x + y)]dx dy C 0 The density function can be written as Z z fZ (z) = j 1j 2:5026 exp[ (z w + w)]dw. x y 1. y) 0 0 First …nd the value of C : Z 1 1 1 = C exp[ (x + y)]. if if fZ (z) = 2:5026ze z 7:5078e z 2:5026ze z The density function is plotted in Figure 61.Z 2 Z=1+W 1 Z=W 0 1 W Figure 60: Transformed Domain (i) For the …rst case. fXY (x. 1: Z 1 0 Z Z 1 1 fXY (x. 69 .

8 z 2. 0 x 1: Thus fXY (x. List the sequence of transformations needed to derive the general probability density function fY5 for the function 2 Y5 = X1 + X2 2 + X3 X4 .50 1.25 1. y) is jointly uniform over the unit square.50 0. z.2 1.4 1.25 2. Solution: The following transformations are needed: 2 X1 ! X1 2 ! X1 + X2 2 ! X1 + X2 2 ! X1 + X2 2 ! X3 X4 2 + X3 X4 : 70 .f(z) 2. y) = 1: Z z fZ (z) = j 1j 1dw.0 1.00 1.8 1.75 1.6 0. 2 z 1<Z<2 fZ (z) = if 0 < Z < 1 if 1 < Z < 2: The plot of density function is shown in Figure 62 14.50 2. 0<Z<1 = Z 0 1 z 1 1.0 0.0 Figure 61: Density Function fZ (z) (ii) fXY (x. assuming that all fXi are known.2 0.6 1. 0 y j 1j 1dw.75 0.4 0.00 0.

i = 1.0 Figure 62: Density Function fZ (z) 15.2 0. (iii) Use the method of transformation of RVs of Section 4.2 1.f(z) 1.6 0.0 0.0 1.4 1.4 0.2 0.8 1.6 0. Derive the general probability density function fYi .8 z 2. 0 xi 1: Solution: 16. the mean value is straightforwardly given by Y = = a1 X1 + a2 X2 2a1 + 3a2 : 71 .6 1. : : : .4 0. Solution: (i) For Y = a1 X1 + a2 X2 .2 to derive fY assuming the given probability density functions.8 0. using only the respective probability density functions. Then calculate Y : (iv) Compare all results and discuss.0 0. 5 leading 2 2 to Y5 = X1 + X2 + X3 X4 assuming that all fXi = 1.0 0. Suppose Y = a1 X1 + a2 X2 with X1 and X2 uniform with mean values X1 = 2 and X2 = 3: Both probability density functions have magnitude 1=2: (i) Calculate (ii) Calculate Y Y from the given information directly.

for a1 + 2a2 < y < a1 + 4a2 FY (y) = = For a1 + 4a2 < y < 3a1 + 2a2 FY (y) = = Z 1 d~1 d~2 x x 4 2 1 1 (y 4a2 ) 1 (y 2a1 ) + 4 a1 4 a2 Z 3 y a 2 x2 ~ a1 Z y a1 a2 2 1 y a1 y 2a2 : 8 a2 a1 Z y a2 x2 ~ a1 Z y a 2 x2 ~ a1 1 1 d~1 d~2 x x 4 4 1 : 2 For 3a1 + 2a2 < y < 3a1 + 4a2 Z 4 FY (y) = 1 y 3a1 a2 1 d~1 d~2 x x 4 4 (y 3a1 ) a2 : = 1 1 8 3 (y 4a2 ) a1 72 . a1 a2 > 0 and a1 > a2 2. let us consider the case where a1 and a2 are of the same sign. and there are two discontinuity at y = a1 + 4a2 and 3a1 + 2a2 . a1 a2 > 0 and a1 < a2 3. In addition.(ii) The expected value of Y can be calculated as follows. there are four general cases to be considered. EfY g Y = a1 EfX1 g + a2 EfX2 g Z 1 Z = a1 x1 f (x1 )dx1 + a2 = a1 Z 1 3 1 1 1 x2 f (x2 )dx2 1 x1 dx1 + a2 2 3 4 2 x2 x2 = a1 1 + a2 2 4 1 4 = 2a1 + 3a2 : Z 4 2 1 x2 dx2 2 dx2 (iii) (iv) In general. They are when 1. let us assume that a1 > a2 : Then. Then. Z Z 1 d~1 d~2 : x x FY (y) = 4 a1 x1 +a~2 <z ~ x Note that y ranges from a1 + 2a2 and 3a1 + 4a2 : Figure 63 shows the domain of integration. a1 a2 < 0 and a1 > a2 4. a1 a2 < 0 and a1 < a2 : Here.

Calculate the mean and variance of the tensions.x2 y = a 1 + 2a 2 x= y . supposing that the angles are random variables. Reconsider Example 4.8.a 2 x2 a1 y = 3a1 + 2a2 4 2 y = 3a1 + 4a 2 y = a 1 + 4a2 x1 1 3 Figure 63: Domain of integration Taking derivatives. fY (y) = = = 1 y a1 2a2 for a1 + 2a2 < y < a1 + 4a2 4 a1 a2 1 for a1 + 4a2 < y < 3a1 + 2a2 2a1 1 4a2 + y 3a1 for 3a1 + 2a2 < y < 3a1 + 4a2 : 4 a1 a2 The expectation is given by Z 3a1 +4a2 = yfY (y) dy Y = Z a1 +2a2 a1 +4a2 a1 +2a2 Z 3a1 +4a2 3a1 +2a2 1y y 4 a1 2a2 dy + a1 a2 + = 1 4a2 + y 3a1 y dy 4 a1 a2 Z 3a1 +2a2 y a1 +4a2 1 dy 2a1 2a1 + 3a2 : The same procedure can be used for the other three cases to show that the expectation is always 2a1 + 3a2 : 17. 73 . The 30 angle now is a random variable with mean of 30 and variance of 3 and the 45 angle now is a random variable with mean of 45 and variance of 4 : The applied force has the same statistics as in the example.

A.26. where and a are constants and L = 100 L =5 r = 40 r = 2: (iv) solve (iii) for the cases: Solution : (i) Lr = 1. 1. ' P L + 1 A E 1 2 0+0+2 PL P L P L 3 A E 2 A +2 L 3 A E A P 2 E +2 2 2 2 A E P 2 A E LA L A L 2 A E P 2 A E PA P 2 L 2 A E P L 2 2 A E PE P E LE L E +2 AE A E . L. AE = 15 = 0:01 = 1000 = 0:1 P A = 10 = 0:01 LA L E = 35 = 10 L 106 E 106 : (ii) solve (i) except that (iii) = 0:5 and all other correlations zero. 0: Discuss. E ) @2g 2 @2g + 2 P 2 PL : AE @P @ g +2 @P @L @2g +2 @L@A 2 1 2 PL LA @2g 2 @2g 2 + 2 A @L @A @E 2 E @2g @2g P L+2 PA P A + 2 @P @A @P @E @2g @2g L A+2 L E +2 @L@E LE @A@E 2 L + PE P E AE A E . Solution: 19.Solution: 18. Find the general expression for the …rst order approximation for for the following: (i) = with all variables uncorrelated and P A and PL . Derive Equation 4. E) = The approximate mean is given by ' g( + P. 74 . = g(P. L. V = L3 + ar3 . A.

the variance is approximately given by 2 2 2 P 2 2 L 2 2 A V arf g ' = + L A E + P A E 2 + L P 2 A E + (15)2 L P 2 A E 2 E 0:1 35 (10 106 ) (10)2 + 2 0:1 1000 (10 106 ) 2 (0:1)2 1000(35) (10 106 ) 10 10 4 2 (0:01)2 + 1000(35) 0:1 (10 106 )2 2 (0:01 106 )2 = 2:3737 = 1:5407 (ii) When LA : = 0:5 and all other correlations zero. A. the …rst approxima- 75 . E) P A E 1000(35) = 0:035: 0:1(10 106 ) As all the variables are uncorrelated. L L.and variance is V arfY g ' @g @P +2 2 2 P + @g @L @g @g @P @L @g @g +2 @P @A @g @g +2 @L @A PL P PA P LA L @g @E @g @g L+2 @P @E P E @g @g A+2 @L @E LE @g @g A+2 @E @A EA 2 L 2 2 + 2 E + E @g @A 2 2 A P L E E A: 2 2 2 P 2 2 L 2 2 A V arf g ' L A E + L P A E + L P 2 A E + L P 2 A E 2 E +2 2 L P 2 2 A E 2 L P 3 2 A E PL P 2 2 LA L A 2 L P 3 2 PA P A A E 2 L P 2 3 LE L E + A E 2 2 2 L 2 A 2 L 3 A P 3 PE P E E 2 P 3 AE A E : E The …rst term approximation of the mean is ' g( = = P.

1 and 0 are 2 2 r 2 r =1 = = = 3 3 +2 2 2 L 2 L + 3a 2 2 +2 3 (40) 2 L 2 2 3a 2 r Lr L r (100) 3 (5)2 + 3 3 (2)2 (5) (2) (100)2 10 .tion of the mean remains the same whereas the variance is given by 2 2 2 P 2 L P 3 2 A E 2 2 L 2 2 A V arf g = L A E + P A E + L P 2 A E + L P 2 A E 2 E 2 = 2:3737 = 1:8487 = 1:3597 LA L A 10 10 10 4 4 2 2 35 10002 (0:5) (0:1)3 (10 106 )2 (15) (0:01) : (iii) Given: V = L3 + ar3 = g(L. and the variance is given by V arfY g ' = @g @L 3 2 2 L 2 2 L 2 L + @g @r 2 2 r 2 2 r +2 2 r @g @g @L @r 2 L Lr L r + 3a +2 3 3a 2 r Lr L r : (iv) The …rst order approximation of the mean is v = = = 3 L +a 3 r (100)3 + a(40)3 3:2056 Lr 106 for a = 1. r) + = @2g @L2 1 3 3 6 L+a r + 2 1 2 2 L + @2g @r2 2 r +2 @2g @L@r : Lr L r 2 L L + 6a 2 r r The …rst order approximation is v = 3 L +a 3 r. r): The approximate mean is given by v = g(L. 76 11 (40)2 (1) 2:3121 . and the variance for a = 1 and V arfY g Lr = 1.

Reconsider the projectile Example 4. except assume that the speed and angle are correlated with V0 a = 0:5: Compare the results with those of the uncorrelated case. 20. X2 ) where in the Taylor expansion terms to second-derivative are retained.V arfY g Lr = 1 = = 3 +2 2:1311 = = 3 (100)2 3 11 2 (5)2 + 3 3 (40)2 2 (2)2 (5) (2) (100)2 10 . we have E(Y ) V arY = g = X1 .14. where all derivatives are evaluated at the respective mean values. Solution: Recall 2 R = = = =) = = g sin 2 6 = (0:10) 30 = 0:10 = 6 300 m/s 35 m/s: For the general case of Y = g(X1 . (100)2 2 (40)2 ( 1) V arfY g Lr =0 (5)2 + 3 (40)2 2 (2)2 2:2216 1011 : The standard deviations are then = = = 4:8084 4:6164 4:7134 105 105 10 5 for for for Lr Lr Lr =1 = = 0: 1 The correlation between L and r has very little e¤ect on the variance and standard deviation of the system. Draw any conclusions you can. X2 2 + 1 @2g @2g 2 V arX1 + @X @X 2 @X1 1 2 @g @g @X1 @X2 12 X1 X2 12 X1 X2 + 2 1 @2g 2 V arX2 2 @X2 @g @X1 V arX1 + 2 + @g @X2 V arX2 . There- 77 .

Solution: 78 .fore. the percent di¤erence is %= 8074:0 7953:3 100 = 1:4949%: 8074:0 The variance is given by V arR = 2 g + 2 = 2 sin 2 2 2 2 +2 2 2 2 g 2 sin 2 2 g cos 2 g cos 2 2 300 sin(2 ) 352 9:8 6 2 300 2 3002 +2 sin(2 ) cos(2 ) 0:5 9:8 6 9:8 6 + 2 3002 cos(2 ) 9:8 6 106 + 8:9236 2 2 6 (0:10) 35 6 (0:10) 105 = = R R1 3:4439 105 + 2:3122 R2 4:5675 106 p = 4:5675 106 = 2137:2 p 4:5675 106 = = 0:26470 p 8074:0 4:5675 106 = = 0:26872: 7953:3 21. Obtain the mean and variance of Y as expanded in the Taylor series Equation 4.27. 2 E(R) g 2 1 2 4 sin 2 + 2 g 3002 1 2 = sin(2 )+ sin 9:8 6 2 9:8 4 300 + 0:5 cos 2 9:8 6 1 3002 + 4 sin(2 ) 2 9:8 6 = 7953:3 + 108:25 + 56:100 = 8074:0: = sin 2 + 12 sin 2 2g 2 + 4 g cos 2 2 6 6 (35) 2 (0:10) 35 2 6 43:609 (0:10) In this case.

18. Recalculate the numerical results of Example 4.11 for the following values of bh = 0. Using a calculator or chart. with new parameter values R = 30 lb and W is a uniform random variable with W = 100 lb/ft with coe¢ cient of variation W = 0:10. A sample is shown in Table 1 24. 1:0: Compare and discuss the results. For the cantilever beam of Figure 4. 0:2. Suppose f = 1=(b a) where a = 2 and b = 4: Use the results of the previous problem to specify 5 random numbers. Solution: Ten random numbers between 0 and 1 can be obtained by a calculator.Table 1: Random Numbers between 0 and 1 pi 0:969 0:674 0:298 0:952 0:083 0:095 0:959 0:601 0:329 0:326 22. Solution: 23. The shear 79 . the length of the beam is 25 ft. Solution: We use xi = a + (b pi 0:969 0:674 0:298 0:952 0:083 xi 2+2 2+2 2+2 2+2 2+2 0:969 = 3:938 0:674 = 3:348 0:298 = 2:596 0:952 = 3:904 0:083 = 2:166 a)pi or xi = 2 + 2pi : 25.16. estimate the mean and standard deviation of the shear V and bending moment M: Solution: From Example 4. 0:7. generate 10 random numbers between 0 and 1.

Realizations of the shear and moment for 10 values are shown in Table 2. which is a random variable.and moment at the …xed end are. Note that the coe¢ cient of variation is shown as a negative number because the mean value is a negative number. calculate Vi and Mi using the following transformations: Vi = 30 Mi = 25Wi 750 + 312:5Wi . the negative is super‡ uous and need not be retained. respectively. Using the given W and W we can …nd W = = W W 100 0:10 = 10: The upper and lower bounds of the uniform density are found using W 2 W = = a+b = 100 2 1 (b a)2 = 100: 12 Solving we …nd b = 117 and a = 83: We can utilize the table of random uniform numbers to generate realizations of W by using the relation Wi = a + (b a)pi : For each realization Wi . shown in Table 3. 80 . However. These mean and the variance values can be averaged using X = X = to estimate their respective means and standard deviations. V =R = 30 M= = WL 25W lb. Also note that to calculate the standard deviation it is possible to evaluate the mean square value minus the mean value squared. L 2 RL + W L 750 + 312:5W lb-ft: The shear and moment are functions of W. 1X xi n i=1 v u n uX (xi t n i=1 n X) 2 1 .

we can use Table of random uniform numbers to generate realizations of R by using the relation Ri = a + (b a)pi : Ten values of Ri are shown in Table 4. L is Gaussian with L = 25 ft and L = 0:1 ft. R is a uniform random variable with lower limit a = 9. both parameters R and L are random variables. L is a Gaussian with mean L = 25 ft and standard deviation L = 0:1 ft. respectively. 200 lb. W is 2500 lb. V =R =R M= = WL 2500L lb. Next the realizations of L can be obtained in by one of the two following methods: 81 . 800 lb and the upper limit b = 10.16. First.18. For the cantilever beam of Figure 4. RL + W L L 2 RL + 1250L2 lb-ft: The shear and moment are functions of R and L both of which are random variables. 800 10. Estimate the mean and standard deviation of the shear V and bending moment M: Solution: From Example 4. The shear and moment at the …xed end are.Table 2: Sample Realizations of V and M pi 0:42742 0:25981 0:95105 0:28134 0:13554 0:32111 0:31008 0:14649 0:79250 0:99164 Wi 97:53 91:83 115:3 92:57 87:61 93:92 93:54 87:98 109:95 116:72 Vi = 30 25Wi 2408:31 2265:84 2853:40 2284:14 2160:21 2317:94 2308:57 2169:52 2718:63 2887:89 Mi = 750 + (312:5)Wi 29728:84 27947:98 35292:41 28176:74 26627:61 28599:29 28482:1 26743:96 33607:81 35723:68 Table 3: Sample Statistics for V and M V (lb) 2437:44 276:55 0:1134 M (lb-ft) 30093:04 3456:86 0:1148 26. R is a uniform random variable between the values 9. 200 lb.

Table 4: Sample Realizations of R pi Ri 0:42742 9470:8 0:25981 8803:1 0:95105 11557 0:28134 8888:9 0:13554 8308:0 0:32111 9047:3 0:31008 9003:4 0:14649 8351:6 0:79250 10925 0:99164 11719 Table 5: Sample Realizations of L pi si Li = Li + Li si 0:32111 0:67 24:933 0:31008 0:65 24:935 0:14649 1:11 24:889 0:7925 0:73 25:073 0:99164 2:11 25:211 0:62948 3:01 25:301 0:55292 0:11 25:011 0:8825 1:11 25:111 0:70974 0:44 25:044 0:12102 1:21 24:879 Method 1: Using random numbers from the Standard Uniform Table 4.2. 82 . The values are tabulated in Table 5. the realizations of mean and variance are found using Vi = Ri Mi = 2500Li lb. Once si is found. the realizations of L can be obtained by using the relation Li = Li + Li si . Ri Li + 1250L2 lb-ft: i These are given in the Table 6. Once both Ri and Li are found. Each value of pi is used as the entry point into the standard normal table to …nd the corresponding approximate value of si .

6). Pick 10 random numbers from Table 4. These are the standard normal variables si . the realizations of L can be obtained by using the relation Li = Li + Li si : The values are tabulated in Table 8.6. 1X xi n i=1 v u n uX (xi t n i=1 n x) 2 1 . Once si is found. shown in Table 7.Ri 9470:8 8803:1 11557 8888:9 8308:0 9047:3 9003:4 8351:6 10925 11719 Table 6: Sample Realizations of V and M Li Vi = Ri 2500Li Mi = Ri Li + 1250L2 i 24:933 52861:7 540932:65 24:935 53534:4 557687:48 24:889 50665:5 486685:73 25:073 53793:6 562947:77 25:211 54719:5 585040:16 25:301 54205:2 571270:01 25:011 53524:1 556753:61 25:111 54425:9 578485:87 25:044 51685 510396:72 24:879 50478:5 482148:80 Table 7: Sample Statistics for V and M V (lb) M (lb-ft) 52989:34 543234:88 1534:32 37371:22 0:029 0:0688 These mean and the variance values can be averaged using x = x = to estimate their respective means and standard deviations. The realizations of mean and variance are found using Vi = Ri Mi = 2500Li lb. Ri Li + 1250L2 lb-ft: i These are given in the Table 9 83 . Method 2: Use the standard normal random numbers (Table 4. Then the standard procedure is followed.

Table 8: Sample Realizations of L si Li = Li + Li si 0:58885 25:06 1:3286 24:87 4:1952 10 2 24:1 0:46021 24:95 0:48187 24:95 1:5813 25:16 0:77828 25:08 0:52954 25:05 0:50652 24:95 0:23290 24:98 Table 9: Sample Realizations of V and M Ri 9470:8 8803:1 11557 8888:9 8308:0 9047:3 9003:4 8351:6 10925 11719 Li 25:06 24:87 24:1 24:95 24:95 25:16 25:08 25:05 24:95 24:98 Vi = Ri 2500Li 53176:41 53364:75 50932:51 53496:05 54071:53 53848:03 53691:17 54280:79 51448:37 50722:78 Mi = Ri Li + 1250L2 i 547606:96 554060:39 492111:31 556562:91 570941:55 563551:23 560336:10 575330:88 505515:83 487092:99: Table 10: Sample Statistics for V and M V (lb) M (lb-ft) 52903:24 541311:02 1340:39 33280:30 0:0253 0:0615 84 .

Draw the density function Equation 4. Generate an additional three values of xi : Solution: 85 .38.The respective means and standard deviations are listed in Table 10. 27.

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