INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic

ISE Department Lecturer: Phan Nguyễn Kỳ Phúc

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CONTINUOUS RANDOM VARIABLE

 Can take on any value in an interval of numbers.
 The probabilities associated with a continuous random variable X are represented by
probability density function of the random variable, i.e., f(x) which has the following
properties.

1. Properties
 f ( x )  0 for all x.
b
 P(a  X  b)   f (x) dx
a

 The cumulative distribution function F ( X )  P( X  x)  Area under f(x) between the

smallest possible value of X (often -∞) and the point x.
 The expected value (or expectation) of a random variable is the value that is expected to
occur, on average.

 E ( x)   xf (x) dx


 The variance of a random variable is the expected squared deviation from the mean:

 2  V ( X )  E[( X -  ) 2 ]   ( x   ) 2 f ( x)dx


 2  E ( X 2 ) -[ E ( X )]2   x 2 f ( x)dx -  2


 The standard deviation of a continuous random variable is the square root of its variance:
  std ( X )  Var ( X )
 The expected value of a function of a discrete random variable X is:

E[h( X )]   h( x) f ( x)dx


 The expected value of a linear function of a random variable is:

E (aX  b)  aE ( X )  b
 The variance of a linear function of a random variable is:
V (a X  b)  a 2V ( X )  a 2 2
 The mean or expected value of the sum of random variables is the sum of their means or
expected values:
( X Y )  E ( X  Y )  E ( X )  E (Y )   X  Y
 The VARIANCE of the SUM of independent random variables is the SUM of their
VARIANCES:
 2( X Y )  V ( X  Y )  V ( X )  V (Y )   2 X   2Y

04 Continuous Random Variable 1

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
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2. Some Useful Continuous Random Variables

Uniform Distribution Exponential Distribution Normal Distribution

 1
Probability Density  , if a  x  b 1
 ( x   )2
f ( x)   b  a f ( x)   e  x
for x  0,   0 f ( x)  e 2 2
Function
0, otherwise 2 2
Cumulative
F ( x) 
xa
, a  x  b F ( x)  1  e x  x  0 Need to look up table
Distribution Function
ba
Expectation ab 1 E( X )  
E( X )  E( X ) 
2 
Variance
b  a 
2
Var ( X ) 
1 Var ( X )   2
Var ( X )  
12

04 Continuous Random Variable 2

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
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04 Continuous Random Variable 3

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
--------------------o0o------------------

3. Uniform Distribution
Question 1: A point is chosen at random on a line segment of length L and follows the uniform
distribution. Finds the probability that the ratio of the shorter to the longer segment is less than ¼.

If we choose one end of the line as the origin with coordinate of 0, the other end will have
coordinate of L.

Let x be the position of the point which satisfy the requirement of the question

x 1 Lx 1 L 4L
    x x
Lx 4 x 4 5 5

The probability that we need to find is

 L  4L  2
P  P0  X    P  X  L 
 5  5  5

Question 2: An accident can occur at any point on the road of length L and follows the uniform
distribution. As a result, the government wants to construct one rescue center on this road. Find
the optimal position of the rescue center, so that the expected length between the accident and
the rescue center is minimal.

0 x Y L

Let x be the coordinate of the accident

Let Y be the coordinate of the rescue center

If the accident occurs between 0 and Y, the calculated distance will be (Y-x)

If the accident occurs between Y and L, the calculated distance will be (x-Y)

So the expected distance will be

(Y  x) (x  Y)
Y L
E (distance)=  dx   dx
0
L Y
L

𝑌2 (𝐿−𝑌)2
𝐸(distance) = +
2𝐿 2𝐿

As a result E(distance) obtain minimal value  Y=L/2

04 Continuous Random Variable 4

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
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4. Exponential Distribution
Question 1: The processing time of projects can be modeled by an exponential distribution with
parameter 𝜆 = 0.3 per month, with processing time being independent.

1. What is the probability that a given project A has processing time less than 4 months?

2. What is the probability that a given project B will finish in between 3 and 5 months?

3. A manager wants to know how many projects will finish within a quarter of year (4 months).
What is the probability that there is at least 2 projects finish within a quarter of year.

1. The probability that the project A has processing time less than 4 months

P(0  X  4)  1  e x  1  e0.34  0.6988

2. The probability that the project B will finish in between 3 and 5 months

P(3  Y  5)  P(0  Y  5)  P(0  Y  3)  1  e 0.35  1  e 0.33   0.1834

3. The probability that there is at least 2 projects finish within a quarter of year.

P( X  4  Y  4)  P( X  4)  P(Y  4)  1  e 0.34   1  e 0.34   0.4883

5. Normal Distribution
The density function of normal distribution

 ( x   )2
1
f ( x)  e 2 2

2 2

To find the probability that x lies within the range of [a, b] the integration of f(x) on the interval
[a, b] is required

b b  ( x   )2
1
P(a  X  b)   f ( x)   e 2 2
dx
a a 2 2

x dx
Let z   dz  at x  a, z  za at x  b, z  zb
 

1 2z
zb 2
b
P(a  X  b)   f ( x)   e dz
a za 2

04 Continuous Random Variable 5

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
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The integration of z value can be look up through the table.

1 2z
2
z
Let (z)  
 2
e dz we have following properties:

1 2z
zb 2


za 2
e dz   ( zb )   ( za )

 (0)  0.5

( z)  1   (z)

x
The transformation z  is called z-transform


Question 1: The quantity of a specific substance A in each capsule of a new drug type follows ~
N(200, 52)

1. Find the probability that this quantity is between 193 and 208

2. The capsule will pass the quality test if the quantity of substance A is greater than 198. Find
this probability

3. Now 10 capsules are packed together. This package can be sold if at least 8 capsules pass the
quality test in question 2. Find the probability that pick a random package, this package can be
sold in the market.

1. We conduct Z-transform

X  200 193  200 208  200

Z so we have Z A   1.4, Z B   1.6
5 5 5
P(193  X  208)  P(1.4  Z  1.6)  0.9452  (1  0.9192)  0.8644

2. The probability

P( X  198)  1  P( X  198)  1    Z  0.4  1  1    0.4   0.6554

3. This problem can be interpreted as finding the probability in 10 trial we have at least 8
successes, where the probability of success of a trial is 0.6554.

04 Continuous Random Variable 6

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
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P(Y  8)  P(Y  8)  P(Y  9)  P(Y  10)

10  10  10 
=   0.65448  0.34462    0.65449  0.34461    0.654410
8 9 10 

04 Continuous Random Variable 7

 INTERNATIONAL UNIVERSITY (IU) Engineering Probability & Statistic
ISE Department Lecturer: Phan Nguyễn Kỳ Phúc
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Assignments

Question 1: The Scholastic Aptitude Test mathematics test scores across the population of high
school seniors follow a normal distribution with mean 500 and standard deviation 100. If five
seniors are randomly chosen, find the probability that

1. All scored below 600 and

2. Exactly three of them scored above 640.

Question 2: The annual rainfall (in inches) in a certain region is normally distributed with µ = 40,
σ = 4. What is the probability that in 2 of the next 4 years the rainfall will exceed 50 inches?
Assume that the rainfalls in different years are independent.

Question 3: A certain type of light bulb has an output that is normally distributed with mean
2,000 end foot candles and standard deviation 85 end foot candles. Determine a lower
specification limit L so that only 5 percent of the light bulbs produced will be defective. (That is,
determine L so that P{X ≥ L} = .95, where X is the output of a bulb.)

Question 4: A manufacturer produces bolts that are specified to be between 1.19 and 1.21 inches
in diameter. If its production process results in a bolt’s diameter being normally distributed with
mean 1.20 inches and standard deviation .005, what percentage of bolts will not meet
specifications?

Question 5: The quantity of substance A for 1kg food B follows normal distribution N(50,9) .
For safety use, it must be smaller than 53.

1. Find the probability that when we use 1kg of food B, it is a safety food regarding to A.

2. Even though overuse is considered as unsafe, the quantity of A is less than 47 mg is

considered as ineffective for using food B. Find the probability that when we have 1kg of B, it is
safe and effective.

Question 6: Assumed that the height of people in a country follows normal distribution N(180,
25). The furniture company want to design a bed, so as its length can cover the height at least 95%
population. Find the minimum value of the length of the bed.

Question 7: A package has 5 tubes of liquid A. In each tube the quantity of substance B follows
normal distribution N( 100, 16). The package will be returned to the manufacturer if when being
check, there are more than 2 tubes having the quantity of B greater than 105. Find the probability
that the package will be returned?

04 Continuous Random Variable 8