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Leibniz's Rule and other Properties of Integrals of Randomistic Variables

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 2019-08

Leibniz’s Rule and other Properties of Integrals of Randomistic Variables

Hugo Hernandez
ForsChem Research, 050030 Medellin, Colombia
hugo.hernandez@forschem.org

doi:

Abstract

In this report, different properties of multivariate integrals and derivatives of multivariate

integrals of randomistic variables are presented. In particular, Leibniz’s rule for derivatives of
multivariate integrals applied to randomistic variables is discussed. Some examples are
presented in order to demonstrate the validity of the mathematical expressions obtained.
These examples include the derivatives of the moments of bounded randomistic variables with
respect to their bounds. Conventional results of integral Calculus are obtained assuming that
the variables are uniformly distributed along the integration limits.

Keywords

Integration, Leibniz’s Rule, Moments, Partial Derivatives, Probability Density Function,

Randomistics.

1. Introduction

Randomistic variables have been defined as a general type of variable comprising deterministic
or random variables.[1] The mathematics of randomistic variables have been shown to be valid
for both deterministic and random variables.[2-5] Continuing with such generalization, in this
report, a randomistic version of Leibniz’s rule for the differentiation of multivariate integrals is
presented. In addition, some additional properties of integrals of randomistic variables are
discussed, and various examples are included for clarity.

Originally, Leibniz’s rule for constant limits states the following:[6]

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )
(∫ ( ) ) ∫ ( )

(1.1)
( )
where ( ) is any arbitrary function, and ( ) and are continuous in the region
defined by , .

For variable limits a more general form of Leibniz’s rule is:

( )
(∫ ( ) )
( )
( ) ( )
( ( )) ( ( ))
( )
∫ ( )

(1.2)

Although integrals [3] and derivatives [4] of random(istic) variables have been considered in
previous reports, the derivatives of integrals of randomistic variables require particular
consideration, which is the purpose of the present report.

2. Leibniz’s Rule for Randomistic Variables

Let us first consider ( ) as a randomistic function of the independent randomistic variables

and . If these variables are not independent, one of them can be expressed in terms of the
other resulting in a univariate problem which is out of the scope of Leibniz’s rule.

Let us now define the following randomistic function with constant limits:

( ) ∫ ( )

(2.1)

where may take different random values during integration. If remains constant during
integration, the conventional Leibniz’s rule (Eq. 1.1) applies. Please also notice that represents
particular realizations of the randomistic variable .

Now, ( ) can be expressed as an infinite series expansion as follows:

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ∑∑

(2.2)
then, Eq. (2.1) becomes:

( ) ∫ ∑∑ ∑∑ ∫

(2.3)

Considering that any particular integral between two independent randomistic variables can be
approximated as:[3]

∫ 〈 〉∫ ( )∫

(∫ ( ) ) (∫ )

(2.4)

where ( ) represents the corresponding probability density function of , and

〈 〉 is the sample average operator and ( ) is the expected value operator.

Then, Eq. (2.3) can be expressed as:

( ) ∑∑ (∫ ( ) ) (∫ )

(2.5)

If the limits of and are both constant, then the function approximates a constant
independent of , and therefore:

( )
( )

(2.6)

If the upper limit of is variable (randomistic) but all other limits remain constant we have:

( ) ∑∑ (∫ ( ) ) (∫ )

(2.7)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

and therefore, the derivative with respect to evaluated at is:§

( )
( )

( )
∑∑ [ ( ) ∫ ( ) ]

( ) ( )
( )
∑∑ ∫ ( ) ∫

(2.8)

Similarly, if the lower limit of is variable but all other limits are constant, then:

( )
( )

( ∑∑ (∫ ( ) ) (∫ ))

( )
∑∑ [ ( ) ∫ ( ) ]

( ) ( )
( )
∑∑ ∫ ( ) ∫

(2.9)

Thus, Leibniz’s rule is applied to randomistic variables it will be expressed either as Eq. (2.6),
(2.8) or (2.9) depending on the nature of the limits of .

§
The conventional (deterministic) Leibniz’s rule for variable limits (Eq. 1.2) is used for evaluating the
derivative of the expected value integral.

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

3. Multivariate Integration

Let us consider again the arbitrary randomistic function ( ). The differential of this function
can be expressed as:

( ) ( )
( ) ( ) ( )

(3.1)
Integrating both sides of Eq. (3.1) results in:

( ) ( )
∫ ( ) ∫ ( ) ∫ ( )

(3.2)

where the integral at the left side represents a multiple integral. Again, the limits of the
integrals can be constant or variable. At first, they will be considered constant.

Using the approximation given by Eq. (2.2), Eq (3.2) can be expressed as:

∫ ( ) ∑∑ ∫ ( )

∑∑ ∫ ∑∑ ∫

(3.3)
where

∫ ( ) ∫ ∫

(3.4)
Using the properties of randomistic integration,[3] Eq. (3.4) becomes:

∫ ( ) 〈 〉∫ 〈 〉∫

∫ ∫ ∫ ∫

(3.5)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Please notice that Eq. (3.5) can be alternatively expressed as:

( ) ( )
∫ ( ) ∫ ∫ ∫ ∫

∫ ∫ ( ) ∫ ∫ ( )

(3.6)
In general, any randomistic function which can be expressed as:

( ) ( ) ( )
(3.7)
will have the following property:

∫ ( ( ) ( ))

∫ ( ) ∫ ( ) ∫ ( ) ∫ ( )

( ( ))( ( ) ( )) ( ( ))( ( ) ( ))
(3.8)
If the limits are constant, the partial derivatives of such integral will be:

∫ ( ( ) ( )) ∫ ( ( ) ( ))

( ) ( )
(3.9)

If the upper limits of and are variable, then the partial derivatives with respect to the upper
limits become:

∫ ( ( ) ( ))

( ( ))

( )∫ ( )

[ ( ) ( ) ∫ ( ) ( ) ] ∫ ( )

(3.10)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

∫ ( ( ) ( ))

( ( ))

( )∫ ( )

[ ( ) ( ) ∫ ( ) ( ) ] ∫ ( )

(3.11)

4. Examples

The following examples considered are simple but illustrative of the validity of the expressions
found in the previous section.

4.1. Area of a Rectangle

Figure 1. Example of a rectangle with sides and . Its area is .

The area of the rectangle presented in Figure 1 can be expressed as the following integral:

∫ ( ) ∫ ∫

(4.1)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

In the first integral of the right side of Eq. (4.1), is an independent variable that can take any
value between and during integration. Since for each value of , the same range of
values of is possible, can be considered as a uniform random variable with

( )

(4.2)

In that case, using the properties of randomistic integration (Eq. 3.8) we have:

∫ ∫ ( ) ∫ ( ) (∫ ) ( )

( ) ( )

(4.3)

Similarly, for the second integral at the right side of Eq. (4.1) we get:

∫ ∫ ( ) ∫ ( ) (∫ ) ( )

( ) ( )

(4.4)

Thus, the area of the rectangle is:

∫ ( ) ∫ ∫

(4.5)

which is the expected result.

Continuing with this example, let us now determine the partial derivatives of the area with
respect to and (Eq. 3.10 and 3.11), assuming uniform distributions on and . Please
notice that the probability density functions depend on the integration limits.

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

∫ ( ) (∫ ) (∫ )

( )
(∫ ) ∫ ( ) ∫

[ ∫ ( ) ] [ ]

(4.6)

∫ ( ) (∫ ) (∫ )

( )
(∫ ) ∫ ( ) ∫

[ ∫ ( ) ] [ ]

(4.7)

4.2. Volume of a Cylinder

In the second example, let us consider the volume of the cylinder shown in Figure 2. The
volume function is given by:

∫ ( )

(4.8)
Since
( )
(4.9)
Then,

∫ ∫

∫ ( ) ∫ ∫ ( ) ∫

(4.10)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 2. Example of a cylinder with length and radius . Its volume is .

Now, assuming the height of the cylinder to be uniformly distributed, we have:

( )

(4.11)

On the other hand, the radius is not uniformly distributed because the relative frequency is not
the same for each possible value of . In this case, the probability density function is the ratio
of each individual perimeter to the total area of the circle at the base of the cylinder:

( )

(4.12)

Thus,

∫ ( ) ∫ ∫ ( ) ∫

(4.13)
which again is the expected result.

The partial derivatives of the volume are:

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

∫ ( )

( )
(∫ ) ∫ ( ) ∫

[ ∫ ( ) ]

[ ]

(4.14)

∫ ( )

( )
(∫ ) ∫ ( ) ∫

[ ∫ ( ) ] [ ]

(4.15)

Please notice that if other probability density functions exist, the results of the integrals and
derivatives will be different as can be seen in the next example.

4.3. Non-uniform Distribution of Factors in a Product

Let us consider again the function used in Example 4.1, but now we will assume a different
distribution of the randomistic variables:

∫ ( ) ∫ ∫

∫ ( ) ∫ ∫ ( ) ∫

(4.16)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Let us assume the following non-uniform probability density functions:

( )

(4.17)

( )

(4.18)
The result of the integral (4.16) will then be:

∫ ( ) ∫ ( ) ∫ ∫ ( ) ∫

(4.19)

which does not correspond to the area of the rectangle, since the distribution is no longer
uniform.

On the other hand,

∫ ( )

( )
(∫ ) ∫ ( ) ∫

[ ∫ ( ) ] [ ]

(4.20)

∫ ( )

( )
(∫ ) ∫ ( ) ∫

[ ∫ ( ) ]

(4.21)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

4.4. Derivatives of Moments of Bounded Randomistic Variables

The -th order raw moment ( ) of a continuous randomistic variable is defined as:[1]

( ) ( ) ∫ ( )

(4.22)

In the case of bounded variables, the moments can be expressed as:

( ) ( ) ∫ ( )

(4.23)

where
( )
(4.24)

In this case, the values of the bounds of the variable will have an effect on the corresponding
probability density function, as indicated in Eq. (4.23).

The effect of the bounds on the value of the moments can be assessed by means of the partial
derivatives:

( )
(∫ ( ) )

( )
( ) ∫ ( )

(4.25)

( )
(∫ ( ) )

( )
( ) ∫ ( )

(4.26)

Let us consider any arbitrary uniform randomistic variable with probability density function:

( )

(4.27)

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Then the corresponding derivatives of the moments of will be:

( )
∫ ( )
( )

( )( )
(4.28)

( )
∫ ( )
( )

( )( )
(4.29)

Table 1 summarizes the results for the first moments of uniform randomistic variables, obtained
using Eq. (4.28) and (4.29).

Table 1. Partial derivatives of the first moments of uniform randomistic variables

( ) ( )
( )

( ) ( ) ( )

Acknowledgments

The author gratefully acknowledges Prof. Jaime Aguirre (Universidad Nacional de Colombia)
for proof-reading the manuscript.

This research did not receive any specific grant from funding agencies in the public,
commercial, or not-for-profit sectors.

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 Leibniz’s Rule and other Properties of
Integrals of Randomistic Variables
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

References

[1] Hernandez, H. (2018). The Realm of Randomistic Variables. ForsChem Research Reports
2018-10. doi: 10.13140/RG.2.2.29034.16326.

[2] Hernandez, H. & Aguirre, J. (2017). Calculus of Random Finite Differences and Differentials.
ForsChem Research Reports 2017-15. doi: 10.13140/RG.2.2.31562.67529.

[3] Hernandez, H. (2018). Integrating Functions of Random Variables. ForsChem Research

Reports 2018-07. doi: 10.13140/RG.2.2.23660.87680.

[4] Hernandez, H. (2018). Probability Density Functions of Derivatives of Random Variables.

ForsChem Research Reports 2018-06. doi: 10.13140/RG.2.2.23850.11204.

[5] Hernandez, H. (2018). Introduction to Randomistic Optimization. ForsChem Research

Reports 2018-11. doi: 10.13140/RG.2.2.30110.18246.

[6] Protter, M. H., & Charles Jr, B. (2012). Intermediate calculus. Springer Science & Business
Media.

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