Vol.

7, 2022-11

Probability Transforms: Expected Value of Functions

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

doi: 10.13140/RG.2.2.16305.86881

Abstract

Any observable or measurable variable can be described by a probability distribution function,

indicating how likely each possible result is to occur. The expected value of such variable is
simply a weighted-average value, using the probability of occurrence of each value as weight.
The expected value of a function of such variable also takes into account the probability
distribution of the variable. However, by doing so, obtaining the expected value of a function
becomes a non-trivial task, except only when the variable is purely deterministic. The result of
the expected value of a function will clearly depend on both, the mathematical nature of the
function and the particular probability distribution of the variable. For typical parametric
probability distribution models, such as the uniform, exponential or normal distribution
models, for example, it is possible to generalize the result of the expected value of a function.
This can be done by means of a probability transform. The complete probability transform
provides the expected value of the function in terms of the probability distribution model
parameters. The incomplete probability transform will result in a cumulative function of the
corresponding variable. The complete and incomplete probability transforms are the result of
integrating the probability transform density, which is simply the product of the function of
interest and the corresponding probability density function of the variable. In this report, the
basic theory of concepts of probability transforms is presented, and some examples are
presented considering relevant mathematical functions. It can be seen that the widely known
Laplace transform is closely related to the complete exponential transform.

Keywords

Complete Probability Transform, Deterministic Variables, Exponential Distribution, Incomplete

Probability Transform, Laplace Transform, Normal Distribution, Parametric Distribution Models,
Probability Transform Density, Pure Random Variables, Randomistics, Uniform Distribution,
Standard Variables

Cite as: Hernandez, H. (2022). Probability Transforms: Expected Value of Functions. ForsChem Research
Reports, 7, 2022-11, 1 - 27. Publication Date: 01/08/2022.
 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

1. Basic Definitions

Let us consider a randomistic§ variable [1] which can take an arbitrary value following a
particular probability distribution function ( ), such that:

( ) ( )
(1.1)

Such probability distribution must fulfill two basic conditions:

( )
(1.2)
∑ ( )

(1.3)
Let us now define a new variable , which is a mathematical function of :

( )
(1.4)

The possible values taken by variable will depend on the possible values of . The probability
of taking a particular value ( ) depends on the probability function ( ). If ( ) is an
**
injective function , then:

( ) ( ( ))
(1.5)
where represents the inverse function of .

If ( ) is a non-injective function, then:

( ) ∑ ( ( ))

(1.6)
where represents each of the possible values of such that ( ) .

Then the expected value (or probability weighted-average) of the function is (in general):

§
The term randomistic results from combining the terms random (unknown or unpredictable) and
deterministic (known or predictable). A randomistic variable is a general concept comprising both
random and deterministic variables.
**
An injective function is characterized because each value of the function can only be obtained by a
single value of the independent variable.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( ) ∑ ( ) ∑ ∑ ( ( )) ∑ ( ) ( )

(1.7)

Now, the cumulative probability function of ( ( )) is:

( ) ( ) ( )
(1.8)

where represents the possible value of immediately before . Therefore, the

probability function becomes:

( ) ( ) ( ) ( )
(1.9)
where represents the backward finite difference operator.

The expected value of (Eq. 1.7) can then be expressed as follows:

( )
( ) ∑ ( ) ( ) ∑ ( )( )

(1.10)

( )
The term represents the finite probability density of . If (as is the case of
continuous variables), such finite probability density can be represented by the probability
density function ( ):

( )
( )
(1.11)
and Eq. (1.10) becomes:

( ) ∫ ( ) ( )

(1.12)
where .

As we have seen in Eq. (1.7), (1.10) and (1.12), the expected value of (which is a function of )
is determined by summing (or integrating) the products between the function evaluated at
each value and the corresponding probability of . In other words, the expected value
operator transforms the function ( ) into a constant value. The particular value obtained will
depend on both the nature of the function and the probability distribution of .

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

In Section 2 the concept of probability transform will be explored in more detail, presenting
various definitions such as complete probability transforms, incomplete probability transforms,
probability transform density, and inverse probability transform. In Section 3 the most
representative probability distribution models are considered. Section 4 introduces the
standard probability transform in order to simplify the calculations. Finally, in Section 5,
probability transforms of common mathematical functions are presented for the
representative probability models considered.

2. Probability Transforms

The formulas presented in this section assume that the variables are continuous, or at least,
that they follow the continuous approximation [2]. Equivalent expressions can also be obtained
for discrete variables by using the equivalence: ( ) ( ) and sums instead of integrals.

2.1. Complete Probability Transform

The complete probability transform of an arbitrary function ( ) is the expected value of the
function:

{ ( )} ∫ ( ) ( )

(2.1)
where ( ) is the probability density function of , such that:

( )
(2.2)

∫ ( )

(2.3)
Notice that curly brackets { } are used in Eq. (2.1) to emphasize the notion of a transform.

In general, the arbitrary function ( ) can be represented by an infinite polynomial as follows

(McLaurin series):
( ) ( )( )
( ) ∑ ∑

(2.4)

where ( ) ( ), the -th derivative of with respect to evaluated at , is a constant value.

Therefore, Eq. (2.1) becomes:

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )( ) ( )( )
{ ( )} ∑ ∫ ( ) ∑ { }

(2.5)
The term { } is also known as the -th raw moment of .

The probability density function can be represented by either a parametric or a non-parametric

model. If a parametric model is used, the probability density function becomes ( ), where
is a vector of model parameters. In this case, the complete transform of a function of is
now represented by a function of , as follows:

{ ( )} ∫ ( ) ( ) ( )

(2.6)

2.2. Incomplete Probability Transform

The incomplete probability transform of an arbitrary function ( ) can be defined as follows:

{ ( )} ∫ ( ) ( )

(2.7)
Notice that:

{ ( )} { ( )}
(2.8)
and
{ ( )} { ( )} { ( )}
(2.9)

Also:
{ } ( )
(2.10)

Considering the infinite polynomial expansion given in Eq. (2.4), the incomplete probability
transform of ( ) becomes:

( )( )
{ ( )} ( )( )∫ ( )
∑ ∑ { }

(2.11)

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The term { } is the -th incomplete raw moment of .

In the case of parametric probability density functions, the incomplete probability transform is
not only function of the parameter vector but also a function of :

{ ( )} ∫ ( ) ( ) ( )

(2.12)

2.3. Probability Transform Density

The probability transform density ̃ of an arbitrary function ( ) can be defined analogous to

the probability density function of , as the derivative of the incomplete probability transform
of the function:

{ ( )}
̃ { ( )} ∫ ( ) ( ) ( ) ( )

(2.13)

It is important to remark that ̃ { ( )} is not a probability density function, and therefore, it is

not subject to the conditions given by Eq. (2.2) and (2.3), with only one exception:

̃ { } ( )
(2.14)
Notice also that:

{ ( )} ∫ ̃ { ( )}

(2.15)

{ ( )} ∫ ̃ { ( )}

(2.16)

Considering the infinite polynomial expansion given in Eq. (2.4), the probability transform
density becomes:

( )( ) ( )( )
̃ { ( )} ∑ ( ) ∑ ̃ { }

(2.17)

The term ̃ { } represents the probability transform density of the -th raw moment of .

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

In the case of parametric probability density functions, the probability transform density is also
parametric:

̃ { ( )} ( ) ( ) ( )

(2.18)

2.4. Inverse Probability Transforms

There are different types of inverse probability transforms. The inverse complete probability
transform of an arbitrary function ( ) is (from Eq. 2.6):

{ ( )} {∫ ( ) ( ) } ( )

(2.19)

The inverse incomplete probability transform of an arbitrary function ( ) is (from Eq.

2.12):
( )
{ ( )} {∫ ( ) ( ) } ( )
( )
(2.20)

The inverse probability transform density ̃ of an arbitrary function ( ) is (from Eq. 2.18):

( )
̃ { ( )} ( )
( )
(2.21)
Thus, we may conclude that:

( ) ( )
( ) { ( )}
( ) ( )

(2.22)

Unfortunately, the inverse complete probability transform operation is not straightforward. In

addition, certain distributions transform different functions of the randomistic variable into the
same parametric function. In those cases, the inverse transform becomes undetermined.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

3. Probability Transforms for Typical Distribution Models

In this Section, four different examples of probability distributions of randomistic variables are
considered. The simplest case considered is the pure deterministic variable, which will be
discussed first. Then, the most common models of probability distribution will be presented:
Uniform, Exponential, and Normal distribution models. In all cases, parametric versions of the
models are used, thus representing whole families of randomistic variables.

3.1. Deterministic Transform

Let us begin the examples of probability transforms with the deterministic transform. In this
case, the randomistic variable can be expressed in terms of the standard deterministic variable
( ) [3] as follows:

(3.1)
where is a constant parameter, and

( ) ( ) {

(3.2)
where is Dirac’s delta function.

Using the change of variable theorem [4] and Eq. (3.1) and (3.2), it can be shown that [3]:

( ) ( )
(3.3)

Thus, we obtain the following deterministic transforms (denoted by the subscript ):

( )
̃ { ( )} ( ) ( ) {

(3.4)

{ ( )} ∫ ̃ { ( )} {
( )
(3.5)

{ ( )} { ( )} ( )
(3.6)

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Particularly for the -th power:

{ }
(3.7)

Thus, the complete deterministic transform of a function is simply the value of the function
evaluated at the constant parameter . Also, for a given function of the constant parameter,
the inverse transform is straightforward:

{ ( )} ( )
(3.8)

3.2. Uniform Transform

In second place, let us consider the transforms obtained when the randomistic variable follows
a uniform probability distribution:

( )
(3.9)

where and are constant parameters representing the lower and upper limits of the
distribution respectively, and is a type III (bounded) standard uniform variable [5], with
the following probability density function:

( ) {

(3.10)

Using the change of variable theorem [4] the probability density function of becomes:

( ) {

(3.11)

The uniform probability transforms (denoted by the subscript ) then become:

( )
̃ { ( )} {

(3.12)

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

∫ ( )
{ ( )} ∫ ̃ { ( )}

∫ ( )
{
(3.13)

{ ( )} { ( )} ∫ ( )

(3.14)
and particularly for the -th power:

{ }
( )( )
(3.15)

3.3. Exponential Transform

The exponential probability distribution transform is particularly interesting because it is

directly related to the widely known Laplace transform [6]. The randomistic variable following
the exponential distribution can be expressed as follows:

(3.16)

where is a type II (semi-bounded) standard exponential variable, and and are

distribution parameters. Usually, variables distributed exponentially are associated to time. In
that sense, the parameter represents an initial time, whereas the parameter represents an
average frequency. The probability density function of is:

( ) {

(3.17)

Using the change of variable theorem [4] the probability density function of becomes:

( ) { ( )

(3.18)

The exponential probability transforms (denoted by the subscript ) then become:

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

̃ { ( )} { ( )
( )
(3.19)

{ ( )} ∫ ̃ { ( )} { ( )
∫ ( )

(3.20)

{ ( )} { ( )} ( ) ( )
∫

(3.21)
and particularly for the -th power:
( ) ( )
{ } ∫

(3.22)
where represents the incomplete gamma function.

Notice that the integral in Eq. (3.21) can be related to the definition of the Laplace transform
[6]:

{ ( )} ∫ ( )

(3.23)
by means of the following expression:

{ ( ) }
{ ( )}
(3.24)

3.4. Normal Transform

As a final example, let us consider the normal randomistic variable given by:

(3.25)
where is a type I standard normal variable with probability density function:

( )
( )
( )
√ √
(3.26)
where represents the normal bell function [7].

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Using the change of variable theorem [4] the probability density function of becomes:

( ) ( )
( )
√ √
(3.27)

The normal probability transforms (denoted by the subscript ) then become:

( ) ( )
̃ { ( )}
√
(3.28)

{ ( )} ∫ ̃ { ( )} ∫ ( ) ( )
√
(3.29)

{ ( )} { ( )} ∫ ( ) ( )
√
(3.30)
and particularly for the -th power:

{ } ∫ ( )
√
(3.31)

4. Standard Probability Transforms

Unfortunately, some integrals found in the previous examples do not have a direct analytical
solution, increasing the complexity of probability transforms. In part, such complexity is
introduced by the distribution model parameters. So, the goal of this section is representing
probability transforms in terms of transforms of standard random variables, or standard
probability transforms, for simplicity.

First of all, let us notice the additive property of the probability transforms defined in Section 2.
Assuming that the function ( ) results by the linear combination of two or more functions we
obtain:

( ) ∑ ( )

(4.1)

where the terms represent arbitrary constants.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Using Eq.(2.13) and (4.1), the probability transform density of the function becomes:

̃ { ( )} ( ) ( ) ∑ ( ) ( ) ∑ ̃ { ( )}

(4.2)
Proceeding similarly, the incomplete and complete probability transforms become:

{ ( )} ∑ { ( )}

(4.3)

{ ( )} ∑ { ( )}

(4.4)

Let us now assume that any randomistic variable can be represented in general as a linear
function of the standard deterministic and random variables as follows [3]:

(4.5)

By using the change of variable theorem [4], the probability transform density of can be
expressed as:

̃ { } ( ) ( ) ( )| | ( ) ( ) ̃ { }
| | | |
(4.6)

In general, if Eq. (4.5) remains valid, and the function ( ) can be expressed in terms of the
standard random variable as follows:

( ) ( )
(4.7)

Then, the probability transform densities are related by:

( )
̃ { ( )} ̃ { }
| |
(4.8)

Now, since any arbitrary function of expressed as an infinite polynomial (McLaurin series)
simply becomes (from Eq. 2.4):

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

( )( ) ( )( ) ( )( )
( ) ∑ ∑ ( ) ∑ ∑( )

(4.9)
Then, the probability transform density of this function can be expressed as follows:

( )(
̃ { ( )} ∑ )∑ ̃ { }
( ) | |
(4.10)
Integrating Eq. (4.8) in order to obtain the incomplete transform results in:

( ) ̃ { ( )}
{ ( )} ∫ ̃ { ( )} ∫ ̃ { } ∫ | | { ( )}
| | | |
(4.11)

Therefore:

{ ( )} ( )( )∑
∑ { }
( )
(4.12)

{ ( )} ( )( )∑
∑ { }
( )
(4.13)

indicating that the probability transforms of a function can ultimately be expressed in terms of
the probability transform of naturals powers of standard random variables.

Extending the definitions given in Section 2, the standard probability transform density for
powers of standard random variables is:

̃ { } ( )
(4.14)
while the incomplete and complete probability transforms are:

{ } ∫ ( )

(4.15)

{ } ∫ ( )

(4.16)

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

The terms given in Eq. (4.15) are the raw moments of the standard random variable which can
be more easily generalized than parametric distribution models.

For example, for the standard uniform, exponential and normal random variables we have [8]:

( )

(4.17)
( )
(4.18)

( ) {
∏| |

(4.19)
The term ∏ | | can be alternatively expressed as follows:

∏| |
( )
(4.20)

Therefore, the expected value of an arbitrary function ( ) becomes for the uniform
distribution ( , ):

( )(
( ) ( )(
( )
{ ( )} ∑ )∑ ∑ )∑
( ) ( ) ( ) ( )
(4.21)

For the exponential distribution ( , ):

{ ( )} ( )( )∑ ( )( )∑
∑ ∑
( ) ( )
(4.22)

And for the normal distribution ( , ):

⌊ ⌋ ⌊ ⌋
( )( ( )(
{ ( )} ∑ )∑ ∏| | ∑ )∑
( ) ( ) ( )
(4.23)

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Eq. (4.13) represents the most general expression for the complete probability transform of
biparametric randomistic variables. In the case of uniparametric variables we have two cases:
For a purely deterministic variable ( ) we obtain:

( )( )
{ ( )} ∑ ( )

(4.24)
For a purely random variable ( ), the complete transform becomes:

( )( )
{ ( )} ∑ { }

(4.25)
And particularly, for the probability models considered we obtain:

( )( )
{ ( ) } ∫ ( ) ∑
( )
(4.26)
( )( )
{ ( ) } ∫ ( ) ∑

(4.27)

( ) ( )( )
{ ( ) } ∫ ( ) ∑
√
(4.28)

5. Probability Transforms of Representative Functions

In this Section, some representative functions are considered to illustrate the effect of
probability transformation using typical distribution models. For transform density (Figure 1 to
Figure 3) and incomplete transforms (Figure 4 to Figure 6), only the graphical representation of
standard random variables are considered for simplicity. Similarly, in the case of complete
transforms, uniparametric pure random variables are considered in Figure 7 to Figure 9.
Complete transforms for biparametric randomistic variables were only considered for the first
powers of the variable (Table 1), showing the increasing analytical complexity of the
transformation as non-linearity increases.

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 Probability Transforms:
Expected Value of Functions
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ForsChem Research
hugo.hernandez@forschem.org

5.1. Standard Probability Transform Density

Figure 1. Standard probability density transforms (uniform, exponential and normal) of

different power functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 2. Standard probability density transforms (uniform, exponential and normal) of

different transcendental functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 3. Standard probability density transforms (uniform, exponential and normal) of

additional functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

5.2. Standard Incomplete Probability Transforms

Figure 4. Standard incomplete probability transforms (uniform, exponential and normal) of

different power functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 5. Standard incomplete probability transforms (uniform, exponential and normal) of

different transcendental functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 6. Standard incomplete probability transforms (uniform, exponential and normal) of

additional functions.

5.3. Uniparametric Complete Probability Transforms

The following uniparametric complete transforms assume that the deterministic part of the
randomistic variable is exactly zero. That is, that the randomistic variable is a purely random
variable. The parameter of the random term is usually considered to be only positive. While
negative values are mathematically possible, they are conceptually erroneous, and will not be
considered.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 7. Uniparametric complete probability transforms (uniform, exponential and normal) of

different power functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 8. Uniparametric complete probability transforms (uniform, exponential and normal) of

different transcendental functions.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Figure 9. Uniparametric complete probability transforms (uniform, exponential and normal) of

additional functions.

5.4. Biparametric Complete Probability Transforms

In the case of biparametric distributions, the analytical complexity increases. For that reason,
only the first power functions are considered. Let us recall that a general non-linear function
can ultimately be represented by a polynomial function, and therefore its transform can be
expressed as a linear combination of individual power transforms.

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 Probability Transforms:
Expected Value of Functions
Hugo Hernandez
ForsChem Research
hugo.hernandez@forschem.org

Table 1. Biparametric complete probability transforms (uniform, exponential and normal) of

different power functions
Function Uniform
Exponential Transform Normal Transform
( ) Transform

( )

( )

( )

( )

( )

6. Final Remark

Probability transforms were explored by notable mathematicians in the 18 th century, including

Leonhard Euler and Pierre-Simon Laplace, as they were confronted with the expected value
integral presented in Eq. (2.1). Interestingly, the Laplace transform, derived from the expected
value of functions of variables exponentially distributed, was later found to be useful for
solving many different problems particularly including differential equations.

Apart from the well-known applications of the Laplace transform, probability transforms in
general are valuable tools for understanding uncertainty/noise propagation in a wide variety of
systems, including both static and dynamic systems.

Acknowledgment and Disclaimer

This report provides data, information and conclusions obtained by the author(s) as a result of original
scientific research, based on the best scientific knowledge available to the author(s). The main purpose
of this publication is the open sharing of scientific knowledge. Any mistake, omission, error or inaccuracy
published, if any, is completely unintentional.

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

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Expected Value of Functions
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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC
4.0). Anyone is free to share (copy and redistribute the material in any medium or format) or adapt
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References

[1] Hernandez, H. (2018). The Realm of Randomistic Variables. ForsChem Research Reports, 3, 2018-10,
1-19. doi: 10.13140/RG.2.2.29034.16326.
[2] Hernandez, H. (2020). On the Discreteness of Measured Variables and the Continuous
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