Module 2-2

Module
2-2
Review of Probability
Theory
Chanan Singh
Texas A&M University
Copyright by Chanan Singh

For educational purpose only
Outline
l Random variable
l Probability distribution function
l Survival function
l Hazard function
l Exponential distribution function
l Stochastic processes
l Markov process
l Transition probability
l Transition rate matrix

Random Variable (RV)
A function that assigns numerical

values to all possible outcomes of a
state space
l Discrete RV assigns discrete value.

l Ex: A number of components down in power
system
l Continuous RV assigns continuous value.
l Ex: Time to failure of a component

Discrete RV: Number of T-Lines Down
Outcomes Random Variable
Line 1
(1 Up, 2 Up) 0
Line 2
Line 1
(1 Up, 2 Down)
Line 2 1
Line 1
(1 Down, 2 Up)
Line 2
Line 1
(1 Down, 2 Down) 2
Line 2 Copyright by Chanan Singh
Continuous RV: Time to Failure
A generator start working

at time x = 0 G
Outcomes: time to It can fail at any time, x ≥ 0

failure
Random Variable, X x ≥ 0

Probability Distribution Function
A function that gives probabilities associated
with all possible values of a random variable.
Pr (x < X < x + Δx )
f X (x ) = lim
Δx →0 Δx
l Discrete RV: l Continuous RV:
Exponential distribution function
Pr (X = 1) = 0.1
f X (x ) = 0.5e−0.5 x , x ≥ 0
0.5
0.3 0.3
3
0.2 Pr (2 ≤ X ≤ 3) = ∫ 0.5e −0.5 x dx
2
0.1 0.1
1 2 3 4 5 1 2 3 4 5
Discrete Random Variable
l Probabilty density or mass function
Properties
𝑝" 𝑥 = 0 unless 𝑥 is one of the values of the
discrete rv, 𝑥&, 𝑥(, …
0 ≤ 𝑝" 𝑥+ ≤ 1
∑+ 𝑝" 𝑥 = ∑+ 𝑃 𝑋 = 𝑥+ = 1

Continuous Random Variable
6
𝑃 𝑎 ≤ 𝑋 ≤ 𝑏 = 2 𝑓" 𝑦 𝑑𝑦
7
Properties
i 𝑓"(𝑥) is non-negative
:;
ii 2 𝑓 𝑥 𝑑𝑥 = 1
<;
iii The function 𝑓(𝑥) is continuous

at all but finite number of points,
ie, it is piece-wise continuous
Survival Function
A function that gives probability of a
component survival beyond time x.
S X (x) = Pr (X > x)
l Time to failure of a component is a random
variable.
l This rv is commonly used in reliability theory
0.5 ∞
S X (4) = Pr ( X > 4) = ∫ 0.5e −0.5 x dx
4
1 2 3 4 5
Distribution Function
A function that gives probability of a
component failing by time x.
FX (x) = Pr (X ≤ x)
F X
( x) = 1 − S X ( x)

Hazard Function
A function that gives a rate at time x, at
which a component fails ( i.e. failure rate),
given that it has survived for time x.
l Denoted by Ф(x),

Probability of a component fails between time x and x+Δx
given that it has survived for time x
Pr (x < X < x + Δx | X > x )

φ X (x ) = lim
Δx →0 Δx
Hazard Function
l From,
Pr (x < X < x + Δx | X > x )
φ X (x ) = lim
Δx →0 Δx
l We have
Pr (x < X < x + Δx ) 1
φ X (x ) = lim ⋅
Δx →0 Δx Pr ( X > x )
f X (x )
φ X (x ) =
S X (x )

An Important Relationship
l From hazard function as Δx → 0,
φX (x)Δx = Pr (x < X < x + Δx | X > x)

l This gives probability of failure of a
component in interval (x, x+Δx).
φ X (x )
Pr (x < X < x + Δx | X > x)
Copyright by Chanan Singh x x+ Δx

Important Note
l Although , for simplicity, survival function and
hazard rate function have been described
with respect to a component failure, they
apply to any random variable.
l For example if the random variable is time to
repair, then Ф(x) represents the repair rate

Expected Value
For discrete random variable

𝐸 𝑋 = > 𝑥+ 𝑃 𝑋 = 𝑥+
+
= > 𝑥+ 𝑝(𝑥+ )
+
For continuous random variable

;
𝐸 𝑋 = 2 𝑥 𝑓 𝑥 𝑑𝑥
<;

Mean and Average
Consider a random sample of n
observations of X. Then the sample
mean
𝑋& + 𝑋( + ⋯ + 𝑋C
@
𝑋=
𝑛
According to the law of large

numbers, for any constant c>0
lim 𝑃 𝑋@ − 𝑚 > 𝑐 = 0
C→;
Where m is the mean of x
Thus as sample size increases, the sample
mean approaches the mean value of rv.
Sum of Random Variables
C C
𝐸 > 𝑋+ = > 𝐸(𝑋+ )

+M& +M&
This result holds even when

the random variables are not
independent.

Variance
(
𝑉 𝑋 =𝐸 𝑋−𝐸 𝑋
= >(𝑥+ − 𝑚)( 𝑝+ (𝑥) for discrete rv

+
;
=2 𝑥 − 𝑚 ( 𝑓 𝑥 𝑑𝑥 for continuous rv
<;
Variance provides a measure

of spread of the distribution

Variance
(
𝑉 𝑋 =𝐸 𝑋−𝐸 𝑋
(
𝑋( =𝐸 + 𝐸 𝑋 − 2𝑋𝐸 𝑋
= 𝐸 𝑋 ( − (𝐸(𝑋))(
This relationship is easier to implement

Covariance
A measure of the tendency of two
random variables to vary together.
𝐶𝑜𝑣 𝑋, 𝑌 = 𝐸 𝑋 − 𝐸 𝑋 𝑌 − 𝐸 𝑌
= 𝐸 𝑋𝑌 − 𝐸(𝑋)𝐸(𝑌)
Correlation Coefficient
𝐶𝑜𝑣(𝑋, 𝑌)
𝐶"T =
𝑉 𝑋 𝑉(𝑌)
Range (-1, 1)

Covariance
If X, Y are independent

𝐶"T = 0
But reverse is not always true

Expectation of a Real Valued
Function g(X)
𝐸𝑔 𝑋 = > 𝑔(𝑥+ ) 𝑝 𝑥+ for drv

+
;
= 2 𝑔 𝑥 𝑓 𝑥 𝑑𝑥 for crv
<;

Moments
Let 𝑔 𝑋 = 𝑋V
Then the kth initial moment of X
𝑚V 𝑋 = 𝑚V
= > 𝑥+V 𝑝(𝑥+ ) for drv
+
;
= 2 𝑥 V 𝑓 𝑥 𝑑𝑥 for crv
<;

Moments around Mean or Central
Moments
𝑀V 𝑋 = 𝑀V
= >(𝑥+ − 𝑚 )V 𝑝(𝑥+ ) for drv
+
;
= 2 (𝑥 − 𝑚)V 𝑓 𝑥 𝑑𝑥 for crv
<;

Transform Methods
Characteristic Function of X
𝜙" θ = 𝐸 𝑒 +["
;
= 2 𝑒 +[\ 𝑓 𝑥 𝑑𝑥
<;
where 𝑖 = −1
f(x) = pdf of x
1 ;
𝑓 𝑥 = 2 𝜙(θ)𝑒 <+[\𝑑θ
2𝜋 <;
One to one correspondence between pdf & CF

CF and Moments
Differentiate CF k times
;
𝑑 V 𝜙(θ)
𝜙(V) θ = = 𝑖 V 2 𝑥 V 𝑒 +[\ 𝑓 𝑥 𝑑𝑥
𝑑θV <;
As θ → 0
;
𝜙(V) 0 = 𝑖 V 2 𝑥 V 𝑓 𝑥 𝑑𝑥
<;
= 𝑖 V 𝑚V
or
𝑚V = 𝑖 <V 𝜙(V) 0

CF of Sum of Random
Variables
𝑌 = 𝑋& + 𝑋( + ⋯ + 𝑋C
Where 𝑋+ are independent
𝜙 T θ = 𝐸 𝑒 +[T
= 𝐸 𝑒 +_ "` :"a :⋯:"b
= 𝐸 𝑒 +["` 𝐸 𝑒 +["a … 𝐸 𝑒 +["b
= 𝜙"` (θ)𝜙"a (θ)…𝜙"b (θ)

Moment Generating Function
For real numbers
Ψ θ = 𝐸 𝑒 ["
;
= 2 𝑒 [\ 𝑓 𝑥 𝑑𝑥 for crv
<;
= > 𝑒 [\c 𝑝(𝑥+ ) for drv

+
Here
V
𝑚V = 𝛹 (0)

Moment Generating Function
About mean m (or any point)
Ψe θ = 𝐸 𝑒 ("<e)[
= 𝑒 <e[ 𝛹(θ)
The kth moment about mean

(V)
𝑀V = 𝛹e (0)

Laplace transform
(If X is non-negative)
;
𝐿 𝑔 𝑡 = 𝑔̅ 𝑠 = 2 𝑔(𝑡)𝑒 <jk 𝑑𝑡
l
Compare with moment generating function

θ = −𝑠
𝑓̅ 𝑠 = 𝐸 𝑒 <j"
;
V 𝑋V
𝑠
= 𝐸[>(−1)V ]
𝑘!
VMl
;
V
𝑠
= >(−1)V 𝑚V
𝑘!
VMl
Some Special Distributions
Exponential Distribution
A non-negative rv is said to have negative

exponential distribution if probability density
function is
𝑓 𝑥 = ρ𝑒 <r\
ρ is a positive constant
\
𝐹 𝑥 = 2 ρ𝑒 <rt 𝑑𝑢 = 1 − 𝑒 <r\
l
𝑆 𝑥 = 1 − 𝐹 𝑥 = 𝑒 <r\

Some Special Distributions
Exponential Distribution
𝑓(𝑥)
𝜙 𝑥 = =ρ
𝑆(𝑥)
1
𝑀𝑒𝑎𝑛 =
ρ
1
𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 = (
ρ
1
𝑆𝑡𝑎𝑛𝑑𝑎𝑟𝑑 𝑑𝑒𝑣 = 𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 =
ρ
Distribution of Residual Life Time
𝑌 = 𝑋−𝑡
t X
𝐹T 𝑥 = 𝑃 𝑋 − 𝑡 ≤ 𝑥 𝑋 > 𝑡]
= 𝑃 𝑋 ≤ 𝑥 + 𝑡 𝑋 > 𝑡]
= 𝑃 𝑡 < 𝑋 ≤ 𝑥 + 𝑡 /𝑃[ 𝑋 > 𝑡]
\:k
∫k ρ𝑒 <rt 𝑑𝑢
=
𝑒 <rk
= 1 − 𝑒 <r\
= 𝐹" (𝑥)
Poisson Distribution
If the number of events is given by
Poisson distribution, in time t
𝑝V 𝑡 = 𝑃(𝑁𝑜 𝑜𝑓 𝑒𝑣𝑒𝑛𝑡𝑠 = 𝑘)
𝜆𝑡 V 𝑒 <}k
=
𝑘!
So probability of no failures during (0,t)
1 − 𝐹 𝑡 = 𝑒 <}k
This is exponential distribution
A Two-State Component
l Consider a two-state
component
l λ(x) is a hazard function of
the up time, called failure λ(x)
rate. UP DOWN
l μ(x) is a hazard function of μ(x)
the down time, called repair
rate.
l Generally, hazard function is
called ‘transition rate’ in
reliability work.

A Bath Tub Curve
l Typical hazard function of a component.
φ X (x )
Burn-in period Useful life Wear-out period
l It is fairly common to assume constant transition

rates in reliability modeling.

Exponential Distribution Function
l Non-negative continuous random variable
l Commonly used to represent up time of a
component − λx
f X (x ) = λe , x ≥ 0
−λ x
SX ( x) = e , x ≥ 0
φX (x) = λ, x ≥ 0
l If we assume up time and repair time of a
component are exponentially distributed, the
failure rate and repair rate are constant.

Module 2-2

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Module 2-2

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Module

Copyright by Chanan Singh

Copyright by Chanan Singh

A function that assigns numerical

l Discrete RV assigns discrete value.

Copyright by Chanan Singh

A generator start working

Outcomes: time to It can fail at any time, x ≥ 0

Copyright by Chanan Singh

Copyright by Chanan Singh

iii The function 𝑓(𝑥) is continuous

Copyright by Chanan Singh

l Denoted by Ф(x),

Pr (x < X < x + Δx | X > x )

Copyright by Chanan Singh

l From hazard function as Δx → 0,

φX (x)Δx = Pr (x < X < x + Δx | X > x)

Pr (x < X < x + Δx | X > x)

Copyright by Chanan Singh x x+ Δx

Copyright by Chanan Singh

For discrete random variable

For continuous random variable

Copyright by Chanan Singh

According to the law of large

𝐸 > 𝑋+ = > 𝐸(𝑋+ )

This result holds even when

Copyright by Chanan Singh

= >(𝑥+ − 𝑚)( 𝑝+ (𝑥) for discrete rv

Variance provides a measure

Copyright by Chanan Singh

This relationship is easier to implement

Copyright by Chanan Singh

Range (-­1, 1)

If X, Y are independent

But reverse is not always true

Copyright by Chanan Singh

𝐸𝑔 𝑋 = > 𝑔(𝑥+ ) 𝑝 𝑥+ for drv

Copyright by Chanan Singh

Then the kth initial moment of X

Copyright by Chanan Singh

Copyright by Chanan Singh

Copyright by Chanan Singh

Copyright by Chanan Singh

Where 𝑋+ are independent

Copyright by Chanan Singh

= > 𝑒 [\c 𝑝(𝑥+ ) for drv

Copyright by Chanan Singh

The kth moment about mean

Copyright by Chanan Singh

Compare with moment generating function

A non-­negative rv is said to have negative

Copyright by Chanan Singh

Copyright by Chanan Singh

Burn-­in period Useful life Wear-­out period

l It is fairly common to assume constant transition

Copyright by Chanan Singh

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Range (-1, 1)

A non-negative rv is said to have negative

Burn-in period Useful life Wear-out period