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Random Phasor Sum in the Fundamental Work of Lord Rayleigh

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DOI: 10.13140/RG.2.1.4723.3369

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Random Phasor Sum in the

fundamental Work of Lord Rayleigh

Natalia Yaitskova

Здесь будет все: пережитое,

И то, чем я еще живу,
Мои стремленья и устои,
И виденное наяву.

Передо мною волны моря.

Их много. Им немыслим счет.
Их тьма. Они шумят в миноре.
Прибой, как вафли, их печет.

Весь берег, как скотом, исшмыган.

Их тьма, их выгнал небосвод.
Он их гуртом пустил на выгон
И лег за горкой на живот.

Гуртом, сворачиваясь в трубки,

Во весь разгон моей тоски
Ко мне бегут мои поступки,
Испытанного гребешки.

Их тьма, им нет числа и сметы,

Их смысл досель еще не полн,
Но все их сменою одето,
Как пенье моря пеной волн.

Борис Пастернак — Волны

 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

The voice of ancient wisdom whispers into your ears: Truth is eternal!
It exists as it is, ever and forever. Ignoring Truth does not make it
inexistent; knowing it does bring it into existence. All inventions are
illusionary. Truth is and cannot be invented. Fools are chasing
hallucinations of “novelty”, fighting to be the first who said this, the first
who proposed that, patenting and copyrighting every breath. They are
trying to catch a shadow, getting mad when they fail to succeed. That
madness begets a hatred for competitors, who seem to do better in the
game of shadow chasing.

The role of ṛṣis1 is to see Truth. Helping others to see it as well they
express it in signs, words and images. These signs, words and images are
not Truth itself, but only the indications, directing you where to look.
They form a language, and as any language it can be understood by some
and it can be totally foreign for others. Didn’t it happen to you that your
article got rejected because you used terminology unaccepted in a
proffecional circle of a reviewer? Don’t you know that in order to be
recognized by any scientific society you must first learn how to speak
their language?

That is a convention, and as any convention it is unreal. There is an

infinity of signs, words and images pointing to the same Truth. “Ekam sat
viprāḥ bahudhā vadanti” – “Truth is one; sages call it by different names.”
Variety makes the world beautiful. Why are there so many species,
colors, shapes? Nature expresses inexpressible Truth through various
signs. Instead of chasing an illusion of novelty, let us study how the sages
of the nineteenth century conveyed their own visions; let us try to
translate their language into the conventional slanguage of today.

1
Seers, sanskrit

~2~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

I ntroduction
Unceasing technological growth during the last one and a half
hundred years did not touch the mathematical basement founded in the
nineteenth century. This basement is fundamental and stays unaltered.
Such is the concept of a random phasor sum in the theory of speckles and
diffractive optics, ultrasonic and microwave imaging: it was once
introduced by Lord Rayleigh and remains today the essence of multiple
discussions, articles, books and accepted patents.

The random phasor sum, also known as a random work, is a

mathematical expression, simple but powerful. It is a sum of n random
complex components called phasors:
n

a e
i 1
i
j i
. Eq. 1

In this sum n represents the number of phasor components, ai e j i

represents a component phasor, ai is the length (amplitude) of the phasor
and i is the phase of it. The nature of the phasors might be arbitrary, but
usually the following assumptions are made:

1. The amplitudes and phases ai and i are statistically independent

of ai ’ and i ’, provided i  i ’.

2. For any i, ai and i are statistically independent of each other.

3. The phases i are uniformly distributed on the interval 0, 2  .

These assumptions are introduced mainly for the sake of

mathematical simplicity, rather than from a physical insight. Many
examples can be given when the phasors are mutually dependent and
their phases are distributed non-uniformly. The applicability and

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

limitations of the random phasor sum in different physical tasks is not our
subject here. Our intention is to study the article of Lord Rayleigh “On the
Resultant of a large Number of Vibrations of the same Pitch and arbitrary
Phase” published in August 1880 in the Philosophical Magazine and
Journal of Science, S. 5, Vol. 10, No. 60. pp. 73-78. The text of the article
is available from http://biodiversitylibrary.org/page/39517972.

As it often happens with great works, their purpose as intended by

the creators drastically differs from the reason why these works became
famous. The article of Lord Rayleigh became famous because of a certain
expression for a probability density function, which later received the
noble title “Rayleigh distribution” and which is widely used in statistics.
But the real purpose of the article was much less ambitious. Its intent was
to find out “what is the expectation of intensity” of “the resultant of a
large number of vibrations” and to demonstrate that it is equal to the
number of vibrations, “namely n”. In other words, the purpose of the
study was to prove that the mean of the absolute square of the random
phasor sum with n summands for sufficiently large n equals n.

At this point anyone with a background in statistical physics asks: “Did

Lord Rayleigh mean any type of vibration? Did he mean that the result is
independent on the nature of the vibrations, their statistical properties
and the fact that they are mutually correlated or uncorrelated?”
Unfortunately, the task was not formulated in that way. The only rule is
contained in the title of the article: large number of vibrations, same
pitch, arbitrary phases. “Large number” means that n  1; “the same
pitch” signifies that all amplitudes ai are constant and (as it follows
further from the text) equal to unit. “Arbitrary phase” implies that the
phases i are random values without any further specification. There is no
claim that the average intensity equals to n always, but in “a great
number of cases”.
In fact, Lord Rayleigh does not use any mathematical notation similar
to Eq. 1, nor does he mention the three assumptions. He starts his article
by disputing with a certain Verdet, who “has arrived at the conclusion

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

that the resultant of n vibrations of unit amplitude and arbitrary

phase approaches the definite value of n when n is very great.” He
gives a reference on the work by this Verdet: Leçons d’Optique physique, t.
i. p. 297. Neither the year, nor the publisher are mentioned; French title.
We face a mystery of a Frenchman who in some strange work added n
sinusoids and obtained a ridiculous result of square root of n.
Nevertheless, Monsieur Émile Verdet is not nobody, but a recognized
physicist, the author of many thick volumes on optics and magnetism,
editor of works by Augustin-Jean Fresnel, maître de conferences
("associate professor") of physics at l'École normale supérieure, and n
is not the conclusion he arrived at on the page 297 in the first volume of
his Lessons on physical optics published by M. A. Lévistal in Paris in 1869.
In fact, this n appears nowhere at this page or around.

No matter how unfair it sounds with respect to Monsieur Verdet, let

us work with Lord Rayleigh and his article. To prove his statement that
“the average intensity in a great number of cases <…> is that
assigned by Verdet, namely n”, he indeed considers several particular
cases. We will go through the cases, adding some intermediate
mathematical calculations, modern designations and missing
assumptions. One historical remark deserves mentioning before we
begin. We are going to study a scientific article written in 1880. Although
by that time Abraham de Moivre had already published his “The Doctrine
of Chances” (1718) and Pierre-Simon Laplace had commented upon it in
the “Théorie analytique des probabilités” (1812), the power of the
Central Limit Theorem remained undiscerned until the beginning of the
twentieth century. Unfortunately, in 1880 Lord Rayleigh could not use the
Central Limit Theorem to prove his statement in the most general terms.

~5~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

B inomial statistics
“A simple but instructive variation of the problem may be
obtained by supposing the possible phases limited to two opposite
phases, in which case it is convenient to discard the idea of phase
altogether, and to regard the amplitude as at random positive or
negative.”
We shall introduce the random phasor sum right from the start.
Assume that the random variables i follow a Bernoulli distribution taking
on zero with probability p and a value of  with probability 1  p . We
calculate the statistical average of the modulus square of the random
phasor sum:
n 2

I e
i 1
j i
. Eq. 2

In this case the random phasor sum can also be writen as

2
 n 
I    ai  , Eq. 3
 i 1 
where the random variables ai follow Bernoulli distribution, taking on a
value of one with probability p and minus one with probability 1  p.

“If all the signs are the same, the resultant intensity is n2; if, on
the other hand, there are as many positive as negative, the result is
zero. But although the intensity may range from 0 to n2, the smaller
values are much more probable than the greater; and to calculate the
expectation of intensity, these different degrees of probability must
be taken into account.”
Although at this point there is no quantitive measure of the extend to
which the smaller values are small and the greater values are great, there
is something remarkable about this statement: even without deriving a

~6~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

probability function of the absolute square of the random phasor sum

(intensity), Lord Rayleigh tells that this function is negatively skewed. But
we shall proceed step by step and introduce the binomial distribution.

If the ai are independent, identically distributed random variables,

that follow a Bernoulli distribution with success probability p , then the
sum
n
A   ai Eq. 4
i 1

is binomially distributed with the probability mass function

P n, k , p   Cnk p k 1  p  , where Cnk is the binomial coefficient and k
n k

takes on integer values from zero to n. P n, k , p  is the probability of the

event that there are k successful trials in a sequence of n. We use the
term “probability mass function” and not “probability density function”
to stress that A here is a discrete random variable. The importance of this
fact will be revealed later.

It is assumed that the ai‘s are independent, identically distributed

random variables. This assumption usually goes under the name i.i.d.
condition. The i.i.d. condition simplifies the mathematics of the random
phasor sum, yet it is a severe restriction, because for many applications
the component phasors are interdependent. In the article of Lord
Rayleigh the i.i.d. condition on the phases and amplitudes is implicit. On
this understanding Eq. 4 can be regarded as the random phasor sum even
if the phases are not uniformly distributed over the complete period. We
refer to the resultant A as the amplitude of the random phasor sum. It
should not be confused with the amplitudes ai of the phasors.

In a “successful” trial ai assumes a value of one and a “failure” means

that ai equals minus one. The amplitude of the random phasor sum takes
on the values 1  k   1  n  k   2k  n with probability Cnk p k 1  p 
n k

for every k from zero to n and the intensity I  A2 takes on the values
2k  n 2 with the same probability. The average value of the intensity is
therefore:

~7~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

n
I   Cnk p k 1  p  n  2k 2 .
n k
Eq. 5
k 0

The angle brackets denote ensemble average. Let us to compare this

answer to the answer of Lord Rayleigh. “By well-known rules the
expression for the expectation is
1  n . n  1
1 . n 2  n . n  2  n  4 2
2
n 
2  1. 2
n . n  1. n  2
 n  62  . . .  .
1. 2 .3 
The value of the series, which is to be continued so long as the terms
are finite, is simply n <…>”
Collating both expressions we conclude that the phases take on the
values of zero and  (the amplitudes take on the values of 1 and -1) with
equal probability of 1 2 and the average intensity is
n
I 2 n
C n  2k 
k 0
k
n
2
 n. Eq. 6

“The expectation value of intensity is therefore n, and this is

whether n be great or small.”
Notice, however, that the expectation value equals n only when the
phases take on 0 and  equiprobably. When p varies from 1 2 towards
zero or one, the average intensity, I  n 2  4np1  p n  1 , increases
from n to n2, the value corresponding to n phasors of the same valuel.
The smaller values of intensity become as probable as the greater values
and become even less probable when p approaches zero or one.

Before considering the case when the phases are uniformly

distributed over the complete period, let us see how Lord Rayleigh proves
that the sum above reduces to n. He compares two ways to expand the
nth power of a hyperbolic cosine function into a power series. (He does
not work with the hyperbolic cosine function, but with exponential
functions and their combinations.) The first way is:
n
 e x  e  x  enx
cosh  x      n 1  e 2 x  .
n n
Eq. 7
 2  2

~8~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

n
With the use of the binomial formula 1     Cnk k this becomes:
n

k 0

e nx n k  2 kx 1 n k x n  2 k 
cosh n  x    Cn e  2 n 
2n k 0 k 0
Cn e
Eq. 8
1  n k1
 n  Cn n  2k  x r ,
r

2 r 0 k 0 r!

where the power series of the exponential function is employed and the
order of the two sums is swapped. The second way is to use the power
series of the exponential function right from the beginning:
n
 e x  e x  
n

1 2q 
cosh  x   
n
  1   x 
 2   q 1 2 q !  Eq. 9

x  O x 4 ,
1 2q
 1  n
q 1 2 q !

 
where O x 4 denotes the terms containing powers of x equal to or higher
than four. As the power-series representation is unique, the coefficients
in front of x2 in Eqs. 8 and 9 must be equal. In Eq.8 this is the term with
r=2 and in Eq.9 this is the term with q=1. Equating these coefficients we
obtain:
1 n k 1 n
 Cn
2 n k  0 2!
n  2 k 2

2!
, Eq. 10

which after reducing 2! becomes Eq.6.

U niformly distributed phases

“In the more general problem, where the phases are distributed
at random over the complete period, the expression for the
expectation of intensity is

~9~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

2 2 2
d d  d 
  
0 0 0
...
2 2 2
. . .[(cos   cos    cos    . . .)2

 (sin   sin    sin    . . .)2 ] .

Continuing the process by successive integration <…> we see that,
as before, the expectation of intensity is n.”
This result is the direct consequence of the i. i. d. condition on the
phases. Indeed, the intensity is a function of n random variables
1 , 2 ,..n :
n 2

I 1 , 2 ,..n   e
i 1
j i

Eq. 11
 cos 1  ...  cos n   sin 1  ...  sin n  .
2 2

To calculate its statistical average one integrates it with the joint

probability of the random variables p 1 , 2 ,..n  over the whole range of
their values, i.e. from 0 to 2. Two factors distinguish this case from the
previous one. First, the phasors are now complex numbers and the
intensity is the absolute square of the sum. Second, the phases of the
phasors are continues variables, so the term “integration” is relevant.

Let us recall: events are independent if and only if their joint

probability function equals the product of their marginal probability
functions: p 1 , 2 ,..n   p1 1  p2 2 ... pn n . As this product is present
in Lord Rayleigh’s equation, it means that he assumes the phases to be
independent. Identical distribution means that all functions pi are
identical. Uniform distribution means that they equal 2  for any value
1

of the phase from 0 to 2.

The integration itself is straightforward. Lord Rayleigh does it by

selecting the phases one by one:

~ 10 ~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

2 2
d 1  n 
0 2  
i 1
cos i 

d 1  2  
2 2
n
 n
 cos 1  2 cos 1  cos i    cos i   Eq. 12
0
2   i 2  i 2  
2
1  n 
    cos i  .
2  i 2 
Then comes the integration over 2 , 3 and so on. After a similar
treatment of the sine functions he obtains the required answer:
2 2 2
d 1 d 2 d 3
   ... ...I 1 , 2 ,...n   n . Eq. 13
0 0 0
2 2 2
Thus he proves, that the average intensity of the random phasor sum
equals the number of phasors for independent phase values that are
identically and uniformly distributed over the interval 0, 2  . This result
applies whether the number of phasors is great or small.

What if the phases are distributed uniformly, but over a smaller

interval? One would expect that as the interval shrinks the average of the
intensity changes from n to n2, because in an infinitely small interval all
phases are identical. In a slight addition to Lord Rayleigh’s article we
derive this now. Instead of selecting the phases one by one, we work with
the random phasor sum directly. The instantaneous (non-average) value
of the intensity can be written as:
n 2 n n n
I e
i 1
j i
e
i 1
j i 2
  e j i e  j i '
i 1 i 1
i ' i
Eq. 14
n n
 n   e j i e  j i ' .
i 1 i ' 1
i ' i

Independently of the phase statistics the instantaneous value of the

intensity equals n plus a random term. If the phases are distributed
uniformly over the interval 0, 2  this random term fluctuates around
zero while the phases take on different values and the intensity fluctuates
around its average value n. If the distribution of the phases is such that

~ 11 ~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

the average of the random term differs from zero, the average value of
the intensity differs from n. Under the i. i. d. condition on the phases the
average value of the intensity is:
I  n  nn  1 e j i e  j i . Eq. 15
For example, for a uniform distribution over the interval 0, 2  , where
0    1, Eq. 15 becomes:
sin 2 
I  n  n n  1 . Eq. 16
2
In this case the average of the intensity increases from n to n2 as the
parameter  decreases from one to zero.

J ames Bernoulli’s theorem

“So far there is no difficulty; but a complete investigation of this
subject involves an estimate of the relative probabilities of resultants
lying between assigned limits of magnitude. For example, we ought
to be able to say what is the probability that the intensity due to a
large number (n) of equal components is less than 12 n . It will be
convenient to begin by taking the problem under the restriction that
the phases are of two opposite kinds only.”
To know the average value of the intensity only is insufficient; Lord
Rayleigh is now inquiring about the probability of the intensity to confirm
his earlier statement that smaller values are more probable than greater
ones. At this point we learn, that “smaller” and “greater” shall be
considered with respect to n 2 . Why is n 2 chosen to separate smaller
from greater values? For the binomial distribution the maximum of the
probability mass function Cnk p k 1  p  is attained when k  k m  np .
n k

For p  1 2 the most probable number of successes in a Bernoulli trial is

~ 12 ~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

n 2 . The task, therefore, is to find the probability of the event that

intensity falls below the most probable number of successful trials. To
solve this task Lord Rayleigh invokes Bernoulli’s theorem.

If we type “Bernoulli’s theorem” the omniscient Internet provides us

with 200000 webpages telling that: “Bernoulli's theorem states that for
an inviscid flow of a non-conducting fluid, an increase in the speed of the
fluid occurs simultaneously with a decrease in pressure or a decrease in
the fluid's potential energy.” We are lost in translation. Fortunately, Lord
Rayleigh comes to our rescue by providing a reference to the marvelous
book: I. Todhunter “A history of the mathematical theory of probability
from the time of Pascal to that of Laplace,” Macmillan and Co. 1865,
§993, http://gallica.bnf.fr/ark:/12148/bpt6k621030/f565.image. From
this book we learn that “Bernoulli’s theorem” has a second meaning. We
are saved from drowning in a non-conducting fluid and stand on a firm
ground of probabilities.

Paragraph 993 of the book reproduces Laplace’s investigation on

James Bernoulli’s theorem. Today it is rather known as “de Moivre-
Laplace theorem”. Paragraph 995 of the book give a historical résumé on
“who was the first”: “With respect to the history of the result <…>, we
have to remark that James Bernoulli began the investigation; then Stirling
and de Moivre carried it on by the aid of the theorem known by Stirling’s
name; and lastly, the theorem known by Euler’s name gave the mode of
expressing the finite summation by means of an integral. <…> Thus the
result given by Laplace was within the power of mathematicians as soon
as Stirling’s Theorem had been published.”

A scientific result is never the product of one mind only. There is a

contiguity of thoughts overpassing centuries, boiling and forming verbal
patterns: theorems. The Bernoulli - de Moivre – Stirling – Euler - Laplace
(BdMSEL) theorem states:

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

In n number of trials with success probability p the probability that the

number of successful events lies between np   2np1  p  and
np   2np1  p  , both inclusive, is, when n is great,

2
P  
 0
t 2
e dt . Eq. 17

Today this expression is called “the Error Function” and the notation
erf  is widely accepted. Laplace in his investigation keeps a second
term of the approximation in Euler’s theorem:
1
P   erf  
2
e  . Eq. 18
2np1  p 
1 2
The second term is of the order of n . Laplace neglects everything of
1
the order or smaller than n . Lord Rayleigh uses this expression (without
the second term) for the particular case p  1 2 :

“By Bernoulli’s theorem we find that the probability that of n

vibrations, which are at random positive or negative, the number of
positive vibrations lies between
1 1 1 1
2 n   2 n and 2 n   2 n

is, when n is great,


2 2

 e dt ,
t

 0

where   r 2n , and r must not surpass n in order of magnitude.”

The meaning of the parameter r in this context is unclear. It appears
again on the next page of the article, where Lord Rayleigh works with a
two-dimensional distribution and where it denotes the absolute value of
the amplitude. If r denotes the amplitude of the extreme cases, then it
should equal  2n rathe than  2n . In Todhunter’s book r indicates an
index of a term in the binominal expansion which is related to  as
r   n 2 . This likewise does not coincide with  2n . The meaning of
the symbol r on page 75 thus remains obscure.

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

F rom amplitude to intensity

1
“In the extreme cases the amplitude is  2 2n , and the intensity
is 2 2n .”
Squaring the amplitude to obtain intensity works as long as the
probability distribution of the amplitude is symmetric about zero. In the
case of the binomial distribution the amplitude is a single-valued function
of the number of successful trials: A=2k–n. Event that there are k
“successful” trails among n and herewith k lies between n 2   n 2 is
the same event that the sum of n phasors lies between n 2   n 2  
[n–( n 2   2n )]    2n . The amplitudes of the phasors take on the
values of -1 and 1 equiprobably, and the extreme cases of the amplitude
are symmetric about zero:   2n . By the BdMSEL theorem the
probability of this event is:

P   2n  A   2n 
 
Eq. 19
 P   n 2  k  n 2   n 2  erf .
The most probable value of the amplitude in this case is zero.

Similar to Laplace (and Todhunter), we consider the lth terms

counting onwards and backwards from the most probable value km  n 2
: k1  k m  l and k 2  k m  l , l  0, 1, 2, ... n 2 . To avoid a polysemy of the
letter r we use the letter l. Also, this notation gives an indication to the
fact that  assumes only discrete values l  l 2 n , and Pl  is a
discrete function of a discrete variable.
The probability of having k1  n 2  l successes in n trials is equal to
the probability of having k2  n 2  l successes:
1 n 1 n 1 n!
C  C  , Eq. 20
2n n 2  l !n 2  l !
n 2l n 2l
2n 2n

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

The corresponding amplitudes are A1  2k1  n  2l and

A2  2k2  n  2l . As this holds for any l the distribution of the amplitude
is thus symmetrical about the most probable value Am  0 . The event
that the amplitude lies between two limits symmetric about zero is the
same even that the intensity does not exceed the value equal to a square
of any of those limits.
“Thus, if we put   12 , we see that the chance of intensity less
1
than 2 n is
1
2
2 t 2

 
e dt  .5205 ;
0

so than however great n may be, there is always more than an even
chance that the intensity will be less than 21 n .”

Let us assume that a failure in Bernoulli’s trial is more probable than a

success, that is p  1 2 . The most probable number of successes is
k m  np . Following the BdMSEL theorem we select an interval
symmetrical about this value: k1  np  l and k 2  np  l . The most
probable value of the amplitude Am  n2 p  1  0 . The distribution of
the amplitude is shifted in direction of negative values. Generally, the
probability of k1 successful trials is not exactly equal to the probability of
k 2 successful trials, although the values approach each other when n
increases. Choosing  such that l   2np1  p  we can apply the
theorem: probability of the event that the amplitude of the random
phasors sum lies between A1=n(2p – 1)– 2 2np1  p  and A2=n(2p–1)+
2 2np1  p  is, when n is great, erf .

Intensity is not a single-valued function of the amplitude. If the

interval is not symmetric about zero, what is the “extreme value of the
intensity”, A12 or A22 ? In this case it is better to consider two intervals, so
that the BdMSEL theorem can be applied to each of them. The first
interval is defined by choosing such  that the right extreme A2 lies as
close as possible to  n 2 keeping l    2np1  p  integer. The

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

second interval is defined by choosing such  that the right extreme A2
lies as close as possible to n 2 keeping l    2np1  p  integer. Both
intervals are centered at n 2 p  1 . Assuming n to be large and the
probability mass function symmetric we write:
P I  n 2   P  A2  A  A2 


1
P  A1  A  A2  P  A1  A  A2  Eq. 21
2
 erf   erf ,
1
2
where
1  2n 1  2 p   1  2n 1  2 p 
  and   . Eq. 22
4 p 1  p  4 p 1  p 
When p  1 2 ,   1 2 and   1 2 , and erf   erf  2 equals to
erf 1 2  0.5202. When p  0 both, erf  and erf  , increase as
p 1 2 , so that the difference erf   erf  tends towards zero. From
p  1 2 down to p  0 probability of the event that the intensity does not
exceed n 2 decreases from 0.5202 towards zero. As we have seen it
already the smaller values of the intensity become less and less probable
as p approaches zero.

P robability density function

Lord Rayleigh works in the condition of fairness. For him a failure in
Bernoulli’s trial is as probable as a success and p  1 2 . As his next move
he applies the BdMSEL theorem to an infinitely small interval:
“Again, the chance that in a series n the number of positive
vibrations lies between
2 n   2 n and 2 n      2 n
1 1 1 1

is

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

1 2
e   ,

which expresses accordingly the chance of a positive amplitude lying
between
2 12 n and 2    12 n .”

There is something bothering about this development. In order to

employ a differential calculus, the discrete nature of the probability mass
function is forgotten. Indeed, the statement above can be detailed as
following. Probability of the event that the number of successful trials lies
between n 2   n 2 and n 2   n 2 is P   . Probability of the event
that the number of successful trials lies between n 2     n 2 and
n 2     n 2 is P   . If p  1 2 the probability mass function is
symmetric about the most probable value, and probability of the event
that the number of successful trials lies between n 2   n 2 and
n 2     n 2 is P     P  2 .

So far there is no problem. But Lord Rayleigh develops it further:

P     P  1 1  2
 P '   e  . Eq. 23
2 2 
This record is nothing else but definition of a derivative of the function
P   with respect to  . Existence of the derivative relies on the existence
of a limit   0 in point  , i.e. on the continuity of the domain of
definition of the function P   . But so far we have been discussing
probability of the event that a certain number of vibrations assume
certain values. Parameter  is introduced through the integer value l as
l  l 2 n and a step between the successive values is
  l 1  l  2 n . In order to have a non-zero value of the difference
P     P  an interval  n 2 must include at least one event. This
condition sets a low bound on  :
 n 2 2
 1    . Eq. 24
 n

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

For a given n the limit   0 does not exist. As the total number of
phasors infinitely increases this low bound tends towards zero,  and
P   can be regarded as continuous. Nevertheless, in the article this
transition remains unjustified.

But we must move on. Therefore, imagine that all formal

mathematical excuses are presented and P   is regarded as a
continuous function. Using a variable replacement A   2n we proceed
with the amplitude. Probability of the event that the amplitude lies
between A   2n and A  A   2n   2n is
1
P     P   p  AA , Eq. 25
2
where the probability density function of the amplitude is introduced:
A2
1 
p A  e 2n . Eq. 26
2n
Up to now for the amplitude we were using the letter A; Lord Rayleigh
uses the letter x: “Let these limits be called x and x+x <…>; then
the chance of amplitude between x and x+x is
x2
1 
e 2n x .
2 n
The expectation of intensity is expressed by
 x2
1 

2 n e

2n
x 2dx  n ,

as before.”
Signifying a transition to a two-dimensional case from now on we
start using a “combined” notation: Ax.

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

T wo-dimensional cloud
“It will be convenient in what follows to consider the vibrations
to be represented by lines (of unit length) drawn from a fixed point
O, the intersection of rectangular axes Ox and Oy.

<…> We will now suppose that 12 n are distributed at random along

±x, and 12 n along ±y, and inquire into the probability of the various
resultants. The probability that the end of the representative line, or,
as we may consider it, the representative point, lies in the rectangle
dx dy is evidently
x2  y2
1 
e n
dx d y .”
n
The phasors are independent, and a sum of any part of the phasors is
independent of the sum of the rest. The event A x that the amplitude Ax
representing a sum of phasors distributed along ±x falls into the interval
[Ax, Ax + dAx] is independent of the event A y that the amplitude Ay
representing a sum of phasors distributed along ±y falls into the interval
[Ay, Ay + dAy]. Probability of the combined event is a multiplication:
P A x  A y   P A x P A y 
A2 A2y
1  x 1 
 e n
dAx e n
dAy Eq. 27
2 n 2 2 n 2
Ax2  A2y
1 
 e n
dAx dAy .
n
“Resultant” is a vector with the projections Ax and Ay. The event
A x  A y is that the point of this vector lies within a rectangle confined
by four coordinates: (Ax, Ay), (Ax + dAx, Ay), (Ax, Ay + dAy) and (Ax + dAx, Ay
+ dAy).

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

Imagine that we perform a large number of tests. In each test a

complex random variable Ax + jAy is obtained. The event that its real part
falls into the interval [Ax, Ax + dAx] and its imaginary part falls into the
interval [Ay, Ay + dAy] we mark on a two-dimensional plot by a point with
coordinates (Ax, Ay). After a huge number of tests our drawing will be a
cloud that changes its darkness from place to place proportionally to the
joint probability density of Ax and Ay. The minimal value of Ax is  n 2 , its
maximal value is n 2 ; between these two values Ax is distributed
symmetrically about zero. The probability density function of Ax achieves
its maximal at zero and decreases gradually towards its minimal value at
the extremes  n 2 . The same is valid for Ay. The cloud has a circular
shape with the radius n 2 ; the maximum of its darkness is in the center
at zero and it lightens gradually outwards. The value Ax + jAy is said to
be a circular complex random variable.

The resultant amplitude is a circular complex random variable and its

probability density function depends only on its absolute value:
A  Ax2  Ay2 . Using this fact Lord Rayleigh introduces polar
coordinates:
A2
P A x  A y  
1 n
e AdAd  , Eq. 28
n
integrates over the angle and obtains the expression which for centuries
afterwards will keep his name, Rayleigh probability density function:
A2
2 
p A  Ae n . Eq. 29
n
“Substituting polar coordinates r,  and integrating with respect to ,
we see that the probability of the representative point of the
resultant lying between the circles r and r+dr is
r2
2 
e n
r dr .
n
This is therefore the probability of a resultant vibration with
amplitude between the values r and r+dr.”

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

He could have paused here and do some analysis around the key
formula. For example, he could have calculated the most probable value
of A by differentiating Eq. 29. He could have shown that this most
probable value equals to n 2 , so that the mysterious intensity
boundary of n 2 is a square of the most probable value of the absolute
value of the amplitude. He could have calculated the average of it and
show that the value of the average  2 n 2 is 1.25 times greater than
the most probable value, and by doing so he could have added some
more argumentation to the discussion about the greater probability of
the smaller values.

But he did not do it. Instead, feeling that some more generalization is
needed, he continues. “In this case there are n components
distributed in four rectangular directions <…>. It is important to
remove this restriction, and to show that the result is the same when
the distribution is perfectly arbitrary in respect to all four directions.
In order to see this, let us suppose that 12 n  m are distributed along
±x and 12 n  m along ±y, and imagine how far the result is
influenced by the value of m.”
In this case Ax and Ay have different extremes:  n 2  m and
 n 2  m . The cloud is now elliptical, extends along the axis Ox and has
1  n  2m n  2m2  2
2
an eccentricity equal to 2m n . We learn
that m is assumed to be of order not higher than n . It is not clear why
it is so, but if it is so, the eccentricity of the cloud is of order not higher
than n 1 4 . The eccentricity tends towards zero when n becomes large,
and the cloud assumes a circular shape. The situation when “n being
treated as infinite <…> is the same as if m were zero, and thus it
makes no difference whether the numbers of components along ±x
and along ±y are limited to be equal or not.”

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

A symmetry
Elliptical shape of the cloud Lord Rayleigh presents in a different and
more complicated form, deriving the longest expression in the whole
article. This expression is the probability density function of the absolute
value of the amplitude when the joint probability density of Ax and Ay is
asymmetric. He obtains the expression, but instead of analyzing it he
rejects it immediately by setting m to zero and n to infinity in order to
prove that nothing changes. Here we close the gap and study the
probability density function of the absolute value of the amplitude when
n is large but not infinite and m can be any from zero to n 2 . We should
remember though that the problem of differentiating a discrete function
makes our analysis implausible from the beginning.

The joint probability function now is

A2 A2y

P A x  A y  
1  x 1 
e n 2 m dAx e n 2 m dAy
n  2m  n  2m 
Eq. 30

  
n Ax2  A2y 2 m Ax2  A2y 
1
 e n 2 4 m2
dAx dAy .
 n  4m
2 2

Substituting polar coordinates  A,  we write it through the joint

probability density function of A and :
P  A,   p  A, dAd  , Eq. 31
where
nA2 2 mA2 cos2 
1 
p  A,   . Ae n 2 4 m2
Eq. 32
 n 2  4m 2
To obtain the marginal probability density function of A Lord Rayleigh
integrates p  A,  over  from 0 to 2 . He cannot use the tool of special
functions; instead, he uses his favorite trick of expanding the exponential.

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

We have seen earlier how masterfully he handles the methods of series

expansion. And so he writes: “Thus the chance of the representative
point lying between the circles r and r+dr is
nr 2
2rdr 
n 4 m 2
2 
 m 2r 4 

e 1   ... .”
 n  4m 
2 2
n 2  4m 2
 2



He is obliged to stop here, because in this form the expression is

indeed intractable. Today we can do a bit better. Continuing the
mathematical development done by Lord Rayleigh we write:
2

 2 mA 2 
nA
2A 
p  A  I0  2 ,
2 2
n 4 m
e Eq. 33
n  4m
2 2  n  4m 2 
 

where I 0 ... is a modified Bessel function of the first kind, order zero. To
analyze this expression let us introduce a degree of asymmetry:
q  2m n , 0  q  1. Value q=0 corresponds to a rotationally symmetrical
situation; q  1 is a transition to the one-dimensional case. The
probability density function of the absolute value of the amplitude is
A2
  I  q A  .
 2
2A
p  A  n 1 q2

 n 1  q 
e 0 2 
Eq. 34
n 1  q2

First we check that when q=0 the last expression turns into Rayleigh
probability density function. Since I 0 0  1 , it does. Next, comparing this
expression with Eq.29, we notice that the amplitude is scaled by the
factor  1 q 
2
1
 1. The scaling means that the probability density
function narrows as q increases. For small values of A the probability
density function is linear with A:
2 A
p  A  , Eq. 35
n 1  q2
and the slope at A  0 increases with q. The maximum of the distribution
shifts towards zero. Function I 0 ... increases infinitely from its minimal
value equal to one as its argument increases. It distorts the shape of the
scaled distribution: less for the smaller values of its argument and more

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

for the larger values. As a rule of thumb we can say that when q  0.9
the probability density function of the absolute value of the amplitude is
noticeably distorted, indicating the transition from the two-dimensional
situation to the one-dimensional.

What about the intensity? As Lord Rayleigh in his article is not

preoccupied to derive the probability density function of the intensity
and is interested only in its average, so do we. But we shall calculate the
average for the asymmetric case as well:
 
I   p I I IdI   p A A  I   dA
dI
IdI
0 0
I
Eq. 36


1 
  I  q
n 1 q2 I 
IdI  n
2 
0 n 1  q2
e 0
 n 1  q  

Averaged intensity equals to n regardless the degree of asymmetry.

Finally we should state that Eq.33 shall be called the modified

Rayleigh probability density function, because Lord Rayleigh has
obtained it on the same page of his article with the classical form of “his”
distribution. Unfortunately, the term “modified Rayleigh distribution” is
used in literature for many other different things.

G eneralization
Generalization is needed to get rid of the restriction imposed by the
binomial distribution to be able to derive the conclusion for “arbitrary
phases”. For this purpose the imagery of the rotationally symmetrical
probability cloud is handy. We formalize the task of n 2 equiprobably
distributed along  x and n 2 along  y phasors in terms of the random
phasor sum. We can do that by representing the resultant amplitude as:

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

n2

i 1
2e j i , Eq. 37

where  i assumes values of  3 4 ,   4 ,  4 and 3 4 with

probability 1 4 . The distribution of the resultant is rotationally symmetric,
which means it won’t change if the system of coordinates is rotated.
Therefore for any  the probability distribution of the modulus of the
n2
vector 
i 1
2e j i    is independent of . Lord Rayleigh suggests to split

the sum into the groups and to rotate each group by a different angle.
Whatever is the choice of the groups and the rotation angles, the result is
unaltered. In an extreme case when there are as many groups as phasors,
 may be considered as a random variable. Considering now i   as
phasor phases, he declares:
“This last state of things, however, is equivalent to no restriction
at all; and we thus arrive at the important conclusion that, if n unit
vibrations of equal pitch and of arbitrary phases be compounded, the
probability of a resultant intermediate in amplitude between r and
r+dr is
r2
2 
e n
r dr ,
n
a similar result applying, of course, in the case of any other vector
quantities.”
However, a certain restriction remains. The rotational symmetry is
forced by the construction of the phasors. It is done in a way that i are
equally distributed in four corners of a rectangular system of coordinates,
which implies that for any  i the values  i , i   2 , i   and
i  3 2 are equally probable. Random rotation of the axis does not
change the distribution of the resultant amplitude, because it does not
disturb the equilibrium between the four corners. Generally speaking, if
 i are i.i.d. phases and p is their probability density function,
rotational symmetry of the distribution of the amplitude of the random
phasor sum takes place if p is a periodic function with a period  2 . A

~ 26 ~
 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

uniform distribution p  21 is a particular case of the four corners

symmetry. It is possible to demonstrate that in the asymmetric situation
described above the four corners symmetry rule is violated.

Generalizing further Lord Rayleigh declares that even if phasors do

not have all equal pitches, the expression for the probability density
function of the resultant amplitude is still valid. Only parameter n must
be modified correspondingly. We know that Rayleigh distribution has the
form given by Eq. 29 even if the amplitudes ai are random with the
replacement of n by n ai2 as long as the amplitudes are independent of
the phases and between each other.

C onclusion of Verdet
In the last paragraph of his article Lord Rayleigh writes: “The
conclusion that the resultant of a large number of independent
sounds is practically, and to a considerable extent, uncertain may
appear paradoxical; but its truth, I imagine, cannot be disputed.
Perhaps even the appearance of paradox will be removed if we
remember that with two sounds of equal intensity the degree of
uncertainty is far greater, as is evidenced in the familiar experiment
with tuning-forks in approximate unison.”
Of course a physical origin of the random sinusoids is not important,
but hardly E. Verdet in his “Lessons on physical optics” was discussing the
experiment with tuning-forks, otherwise he would be known as the father
of opto-acoustics. We believe that we must pay tribute to Monsieur
Verdet by looking into the page 297 included in the paragraph 75 of his
manuscript. Fortunately, the manuscript is not so difficult to find:
http://gallica.bnf.fr/ark:/12148/bpt6k34025/f304.image.

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

We will not work with the text of the manuscript in details as we did
with the article of Lord Rayleigh; instead we will shortly relay the content
of the paragraph 75. It occupies a bit less than four pages and is titled:
“Diffraction by a large number of narrow parallel slits of equal size placed
non-equidistantly.” It is a classical task of a diffraction grating, and the
paragraph 75 describes the details of calculation of the intensity of the
diffracted light in the far field. It is exactly the same calculation as it can
be found in any modern textbook on physical optics (Max Born and Emil
Wolf, Principles of Optics, Electromagnetic Theory of Propagation,
Interference and Diffraction of Light, 7th edition, Cambridge University
Press, 1999, paragraph 8.5.3). The only difference is in style of the
nineteenth century: the use of real-valued expressions instead of
complex exponential functions and a deployed recording of sums instead
of a compact symbol .

As the title of the paragraph suggests the slits are positioned

irregularly, but the size of every slit is preserved. From the beginning
Monsieur Verdet states clearly that as the distances between the slits are
random the calculation of probabilities must be carried out. He derives an
equation in which a non-average intensity of light is expressed though a
large sum of cosines of a random argument. Because the number of
terms is large the summing can be regarded as averaging and the value of
the non-average intensity as equal to its statistical average. Because the
random argument takes on all possible values, the sum of cosines can be
regarded as zero and only the constant term of the expression remains.
Here is the conclusion of Monsieur Verdet:

“On a donc en tout

n  1 n  2 cosinus dont les arcs ont des valeurs
2
variant d’une façon tout à fait irréguliére. Ces cosinus étant en très-grand
nombre et leurs valeurs étant réparties entre +1 et -1 sans suivre aucune
loi réguliére, on peut admettre que leur somme est sensiblement nulle, et
que, par suite, l’expression de l’intensité lumineuse se réduit à

I 2  n 
2

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 Natalia Yaitskova “Random Phasor Sum in the work of Lord Rayleigh”

<…>. Cette expression ne diffère de celle qu’on trouve dans le cas d’une
fente unique que par le facteur constant n; les phénomènes suivent donc
dans le cas actuel les mêmes lois que s’ils étaient produits par une fente
unique, et l’intensité est en chaque point proportionnelle au nombre des
ouvertures.”

This conclusion is absolutely correct and cannot be disputed because

it is in full agreement with the Scripture of Physical Optics which says
(8.5.3):

“When the apertures are distributed irregularly over the screen,

terms with different values of m and n in the double sum will fluctuate
rapidly between +1 and -1 as m and n take on different values, and in
consequence the sum of such terms will have zero mean value. Each
remaining term (m = n) has the value of unity. Hence it follows that
except for local fluctuations the total intensity is N times the intensity of
the light diffracted by a single aperture.
I  p, q ~ N I 0   p, q .”

Ekam sat viprāḥ bahudhā vadanti.

June 2015

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