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STRUCTURAL
RELIABILITY
Module # 02
Lecture 3
Instructor:
Dr. Arunasis Chakraborty
Department of Civil Engineering
Indian Institute of Technology Guwahati
3. Lecture 03: Theory of Probability
(Contd.)
Random Variables
Random variable is a variable whose values are always associated with a probability of
occurrence, i.e. the numerical value of the random variable cannot be predicted with certainty
before experiment.
Random variable ‘X’ in sample space ‘S’ is a set of real number. It may be discrete or
continuous.
Ex. : Let a die is thrown. The outcome is S 1,2,3,4,5,6. Draw the probability mass function
(pmf) and cumulative probability distribution function (CDF).
pmf,
PX x p X x 2.3.1
0 p X x 1 2.3.2
p x 1
all xi
X i 2.3.3
all xi b
Pa X b p x X i 2.3.4
all xi a
Joint pmf,
p XY xi , y j P X xi , Y y j P X x Y y 2.3.5
Joint CDF,
for Discrete RV
for Continuous RV
Ex.: Five beams are tested in the laboratory and the load corresponding to first crack at SLS and
ULS is determined. The joint pmf is given in following table
Y
X Total
0 1 2 3 4 5
0 0.000 0.020 0.000 0.000 0.000 0.000 0.020
1 0.010 0.050 0.000 0.000 0.000 0.000 0.060
2 0.020 0.010 0.100 0.010 0.000 0.000 0.140
3 0.030 0.015 0.010 0.150 0.015 0.000 0.220
4 0.040 0.020 0.015 0.010 0.250 0.010 0.345
5 0.050 0.020 0.020 0.015 0.010 0.100 0.215
Total 0.150 0.135 0.145 0.185 0.275 0.110 1.000
Plot the pmf first and evaluate the probability of an event E in which same number of beams fail
in both SLS and ULS.
Marginal Distribution
p X x PX x p x , y
all yj
XY i j 2.3.8
Note: It is possible to get distribution for the individual variable i.e. marginal distribution from
the joint distribution. Similar expression can be written for pY y .
Ex.: Evaluate marginal distribution from the previous example. (Task for the reader)
Conditional Distribution
Let us assume two discrete random variables ‘X’ and ‘Y’ with values x and y1. Then the
conditional mass function is given by
p XY x, y1
p X |Y x | y1
pY y1
2.3.9
0 p X |Y x, y 1 2.3.10
p x , y 1
all xi
X |Y i 2.3.11
pY y1 0 2.3.12
Continuous RV
CDF
x
FX x PX x f x dx
X for all x 2.3.13
x
FX x PX x f X x dx for all x in 0 to 2.3.14
0
FX 0 2.3.15
FX 1 2.3.16
f x dx 1
X 2.3.17
f X x 0 2.3.18
b a
Pa X b f X x dx f x dx F b F a
X X X 2.3.20
Ex: The strength of a concrete cube is known to randomly vary from 20 to 40kN/m2 with pdf
y
k 1 20 x 40
f X x 40
0 elsewhere
Where, ‘k’ is constant. Find out the probability of failure under the uniform load of 30kN/m2.
Let us assume two continuous random variables ‘X’ and ‘Y’. Then the joint probability density
function is given by –
The joint pdf f XY x, y between ‘X’ and ‘Y’ satisfies the following conditions –
f x, y dxdy 1
XY 2.3.23
2
Note: f XY x, y FXY x, y & FXY x, y PX x, Y y
xy
Marginal pdf,
f X x f x, y dy
XY 2.3.24
Marginal CDF,
FX x PX x f x dx F x,
X XY 2.3.25
Conditional Distribution
Conditional pdf of ‘X’ such that ‘Y’ has taken a value of y1 is given by –
f XY x, y1
f X |Y x, y1
f Y y1
2.3.26
x
FX |Y x, y1 f x, y dx
X |Y 1 2.3.27
Ex: If the joint pdf of two random variables ‘X’ and ‘Y’ is given by FXY x, y xy for 0 x 1
and 0 y 2 , evaluate joint CDF FXY x, y , marginal density function of ‘X’ and conditional
pdf of ‘Y’ f Y | X y | x .
Note: if two random variables ‘X’ and ‘Y’ are independent, then
f XY x, y f X x . f Y y
FXY x, y FX x .FY y
f X |Y x | y f X x for CRV 2.3.29
fY|X y | x fY y
FX |Y x | y FX x
In science and engineering, very often we encounter two random variables one of which depends
on another. For example, lateral pressure on a wall and water level in a tank. Let ‘Z’ be a
dependent random variable that depends on the independent random variable ‘X’ such that
Z gX & x g 1
z dx
d g 1 z
dz 2.3.30
dz
where, ‘Z’ is a single valued function of ‘X’ and ‘g’ is a monotonically increasing function then
p Z z p X g 1 z 2.3.32
FZ z p x X j 2.3.33
all x j g 1 z
f g z dz g z dz
x z
FZ z f X x dx
d
1 1
X 2.3.35
f Z z f X g 1 z dzd g 1
z f X x
dx
dz
2.3.36
f Z z
dx
dz
.nf X g 1 z 2.3.37
Note: Modulus is for monotonically decreasing function and ‘n’ is for a function where z
corresponds to ‘n’ values of ‘x’.
Ex: If T d h , where ‘T’ is the dependent random variable and ‘h’ is the independent random
variable whose pdf is given by
f H h exp h 2 2
1
for h 0
2
d t d 1 t d 2
f T t . f H h .
1 1
exp . td
dt 2 2