Chapter 3.

FUNCTIONS OF RANDOM VARIABLES

3.1 LINEAR FUNCTIONS OF RANDOM VARIABLES
n
Y  a0  a1 X 1  a2 X 2  ...  an X n  a0   ai X i (3-1)
i 1

where ai (i=1,…, n) are constants.

The mean (expected value):
n
Y  a0  a1 X1  a2  X 2  ...  an  X n  a0   ai  X i (3-2)
i 1

The variance:
2
 Y2  E Y  Y  
 
 E Y 2   Y2
n n
(3-3)

i 1
 aia jCOV  X i , X j 
j 1
n n
 a a  i j Xi X j  X i X j
i 1 j 1

Note: a0 does not affect  Y2 , but it does affect Y .

3.1 LINEAR FUNCTIONS OF RANDOM VARIABLES

If the n random variables are uncorrelated with each other, then

COV  X i , X j   0 for i?j, thus the above equation simplifies to:
n
   ai2 X2 i
2
Y (3-4)
j 1

It is important to know that these results are valid regardless of

the probability distributions of the random variables X1, X2,…,
Xn. However, we have not addressed the issue of determining
the distribution of the linear function Y. This, in general, is
difficult to determine. Some special cases are discussed in the
later sections.
3.1 LINEAR FUNCTIONS OF RANDOM VARIABLES

Example 1
Let R=load carrying capacity (resistance)
Q = the demand or load effect.
Define a performance function Y:
Y=R-Q
Calculate: a) Y ; b)  Y2 ; c) VY

Solution:
a) Mean value:
In this case, let R correspond to X1, and Q correspond to X2.
==> a0=0, a1=1 and a2=-1.
n
Y  a0   ai  X i  0  (1) R  ( 1) Q   R  Q
i 1
3.1 LINEAR FUNCTIONS OF RANDOM VARIABLES
b) Variance  Y2
Example 1 n n
2
 
Y
i 1
 a a COV  X , X 
j 1
i j i j

 a12COV  X 1 , X 1   2a1a2COV  X 1 , X 2   a22COV  X 2 , X 2 

 a12  X1 X1 X2 1  2a1a2  X1 X 2  X1 X 2  a22  X 2 X 2  X2 2
 (1) 2 (1) R2  2(1)( 1)  RQ R Q  (1)2 (1) Q2
  R2   Q2  2  RQ R Q

If R and Q are uncorrelated, then  RQ =0 and hence

 Y2   R2   Q2
c) Coefficient of variation:

Y  R2   Q2  2  RQ R Q
VY  
Y  R  Q
The inverse of VY is called a reliability index and is denoted as
1 Y
 
VY  Y
3.2 LINEAR FUNCTIONS OF NORMAL VARIABLES

Let Y be a linear function of normally distributed random

variables Xi , i=1,2,…n.
==> The linear function Y of uncorrelated normal random
variables is a normal random variable with distribution
parameters Y (Eq. 3-2) and  Y (Eq. 3-4).
3.2 LINEAR FUNCTIONS OF NORMAL VARIABLES
Example 2 Consider the simply supported beam shown in the
following Figure:

Assume the distributed load w, concentrated load P, and the

moment capacity MR are uncorrelated normal random variables.
The distribution parameters for the random variables are:
Variable  V (%)
w 1 k/ft 10
P 12 k 15
MR 200 k.ft 12
Calculate:
a) the reliability index β.
b) the probability that the beam will fail.
3.2 LINEAR FUNCTIONS OF NORMAL VARIABLES
Example 2
Solution:
w  1 k/ft Vw  10%   w  wVw  0.1 k/ft
 P  12 k VP  15%   P  PVP  1.8 k
 M R  200 k.ft VM R  12%   M R  M RVM R  24 k.ft

 The maximum moment due to the distributed dead load:

wL2
MD   50w
8
2
==> the mean value is 50 w and the variance is  50 w  .

 The maximum moment due to the concentrated live load:

PL
ML   5P
4
2
==> the mean value is 5  P and the variance is  5 P  .
3.2 LINEAR FUNCTIONS OF NORMAL VARIABLES
Example 2
 We can define a performance function in terms of capacity
and demand:
Y  capacity  demand  M R   M D  M L   M R  M D  M L

 Since M R , M D , M L are uncorrelated normal random variables,

the variable Y is also normal. Therefore:
n
Y   ai M i  (1)  M R  (1) M D  ( 1) M L
i 1

 200  50W  5P

 200  50(1)  5(12)
 90( kft )
n
   ai2 M2 i  (1)2  M2 R  ( 1)2  M2 D  ( 1)2  M2 L  (24)2  (50 w )2  (5 P )2
2
Y
j 1

 (24) 2  (50 x0.1) 2  (5 x1.8)2  682 ( kft ) 2

 Y   Y2  26.1 ( kft )
3.2 LINEAR FUNCTIONS OF NORMAL VARIABLES
Example 2
 Y 26.1
VY    0.29  29%
Y 90
1 1
   3.45
VY 0.29
Failure occurs when the demand exceeds the capacity: Y<0.
Thus,
P(failure)=P(Y<0)
Since Y is a normal random variable, we can calculate this
probability directly using the procedures described in Chapter 2
and the Table in Appendix B:

 0  Y  3
P (Y  0)               3.45   0.280  10  0.00028
 Y 
3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES

Let Y be a function involving the products or quotients of

several statistically independent, lognormal random variables
Xi. For example,
X1 X 3
Y K (3-5)
X2
Where, K is a constant.
Take natural logarithm of both sides Eq. 3-5, we get:
ln Y  ln K  ln X 1  ln X 2  ln X 3
(3-6)
 (constant)+ (  1)(normal random variables)
Note that Eq. 3-6 is identical in form to Eq. 3-1. Therefore, since
Eq. 3-6 represents the sum of normally distributed random
variables lnXi, the quantity lnY is a normally distributed random
variable and hence Y is a lognormally distributed random
variable.
3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES
By combining the results of Chapter 2 and Section 3.2, and
generalizing Eq. 3-6 for n variables, it can be shown that the
distribution parameters for the lognormal variable Y are as
follows:
The mean (expected value):
n
ln Y  a0   ai ln X i (3-7)
i 1

where a0  ln K and ai  1 as appropriate.

The variance:
n
2
 ln Y    ln2 X i (3-8)
j 1

Similar Section 2.3.3, we have:

2
    2
  1  ln  VX i
   1 ;and
2 X
  ln  i
ln X i
  X i   
  
1
ln X i  ln(  X i )   ln2 X i (3-9)
2
3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES
As a final note, if Y is defined by an expression like Eq. 3-5 but
all of the random variables are not lognormal, then it can be
shown that Eqs. 3-7 and 3-8 still apply for finding the mean and
variance of lnY if the random variables Xi are statistically
independent. However, we cannot say that the probability
distribution of Y is lognormal.
3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES
Example 3
Consider a steel beam whose cross section is classified as a
compact section. This implies that its moment-carrying capacity
is the plastic moment calculated as Mp=FyZ, where Z=plastic
section modulus and Fy if the yield stress.
Let the total load effect (demand) be denoted by Q, which is the
maximum moment demand on the beam due to the applied
loading. Assume Fy, Z, and Q are statistically independent
lognormal random variables with means and coefficients of
variation defined as follows:

Calculate the probability of failure.

3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES
Example 3 Solution:
In Examples in Sections 3.1 and 3.2, the concept of a
performance function was introduced, and it was formulated as a
linear combination of random variables. Sometimes, it is more
convenient to formulate a performance function as the product
or quotient of random variables as shown in this example.
capacity M p Fy Z
Define: Y   
demand Q Q
Failure occurs when Y<1.
P(failure)=P(Y<1)
Since Y is a combination of products or quotients of
independent lognormal random variables with K=1, Y is also
lognormal with
n
ln Y  a0   ai ln X i , where a0  ln K and ai  1 as appropriate
i 1

 ln(1)  (1) ln Fy  (1) ln Z  ( 1) ln Q

 ln Fy  ln Z  ln Q
n
2
 ln Y   ln2 X i   ln2 Fy   ln2 Z   ln2 Q
j 1
3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES
Example 3
To calculate the two above values, parameters in the right hand
sides have to be determined. Using the Eq. 3.9:
2
 ln  VFy
   1  ln  0.1  1  9.95  10 3
2 2
 ln X i
   
1 2
ln Fy  ln(  Fy )   ln Fy  ln(40)  0.5(9.95  10 3 )  3.68
2
2 2
 ln2 Z  ln VZ   1  ln  0.05  1  2.5  103
   
1
ln Z  ln( Z )   ln2 Z  ln(54)  0.5(2.5  103 )  3.99
2
2 2
 ln2 Q  ln VQ   1  ln   0.12   1  1.43  102
   
1
ln Q  ln( Q )   ln2 Q  ln(120  12)  0.5(1.43  102 )  7.27 (1
2
foot = 12 inches)
3.3 PRODUCT OF LOGNORMAL RANDOM VARIABLES
Example 3 Then,
ln Y  ln Fy  ln Z  ln Q  3.68  3.99  7.27  0.4
n
2
 ln Y    ln2 X i   ln2 Fy   ln2 Z   ln2 Q  9.95  103  2.50  103  1.43  102  0.0268
j 1

 ln Y   ln2 Y  0.0268  0.164

Since Y is a lognormal, the probability of Y<1 can be
determined using the standard normal CDF as follows:
 ln(1)  ln Y   0  0.4  2
P (Y  1)            2.4   0.82  10  0.0082
  ln Y   0.164 
A graphical interpretation of the probability of failure:
3.4 NONLINEAR FUNCTION OF RANDOM VARIABLES
Let the performance function Y be a general nonlinear function
of the random variables Xi (i=1, 2, …, n):
Y=f(X1, X2,…, Xn) (3-10)
To calculate the mean and variance of Y:
 We linearize the performance function using a Taylor
series expansion of Y.
 We estimate the mean and variance of the linearized
function.
 3.4 NONLINEAR FUNCTION OF RANDOM VARIABLES
The Taylor series expansion is:
n
f
Y  f  x , x ,..., x     X i  x 
*
1
*
2
*
n
*
1  (higher order terms )
i 1 X i 
evaluated at x1* , x2* ,..., xn* 
(3-11)
Where xi* values (deterministic values) are “design point
values” of the random variables Xi, that is, the values about
which the function Y is linearized. The higher order terms are
neglected when using the linearized version of Y. The choice of
the design point values of the random vector {X} is very
important in structural reliability analysis. For the present, we
assume that the design point values are the mean values of the
random variables.
3.4 NONLINEAR FUNCTION OF RANDOM VARIABLES
Example 4
Consider a wood beam with a rectangular cross section as
shown in Figure 3.4. We can formulate a performance function
for beam by considering the elastic section modulus S=bd2/6,
the applied bending moment M and the allowable bending stress
Fb as follows.
M 6M
Y  Fb   Fb  2  f ( Fb , M , b, d )
S bd
For this problem, it is assumed that Fb, M, b and d are all
random variables with the following parameters:

Calculate the mean, variation of Y and the reliability index.

 3.4 NONLINEAR FUNCTION OF RANDOM VARIABLES
Example 4
Solution:
Since Y is a nonlinear function, we must linearize the function
about the design point values. We will use the mean values as
the design point values in this example. Based on Eq. 3-11, the
linearized form of Y will look like
 6 M  f f f f
Y    Fb  2
  Fb   Fb    M  M    b  b    d  d 
 b  d   F b * M * b * d *

Where, * denotes that the partial derivatives are evaluated at

the design point value (mean values) of the random variables.
The partial derivatives are:
f f
1  1
Fb Fb *

f 6 f 6
 2   2
M bd M * b  d 
f 6M f 6M
 2 2  
b bd b *  b 2  d 2

f 12 M f 12  M
  
d bd 3 d * b  d 3
3.4 NONLINEAR FUNCTION OF RANDOM VARIABLES
Example 4 Substituting these derivatives into the linearized equation,
plugging the mean values of variables, and rearranging gives the
following linearized form for Y:
Y  Fb  0.008244 M  147.2b  144.6d  2473
Since, this is a linear function of the random variables, we can
apply the results of Section 3.1 to calculate the mean and
variance of Y. Assuming the variables are all uncorrelated, we
can use Eqs. 3-2 and 3-4 to get:
Y  Fb  0.008244 M  147.2 b  144.6 d  2473
 1600  0.008244  100000  147.2  5.6  144.6  11.4  2473  7
n
   ai2 X2 i  12  F2b  ( 0.008244) 2  M2  (147.2) 2  b2  (144.26) 2  d2
2
Y
j 1

 12 (512) 2  ( 0.008244) 2 (1200) 2  (147.2) 2 (0.224) 2  (144.26) 2 (0.342) 2

 275464 psi 2
 Y2   Y2  275464  524.8 psi
The reliability index:
Y 775.4
   1.48
 Y 524.8
3.5 CENTRAL LIMIT THEOREM
3.5.1 Sum of random variables
 Let the function Y be the sum of n random variables Xi
(i=1, 2, …, n).
 Furthermore, assume that the Xi are statistically
independent, and their probability distributions are
arbitrary.
The central limit theorem states that as n approaches infinity,
the sum of these independent random variables approaches a
normal probability distribution if none of the random variables
tends to dominate the sum.
So if we have a function defined as the sum of a large number of
random variables, then we would expect the sum to be
approximately normally distributed.
The sum of variables is often used to model the total load on a
structure. Therefore, the total load can be approximated as a
normal variable.
3.5 CENTRAL LIMIT THEOREM
3.5.1 Sum of random variables
Example 5
Let Q be the total load representing the effects of dead load D,
live load L and snow load S. Mathematically, Q is defined as:
Q=D+L+S
Then, the central limit theorem can be used to say that Q is
approximately normal even if D, L, and S are not normal. The
mean and variance of Q are, using Eqs. 3-2 and 3-4:
Q   D   L   S

 Q2   D2   L2   S2
3.5 CENTRAL LIMIT THEOREM
3.5.2 Product of random variables
If we have a product of independent variables, then we can do a
transformation which allows us to apply the central limit
theorem.
Let Y be a product of statistically independent random variables:
Y=X1X2…Xn (3-12)
The equation could also include quotients of random variables.
Take the natural logarithm both sides:
lnY=X1 + lnX2 + … + lnXn (3-13)
This sum can be interpreted as the sum of a series of random
variables lnXi, so, using the central limit theorem, we can
conclude that lnY approaches a normal distribution as the
number of random variables approaches infinity. If lnY is
normal, then Y must be lognormal. Thus, if we have a product
(or quotient) approaches a lognormal distribution.
The product of variables is often used to model the resistance (or
capacity) of a structure or structural element. Therefore, the
resistance can be approximated as lognormal variable.