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Continuous distributions:
Uniform
Normal
Lognormal
Exponential
Other Continuous Probability Distributions
Chi-square, Student-t and F distributions
Extreme Value Distributions
Others
Uniform Distribution
1
for a x b
f X (x ) = b a
0
otherwise
where a < b . The mean and variance are given by:
a +b
=
2
2
b
a
(
)
2 =
12
Uniform Distribution
0
x a
FX (x ) =
b a
0
for
x a
for a x b
for
x b
(b a)
=
12
2
Uniform Distribution
The uniform distribution is very important for
performing random number generation in
simulation as will be described later in Ch. 7.
Due to its simplicity, it can be easily shown
that its mean value and variance as given
by the above equations, respectively,
correspond to centroidal distance and
centroidal moment of inertia with respect to
a vertical axis of the area under the PDF.
fX(x)
FX(x)
1.0
F(x) =x-a/(b-a)
1/(b-a)
Solution
(
)
(28
21)
2 =
=
= 4.083 M Pa 2
12
12
= 4.083 = 2.021 M Pa
= 0.0825
cov = =
1
1 x
f x (x ) =
exp
- < x <
2
2
where and are the parameters of the
x = -5:25;
y = normpdf (x,10,5);
plot(x,y)
N o rm a l P D F w it h m u = 1 0 . a n d s ig m a = 5
0.1
0.09
m e a n = m o d e = m e d ia n = 1 0
0.08
0.07
In fle c tio n p o in t
f(x)
0.06
0.05
0.04
0.03
0.02
0.01
0
-5
10
x
15
20
25
((10,2.5)
0.16
0.14
f(x)
0.12
0.1
0.08
((10,5)
((10,7.5)
0.06
0.04
0.02
0
-5
10
15
20
25
Fx (x ) = (x ) = P(X x )
2
1
1 x
=
e xp
dx
2
2
x
- < x <
S =
1
1 2
f s (s ) =
e xp s
2
2
Fs (s ) = (s ) =
- < s <
1
1 2
e xp s ds
2
2
25 24.5
P (X > 25) = 1 P (X < 25) = 1 (
) = 1 0.5977 = 0.400
2.021
Matlab Command
S = normcdf(25,24.5,2.021) = 0.5977
EXAMPLE 3.7
2 C 4
43
23
) (
)
0.75
0.75
= (1.333) ( 1.333) = 0.9088 0.0912 = 0.8176
P ( m ax 1.5 cm ) = P (2 C 4) = (
Lognormal Distribution
Any random variable X is considered to
have a lognormal distribution if Y =
ln(X) has a normal probability
distribution, where ln(x) is the natural
logarithm to the base e.
In many engineering problems, a
random variable cannot have negative
values due to the physical aspects of
the problem.
In this situation, modeling the variable
as lognormal is more appropriate.
Lognormal Distribution-PDF
ln x
1
1
f x (x ) =
exp
2
x 2
0<x <
= ln -
2
= ln 1 + 2
of ( ln X )
= , T he C O V
if, 0.30
Lognormal Distribution-PDF
x = -5:25;
y = lognpdf (x,,);
plot(x,y)
=0.1
0.3
fx(x)
0.25
=0.3
0.2
=0.5
0.15
0.1
0.05
0
10
15
20
25
2
2
2.021
2
= ln 1+ 2 = ln 1+
= 0.00678
24.5
1 2
1
= ln - = ln(24.5) (0.00678) = 3.195
2
2
ln(25) 3.195
P (X > 25) = 1 P (X < 25) = 1 (
) = 1 0.6141 = 0.3859
0.00678
Matlab Command
S = normcdf(3.219,3.195,0.08234) = 0.6141
Exponential Distribution
=0
otherwise
t
FT (t ) = P (T t ) = 1 e A &T
T = =
t 0
f T (t ) = e
t 0
=0
otherwise Matlab
t
FT (t ) = P (T t ) = 1 e
T = =
Exponential Distribution-PDF
Exponential PDF & CDF mu = 1
x=0:0.1:5;
y1=exppdf(x,1);
y2=expcdf(x,1);
plot(x,y)
1
0.9
0.8
CDF
0.7
fx(x)
0.6
0.5
0.4
0.3
0.2
0.1
0
0.5
1.5
2.5
3.5
4.5
Example 3.18
(0.12810)
P (T > 10) = 1 FT (10) = 1 (1 e
) = 0.278
Return Perriod
E (T ) = T = = 7.8 years
f x (x ) = e
( x a )
x <a
=0
( x a )
FX (x ) = P ( X x ) = 1 e
T = =
x a
0.8
f(x) or F(x)
0.7
0.6
0.5
0.4
0.3
0.2
0.1
0
10
Exponential Distribution-Remarks
Gamma Distribution-Erlang
If the occurrences of
an event constitute a
Poisson process, then
the time until the kth
occurrence of the
event is described by
the gamma probability
distribution.
Let Tk denote the time
till the kth event; then
(Tk t) means that k or
more events occur in
time t. Therefore, the
distribution function of
Tk is
P (X
FT k (t ) =
x =k
( t ) k 1
f T k (t ) =
(k )
E (T k ) =
= x ) = 1
x =k
e t
t 0
and V ar( T k ) =
( t ) x t
e
x!
( k ) = ( k 1) ( k )
= ( k 1) !
if k is intege r
if k is noninteger
(k ) = t
k 1
e t dt
r >0
= 0
otherw ise
S tandard gam m a pd f
f Tk
t k 1 t
e
(t ) =
(k )
= 0
t 0, r > 0
othe rw i se
Gamma Distribution-Erlang
A&T Version
f X (x ) =
X =
(x )
k 1
(k )
Matlab version
x 0
and Var(X) = =
2
X
a1
x
f X (x ) = a
e
b (a)
x
b
x 0
X = ab and Var(X) = = ab
2
X
Gamma Distribution-Erlang
x1
x2
x3
x4
x=0:0.1:10;
y1=gampdf(x,1,1);
y2=gampdf(x,5,1);
y=gampdf(x,3,1);
a is a shape factor
b is a scale factor
0.9
a=1
0.8
0.7
f(x)
0.6
0.5
a=3
0.4
a=5
0.3
0.2
0.1
0
10
0.3
a is a shape factor
b is a scale factor
b=1
0.25
b=2
f(x)
0.2
0.15
b=5
0.1
0.05
10
a=1
0.7
a=3
f(x)
0.6
0.5
0.4
a=5
0.3
0.2
0.1
0
10
= 1 300
f X (x ) =
fX
, one pump, k = 1
( x ) k 1
(k )
e x
x0
1
( x )11 1 x
1 x
300
300
e
e
=
(x ) =
(1)
300
=0
Exponential distribution
300
x0
otherwise
= 1300
, System= 2 pumps, k = 2
1
( z )21 1 z
1 z z
300
300
=
f Z (z ) =
e
e
300 300
(2 1)
=0
300
z0
otherwise
x 10
PDF Exponential/Gamma
-3
2.5
f(x)
1.5
0.5
200
400
600
800
1000
1200
x, days
1400
1600
1800
2000
Beta Distribution
(q )(r )
(q + r )
q
(b a )
q +r
qr
2
(
b
a
)
x2 =
(q + r ) 2 (q + r + 1)
x = a +
1 q
(b a)
2 q r
2(r q )(b a)
=
(q + r )(q + r + 2) x
mode = a +
If a = 0 and b = 1 (0 x1.0).
A&T
1
f X (x / q , r ) =
x q 1 (1 x ) r 1
0 x 1.0
B (q , r )
elsewhere
=0
Matlab
1
f X (x / a, b ) =
x a 1 (1 x )b 1
B (a, b )
=0
0 x 1.0
elsewhere
q= 1
r= 4
q=4
r= 2
q= r= 3
fx(x)
2.5
q = r = 1.0
2
1.5
1
0.5
0
0.25
0.5
0.75
1.2
Fx(x)
q= r= 3
0.6
q= 4
r= 2
q = r = 1.0
0.4
0.2
0.25
0.5
0.75
Example 3.23
Example 3.23
a = 5 b = 10
q
(b a )
q +r
q
7 = 5+
(10 5)
q +r
qr
x2 =
(b a ) 2
2
(q + r ) (q + r + 1)
qr
2
(0.1 7) 2 =
(10
5)
(q + r ) 2 (q + r + 1)
q = 3.26 r = 4.89
x = a +
1
( x 5) 2.26 (10 x ) 3.89
f X (x) =
5 x 10
7.1 5
B (3.26, 4.89)
(5)
=0
elsew her e
P (T 9) = B e t a (( 9 - 5 / 1 0 - 5) , 3.26 , 4.89) = 0.9932
P (T 9) = b et acdf (.8, 3.26, 4.89 ) = 0.9932
q
q +r
4
= 5.71 6 roads
4+3
1
=2.00 roads
1+ 4
State A need to spend more .
For State B = 10
q =1
fX
r =4
1
( x ) 0 (1 x ) 3
(x) =
B (1, 4)
1
P (T 2) = F (0.2) =
0.2
0 x 1.
f X (x) dx =
1
B (1, 4)
0.2
(1 x ) 3 dx
0.2
3x 2 3x 3 x 4
3
0 (1 x ) dx = 4 x 2 + 3 4 = 0.59
0
P (T 9) = betacdf (.2 ,1, 4 ) = 0.59.
(1 + 4)
=
(1) (4)
0.2
2 Distribution
x f / 21
f X (x ) = f / 2
e 2
2 ( f 2)
/ 2 1
x
2
x
f X (x ) = / 2
e
2 ( / 2)
or f degrees of freedom
x = = f ,
2 = 2 = 2f
x
x0
x0
2 Distribution chi2pdf(x,f)
Chi-squa re PDF
1
f =1
fx(x)
0.75
0.5
f= 4
f= 8
f = 12
0.25
10
15
2 Distribution
2 = C = Z 12 + Z 22 + Z 32 + ....Z n2
= P ( X x ,f ) =
x ,f
f x (x )dx
Student-t, or t Distribution
The student-t or t distribution is a symmetric, bellshaped distribution with the following density
function:
( f + 1) / 2 t
f T (t ) =
1 +
f (f / 2) f
2
- <t <
T = 0,
( 1 )( f +1)
2
f
=
f 2
2
T
Student-t, or t Distribution
1 = P (T t / 2,f ) =
t / 2 ,f
f T (t )dt
f(t)
0.5
f = 15
f = inf
N(0,1)
f= 5
f =2
0.25
0
-5
-4
-3
-2
-1
F Distribution
F ( 1 , 2 ) =
1
2
2
u + k k
2 u
k
2
(f )
k
1
2
fk
(u / 2 ) (u / 2) + 1
u
u +k
2
f >0
F Distribution
= P (F > f ,k ,u ) =
f ,k ,u
f F (x )dx
F Distribution - fpdf(k,u)
F-distribution PDF(k,u)
0.8
0.7
0.6
F(5,10)
0.5
f(f)
F(5,5)
0.4
F(5,3)
0.3
F(5,1)
0.2
0.1
0
10
f X n (x ) = ne
n ( x u n )
e n ( x u n )
CDF is given by
FX n (x ) = e
e n ( x u n )
2
= un +
and X = 2 ( = 0.577216)
n
6 n
2
f X 1 (x ) = 1e
1 ( x u1 )
e 1 ( x u1 )
CDF is given by
FX 1 (x ) = 1 e
e 1 ( x u1 )
2
= u1
and X = 2 ( = 0.577216)
1
61
2
X = u n +
u n = 61.3
0.577216
= 57.9157
0.17055
P (X
> 100) = 1 F ( X
= 1 F X n (100) = 1 e
= 100)
= 0.000763
P ( X n >V d ) = 1 F ( X n =V d ) = 0.01
1 FX n (V d ) = 1 e
V d = 84.89 mph
e 0.17055(V d 57.9157 )
= 0.01
Largest
k n
n y
CDF is given by
k +1
fY n (y ) =
FY n ( y ) = e
n
y
n
y
y 0
1
= n 1
k
2
1
2
= n 1 1
k
k
2
1
k
COV =
1
1
2 1
k
2
Yn
for k > 2
Smallest
k 1
fY1 (y ) =
1 y
CDF is given by
FY 1 ( y ) = 1 e
1
y
k +1
1
y
y 0
2
1
Y2 = 12 1 2 1
k
k
Y = 1 1
1
k
COV =
1
1
2 1
k
for k > 1
for k > 2
Largest
CDF is given by
k
f Z n (z ) =
w n
FZ n (z ) = e
w n
w n
Z = ( w n ) 1 +
n
Z2 = ( w n ) 2 1 +
n
k 1
1
k
1
COV =
1
2 1
k
2
1
2
1
k
k
Smallest:
w
1
CDF is given by
k
f Z 1 (z ) =
w1
FZ 1 ( z ) = 1 e
w 1
Z2 = (w 1 ) 2 1 +
1
w 1
Z = + (w 1 ) 1 +
1
k 1
1
k
1
COV =
1
2 1
k
2
k
+
1