Shipbuilding 5

Short & long term prediction

of distributions
vessel loads
Probability

- Part 2 Probability distribution functions

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Probability distributions

CONTENTS

Stochastic variables: definitions, domain and co-domain

Probability distribution and probability density distribution
Indexes of the distributions
Distribution for a function of a stochastic variable
Stochastic vectors: definitions, domain and co-domain
Joint probability distribution and joint probability density
distribution
Indexes of the joint distributions

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Probability distributions

Random variables
Let the sample space be made up of sample points representing the
outcome of an experiment
Let X be a function having the sample space as domain and the real axis
as range
X:
Let x be the set of points x, belonging to , such that: x =X(),
x = {x x =X(), }
x represents a new sample space in the domain of real numbers
(x or is a part of it).

x = X()
X

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Probability distributions

Random variables(2)
Consider now a subset Ex di x. The ensemble of points belonging to
transformed from X to Ex constitutes the inverse image of Ex, indicated as X-1(Ex)
X-1(Ex) = {, X()Ex, Exx}
If it is possible to associate to X-1(Ex) a probability P[X-1(Ex)],
P[Ex] = P[X-1(Ex)]

it is postulated that:

(i.e. the function X induces a probability from the domain to the range)
Definition: random variable
A function X is defined as a random variable if P[X-1(Ex)] exists for every Exx

X-1(EX)

= X-1(x)

x
EX
X

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Probability distributions

Random variables (3)

Def.: discrete random variable
If the range of X is made of isolated points along the real axis , the variable is
said to be discrete
Def.: continuous random variable
If the range of X is made of continuous portions of the real axis , the variable is
said to be continuous
Note 1:

X is not necessarily a biunivocal transformation from to x .

e.g the number 5 can be obtained with two dice according to different
combinations: {1, 4}, {4, 1}, {2, 3}, {3, 2}.
In this case, 4 points within correspond to a single point in x

Note 2: In most engineering cases the result of an experiment is directly (or can
easily be represented by) a real number (e.g. 2 coins: {CC}0 {CT,TC,TT}1).
In such cases, the equivalence x is assumed and the above reported
distinction between the two becomes merely formal.
In the following, stochastic variables will be directly treated as real numbers.

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Probability distributions

Probability distribution
As not all the outcomes of an experiment have the same probability, we need to
describe how such probability is distributed.
In the following, physical quantities will be directly treated as real numbers,
assuming the above mentioned properties without checks.
The possibility of describing the outcome of the experiment (e.g. measurement of
a physical quantity) with real numbers allows us to represent the probability
associated to the various results with a mathematical function.
We quantify the probability P[X x] through the so-called probability distribution
function FX(x) sometimes also indicated as cumulative probability d.f..
FX(x) = P [X x]
Note 1: X represents the stochastic variable, x one of its value (the same way as
represents a realisation of )
Note 2: independently from the actual extension of the range x of X(), Fx(x) is
defined on the whole real axis:
(- < x < )

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Probability distributions

Properties of the probability distribution

The probability distribution function Fx(x) has the following properties (in line with
the probability theory)
Fx(-) = P(X -) = P() = 0

(a)

Fx() = P(X ) = P(U) = 1

(b) given two values: x1 and x2 , x1<x2
P{ x1 < X x2} = Fx(x2) Fx(x1) 0
(i.e. FX(x) is a monotonic, not decreasing function)
(c) lim Fx (x + ) = Fx (x)
0

or, equivalently,

Fx(x+) = Fx(x)

(i.e. FX(x) is always continuous from right)

Note: FX(x) can be continuous at left, too.

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Probability distributions

Probability distributions (discontinuous variables)

Example 1: coin:

if C X =0;

100%

50%[

0
P[ X < 0] = 0;

if T X =1;

1
P[ X 0] = 0.5

X
P[ X < 1] = 0.5; P[ X 1] = 1

Example 2: die
1

[
)

[
)
3

[
)

[
)

[
)

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Probability distributions

Probability distributions (continuous variables)

Example 1: wave height distribution (unbounded at right)

F(h)

h [m]

Note:

F(h) = 0

for h 0

0 <F(h) <1

for 0 < h <

(unbounded at right)

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Probability distributions

Probability distributions (continuous variables)

Example 2: phase of wave components
F()
1.0

0.5

/2

/2

Note:

F() = 0

for -/2

F() =1

for /2
(bounded at left and right)

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Probability distributions

Density probability distribution

Def. The density probability distribution fx(x) is defined, for a continuous variable
as the derivative, when existing, of the probability distribution function F(x) with
respect to x

f x (x) =

dFx
dx

Note 1 The derivative of a random variable can be not defined in a finite number
of points: in such points an arbitrary positive value can be assigned.

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Probability distributions

Properties of the density probability distribution

1) never negative:
fx(x) 0
x

2)

since Fx(-) = 0 (integration constant)

Fx (x) = f x ( ) d

3)

Fx() = 1

f x ( ) d = 1

4)

P{ x1 < X x2} = Fx(x2) Fx(x1) =

x2

x1

5)

P{ X = x1} = 0

( ) d

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Probability distributions

Note: the probability for X to be comprised between x and x +x (x small) is:

fX(x)

P{ x < X x +x } fx (x) x

fX (x) dx = P{ x < X x +dx }

x
on the other hand, according to the frequentistic definition of probability:

n ( x)
P{ x < X x +x } = lim
n
n
n ( x)
therefore:
fx (x) x lim
n
n
This establishes a link between the density probability and the normalised
histogram of occurrences

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Probability distributions

Normalised histogram - density probability distribution

COMPARISON BETWEEN SIMULATION & CLH DISTRIBUTION
bandwidth parameter: 0.4 - # local extremes: 8704

the normalised histogram tends to the density distribution

0.7
when the number of observations n
and the class width 0
0.6
IST 04
0.5

CLH 04

0.4

0.3

0.2

0.1

0
-2

-1.5

-1

-0.5

0.5

1.5

2.5

3.5

4.5

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Probability distributions

Example: exponential distribution (monoparametric)

x < 0: fx (x) = 0
x 0: fx (x) = a e-ax

fx(x)
Fx(x)

0.5

0
0

1/a

2/a

3/a

4/a

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Probability distributions

Example: Rayleigh distribution (monoparametric)

x < 0: fx (x) = 0
x 0:

2x
f X (x) =
e
R
F(x) = 1 e

x 2

R = 0.5
R=1
R=2
R=3
R=4

- x 2 /R

0.5

1.5

2
x/R

2.5

3.5

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Probability distributions

Example: Gaussian distribution (bi-parametric)

=0.2
=0.4
=0.6
=0.8
=1.0
=1.5

1
-[(x - ) 2 / 2 2 ]
f x (x) =
e
2

-3

-2

-1

x/

Note: symmetric: position of symm. axis governed by ,

dispersion governed by

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Probability distributions

Example: Rectangular distribution (bi-parametric)

a x b:
fx (x) = 1/(b-a)
elsewhere:
fx (x) = 0

_1_
b -a

0
0

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Probability distributions

Example: Lognormal distribution (bi-parametric)

x < 0: fx (x) = 0
x 0:
f x (x) =

1
s 2 x

e - [ (ln(x)-m )

/ 2s

parameters:
m=0
s = variable

0.2
0.4
0.6
0.8
1
1.5

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Probability distributions

Example: Weibull distribution (bi-parametric)

x < 0: fx (x) = 0
x 0:

parameters
=1
c = variable

c c 1 (x )

f(x) = c x

F(x) = 1 e

Note:

1
2
3
4

(x )

Weibull with c = 1
with c = 2

exponential

Rayleigh = 1

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Probability distributions

Indexes of probability distributions

The probability distribution Fx(x) and probability density distribution fx (x) functions
provide a complete description of the stochastic variable X.
Indices of the distributions are characteristics that provide synthetic (and
approximate) information about the shape of the distribution
Def: The expected value E [u(x)] of function u (x) is:

E [u (x)] = u (x) f x (x) dx

Such value exists only if the value :

u(x) f

is finite

(x) dx

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Probability distributions

Position indexes - mean

Position indexes identify the position along the real axis of the values of X

Mean (average value):

X = E [X] = x f x (x) dx

Note:
it represents the
order 1 moment (static
moment) of the area of fX(x)
with respect to axis y, (normal
to x in 0). As the area itself is
equal to 1 (fundamental
property
of
fX(x)),
it
corresponds also to the x
coordinate of the centre of
gravity of the area itself.

fX(x)

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Probability distributions

Position indexes - median

Median
It is the value xm of X which yields:
P [X xm]= FX (xm) = 0.5
P [X> xm]= 0.5

fX(x)

Note: It is also true that:

xm

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Probability distributions

Position indexes - fractiles

Fractile of order k (lower or upper)
Lower and upper fractiles are respectively identified by values xk- e xk+, defined so
that:
P (X xk-) = Fx (xk-) = k
P (X xk+) = 1 - Fx (xk+) = k
Note: strength characteristics of construction materials are often defined by very
small lower fractiles: e.g. the fractile of order 1/100 of a yield stress is a value which
is overcome by 99% of the specimens in a traction test.

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Probability distributions

Average value of fractiles (1)

Def: recalling the above definition of upper fractile of order k,
P [+xk X ] =

f X (x) dx

= 1 FX (+Xk) = k

xk

we may be interested in defining the average value of the fractile, i.e. the mean of values

comprised between +xk and .

x k = E[X

x k X ] =

x f X (x) dx
xk

f X (x) dx

1
=
k

x f X (x) dx
ak

xk

If k=1/3, the above mentioned average takes the name of significant value : x1/3

x1/3 = 3

x f X (x) dx

x 1/3

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Probability distributions

Average value of fractile (Rayleigh distrib.)

Note: If a specific formulation is available for fX(x), it is possible to express the above
mentioned integral as a function of the parameters of the distribution.
In particular, for a Rayleigh distribution with parameter R:
k

x1/k

0.89 R

1/3

1.42 R

1/10

1.80 R

1/100

2.36 R

1/1000

2.81 R

1/10000

3.192 R

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Probability distributions

Variability indexes

Average square value:

E [X 2 ] = x 2 f x (x) dx

Note: it represents the moment of inertia of the density distribution (with respect to
the reference axis
Variance of X: var [X] or x2

= var [X] = E [(X - x ) ] = (x - x ) 2 f x (x) dx

2
x

Note: it represents the moment of inertia of the density distribution with respect to
an axis through the barycentre
As a consequence (Huygin theorem):

2x = E [(X - x ) 2 ] = E [X 2 ] - x

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Probability distributions

Variability indexes (2)

Standard deviation x

x = var [X]

Note: It represents the inertia radius. It quantifies the dispersion of the distribution
around the mean value x.
Coefficient of variation C.o.V.
C.o.V.= x/x

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Probability distributions

Shape indexes
Skewness coefficient

1
1 = 3
x

3
(x

)
f x (x) dx
x

Note: if the distribution has an axis of symmetry, x belongs to the axis and 1 = 0
e.g: Gaussian distribution
Flatness coefficient (Kurtosis)

1
2 = 4
x

4
(x

)
f x (x) dx
x

Note: All Gaussian distributions feature 2 = 3

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Probability distributions

Relationship between indexes and parameters

distribution

param.

Rayleigh

Gaussian

Log-normal
Weibull

mean

E[x] =
2

E[x] =

m, s

s
E[x] = exp m +

c,

1 1
E[x] = 1 +
c

variance

Var[x] = 1 R
4
Var[x] = 2

){ ( ) }

Var[x] = exp 2m + s 2 exp s 2 1

2
1 2 1
Var[x] = 2 1 + 1 +
c c

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Probability distributions

Standardised random variables

Def: The random variable

~ X X
X=
X

represents the standardised version of r.v. X

Note 1: according to the definition, X has the following properties:

[~ ]

average value = E X = X~ = 0
st. dev.

[~ ]

= X~ = Var X = 1

Note 2: If fX(x) is Gaussian,

f X~ (~
x) is Gaussian, too (linear transformation of variable)

In this case the distribution is called normalised Gaussian distribution, indicated with
and (respectively density and cumulative distributions).