Lecture 3

Discrete Random Variables

Bernoulli sequence
S
F

p = probability of a success

• Discrete repeated trials

• 2 outcomes for each trial
• s.i. between trials
• Probability of occurrence same for all trials
Binomial distribution
S
F

x = number of success
p = probability of a success

P ( x success in n trials)
= P ( X = x | n, p) n x n x
   p (1  p)
 x
( x  0,1, 2,..., n)
Examples
• Number of flooded years
• Number of failed specimens
• Number of polluted days
Example:
Given: probability of flood each year = 0.1
Over a 5 year period

5 1
P( X  1)    0.1 (0.9) 4  0.328
1
P ( at most 1 flood year) = P (X =0) + P(X=1)
= 0.95 + 0.328
= 0.919
P (flooding during 5 years)
= P (X  1)
= 1 – P( X = 0)
= 1- 0.95
= 0.41
For Bernoulli sequence Model
• No. of success  binomial distribution

• Number of trials until first success  geometric

distribution
• E(T) =1/p = return period
Significance of return period in design
Service life

Suppose a bldg is expected to last 100 years and if

it is designed against 100 year-wind of 68.6 m/s

design return period

What is the probability of wind speed exceeding 68.6

m/s in 1 year/ in 100 years?

P (exceedence of 68.6 m/s in a year) = 1/100 = 0.01

P (1st exceedence of 68.6 m/s in 100th year)
= 0.99990.01 = 0.0037

P (no exceedence of 68.6 m/s within a service life of

100 years)
= 0.99100 = 0.366

P (no exceedence of 68.6 m/s within the return

period of design) = 0.366
If it is designed against a 200 year-wind of 70.6 m/s

P (exceedence of 70.6 m/s each year) =

1/200 = 0.005

P (1st exceedence of 70.6 m/s in 100th year)

= 0.995990.005 = 0.003
P (no exceedence of 70.6 m/s within a service life of
100 years)
= 0.995100 = 0.606 > 0.366

P (no exceedence of 70.6 m/s within return period

of design)
= 0.995200 = 0.367
How to determine the design wind speed for a given
return period?

• Get histogram of annual max. wind velocity

• Fit probability model
• Calculate wind speed for a design return period
 Frequency

N (72,8)
Example

0.01
V100 Annual max wind
velocity

 P(V  V100 )  0.99

Design for return period of 100 years:  V100  72 
   0.99
p = 1/100 = 0.01  8 
V100 = 90.6 mph
Alternative design criteria 1
Suppose the design wind speed is 100 mph,
what is the corresponding return period?
[V~Normal(72, 7)]
P(V  100)
 100  72 
 1   
 8 
 1  (3.5)
 0.000233 T  4300 years
 Probability of failure

Pf = P (exceedence within 100 years)

= 1- P (no exceedence within 100 years)
=1- (1-0.000233)100 = 0.023
 Poisson distribution

P ( x occurrences in n trials)
n x
   t    t 
x
= n
lim     1  
n  x n   n

( t )  t
x
 e x = 0, 1, 2, …
x!
Poisson Process

1. An event can occur at random and at any time

or any point in the space
2. Occurrence of an event in a given interval is
independent of any other nonoverlapping
intervals.
P 3.42

Service stations along highway are located according

to a Poisson process
Average of 1 station in 10 miles   = 0.1 /mile

P(no gasoline available in a service station)

 P(G)  0.2
 No. of service stations

(a) P( X  1 in 15 miles ) = ?

 P( X  0)  P ( X  1)
( t ) e
0  t
( t ) e
1  t
 
0! 1!
0 1.5 1 1.5
(1.5) e (1.5) e
 
0! 1!
 0.223  0.335
 0.558
(b) P( none of the next 3 stations have gasoline)

No. of stations with gasoline

P(Y  0 | 3, p) binomial
 P(Y  0 | 3, 0.8)
 3
   (0.8) (0.2)
0 3

0
 0.008
(c) A driver noticed the fuel gauge reads empty; he can
go another 15 miles from experience.

P (stranded on highway without gasoline) = ?

No. of station
P (S) in 15 miles
 P( S | X  0) P( X  0)  P( S | X  1) P( X  1)
 P( S | X  2) P( X  2)  ......

binomial Poisson
x P( S| X = x ) P( X = x ) P( S| X = x ) P( X = x )

0 1 e-1.5 = 0.223 0.223

1 0.2 1.5 e-1.5 = 0.335 0.067

2 0.22 1.52/2! e-1.5 = 0.251 0.010

3 0.23 1.53/3! e-1.5 = 0.126 0.001

4 0.24 1.54/4! e-1.5 = 0.047 0.00007

Total = 0.301
Alternative approach

Mean rate of service station = 0.1 per mile

Probability of gas at a station = 0.8
 Mean rate of “wet” station = 0.10.8 = 0.08 per
mile
Occurrence of “wet” station is also Poisson
P (S) = P ( no wet station in 15 mile)
(0.08 15)0 0.0815
 e  e1.2  0.301
0!
Example: Mean rate of rainstorm is 4 per year

(4  12 ) 2 4 12
P (2 rainstorms in next 6 months)  e
2!
 0.271
P (at least 2 rainstorms in next 6 months)
= P(X2)
= 1- P(X=0)-P(X=1)
(4  12 )0 2 (4  12 )1 2
 1 e  e
0! 1!
 0.594
Time to next occurrence in Poisson process

Time until first occurrence = T is a continuous r.v.

d d d
fT (t )   FT (t )   P(T  t )  1  P(T  t )
dt dt dt
 t
P(T  t ) = P (X = 0 in time t) e
d
 fT (t )  1  e t    e t
dt
Recall for an exponential distribution

f X ( x )  e x
T follows an exponential distribution with
parameter  = 

 E(T) =1/

If  = 0.1 per year, E(T) = 10 years

Gamma Distribution
• The time taken for a number of
events (b) in a Poisson process is
described by the gamma distribution
• Gamma distribution – a distribution
of sum of b independent and
identical exponentially distributed
random variables.

b x b 1e  x
f ( x)  x  0;   gamma function
( b )
Skewed distributions (eg. hydraulic
conductivity) can be represented using
gamma without log transformation.
27
Comparison of two families of occurrence models

Bernoulli Poisson
Sequence Process

Interval Discrete Continuous

No. of occurrence Binomial Poisson

Time to next occurrence Geometric Exponential

Time to kth occurrence Negative binomial Gamma
 Homework
3.14, 3.26, 3.55
 Homework
3.14, 3.26, 3.55
 Homework
3.14, 3.26, 3.55