Random Variables and Probability

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Statistics and probability are two pretty complex and large topics. Our personal opinion though is that they are very few references or books out there which we believe do explain these fields the right way especially to people who know nothing of the subject. They are either providing tons of pointless examples without explaining the theory, or just give the theory in the form of equations and definitions without really explaining what they mean. We do believe this lesson is one of the best introductions (at least of all the documents we found) on the web so far on probability and statistics.

This lesson is not a complete introduction in statistics. This is more a crash course which hopefully provides enough information on the topic for anybody to understand how, why and where statistical methods and probability are used in rendering (particularly with regard to these Monte Carlo methods).

Random Variables and Probability
The first chapter of this lesson will be dedicated to introducing, explaining and understanding what a random variable is. The concept of random variable is central to the probability theory and also to rendering more specifically. What random variables truly is often misunderstood particularly by programmers who just see them as the result of some C++ functions returning some arbitrary number within a given interval. This is not what a random variable is! Let’s take an example and start with a coin. Tossing a coin is an example of what we call a random process, because before you toss that coin, you can’t tell or predict whether it will land on heads or tails. This is also true of a rolling die, of roulette, of a lottery game, etc. Even though many natural phenomena can be considered as random processes (the rain falling everyday is a random process), we have mostly mentioned examples of games of chance so far, because they are probably what motivated mathematicians to study and develop statistics and probability theory in the first place. Why? Read this:

The cities of London and Paris were full of shopping opportunities, as well as many chances to lose the family fortune in some high stakes gambling [the text here refers to the life and fortune of aristocrats in the 17th and 18th century]. Games of chance 碰运气游戏 were always popular and the biggest games were found in the larger towns and cities. As a result of all this spending, the nobles [always] needed more money.

In this context, it is not hard to understand why mathematicians of that time got really interested in trying to understand if there was any possible way by which they could measure their chances to win or lose a game of chance, by formalising the process in the form of equations (readers interested in this historical part can search for Comte de Buffon and de Moivre, etc.). Because heads and tails don’t fit well in equations, the first thing they did was to map or assign if you wish, numbers to each possible outcome of a random process. In other words, they said lets assign 1 if the coin lands heads up, and 0 if it lands tails up which you can formalize in mathematical notation as:

It seems like a very simple idea, but no one had done that before, and this formulation actually is probably more complex than it appears in the first place. The term X on the left inside is what you call a random variable. Now notice how we actually wrote this term as if we actually had defined it as a function taking the argument ω. The term ω in this context is what we refer to as the outcome of the random process. In our coin example, the outcome can either be “tails” or “heads”, in other words a random variable is a real-valued function mapping a possible outcome (heads or tails) from the random process to a number (1 or 0 but note that these numbers don’t need to be 1 and 0 they could be anything else you like such as 12 and 23 or 567 and 1027. What you map the outcome of the process to is really up to you). This is very similar in a way to writing something like f(x)=2x+3 where X(ω) here is similar in a way to f(x). As you can see, a random variable is not a fixed value. It is more like a function, but the word variable in the name obviously makes things very confusing because the word variable is generally used to denote unknowns in equations. Maybe it would have been best to call that a random function, but random function in probability theory has another meaning, and we have to stick to random variable however always keep in mind that a random variable is not a fixed value, but a function, mapping or associating a unique numerical value to each possible outcome of a random process which is not necessarily a number (“tails”, “heads”).