# Expected value

In probability theory, the

**expected value**of a random variable is a generalization of the weighted average and intuitively is the arithmetic mean of a large number of independent realizations of that variable. The expected value is also known as the

**expectation**,

**mathematical expectation**,

**mean**,

**average**, or

**first moment**.

By definition, the expected value of a constant random variable is. The expected value of a random variable with equiprobable outcomes is defined as the arithmetic mean of the terms If some of the probabilities of an individual outcome are unequal, then the expected value is defined to be the probability-weighted average of the s, i.e. the sum of the products.

Expected value of a general random variable involves integration in the sense of Lebesgue.

## History

The idea of the expected value originated in the middle of the 17th century from the study of the so-called problem of points, which seeks to divide the stakes*in a fair way*between two players who have to end their game before it's properly finished. This problem had been debated for centuries, and many conflicting proposals and solutions had been suggested over the years, when it was posed in 1654 to Blaise Pascal by French writer and amateur mathematician Chevalier de Méré. Méré claimed that this problem couldn't be solved and that it showed just how flawed mathematics was when it came to its application to the real world. Pascal, being a mathematician, was provoked and determined to solve the problem once and for all. He began to discuss the problem in a now famous series of letters to Pierre de Fermat. Soon enough they both independently came up with a solution. They solved the problem in different computational ways but their results were identical because their computations were based on the same fundamental principle. The principle is that the value of a future gain should be directly proportional to the chance of getting it. This principle seemed to have come naturally to both of them. They were very pleased by the fact that they had found essentially the same solution and this in turn made them absolutely convinced they had solved the problem conclusively; however, they did not publish their findings. They only informed a small circle of mutual scientific friends in Paris about it.

Three years later, in 1657, a Dutch mathematician Christiaan Huygens, who had just visited Paris, published a treatise "

*De ratiociniis in ludo aleæ*" on probability theory. In this book he considered the problem of points and presented a solution based on the same principle as the solutions of Pascal and Fermat. Huygens also extended the concept of expectation by adding rules for how to calculate expectations in more complicated situations than the original problem. In this sense this book can be seen as the first successful attempt at laying down the foundations of the theory of probability.

In the foreword to his book, Huygens wrote:

Thus, Huygens learned about de Méré's Problem in 1655 during his visit to France; later on in 1656 from his correspondence with Carcavi he learned that his method was essentially the same as Pascal's; so that before his book went to press in 1657 he knew about Pascal's priority in this subject.

### Etymology

Neither Pascal nor Huygens used the term "expectation" in its modern sense. In particular, Huygens writes:More than a hundred years later, in 1814, Pierre-Simon Laplace published his tract "

*Théorie analytique des probabilités*", where the concept of expected value was defined explicitly:

## Notations

The use of the letter to denote expected value goes back to W. A. Whitworth in 1901. The symbol has become popular since for English writers. In German, stands for "Erwartungswert", in Spanish for "Esperanza matemática", and in French for "Espérance mathématique".Another popular notation is, whereas is commonly used in physics, and in Russian-language literature.

## Definition

### Finite case

Let be a random variable with a finite number of finite outcomes occurring with probabilities respectively. The**expectation**of is defined as

Since the sum of all probabilities is 1, the expected value is the weighted sum of the values, with the values being the weights.

If all outcomes are equiprobable, then the weighted average turns into the simple average. If the outcomes are not equiprobable, then the simple average must be replaced with the weighted average, which takes into account the fact that some outcomes are more likely than the others.

#### Examples

- Let represent the outcome of a roll of a fair six-sided. More specifically, will be the number of pips showing on the top face of the after the toss. The possible values for are 1, 2, 3, 4, 5, and 6, all of which are equally likely with a probability of. The expectation of is
- The roulette game consists of a small ball and a wheel with 38 numbered pockets around the edge. As the wheel is spun, the ball bounces around randomly until it settles down in one of the pockets. Suppose random variable represents the outcome of a $1 bet on a single number. If the bet wins, the payoff is $35; otherwise the player loses the bet. The expected profit from such a bet will be
### Countably infinite case

Let be a non-negative random variable with a countable set of outcomes occurring with probabilities respectively. Analogous to the discrete case, the expected value of is then defined as the series

Note that since, the infinite sum is well-defined and does not depend on the order in which it is computed. Unlike the finite case, the expectation here can be equal to infinity, if the infinite sum above increases without bound.

For a general random variable with a countable number of outcomes, set and. By definition,

Like with non-negative random variables, can, once again, be finite or infinite. The third option here is that is no longer guaranteed to be well defined at all. The latter happens whenever.

#### Examples

- Suppose and for, where is the scale factor such that the probabilities sum to 1. Then, using the direct definition for non-negative random variables, we have
- An example where the expectation is infinite arises in the context of the St. Petersburg paradox. Let and for. Once again, since the random variable is non-negative, the expected value calculation gives
- For an example where the expectation is not well-defined, suppose the random variable takes values 1, −2, 3, −4,..., with respective probabilities,..., where is a normalizing constant that ensures the probabilities sum up to one.
### Absolutely continuous case

where the values on both sides are well defined or not well defined simultaneously.

**Example.**A random variable that has the Cauchy distribution has a density function, but the expected value is undefined since the distribution has large "tails".

### General case

In general, if is a random variable defined on a probability space, then the expected value of, denoted by, is defined as the Lebesgue integralFor multidimensional random variables, their expected value is defined per component, i.e.

and, for a random matrix with elements,

## Basic properties

The basic properties below replicate or follow immediately from those of Lebesgue integral. Note that the letters "a.s." stand for "almost surely" that is a central property of the Lebesgue integral. Basically, one says that an inequality like is true almost surely when the probability measure attributes zero-mass to the complementary event.- For a general random variable, define as before and, and note that, with both and nonnegative. Then
- Let denote the indicator function of an event. Then
**Formulas in terms of CDF:**If is the cumulative distribution function of the probability measure and is a random variable, then

The last equality holds because the fact that where implies that and hence Conversely, if where then

and

The integrand in the above expression for is non-negative, so Tonelli's theorem applies, and the order of integration may be switched without altering the result. We have

Arguing as above,

and

Recalling that completes the proof.

**Non-negativity:**If , then.**Linearity of expectation:**The expected value operator is linear in the sense that, for any random variables and, and a constant,**Monotonicity:**If , and both and exist, then.**Non-multiplicativity:**In general, the expected value is not multiplicative, i.e. is not necessarily equal to. If and are independent, then one can show that. If the random variables are dependent, then generally, although in special cases of dependency the equality may hold.**Law of the unconscious statistician:**The expected value of a measurable function of,, given that has a probability density function, is given by the inner product of and :**Non-degeneracy:**If, then .- For a random variable with well-defined expectation:.
- The following statements regarding a random variable are equivalent:
- * exists and is finite.
- * Both and are finite.
- * is finite.
- If then . Similarly, if then .
- If and then
- If , then. In other words, if X and Y are random variables that take different values with probability zero, then the expectation of X will equal the expectation of Y.
- If for some constant, then. In particular, for a random variable with well-defined expectation,. A well defined expectation implies that there is one number, or rather, one constant that defines the expected value. Thus follows that the expectation of this constant is just the original expected value.
- For a non-negative integer-valued random variable

so the series on the right diverges to and the equality holds.

If then

Define the infinite upper-triangular matrix

The double series is the sum of 's elements if summation is done row by row.

Since every summand is non-negative, the series either converges absolutely or diverges to In both cases, changing summation order does not affect the sum. Changing summation order, from row-by-row to column-by-column, gives us

## Uses and applications

The expectation of a random variable plays an important role in a variety of contexts. For example, in decision theory, an agent making an optimal choice in the context of incomplete information is often assumed to maximize the expected value of their utility function.For a different example, in statistics, where one seeks estimates for unknown parameters based on available data, the estimate itself is a random variable. In such settings, a desirable criterion for a "good" estimator is that it is unbiased – that is, the expected value of the estimate is equal to the true value of the underlying parameter.

It is possible to construct an expected value equal to the probability of an event by taking the expectation of an indicator function that is one if the event has occurred and zero otherwise. This relationship can be used to translate properties of expected values into properties of probabilities, e.g. using the law of large numbers to justify estimating probabilities by frequencies.

The expected values of the powers of

*X*are called the moments of

*X*; the moments about the mean of

*X*are expected values of powers of

*X*− E. The moments of some random variables can be used to specify their distributions, via their moment generating functions.

To empirically estimate the expected value of a random variable, one repeatedly measures observations of the variable and computes the arithmetic mean of the results. If the expected value exists, this procedure estimates the true expected value in an unbiased manner and has the property of minimizing the sum of the squares of the residuals. The law of large numbers demonstrates that, as the size of the sample gets larger, the variance of this estimate gets smaller.

This property is often exploited in a wide variety of applications, including general problems of statistical estimation and machine learning, to estimate quantities of interest via Monte Carlo methods, since most quantities of interest can be written in terms of expectation, e.g., where is the indicator function of the set.

In classical mechanics, the center of mass is an analogous concept to expectation. For example, suppose

*X*is a discrete random variable with values

*x*and corresponding probabilities

_{i}*p*. Now consider a weightless rod on which are placed weights, at locations

_{i}*x*along the rod and having masses

_{i}*p*. The point at which the rod balances is E.

_{i}Expected values can also be used to compute the variance, by means of the computational formula for the variance

A very important application of the expectation value is in the field of quantum mechanics. The expectation value of a quantum mechanical operator operating on a quantum state vector is written as. The uncertainty in can be calculated using the formula.

#### Interchanging limits and expectation

In general, it is not the case that despite pointwise. Thus, one cannot interchange limits and expectation, without additional conditions on the random variables. To see this, let be a random variable distributed uniformly on. For define a sequence of random variableswith being the indicator function of the event. Then, it follows that . But, for each. Hence,

Analogously, for general sequence of random variables, the expected value operator is not -additive, i.e.

An example is easily obtained by setting and for, where is as in the previous example.

A number of convergence results specify exact conditions which allow one to interchange limits and expectations, as specified below.

- Monotone convergence theorem: Let be a sequence of random variables, with for each. Furthermore, let pointwise. Then, the monotone convergence theorem states that
- Fatou's lemma: Let be a sequence of non-negative random variables. Fatou's lemma states that
- Dominated convergence theorem: Let be a sequence of random variables. If pointwise, , and. Then, according to the dominated convergence theorem,
- *;
- *
- *
- Uniform integrability: In some cases, the equality holds when the sequence is
*uniformly integrable*.#### Inequalities

- Markov's inequality: For a
*nonnegative*random variable and, Markov's inequality states that - Bienaymé-Chebyshev inequality: Let be an arbitrary random variable with finite expected value and finite variance. The Bienaymé-Chebyshev inequality states that, for any real number,
- Jensen's inequality: Let be a Borel convex function and a random variable such that. Then
- Lyapunov's inequality: Let. Lyapunov's inequality states that
- Cauchy–Bunyakovsky–Schwarz inequality: The Cauchy–Bunyakovsky–Schwarz inequality states that
- Hölder's inequality: Let and satisfy,, and. The Hölder's inequality states that
- Minkowski inequality: Let be an integer satisfying. Let, in addition, and. Then, according to the Minkowski inequality, and
### Distributions and Expected Values

## Relationship with characteristic function

The probability density function of a scalar random variable is related to its characteristic function by the inversion formula:For the expected value of , we can use this inversion formula to obtain

If is finite, changing the order of integration, we get, in accordance with Fubini–Tonelli theorem,

where

is the Fourier transform of The expression for also follows directly from Plancherel theorem.