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Probabilities by integration

Check that a function is a density, find the constant that makes it one, and compute probabilities by integrating: for the uniform, the density 2x and a waiting time whose tail runs to infinity, then with a Riemann sum and scipy.integrate.quad.
M06.6.2L1 Core25 min
In review

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Before this lesson: M06.6.1 From histograms to a density M04.7 Integration techniques

What you will be able to do
  • Check that a function is a density and find the constant that makes a function into one.
  • Compute interval probabilities for Unif(a, b) and for the density 2x by integrating by hand.
  • Derive the tail P(T > t) = e^(-λt) of an exponential waiting time as a limit of integrals.
  • Approximate a probability with a Riemann sum written from scratch and confirm it with scipy.integrate.quad.

The question

Requests reach a web server at random, on average one every 2 minutes. A common model for the wait \(T\) until the next one is the density \({f(t) = 0.5\,e^{-0.5t}}\) for \({t \ge 0}\). What is the chance of waiting more than 4 minutes? The answer is an area under a curve that never reaches zero, so the area runs on for ever. How do you compute it, and how do you know the formula was a density at all?

From the last lesson

1. Can a density be larger than 1? Give an example.

Show answer

Yes. \({\text{Unif}(0, 0.5)}\) has height 2 on \({[0, 0.5]}\), and its total area is still 1.

2. How do you turn the count in a histogram bar into a density height?

Show answer

Divide the count by the number of samples to get a share, then divide the share by the bin width.

Intuition

Lesson M06.6.1 found that for a continuous random variable every probability is an area under the density. Computing a probability is therefore computing an integral, and the tools of M04.5 to M04.7 do all the work: an antiderivative when there is one, a limit when the range is infinite, a Riemann sum when nothing else will do.

Two panels. Left, titled P of one quarter at most X at most one half: the black line f of x equals 2 x from 0 to 1, with the strip under it from one quarter to one half shaded yellow and a pointer labelled area equals 3 sixteenths. Right, titled P of T greater than 4: the black curve f of t equals 0.5 e to the minus 0.5 t falling from 0.5 at t equals 0 towards 0 by t equals 12, with the region under it from 4 onwards shaded yellow and a pointer labelled area equals e to the minus 2, about 0.135, the tail runs on for ever.
M06.6.2-F1

Two probabilities as areas. Left: the dart distance of M06.6.1 lands between \({\tfrac14}\) and \({\tfrac12}\) with probability \({\tfrac{3}{16}}\). Right: the wait is longer than 4 minutes with probability \({e^{-2} \approx 0.135}\), the area of a tail with no right-hand end.

The left panel uses this course’s hand density, \({f(x) = 2x}\) on \({[0, 1]}\): the dart distance, small enough to work entirely by hand. The right panel uses the waiting time with rate \({\lambda = 0.5}\) per minute. Both are running examples from here to the end of the course.

Build it up

Step 1. Checking a density. A proposed density must pass the two tests of M06.6.1. It must never be negative, and its total area must be 1. The second test is an integral. For \({2x}\) on \({[0, 1]}\):

\[ \int_0^1 2x\,dx = \big[x^2\big]_0^1 = 1 - 0 = 1 . \]

It is never negative on \({[0, 1]}\), and it is 0 elsewhere, so it passes.

Step 2. Finding the constant. Often the shape of a density is known and only its size is missing. Suppose the chance of a value near \(x\) should grow in proportion to \(x\) on \({[0, 1]}\). Then \({f(x) = cx}\) for some constant \({c > 0}\). The area must be 1:

\[ \int_0^1 cx\,dx = c\Big[\frac{x^2}{2}\Big]_0^1 = \frac{c}{2} = 1, \]

so \({c = 2}\). The constant that makes the area 1 is called the normalising constant.

A graph titled Candidates c x on 0 to 1, and 0 elsewhere. Three straight lines from the origin to x equals 1: a dashed vermillion line to height 1 labelled c equals 1, area one half, too little; a solid black line to height 2 labelled c equals 2, area 1, a density; and a dashed vermillion line to height 3 labelled c equals 3, area three halves, too much. The triangle under the black line is shaded yellow with the note area under 2 x: one half times 1 times 2 equals 1.
M06.6.2-F2

Only one member of the family \({cx}\) encloses area 1. Too small a constant leaves probability missing; too large a constant creates more than there is.

The same step works for the waiting time. If the density has the shape \({e^{-0.5t}}\) for \({t \ge 0}\), then \({f(t) = c\,e^{-0.5t}}\), and the area out to infinity must be 1. Step 4 shows that \({\int_0^\infty e^{-0.5t}\,dt} = {2}\), so \({c = 0.5}\).

Step 3. Probabilities are integrals over intervals. With the density in hand, any probability about \(X\) is an integral, and the fundamental theorem (M04.6.3) evaluates it from an antiderivative.

Step 4. A range with no end. The area under \({f(t)} = {\lambda e^{-\lambda t}}\) cannot be shaded all at once, because the curve runs on for ever. As in M04.7.3, shade it up to a finite end \(M\) and let \(M\) grow. An antiderivative of \({\lambda e^{-\lambda t}}\) is \({-e^{-\lambda t}}\) (differentiate it to check: the chain rule brings down \({-\lambda}\)). So

\[ \begin{aligned} \int_0^M \lambda e^{-\lambda t}\,dt &= \big[-e^{-\lambda t}\big]_0^M \\ &= -e^{-\lambda M} + 1 . \end{aligned} \]

As \({M \to \infty}\), \({e^{-\lambda M} \to 0}\) for any \({\lambda > 0}\), so the total area is 1: the waiting-time density passes the test.

The formal statement

NoteThree densities and their probabilities

Uniform, \({X \sim \text{Unif}(a, b)}\) with \({a < b}\): \({f(x) = \frac{1}{b - a}}\) on \({[a, b]}\), and 0 elsewhere. For \({a \le c \le d \le b}\),

\[ \Prob(c \le X \le d) = \frac{d - c}{b - a}. \]

Hand density, \({f(x) = 2x}\) on \({[0, 1]}\): for \({0 \le c \le d \le 1}\), \({\Prob(c \le X \le d)} = {d^2 - c^2}\).

Exponential, \({T \sim \text{Exp}(\lambda)}\) with rate \({\lambda > 0}\): \({f(t)} = {\lambda e^{-\lambda t}}\) for \({t \ge 0}\), and 0 for \({t < 0}\). For \({t \ge 0}\),

\[ \Prob(T > t) = e^{-\lambda t}. \]

Uniform. The density is a flat line, so the area over \({[c, d]}\) is a rectangle of width \({d - c}\) and height \({1/(b - a)}\). With the integral: \({\int_c^d \frac{dx}{b - a}} = {\frac{d - c}{b - a}}\). Over the whole of \({[a, b]}\) this is 1.

Hand density. An antiderivative of \({2x}\) is \({x^2}\), so \({\int_c^d 2x\,dx = d^2 - c^2}\). For instance, \({\Prob(X \le \tfrac12)} = {\tfrac14 - 0} = {\tfrac14}\): the inner half of the distances holds only a quarter of the darts.

Exponential tail. The event \({T > t}\) is an interval with no right-hand end, so its probability is the limit of the areas from \(t\) to \(M\):

\[ \begin{aligned} \Prob(T > t) &= \lim_{M \to \infty} \int_t^M \lambda e^{-\lambda s}\,ds \\ &= \lim_{M \to \infty} \big(e^{-\lambda t} - e^{-\lambda M}\big) \\ &= e^{-\lambda t}. \end{aligned} \]

The middle line uses the antiderivative of Step 4: \({-e^{-\lambda M} - (-e^{-\lambda t})}\).

A graph titled Area from 2 to M: e to the minus 1, minus e to the minus M over 2. The black curve 0.5 e to the minus 0.5 t for t from 0 to 17, with the region under it from t equals 2 to 16 shaded yellow. Orange dashed lines stand at t equals 4, 8 and 16, labelled to 4: 0.233, to 8: 0.350, to 16: 0.368. A note on the right reads limit as the end M goes to infinity: e to the minus 1, about 0.368.
M06.6.2-F4

The tail beyond 2 minutes, built up by moving the right end out. The areas 0.233, 0.350 and 0.368 close in on \({e^{-1} \approx 0.368}\).

With \({\lambda = 0.5}\) the tail gives \({\Prob(T > 2)} = {e^{-1}} \approx {0.368}\) and \({\Prob(T > 4)} = {e^{-2}} \approx {0.135}\), which answers the question: about one wait in seven lasts more than 4 minutes. An interval in the middle is a difference of two tails, because \({\{T > 1\}}\) is \({\{1 < T \le 3\}}\) together with \({\{T > 3\}}\):

\[ \begin{aligned} \Prob(1 \le T \le 3) &= e^{-0.5} - e^{-1.5} \\ &\approx 0.6065 - 0.2231 \\ &\approx 0.383 . \end{aligned} \]

Go deeper: why the exponential fits waiting times

Split each minute into \(n\) short slots and suppose a request arrives in each slot with chance \({\lambda/n}\), independently. Waiting more than \(t\) minutes means \({nt}\) empty slots in a row, with chance \({(1 - \lambda/n)^{nt}}\). As \({n \to \infty}\) this tends to \({e^{-\lambda t}}\), the tail above. Module M06.8 derives this limit and proves that such waits are memoryless.

Worked example

Find \({\Prob(\tfrac14 \le X \le \tfrac12)}\) for the hand density \({2x}\), three ways.

With the antiderivative.

\[ \begin{aligned} \int_{1/4}^{1/2} 2x\,dx &= \big[x^2\big]_{1/4}^{1/2} \\ &= \tfrac14 - \tfrac{1}{16} \\ &= \tfrac{3}{16}. \end{aligned} \]

As a trapezoid. The region is a trapezoid of width \({\tfrac14}\), with heights \({2 \cdot \tfrac14 = \tfrac12}\) and \({2 \cdot \tfrac12 = 1}\) at its two sides. Its area is the width times the mean height: \({\tfrac14 \times \tfrac{1}{2}(\tfrac12 + 1)} = {\tfrac14 \times \tfrac34} = {\tfrac{3}{16}}\).

As a difference of triangles. The triangle under \({2x}\) from 0 to \({\tfrac12}\) has area \({\tfrac12 \times \tfrac12 \times 1} = {\tfrac14}\); the one from 0 to \({\tfrac14}\) has area \({\tfrac12 \times \tfrac14 \times \tfrac12} = {\tfrac{1}{16}}\). Take one from the other.

Two panels of the line 2 x from 0 to just past one half. Left, titled Trapezoid, width times mean height: the region from one quarter to one half is shaded yellow, with a bracket for its width one quarter and vertical brackets for its two heights one half and 1, and the sum one quarter times the mean of 0.5 and 1 equals 3 sixteenths. Right, titled Big triangle minus small: the small triangle from 0 to one quarter is hatched blue and labelled 1 sixteenth, the strip from one quarter to one half is yellow, and the text reads one quarter minus 1 sixteenth equals 3 sixteenths, x squared at one half minus x squared at one quarter.
M06.6.2-F3

The same \({\tfrac{3}{16}}\) two more ways. The difference of triangles is exactly what the antiderivative \({x^2}\) computes.

All three agree, and the third shows what the antiderivative is: \({x^2}\) is the area from 0 up to \(x\). Lesson M06.6.3 gives that area a name. By the complement rule (M06.1.4), the chance that a dart lands in the outer half of the radius is \({\Prob(X > \tfrac12)} = {1 - \tfrac14} = {\tfrac34}\).

Code

A Riemann sum (M04.5.2) needs no antiderivative: cut the interval into \(n\) strips, take the density at the middle of each, and add up height times width. From scratch, for \({\Prob(1 \le T \le 3)}\):

import math

lam = 0.5

def f_wait(t):
    """The waiting-time density: lam * e^(-lam t) for t >= 0, and 0 before."""
    return lam * math.exp(-lam * t) if t >= 0 else 0.0

def midpoint_sum(f, a, b, n):
    """Area under f from a to b, from n strips with heights taken at their midpoints."""
    h = (b - a) / n
    return sum(f(a + (k + 0.5) * h) for k in range(n)) * h

exact = math.exp(-0.5) - math.exp(-1.5)
for n in (4, 10, 100, 1000):
    approx = midpoint_sum(f_wait, 1, 3, n)
    print(f"n = {n:4d}: {approx:.6f}   error {approx - exact:+.1e}")
print(f"exact:      {exact:.6f}")
n =    4: 0.382404   error -1.0e-03
n =   10: 0.383241   error -1.6e-04
n =  100: 0.383399   error -1.6e-06
n = 1000: 0.383400   error -1.6e-08
exact:      0.383400
A graph titled Riemann sum: width 0.5 times height at the middle. The black curve 0.5 e to the minus 0.5 t for t from 0 to 4.5, with four vermillion rectangles standing on the axis between t equals 1 and 3, each 0.5 wide, whose tops cross the curve at their midpoints, marked with vermillion dots. Labels read 4 rectangles: 0.3824, exact: 0.3834, heights taken at the midpoints.
M06.6.2-F5

Four rectangles already give 0.3824 against the exact 0.3834. Each rectangle gains a little on one side of its midpoint and loses a little on the other.

The error shrinks a hundredfold each time \(n\) grows tenfold, the rate the midpoint rule promises. scipy.integrate.quad does the same job adaptively, and it accepts np.inf as a limit, so a tail needs no hand-made limit.

import numpy as np
from scipy.integrate import quad

total, _ = quad(f_wait, 0, np.inf)
tail_4, _ = quad(f_wait, 4, np.inf)
middle, _ = quad(f_wait, 1, 3)
dart, _ = quad(lambda x: 2 * x, 0.25, 0.5)
print(f"total area {total:.6f}, P(T > 4) = {tail_4:.4f}, P(1 <= T <= 3) = {middle:.4f}")
print(f"P(1/4 <= X <= 1/2) = {dart:.6f}  (3/16 = {3 / 16})")

rng = np.random.default_rng(1)
waits = rng.exponential(scale=1 / lam, size=200_000)    # NumPy takes the scale 1/lam, not the rate
print(f"simulated share of waits above 4: {np.mean(waits > 4):.4f}")
total area 1.000000, P(T > 4) = 0.1353, P(1 <= T <= 3) = 0.3834
P(1/4 <= X <= 1/2) = 0.187500  (3/16 = 0.1875)
simulated share of waits above 4: 0.1338

The integrals agree with the hand results, and 200,000 simulated waits give a share above 4 minutes close to \({e^{-2} \approx 0.1353}\).

Explore

The interactive of this module is in lesson M06.6.3. Choose the exponential density, set \({a = 4}\) and drag \(b\) to the far right: the area climbs to 0.1286, close to the tail \({e^{-2} \approx 0.1353}\); the rest lies beyond the edge of the drawing.

Pitfalls

Two panels with x from 0 to 2. Left, marked with a cross and titled Formula used past 1: a vermillion line from the origin to height 4 at x equals 2, with the whole triangle under it shaded, labelled the integral from 0 to 2 of 2 x equals 4, and the quoted claim P of X at most 2 equals 4. Right, marked with a tick and titled Zero outside 0 to 1: the black line rises from 0 to height 2 at x equals 1, drops to 0 and stays there, with the triangle from 0 to 1 shaded yellow, labelled the integral from 0 to 1 of 2 x plus the integral from 1 to 2 of 0 equals 1, and f equals 0 here beyond 1.
M06.6.2-F6

Wrong beside right. The formula \({2x}\) holds only on \({[0, 1]}\). Beyond 1 the density is 0, so \({\Prob(X \le 2) = 1}\), not 4.

“The density is \({2x}\), so \({\Prob(X \le 2)} = {\int_0^2 2x\,dx} = {4}\).”

A density formula comes with a range, and outside it the density is 0. Split the integral where the formula changes: \({\int_0^1 2x\,dx + \int_1^2 0\,dx} = {1}\). A probability above 1 is always a sign that a range has been forgotten.

“rng.exponential(0.5) draws waits with rate 0.5.”

NumPy’s exponential and SciPy’s expon take the scale \({1/\lambda}\), which is the mean wait, not the rate. rng.exponential(0.5) draws waits with mean 0.5 minutes, four times too short for this lesson’s \({\lambda = 0.5}\). Write scale=1 / lam and the mistake cannot happen.

“The constant does not matter; only the shape does.”

The shape fixes which values are more likely, but probabilities need the constant. Fitting a model by its likelihood in machine learning relies on the density having area 1; a model that could raise its density everywhere would score better without fitting anything. Normalising is what stops it.

Check yourself

Recall

1. What two things do you check to decide whether a function is a density?

Show answer

That it is never negative, and that its total area (its integral over the whole line) is 1.

2. For which constant \(c\) is \({cx}\) on \({[0, 1]}\) a density?

Show answer

\({c = 2}\), because \({\int_0^1 cx\,dx = c/2}\) must be 1.

3. If \({X \sim \text{Unif}(a, b)}\), what is \({\Prob(c \le X \le d)}\) for \({a \le c \le d \le b}\)?

Show answer

\({(d - c)/(b - a)}\): the length of the interval over the length of the range.

4. For a waiting time with density \({\lambda e^{-\lambda t}}\), what is \({\Prob(T > t)}\)?

Show answer

\({e^{-\lambda t}}\). With \({\lambda = 0.5}\) and \({t = 4}\) that is \({e^{-2} \approx 0.135}\).

5. Why is an integral out to infinity written as a limit?

Show answer

An area with no right-hand end cannot be computed in one go. It is defined as the limit of the areas up to a finite end \(M\) as \({M \to \infty}\), when that limit exists (M04.7.3).

Exercises

1. ★ A bus arrives at a random time, uniformly between 2 and 6 minutes from now. Find the chance that it arrives between 3 and 4.5 minutes from now.

Show solution

\({X \sim \text{Unif}(2, 6)}\) has density \({\tfrac14}\) on \({[2, 6]}\), so \({\Prob(3 \le X \le 4.5)} = {(4.5 - 3)/(6 - 2)} = {1.5/4} = {0.375}\).

2. ★★ A density has the form \({f(x) = cx^2}\) on \({[0, 3]}\), and 0 elsewhere. Find \(c\), then \({\Prob(X \le 1.5)}\).

Show solution

The area is \({\int_0^3 cx^2\,dx} = {c\big[\tfrac{x^3}{3}\big]_0^3} = {9c}\), so \({c = \tfrac19}\). Then

\[ \begin{aligned} \Prob(X \le 1.5) &= \tfrac19\Big[\tfrac{x^3}{3}\Big]_0^{1.5} \\ &= \tfrac{3.375}{27} = 0.125 . \end{aligned} \]

Half the range holds only an eighth of the probability, because the density grows like \({x^2}\).

3. ★★★ For the waiting time with \({\lambda = 0.5}\), find the time \(t\) that only 5% of waits exceed. Then show that \({\Prob(T > 2t)} = {\Prob(T > t)^2}\) for every \({t \ge 0}\), and say what it means in words.

Show solution

Solve \({e^{-0.5t} = 0.05}\). Take logarithms: \({-0.5t = \ln 0.05 = -\ln 20}\), so \({t = 2\ln 20 \approx 5.99}\) minutes. For the second part, \({\Prob(T > 2t)} = {e^{-2\lambda t}} = {(e^{-\lambda t})^2} = {\Prob(T > t)^2}\). In words: surviving \({2t}\) minutes without a request is like surviving \(t\) minutes twice in a row, independently, which is the memoryless property that module M06.8 proves.

Summary card

A probability is an integral of the density.

The anchor figure again: the line 2 x with the strip from one quarter to one half shaded, area 3 sixteenths, and the curve 0.5 e to the minus 0.5 t with the tail beyond 4 shaded, area e to the minus 2, about 0.135.
M06.6.2-F1

A bounded interval, and a tail.

  • Check a density: \({f \ge 0}\) and \({\int f = 1}\); solve the second for a missing constant.
  • Uniform: \({\Prob(c \le X \le d)} = {(d - c)/(b - a)}\).
  • Hand density \({2x}\): \({\Prob(c \le X \le d)} = {d^2 - c^2}\), so \({\Prob(\tfrac14 \le X \le \tfrac12)} = {\tfrac{3}{16}}\).
  • Exponential: \({\Prob(T > t)} = {e^{-\lambda t}}\), a limit of integrals.
  • Numerically: a midpoint sum from scratch, then scipy.integrate.quad, which accepts np.inf.

Sources and next steps

Sources. Each was opened and checked against this lesson on 14 November 2026.

  • Jeremy Orloff and Jonathan Bloom, Reading 5b, Continuous random variables, MIT OpenCourseWare 18.05, Spring 2022. Section 4.2 works probabilities as areas (Example 2, a density of height 3), finds a normalising constant (Example 3, \({Cx^2}\) on \({[0, 1]}\) gives \({C = 3}\)) and integrates for a probability (Example 4).
  • Hossein Pishro-Nik, Section 4.1.1 finds the constant \(c\) in \({c\,e^{-x}}\) by integrating and computes \({\Prob(1 < X < 3)}\); and Section 4.2.2 gives the exponential density \({\lambda e^{-\lambda x}}\) for \({x \ge 0}\), its CDF \({1 - e^{-\lambda x}}\) and its mean \({1/\lambda}\).
  • Charles M. Grinstead and J. Laurie Snell, Introduction to Probability, Section 2.2, Example 2.12: the dart-distance density \({2r}\) and \({\Prob([a, b]) = b^2 - a^2}\).
  • SciPy reference, scipy.integrate.quad: returns the integral and an estimate of its absolute error, and takes numpy.inf for an infinite limit.

Next. M06.6.3 The CDF, quantiles and sampling names the area to the left of \(x\), reads medians off it, and turns it round to draw random samples.

This lesson unlocks

M06.6.3 The CDF, quantiles and sampling

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