1. Lecture 4 Propagation of errors
Introduction
l Example: Suppose we measure the current (I) and resistance (R) of a resistor.
u Ohm's law relates V and I:
V = IR
u If we know the uncertainties (e.g. standard deviations) in I and R, what is the uncertainty in V?
l More formally, given a functional relationship between several measured variables (x, y, z),
u What is the uncertainty in Q if the uncertainties in x, y, and z are known?
n To answer this question we use a technique called Propagation of Errors.
u Usually when we talk about uncertainties in a measured variable such as x, we assume:
n the value of x represents the mean of a Gaussian distribution
n the uncertainty in x is the standard deviation () of the Gaussian distribution
BUT not all measurements can be represented by Gaussian distributions (more on that later)!
Propagation of Error Formula
l To calculate the variance in Q as a function of the variances in x and y we use the following:
u If the variables x and y are uncorrelated (xy = 0), the last term in the above equation is zero.
We can derive the above formula as follows:
u Assume we have several measurement of the quantities x (e.g. x1, x2...xi) and y (e.g. y1, y2...yi).
n The average of x and y:
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2. evaluated at the average values u expand Qi about the average values:
u define:
evaluated at the average values
u expand Qi about the average values:
u assume the measured values are close to the average values
Let’s neglect the higher order terms:
u If the measurements are uncorrelated the summation in the above equation is zero
Since the derivatives are evaluated at the average values (mx, my) we can pull them out of the summation
uncorrelated errors
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3. u If x and y are correlated, define xy as:
l Example: Power in an electric circuit.
P = I2R
u Let I = 1.0 ± 0.1 amp and R = 10. ± 1.0 
P = 10 watts
u calculate the variance in the power using propagation of errors assuming I and R are uncorrelated
P = 10± 2 watts
If the true value of the power was 10 W and we measured it many times with
an uncertainty (s) of ± 2 W and gaussian statistics apply then 68% of the
measurements would lie in the range [8,12] watts
u Sometimes it is convenient to put the above calculation in terms of relative errors:
n In this example the uncertainty in the current dominates the uncertainty in the power!
Thus the current must be measured more precisely if we want to reduce the uncertainty in the power
correlated errors
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4. We can determine the mean better by combining measurements.
l Example: The error in the average (“error in the mean”).
u The average of several measurements each with the same uncertainty (s) is given by:
We can determine the mean better by combining measurements.
But the precision only increases as the square root of the number of measurements.
n Do not confuse sm with s !
n s is related to the width of the pdf (e.g. Gaussian) that the measurements come from.
n s does not get smaller as we combine measurements.
Problem in the Propagation of Errors
l In calculating the variance using propagation of errors:
u We usually assume the error in measured variable (e.g. x) is Gaussian.
BUT if x is described by a Gaussian distribution
f(x) may not be described by a Gaussian distribution!
“error in the mean”
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5. u Example: The new distribution is Gaussian.
l What does the standard deviation that we calculate from propagation of errors mean?
u Example: The new distribution is Gaussian.
n Let y = Ax, with A = a constant and x a Gaussian variable.
y = Ax and y = Ax
n Let the probability distribution for x be Gaussian:
Thus the new probability distribution for y, p(y, y, y), is also described by a Gaussian.
100
y = 2x with x = 10 ± 2 80
sy = 2sx = 4
Start with a Gaussian with m = 10, s = 2
Get another Gaussian with m = 20, s = 4 60
dN/dy 40 20 y 10 20 30 40
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6. u Example: When the new distribution is non-Gaussian: y = 2/x.
n The transformed probability distribution function for y does not have the form of a Gaussian.
l Unphysical situations can arise if we use the propagation of errors results blindly!
 u Example: Suppose we measure the volume of a cylinder: V = pR2L.
n Let R = 1 cm exact, and L = 1.0 ± 0.5 cm.
n Using propagation of errors:
sV = pR2sL = p/2 cm3.
V = p ± p/2 cm3
  n If the error on V (sV) is to be interpreted in the Gaussian sense then there is a
finite probability (≈ 3%) that the volume (V) is < 0 since V is only 2s away from 0!
Clearly this is unphysical!
Care must be taken in interpreting the meaning of sV.
100
y = 2/x with x = 10 ± 2 80
sy = 2sx /x2
Start with a Gaussian with m = 10, s = 2.
DO NOT get another Gaussian!
Get a pdf with m = 0.2, s = 0.04.
This new pdf has longer tails than a Gaussian pdf:
Prob(y > my + 5sy) = 5x10-3, for Gaussian » 3x10-7 60
dN/dy 40 20
0.1
0.2
0.3
0.4
0.5
0.6 y
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