3.

2 : 1/8
3.2 Approximating
Non-Linear Functions
linearization by a Taylor's series
approximation
example using y = e
-x
mean with the linearized equation
variance with the linearized equation
a limitation to this approach that is
seldom mentioned in textbooks
extension to functions of more than one
random variable
common non-linear functions
Taylor's Series Linearization
3.2 : 2/8
Let (x) be some non-linear function of x. The general idea of a
Taylor's series is to construct a polynomial, (x -
x
), that
approximates (x) in the vicinity of the mean of the random
variable,
x
. The approximating polynomial has the general form,
( )
( ) ( ) ( )
0 1 2
0 1 2
0! 1! 2!
x x x
x
x x x
x a a a



= + + +
where a
0
= (
x
), a
1
= d(
x
)/dx , a
2
= d
2
(
x
)/dx
2
, etc. With
these values of the a
i
and keeping x
x
, the approximating
polynomial has the same value, slope, curvature, etc., as the non-
linear (x).
A linear approximation can be written by using the first two terms
of (x-
x
).
( ) ( ) ( )
( )
( )
x
x x x
d
x x x
dx

= +
Example Linearization
3.2 : 3/8
Consider the non-linear function, (x) = e
-x
. Develop the linear
approximating function in the vicinity of
x
. To do this we need to
use (
x
) = exp(-
x
), and d(
x
)/dx = -exp(-
x
). The linear
approximation is then given by the following.
( ) ( ) ( )
1
x x x x
x x
x e e x e e x



= +
The red line is the
approximation for

x
= 0.5.
The blue line is the
approximation for

x
= 1.5.
0
0.25
0.5
0.75
1
1.25
0 0.5 1 1.5 2 2.5 3
x

(
x
)
,

(
x
-

x
)
Moments of the Linearized Function
3.2 : 4/8
Rewrite the linearized function so that it has the form a + bx, where
a and b are constants. Remember that
x
is a constant!
( ) ( )
( )
( )
( ) ( )
( ) ( )
x
x x
x x
x x
d
x x
dx
d d
x x
dx dx




+

+


The mean of (x) depends upon both the "a" and "b" terms.
( )
( ) ( )
( )
x x
x x x
x
d d
dx dx

The variance depends only upon the "b" term.

( )
2
2 2 x
x
d
dx

Limitation to Linear Moments
3.2 : 5/8
0
0.25
0.5
0.75
1
1.25
0 0.5 1 1.5 2 2.5 3
x

(
x
)
,

(
x
-

x
)

= 0.1

= 0.2

= 0.5
x
= 1.5
It is very important that you estimate the range over which the pdf
of x will spread the measured values. The linear approximation
might work well with one RSD and not another. Data from the =
0.1 pdf should satisfy the approximation (RSD = 0.067), while data
from the = 0.5 pdf most likely will not (RSD = 0.333).
Extension to Multiple Variables
3.2 : 6/8
Consider a general non-linear function of three independent
random variables, (x,y,z). The first order Taylor's series
expansion is given by the following equation, where
xyz
denotes
simultaneous evaluation at all three means,
x
,
y
, and
z
.
( )
( )
( )
( )
( )
( )
( )
( )
xyz xyz xyz
xyz x y z
x x y z
x y z



+ + +

The propagation of means yields an anticipated result.
( )
xyz
=
The propagation of variance yields the equation found in many texts.
( ) ( ) ( )
2 2 2
2 2 2 2
xyz xyz xyz
x y z
x y z

= + +


Example with Two Variables
3.2 : 7/8
The volume of a cylindrical rod is determined by measuring its
diameter and length.
2
4
V d l

=
The propagation of precision can be used to determine which
measurement will dominate the variance of the volume.
2
2
2 2 2
2 4
V d l
d l d



= +





For a cylinder with a diameter of 1 cm and a length of 10 cm, it can
be seen that the diameter measurement contributes 20 times more to
the volume variance than the length.
2 2
2 2
2 2 2 2 2
10 400
2 4 16 16
V d l d l



= + = +


Variance for Common Functions
3.2 : 8/8
Relative Variance Variance Function
a
z
x
=
2
2 2
4
z x
x
a

=
2 2
x z
z x



=


2
z ax =
( )
2
2 2
2
z x x
a =
2 2
4
x z
z x



=


z a x =
2
2 2
4
z x
x
a

=
2 2
1
4
x z
z x



=


( )
ln z a x =
2
2 2
z x
x
a

=


( )
2
2 2
1
ln
x z
z x x




=





x
z ae =
( )
2
2 2
x
z x
ae

=
2 2
2 x z
x
z x




=


z axy =
( )
( )
2
2
2 2 2
z y x x y
a a = +
2
2 2
y
x z
z x y

= +




x
z a
y
=
2
2
2 2 2
2
x
z x y
y
y
a a

= +




2
2 2
y
x z
z x y

= +




m