Generating probability distributions on intervals and spheres: Convex decomposition

Abstract

This work studies the convexity of a class of positive definite probability measures with density functionsρ=cλ∑n=0∞g(n)Cnλwλ, that are generated through the interval characteristic sequences. We discuss when such measures supported in an interval are convex and demonstrate how convexity is preserved under multiplication by certain multipliers and under the intertwining product. A key message to be delivered from this work is: any integrable function f on the interval with a polynomial expansion that has relatively fast absolute convergence, can be decomposed into a non-unique pair of positive convex interval probabilities (f+,f−)∈Eλ′×Eλ′ up to normalization, in the sense that f=f+−f−, where Eλ′ is a class of convex functions. Consequently not only the study of an interval distribution is reduced to the study of the properties of class Eλ′, but also the discontinuous probabilistic Galerkin schemes can be simplified. As concrete examples the decomposition of polynomials and truncated normal distribution are computed and graphically illustrated. Such interval measures lead to localized spherical probability measures, and as a convex expression of probability measure is a Jensen type inequality for spherical random variables. Based on the spherical information entropy models, one dependent on the domain partition and the other not, we propose three minimization formulations for the probabilistic finite element method, including one that mixes the least-squares and entropy models.