# Expected Value of Random Walk

Can someone very simply explain to me how to compute the expected distance from the origin for a random walk in $1D, 2D$, and $3D$? I've seen several sources online stating that the expected distance is just $\sqrt{N}$ where $N$ is the number of time steps, but others say that the expected distance is $\sqrt{\frac{2N}{\pi}}$. Which one is it and is it the same regardless of dimension?

Thanks

The expected value of the square of the absolute distance from the origin is $N$ (you are adding together $N$ independent random variables with mean $0$ and absolute magnitude $1$), and this is true in any dimension.

So those sources which are telling you $$\sqrt N$$ are giving you this as in some sense the "root mean square" distance from the starting point. It is not the expected value of the distance.

For a one dimensional random walk the expected absolute distance from the origin after $N$ steps is not easy to state explicitly, but as $N$ increases it becomes close to $$\sqrt{\dfrac{2N}{\pi}}.$$ So the sources which give you that are in a sense talking about a limit.

This changes for higher dimensions: if there are $d$ dimensions then the expected absolute distance from the origin after $N$ steps becomes close to $$\sqrt{\dfrac{2N}{d}} \dfrac{\Gamma(\frac{d+1}{2})}{\Gamma(\frac{d}{2})}$$ where $\Gamma$ is the Gamma function. As the number of dimensions increases, this get close to but is still below $\sqrt N$.

This is related to the means of the chi- and chi-squared distributions.

• There is a related question, where the OP asks for some reference for the formula from your post. As he does not have a privilege to post comments, I am pinging you instead of him. Sep 1, 2013 at 17:50

In an arbitrary dimension d:

Let $$\vec{R}$$ be the end-to-end distance vector of a random walk of fixed step length $$|\vec{r}_i| = l$$. $$\vec{R}$$ can then be expressed as $$\displaystyle \vec{R} = \sum_{i=1}^N \vec{r}_i$$, where $$\vec{r}_i$$ is the vector of the $$i$$-th step. The Root-Mean-Square End-to-End Distance is given by $$\textrm{RMS}=\sqrt { \langle R^2 \rangle }$$. Since the steps are mutually independent, the covariance of two steps $$\vec{r}_i$$ and $$\vec{r}_j$$ is zero if $$i\neq j$$ and $$\textrm{Cov}(\vec{r}_i, \ \vec{r}_j)= \textrm{Var}(\vec{r}_i)$$ if $$i=j$$. The variance of $$\vec{r}_i$$ can be expressed as $$\textrm{Var}(\vec{r}_i)= \langle \vec{r}_i \cdot \vec{r}_i \rangle - \langle \vec{r}_i \rangle^2$$. Due to symmetry $$\langle \vec{r}_i \rangle=\vec{0}$$ and therefore the variance of of $$\vec{r}_i$$ is simply $$\textrm{Var}(\vec{r}_i)= \langle \vec{r}_i \cdot \vec{r}_i \rangle = |\vec{r}_i|^2 = l^2$$. Altogether, the covariance of $$\vec{r}_i$$ and $$\vec{r}_j$$ equals $$\textrm{Cov}(\vec{r}_i, \ \vec{r}_j)=\delta_{ij}l^2$$. The covariance of $$\vec{r}_i$$ and $$\vec{r}_j$$ can also be expressed as $$\textrm{Cov}(\vec{r}_i, \ \vec{r}_j) = \langle \vec{r}_i \cdot \vec{r}_j \rangle - \langle \vec{r}_i \rangle \cdot \langle \vec{r}_j \rangle$$. Combining the two different expressions for the covariance and using that $$\langle \vec{r}_i \rangle=0$$, results in $$\langle \vec{r}_i \cdot \vec{r}_j \rangle =\delta_{ij}l^2$$. This result can be used to determine the RMS:

$$\textrm{RMS}=\sqrt { \langle R^2 \rangle } = \sqrt { \langle \vec{R} \cdot \vec{R} \rangle } =\sqrt { \big\langle \sum_{i=1}^N \vec{r}_i \cdot \sum_{j=1}^N \vec{r}_j \big\rangle } =\sqrt { \sum_{i=1}^N \sum_{j=1}^N \langle \vec{r}_i \cdot \vec{r}_j \rangle }=$$ $$=\sqrt { \sum_{i=1}^N \sum_{j=1}^N l^2 \delta_{ij} + 0^2}=\sqrt { \sum_{i=1}^N l^2}=\sqrt { N l^2}=l\sqrt { N }$$

Let $$Z_i$$ denote the $$i$$-th coordinate of the end-to-end distance vector $$\vec{R}$$ after $$N$$ steps, and let $$X_i$$ and $$Y_i$$ denote the number of steps taken in the $$i$$-th dimension in the positive and negative direction respectively. Then the set of random variables $$\{X_i, Y_i\}_{i=1}^d$$ follows a multinomial distribution with parameters $$N$$ and $$\displaystyle p_i=\frac{N}{2d}$$. For sufficiently large values of $$N$$, $$\{X_i, Y_i\}_{i=1}^d$$ are approximately iid (independent and identically distributed) Poisson random variables with parameters $$\displaystyle \lambda_i = \frac{N}{2d}$$. For $$\lambda > 20$$, i.e. $$N>40d$$, $$\textrm{Po}(\lambda) \sim \textrm{N}(\lambda, \lambda)$$. $$Z_i = l(X_i - Y_i)$$ and therefore $$\displaystyle Z_i \sim \textrm{N}(l(\lambda - \lambda), l^2(\lambda+\lambda))=\textrm{N}(0, 2l\lambda)=\textrm{N}\left(0, \frac{l^2N}{d}\right)$$.

$$\displaystyle \langle R \rangle = \langle \sqrt{R^2} \rangle = \left\langle \sqrt{ \sum_{i=1}^d Z_i^2} \right\rangle$$. The square root of a sum of $$k$$ independent $$\textrm{N}(0, 1)$$-distributed random variables is distributed according to the chi distribution, $$\chi_k$$. Therefore $$\displaystyle \sqrt{ \sum_{i=1}^d \frac{dZ_i^2}{l^2N}}$$ is approximately $$\chi_d$$-distributed for large values of $$N$$. The expected value of a $$\chi_k$$-distributed random variable is $$\displaystyle \sqrt{2} \frac{ \Gamma \left(\frac{k+1}{2}\right) }{\Gamma \left( \frac{k}{2}\right)}$$.

Hence $$\displaystyle \langle R \rangle =\left\langle\sqrt{ \sum_{i=1}^d Z_i^2}\right\rangle =\left\langle l \sqrt{\frac{N}{d}} \sqrt{ \sum_{i=1}^d \frac{dZ_i^2}{l^2N} }\right\rangle = l \sqrt{\frac{2N}{d} }\frac{ \Gamma \left(\frac{d+1}{2}\right) }{\Gamma \left( \frac{d}{2}\right)}$$.

The derivation above assumes that the walk is on a hypercubic lattice.

I am not aware any theoretical derivation of the estimated end-to-end distance for freely jointed random walks in an arbitrary dimension.

BELOW SIMULATIONS ARE INCORRECT! (INCORRECT SAMPLING OF ANGLES)

From simulations, the estimated end-to-end distance for freely jointed random deviates from that of random walks on hypercubic lattices by a factor $$\alpha\approx 1.02e^{0.00055\hat d}\hat d^{-0.0295}$$, $$\displaystyle\hat d = \max(d, 50)$$ shown in the graph below.

e.i. $$\langle R\rangle_\mathbb{R}$$ is approximately given by $$\displaystyle \langle R\rangle_\mathbb{R} \approx \alpha \langle R\rangle_\mathbb{Z} = \alpha\sqrt{\frac{2N}{d}}\frac{\Gamma\left(\frac{d+1}{2}\right)}{\Gamma\left(\frac{d}{2}\right)}$$, where $$\displaystyle\alpha \approx 1.02e^{0.00055\hat d}\hat d^{-0.0295}$$, $$\displaystyle\hat d = \max(d, 50)$$.

• it looks like this derivation is assuming that each step is along one single dimension? as opposed to something like $(sin \theta, cos \theta )$, it's always $(1,0) (0,1), (-1,0), (0,-1)$ etc? Jan 3, 2020 at 12:54
• @Vendetta Yes! I am not aware any theoretical derivation of the estimated end-to-end distance for freely jointed random walks in an arbitrary dimension. From simulations, the estimated end-to-end distance for freely jointed random deviates from that of random walks on hypercubic lattices. Jan 4, 2020 at 13:17
• Thanks, it's probably close enough when N is large enough. Jan 4, 2020 at 13:46
• Out of curiosity, there is a estimated end-to-end distance for freely jointed random walks in two-dimension? Not higher dimension, but just two-dimension. Jan 4, 2020 at 13:47