A random variable is a variable that can take on different values randomly. On its own, a random variable is just a description of the states that are possible (you can think of these like functions), which must be coupled with a probability distribution that specifies how likely each of these states is.

Well, if that doesn't make sense, let me give you an example, when I first heard about random variables, I thought this must work like a random number generator spitting out random values at each call, this is partly correct, let me clear it up. So, random number generators have two main components, a sampler, which is nothing more than a happy soul that flips a coin over and over again, reporting the results. And after this sampler, we have a random variable, the job of the random variable is to translate these Heads or Tails events into numbers based on our rules.

Random variables can be discrete or continuous. A discrete random variable is one that has a finite or countably infinite number of states. Note that these states are not necessarily the integers; they can also just be named states that are not considered to have any numerical value. For example, gender (male, female, etc), for which we use an indicator function I to map non-numeric values to numbers, e.g. male=0, female=1. A continuous random variable is associated with real value.

"""
The Rademacher and Rayleigh are two types of distributions we will use to generate our samples.

Rademacher: is a discrete probability distribution where a random variate X has a 50% chance of being +1 and a
50% chance of being -1.

Rayleigh: is a continuous probability distribution for non-negative valued random variables.

Do not worry about what probability distributions mean, we will be looking at it in the next section, for now,
you can think of Rademacher as the sampler, the happy guy who tosses coins over and over again where
heads represent +1 and tails -1.
And Rayleigh is the guy who works at a gas/petrol station who helps you to fill the tank and notes down how much
you filled your tank (eg. 1.2l, 4.5l) which are continuous values.
"""

import tensorflow_probability as tfp

# Discrete random variable
rademacher = tfp.math.random_rademacher([1, 100], dtype=tf.int32)

# Continuous random variable
rayleigh = tfp.math.random_rayleigh([1, 100], dtype=tf.float32)

# Plot discrete random variable 1 and -1
plt.title("Rademacher Discrete Random Variables")
plt.hist(rademacher, color=color_b)
plt.show()

# Plot continuous random variable
plt.title("Rayleigh Continuous Random Variables")
plt.hist(rayleigh, color=color_o)
plt.show()

This is section two of the Chapter on Probability and Information Theory with Tensorflow 2.0 of the Book Deep Learning with Tensorflow 2.0.

You can read this section and the following topics:

03.00 - Probability and Information Theory
03.01 - Why Probability?
03.02 - Random Variables
03.03 - Probability Distributions
03.04 - Marginal Probability
03.05 - Conditional Probability
03.06 - The Chain Rule of Conditional Probabilities
03.07 - Independence and Conditional Independence
03.08 - Expectation, Variance and Covariance
03.09 - Common Probability Distributions
03.10 - Useful Properties of Common Functions
03.11 - Bayes' Rule
03.12 - Technical Details of Continuous Variables
03.13 - Information Theory
03.14 - Structured Probabilistic Models

at Deep Learning With TF 2.0: 03.00- Probability and Information Theory. You can get the code for this article and the rest of the chapter here. Links to the notebook in Google Colab and Jupyter Binder are at the end of the notebook.