Not to be confused with Law of truly large numbers.
Averages of repeated trials converge to the expected value
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An illustration of the law of large numbers using a particular run of rolls of a single die. As the number of rolls in this run increases, the average of the values of all the results approaches 3.5. Although each run would show a distinctive shape over a small number of throws (at the left), over a large number of rolls (to the right) the shapes would be extremely similar.
In probability theory, the law of large numbers (LLN) is a mathematical theorem that states that the average of the results obtained from a large number of independent and identical random samples converges to the true value, if it exists.[1] More formally, the LLN states that given a sample of independent and identically distributed values, the sample mean converges to the true mean.
The LLN is important because it guarantees stable long-term results for the averages of some random events.[1][2] For example, while a casino may lose money in a single spin of the roulette wheel, its earnings will tend towards a predictable percentage over a large number of spins. Any winning streak by a player will eventually be overcome by the parameters of the game. Importantly, the law applies (as the name indicates) only when a large number of observations are considered. There is no principle that a small number of observations will coincide with the expected value or that a streak of one value will immediately be "balanced" by the others (see the gambler's fallacy).
The LLN only applies to the average of the results obtained from repeated trials and claims that this average converges to the expected value; it does not claim that the sum of n results gets close to the expected value times n as n increases.
Throughout its history, many mathematicians have refined this law. Today, the LLN is used in many fields including statistics, probability theory, economics, and insurance.[3]
^ abDekking, Michel (2005). A Modern Introduction to Probability and Statistics. Springer. pp. 181–190. ISBN 9781852338961.
^Yao, Kai; Gao, Jinwu (2016). "Law of Large Numbers for Uncertain Random Variables". IEEE Transactions on Fuzzy Systems. 24 (3): 615–621. doi:10.1109/TFUZZ.2015.2466080. ISSN 1063-6706. S2CID 2238905.
^Sedor, Kelly. "The Law of Large Numbers and its Applications" (PDF).
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