In mathematics and statistics, a probability vector or stochastic vector is a vector with non-negative entries that add up to one.

Underlying every probability vector is an experiment that can produce an outcome. To connect this experiment to mathematics, one introduces a discrete random variable, which is a function that assigns a numerical value to each possible outcome. For example, if the experiment consists of rolling a single die, the possible values of this random variable are the integers 1,2,…,6. The associated probability vector has six components, each representing the probability of obtaining the corresponding outcome. More generally, a probability vector of length n represents the distribution of probabilities across the n possible numerical outcomes of a random variable.

The vector gives us the probability mass function of that random variable, which is the standard way of characterizing a discrete probability distribution.

Here are some examples of probability vectors. The vectors can be either columns or rows.

The bounds on variance show that as the number of possible outcomes ${\displaystyle n}$ increases, the variance necessarily decreases toward zero. As a result, the uncertainty associated with any single outcome increases because the components of the probability vector become more nearly equal. In empirical work, this often motivates binning the outcomes to reduce ${\displaystyle n}$; although this discards some information contained in the original outcomes, it allows the coarser-grained structure of the distribution to be revealed. The decrease in variance with increasing ${\displaystyle n}$ reflects the same tendency toward uniformity that underlies entropy in information theory and statistical mechanics.

A simplex is the simplest geometric object that fully occupies the region of a given dimension defined by its vertices. It is constructed as the convex hull of n affinely independent points: for ${\displaystyle n=2}$ it is a line segment, for ${\displaystyle n=3}$ a triangle, for ${\displaystyle n=4}$ a tetrahedron, and so on.

The probability simplex (or standard simplex) is the canonical example of a simplex. It is obtained by taking the n standard basis vectors ${\displaystyle e_{1}=(1,0,0,\ldots ,0),\quad e_{2}=(0,1,0,\ldots ,0),\quad e_{3}=(0,0,1,0,\ldots ,0),\ \ldots }$ as vertices and forming their convex hull: ${\displaystyle \Delta _{n-1}=\{\,p\in \mathbb {R} ^{n}\mid p_{i}\geq 0,\ \sum _{i=1}^{n}p_{i}=1\,\}.}$

This is an ${\displaystyle (n-1)}$-dimensional simplex lying on the affine hyperplane ${\displaystyle \sum _{i}p_{i}=1}$. A random variable with ${\displaystyle n}$ possible outcomes naturally lives in this ${\displaystyle (n-1)}$-simplex rather than an ${\displaystyle n}$-simplex, because the requirement that all probabilities sum to 1 removes one degree of freedom.