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SUBJECT NAME SUBJECT CODE MATERIAL NAME MATERIAL CODE : Probability & Queueing Theory : MA 2262 : Formula Material : JM08AM1007
2010
Branch:
ht tp
p( xi ) = 1
F ( x) = P [ X x]
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1) Discrete random variable: Arandomvariablewhosesetofpossiblevaluesiseitherfiniteorcountably infiniteiscalleddiscreterandomvariable. Eg:(i)LetXrepresentthesumofthenumbersonthe2dice,whentwo dicearethrown.InthiscasetherandomvariableXtakesthevalues2,3,4,5,6, 7,8,9,10,11and12.SoXisadiscreterandomvariable. (ii)Numberoftransmittedbitsreceivedinerror. 2) Continuous random variable: ArandomvariableXissaidtobecontinuousifittakesallpossiblevalues betweencertainlimits. Eg:Thelengthoftimeduringwhichavacuumtubeinstalledinacircuit functionsisacontinuousrandomvariable,numberofscratchesonasurface, proportionofdefectivepartsamong1000tested,numberoftransmittedin error. 3)
f ( x )dx = 1
ub
e.
2
F ( x) = P [ X x] = Mean = E [ X ] =
Mean = E [ X ] = xi p( xi )
i
xf ( x )dx
4 5 6 7
X2 = xi2 p( xi ) E
i
2
E X =
2
f ( x )dx
2
2 Var ( X ) = E ( X 2 ) E ( X ) Var ( X ) = E ( X ) E ( X )
r r Moment= E X = xi pi
i
r Moment= E X =
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M.G.F
M.G.F Page 1
/
r
f ( x )dx
f ( x )dx
2010
tx
f ( x )dx
5) Var ( aX + b ) = a 2 Var ( X )
4) E ( aX + b ) = aE ( X ) + b
, p( B) 0
11) IfAandBareindependent,then p ( A B ) = p ( A ) p ( B ) . 12) 1stMomentaboutorigin= E [ X ] = M X ( t ) (Mean) t =0 2 2ndMomentaboutorigin= E X = M X ( t ) t = 0 tr th r Theco-efficientof = E X (r Momentabouttheorigin) r! 13) Limitation of M.G.F: i) ArandomvariableXmayhavenomomentsalthoughitsm.g.fexists. ii) ArandomvariableXcanhaveitsm.g.fandsomeorallmoments,yetthe m.g.fdoesnotgeneratethemoments. iii) ArandomvariableXcanhaveallorsomemoments,butm.g.fdoesnot existexceptperhapsatonepoint. 14) Properties of M.G.F: i) IfY=aX+b,then MY ( t ) = e bt M X ( at ) . ii) iii)
M cX ( t ) = M X ( ct ) ,wherecisconstant.
IfXandYaretwoindependentrandomvariablesthen M X +Y ( t ) = M X ( t ) M Y ( t ) .
Mean
t
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)
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n
/
np
Variance
nc x p x q n x
e x! q x 1 p (or) q x p
( q + pe )
e
e t 1
npq
Poisson
1 p
q p2
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Geometric
pe t 1 qe t
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p t 1 qe e bt e at ( b a )t
( x + k 1)C k 1 p k p x
kq p
kq p2
Uniform
Exponential
Gamma
a + b (b a )2 2 12 1
Weibull
1 (1 t ) f ( x ) = x 1e x , x > 0, , > 0
ij
f ( x , y )dxdy = 1 (Continuousrandomvariable)
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P ( x, y ) P( y) P ( x, y ) P( x)
1)
= 1 (Discreterandomvariable)
ConditionalprobabilityfunctionYgivenX, P {Y = yi / X = xi } =
P { X < a / Y < b} =
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2) ConditionalprobabilityfunctionXgivenY, P { X = xi / Y = yi } =
e.
. .
3) ConditionaldensityfunctionofXgivenY,
f ( x / y) = f ( y / x) =
f ( x, y) . f ( y) f ( x, y) . f ( x)
ConditionaldensityfunctionofYgivenX,
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f ( x , y ) = f ( x ). f ( y )
(forcontinuousrandomvariable)
P ( X = x , Y = y ) = P ( X = x ) . P (Y = y ) (fordiscreterandomvariable)
5) Jointprobabilitydensityfunction P ( a X b, c Y d ) = f ( x , y )dxdy .
c a
d b
b a
f ( x , y )dy
f ( x , y )dx
Cov ( X , Y )
ht tp
xf ( x )dx , E (Y ) =
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1 1 XY XY , X = X 2 X 2 , Y = n n Cov ( X , Y )
ub
X Y
yf ( y )dy , E ( X , Y ) =
bxy =
b yx
( x x)( y y) ( y y) ( x x)( y y) = ( x x)
2 2
e.
1 Y 2 Y 2 n
X Y
xyf ( x, y )dxdy .
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x y y x
RegressioncurveXonYis
x = E ( x / y) = y = E ( y / x) =
x f ( x / y ) dx
y f ( y / x ) dy
RegressioncurveYonXis
dx dy
u y v y
(Onedimensionalrandomvariable)
IfX1,X2,XnbeasequenceofindependentR.VswithE[Xi]=iandVar(Xi)=i2,i =1,2,nandifSn=X1+X2++Xnthenundercertaingeneralconditions,Sn
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n
ub
n i =1 i =1
u x fUV ( u, v ) = f XY ( x , y ) v x
n.
16) Central limit theorem (Lindberg Levys form) IfX1,X2,XnbeasequenceofindependentidenticallydistributedR.VswithE[Xi] =iandVar(Xi)=i2,i=1,2,nandifSn=X1+X2++Xnthenundercertain generalconditions,Snfollowsanormaldistributionwithmean n andvariance
n 2 as n .
Note: z =
Sn n X (fornvariables), z = (forsinglevariables) n n
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followsanormaldistributionwithmean = i andvariance 2 = i2 as
e.
(Twodimensionalrandomvariable)
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2010
2)
Continuous random process: IfXandtarecontinuous,thenwecallX(t),aContinuousRandomProcess. Example: IfX(t)representsthemaximumtemperatureataplaceinthe interval(0,t),{X(t)}isaContinuousRandomProcess. Continuous Random Sequence: ArandomprocessforwhichXiscontinuousbuttimetakesonlydiscretevaluesis calledaContinuousRandomSequence. Example: IfXnrepresentsthetemperatureattheendofthenthhourofaday,then {Xn,1n24}isaContinuousRandomSequence. Discrete Random Process: IfXassumesonlydiscretevaluesandtiscontinuous,thenwecallsuchrandom process{X(t)}asDiscreteRandomProcess. Example: IfX(t)representsthenumberoftelephonecallsreceivedintheinterval (0,t)the{X(t)}isadiscreterandomprocesssinceS={0,1,2,3,...} Discrete Random Sequence: Arandomprocessinwhichboththerandomvariableandtimearediscreteis calledDiscreteRandomSequence. Example: IfXnrepresentstheoutcomeofthenthtossofafairdie,the{Xn:n1}isa discreterandomsequence.SinceT={1,2,3,...}andS={1,2,3,4,5,6} Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917)
http://csetube.weebly.com/
ht tp
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Discreterandomsequence
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4)
5)
E ( X 2 ( t ) ) = RXX ( 0 )
6)
7)
9)
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8)
a0 , a1 , a2 , ...an , ... arecalledthestatesofthemarkovchain. Transition Probability Matrix (tpm): WhentheMarkovChainishomogenous,theonesteptransitionprobabilityis denotedbyPij.ThematrixP={Pij}iscalledtransitionprobabilitymatrix. Chapman Kolmogorov theorem: IfPisthetpmofahomogeneousMarkovchain,thenthensteptpmP(n)is
n
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P [ 0 occurrence in ( t , t + t )] = 1 t + O ( t )
P [ 2 or more occurrences in ( t , t + t )] = O ( t )
X ( t ) isindependentofthenumberofoccurrencesoftheeventinany interval.
et ( t )
n
Meanarrivalrate.
Meanservicerate.
Wq Averagewaitingtimepercustomerinthequeue.
W s Averagewaitingtimepercustomerinthesystem.
1) 2) 3)
ServerUtilization =
Pn = n ( 1 )
Ls =
Lq =
4)
2 1
1 (1 )
5)
Ws =
ht tp
Model I
(M / M / 1): ( / FIFO)
(P0nocustomersinthesystem)
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Ls Averagenumberofcustomersinthesystem.
e.
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Lq Averagenumberofcustomersinthequeue.
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Pn SteadyStateprobabilityofexactlyncustomersinthesystem.
2010
(1 )
Probabilitythatthewaitingtimeofacustomerinthesystemexceedstis
P ( w s > t ) = e ( ) t .
8) Probabilitythatthequuesizeexceedstis P ( N > n ) = n +1 where
n = t + 1 .
Model II
1) =
(M / M / C): ( / FIFO)
s
1
s s 1 ( s ) n s ) ( 2) P0 = + n! s !(1 ) n= 0
5) Wq = 6) Ws = 7)
Ls
ht tp
( s ) P Theprobabilitythatanarrivalhastowait: P ( N s ) = s !(1 ) 0
s
Model III
1) =
(M / M / 1): (K / FIFO)
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Lq
ub
4) Ls = Lq + s
e.
1 ( s ) P 3) Lq = s.s ! ( 1 ) 2 0
s +1
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2010
1 1 k +1
(Nocustomer) (effectivearrivalrate)
3) = ( 1 P0 ) 4) Ls =
( k + 1) k +1
1 k +1
5) Lq = Ls 6) Ws = 7) Wq =
Ls Lq
n s
n= s
s 1 4) Effectivearrivalrate: = s ( s n ) Pn n= 0
5) Lq =
( s ) =
( 1 k s ) ( k s ) k s +1 P0 s ! (1 )2 1
s
6) Ls = Lq + 7) Wq =
Lq
ht tp
P0, n s 3) Pn = n! n s ( ) s ! s n s P0 , s n k
(s )
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s 1 ( s ) n ( s ) s 2) P0 = + n! s! n= 0
ub
e.
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1) =
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Model IV
(M / M / C): (K / FIFO)
2010
2 [1 E ( t ) ]
(or)
LS = +
2 2 + 2 2 (1 ) 2 2 + 2 2 (1 )
2) Littles formulas:
LS = +
Wq =
P00 = 2 P01
ht tp
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Lq
ub
WS =
LS
e.
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Lq = LS
2010
iii) Averagenumberofcustomersinthesystem
LS =
1 2 k + ... + + 1 1 1 2 1 k
iv) Averagewaitingtimeofacustomersinthesystem
WS =
LS
where = r1 + r2 + ... + rk
Where C N 1 =
n1 + n2 + ... + nk = N
ht tp
ii) Ifeachnodessingleserver
n 1n 2n ... k
1 2
iii) Ifeachnodeshasmultipleservers
P ( n1 , n2 , ...nk ) = C N
n 1n 2
1 2
a1 a2
1
...
Where C N 1 =
n1 + n2 + ... + nk = N
n 1n 2
a1 a2
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k
kn
2
ak
...
kn
ak
ub
(or)
e.
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i =1
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i) TheJacksonsflowbalanceequation j = i Pij
rj = 0
2010
ht tp
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e.
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