MATH TRIPOS: PART II APPLIED PROBABILITY Example Sheet 4

L 2011

YMS

1. A typewriter types a random stream of letters, all independent. Suppose A is typed with probability p and T is typed with probability q. What is the average number of letters typed when the word T AT T AT rst appears? Answer: 1 + pq 2 + p2 q 3 p2 q 4 . 2. A word processor has 100 dierent keys, and a monkey is tapping them (uniformly) at random. By dening an appropriate renewal process, nd that mean number of keys tapped until the rst appearance of the sequence macbeth. Do the same for the sequence macadam. Answers: 1014 and 1014 + 102 . 3. Show that the renewal interval containing t is stochastically larger than the rst renewal interval, i.e., x > 0 P(SXt +1 > x) 1 F (x). Here F stands for the common distribution function of S1 , S2 , . . .. (This is the inspection paradox for renewal processes.) Determine F in the case where SXt +1 and S1 have the same distribution. Hint: You may nd it useful to condition on Xt , the number of jumps before t. 4. In an M/G/1/n loss system, customers arrive according to a Poisson process with rate at a single server, but a restricted waiting room causes those who arrive when n customers are already present to be lost. Accepted customers have service times which are independent and identically distributed with mean and independent of the arrival process. If j is the stationary probability that j customers are present, show that 1 0 = (1 n ). Hint: Use Littles Lemma in combination with long-run proportions.

5. A Poisson process of rate is observed by someone who believes that the rst holding time is longer than all subsequent times. How long on average will it take before the observer is proved wrong? 6. A colony of cells contains immature and mature cells. Each immature cell, after an exponential time of parameter 2, becomes a mature cell. Each mature cell after, an exponential time of parameter 3, divides into two immature cells. Suppose we begin with one immature cell and let n(t) denote the expected number of immature cells at time t. Show that n(t) = (4et + 3e6t )/7. 7. (A reservoir model) A dam has a nite capacity of h units, where h is a positive integer. The daily inputs are independent, identically distributed, integer-valued random variables with probability generating function

G(z) =
j=0

gj z j .

Provided the dam is not empty one unit is released at the end of each day. Otherwise there is no release, and overow is regarded as lost. Let Xn be (h) the content of the dam at the beginning of the nth day. If i denotes the stationary probability that Xn = i (i = 0, 1, . . . , h 1), prove that the ratios (h) (h) vi = i /0 are independent of h and, in the case where G (1) < 1, satisfy the equation g0 (1 z) . vi z i = G(z) z i=0 Suppose that the input has a geometric distribution. Determine the stationary distribution for the dam content. 8. Consider the chain (Xt ) with the arrow diagram

C W

0 .

...

.i .
i

i +1

. .

...

.
0

.
1

...

...

i +1

My South African half-brother Bob is a keen lapidist; he divides his free time between walking in De Boers mountains and collecting semi-precious stones (C) and polishing and engraving them in his small workshop (W), before selling them on a market or giving them as presents to friends and the family. Here i is the number of collected but unnished stones, is the rate at which he nds a new stone, is the rate at which he completes the work on a stone and and are the rates at which he goes on working on or collecting stones. In this question we analyse the existence of equilibrium probabilities iC and iW of chain (Xt ) being in state iC or iW, i = 0, 1, . . ., and the impact of this fact on positive and null recurrence of the chain. (a) Write down the invariance equations Q = 0 and check that they have the form 0C = 0W , + 0W ( + ) 1C , 1W = , , + ( + ) (i+1)C , (i+1)W = iC , iW B, i = 1, 2, . . . , + .

()

where B is a 2 2 recursion matrix: ( + ) B = ( + ) ( + )

()

(b) Verify that the row vector 1C , 1W is an eigenvector of B with the 3

eigenvalue where =

( + ) . ( + )

(c) Therefore, specify the form of equilibrium probabilities iC and iW and conclude that chain (Xt ) is positive recurrent i > . 9. An open air rock concert is taking place in beautiful Pine Valley, and enthusiastic fans from the entire state of Alifornia are heading there long before the much anticipated event. The arriving cars have to be directed to one of three large (practically unlimited) parking lots, a, b and c situated near the valley entrance. The trac cop at the entrance to the valley decides to direct every third car (in the order of their arrival) to a particular lot. Thus, cars 1, 4, 7, 10 and so on are directed to lot a, cars 2, 5, 8, 11 to lot b and cars 3, 6, 9, 12 to lot c. Suppose that the total arrival process N(t), t 0, at the valley entrance is Poisson, of rate > 0 (the initial time t = 0 is taken to be considerably ahead of the actual event). Consider the processes X a (t), X b (t) and X c (t) where X i (t) is the number of cars arrived in lot i by time t, i = a, b, c. Assume for simplicity that the time to reach a parking lot from the entrance is negligible so that the car enters its specied lot at the time it crosses the valley entrance. (a) Give the probability density function of the time of the rst arrival in each of the processes X a (t), X b (t), X c (t). (b) Describe the distribution of the time between two subsequent arrivals in each of these processes. Are these times independent? (c) Which of these processes are delayed renewal processes (where the distribution of the rst arrival time diers from that of the inter-arrival time)? (d) What are the corresponding equilibrium renewal processes? (e) Describe how the direction rule should be changed for X a (t), X b (t) and X c (t) to become Poisson processes, of rate /3. Will these Poisson processes be independent? 10. CafeBar Duo has 23 serving tables. Each table can be occupied either by one person or two. Customers arrive either singly or in a pair; if a table is empty they are seated and served immediately, otherwise, they leave. The times between arrivals are independent exponential random variables of mean 20/3. Each arrival is twice as likely to be a single person as a pair. A single customer stays for an exponential time of mean 20, whereas a pair 4

stays for an exponential time of mean 30; all these times are independent of each other and of the process of arrivals. The value of orders taken at each table is a constant multiple 2/5 of the time that it is occupied. Express the long-run rate R of revenue of the cafe as a function of the probability that an arriving customer or pair of customers nds the cafe full. 70 3 = 1.4pound min. Answer: R = 0.4 20 3 By imagining a cafe with innitely many tables, show that P(N 23) where N is a Poisson random variable of parameter 7/2. Deduce that is very small. 11. As in some earlier questions, we deal here with a discrete-time Markov chain but aim at learning a number of useful facts. (i) Let J be a proper subset of the nite state space I of an irreducible discrete-time Markov chain (Xn ), whose transition matrix P is partitioned as J Jc J A B P = c . C D J If only visits to states in J are recorded, we see a J-valued Markov chain (Xn ); show that its transition matrix is P =A+B
n0

D n C = A + B(I D)1 C .

(ii) Local MP Phil Anderer spends his time in London in the Commons (C), in his at (F ), in the bar (B) or with his girlfriend (G). Each hour, he moves from one to another according to the transition matrix P , though his wife (who knows nothing of his girlfriend) believes that his movements are governed by transition matrix P W : C F B G C 1/3 1/3 1/3 0 F 0 1/3 1/3 1/3 , P = B 1/3 0 1/3 1/3 G 1/3 1/3 0 1/3 C F B C 1/3 1/3 1/3 = F 1/3 1/3 1/3 . B 1/3 1/3 1/3

PW

The public only sees Phil when he is in J = {C, F, B}; calculate the transition matrix P which they believe controls his movements. 5

Each time the public Phil moves to a new location, he calls his wifes mobile phone number; write down the transition matrix which governs the sequence of locations from which the public Phil phones, and calculate its invariant distribution. Phils wife notes down the location of each of his calls, and is getting suspicious he does not come to his at often enough. Confronted, Phil swears his delity and resolves to dump his troublesome transition matrix, choosing instead C F B G C 1/4 1/4 1/2 0 F 1/2 1/4 1/4 0 P = B 0 3/8 1/8 1/2 G 2/10 1/10 1/10 6/10 and still insisting that his moves are governed by P W . Will this deal with his wifes suspicions? Explain your answer.