Scribd Logo
Upload

Welcome to Scribd!

  • 38 views

    A5 Solution

    Uploaded by

    Mickey Wong
    1. The time between failures is modeled as independent exponential distributions with decreasing rates over time. The expected total time and its variance are calculated. 2. The time of first failure (F) and first replacement (R) are shown to be independent exponential distributions. The expected time of first replacement is derived. 3. It is shown that the sum of two independent Poisson processes remains a Poisson process, with the rate being the sum of the individual rates. This establishes that a system with two Poisson arrival processes follows a single Poisson process. 4. (a) The expected time until both servers are busy is derived as 1/(2μ) + 1/λ. (b) A recursive formula is derived

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd

    A5 Solution

    Uploaded by

    Mickey Wong
    38 views2 pages
    1. The time between failures is modeled as independent exponential distributions with decreasing rates over time. The expected total time and its variance are calculated. 2. The time of first failure (F) and first replacement (R) are shown to be independent exponential distributions. The expected time of first replacement is derived. 3. It is shown that the sum of two independent Poisson processes remains a Poisson process, with the rate being the sum of the individual rates. This establishes that a system with two Poisson arrival processes follows a single Poisson process. 4. (a) The expected time until both servers are busy is derived as 1/(2μ) + 1/λ. (b) A recursive formula is derived

    Copyright

    © © All Rights Reserved

    Available Formats

    PDF, TXT or read online from Scribd

    Did you find this document useful?

    Is this content inappropriate?

    1. The time between failures is modeled as independent exponential distributions with decreasing rates over time. The expected total time and its variance are calculated. 2. The time of first failure (F) and first replacement (R) are shown to be independent exponential distributions. The expected time of first replacement is derived. 3. It is shown that the sum of two independent Poisson processes remains a Poisson process, with the rate being the sum of the individual rates. This establishes that a system with two Poisson arrival processes follows a single Poisson process. 4. (a) The expected time until both servers are busy is derived as 1/(2μ) + 1/λ. (b) A recursive formula is derived

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    38 views2 pages

    A5 Solution

    Uploaded by

    Mickey Wong
    1. The time between failures is modeled as independent exponential distributions with decreasing rates over time. The expected total time and its variance are calculated. 2. The time of first failure (F) and first replacement (R) are shown to be independent exponential distributions. The expected time of first replacement is derived. 3. It is shown that the sum of two independent Poisson processes remains a Poisson process, with the rate being the sum of the individual rates. This establishes that a system with two Poisson arrival processes follows a single Poisson process. 4. (a) The expected time until both servers are busy is derived as 1/(2μ) + 1/λ. (b) A recursive formula is derived

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    You are on page 1of 2

    Assignment 5 Solutions

    1. Let Ti denote the time between the (i − 1)th and the ith failure. Then the Ti are independent
    with Ti being exponential with rate (101 − i)/200. Thus,
    5 5
    X X 200
    E[T ] = E[Ti ] =
    101 − i
    i=1 i=1
    5 5
    X X 2002
    V ar(T ) = V ar(Ti ) =
    (101 − i)2
    i=1 i=1

    2. Let F denote the time of the first failure and let R be the time of first replacement. Since (N (t))
    is independent of F , (N (F + t) − N (F ), t ≥ 0) is a Poisson process. Also, for t ≥ 0, the event
    {R − F > t} is the same as {N (F + t) − N (F ) = 0} and by property (3) in the definition of a
    Poisson process P(R − F > t) = P(N (F + t) − N (F ) = 0) = e−λt . Therefore R − F is an exp(λ)
    r.v.. Therefore it has mean λ−1 and
    1 1
    E(R) = E(F ) + E(R − F ) = + .
    µ λ

    3. The easiest way is to use the first definition. It is easy to see that {N (t), t ≥ 0} will also
    possess stationary and independent increments. Then we prove that the sum of two Poisson
    random variables is a Poisson random variable. Let X and Y be Poisson random variables with
    parameters λ1 and λ2 respectively. We can evaluate the distribution of X + Y by computing the
    characteristic function of X + Y . Since X and Y are independent Poisson random variables the
    characteristic functions of X + Y is given by

    φX+Y (u) =φX (u)φY (u)


    iu −1) iu −1)
    =eλ1 (e eλ2 (e
    iu −1)
    =e(λ1 +λ2 )(e

    From the direct connection between characteristic functions to and probability density functions
    we see that the random variable X + Y is a Poisson random variable with parameter λ1 + λ2 ,
    the sum of the Poisson parameters of the random variables X and Y .
    Then, the random variable N (t) defined by N1 (t) + N2 (t) is a Poisson random variable with
    parameter λ1 t + λ2 t and thus has a probability of the event N (t) = j given by

    e−(λ1 t+λ2 t) (λ1 t + λ2 t)j e−(λ1 +λ2 )t (()λ1 + λ2 )t)j


    P {N (t) = j} = = ,
    j! j!

    showing that N (t) is a Poission process with rate λ1 + λ2 .

    4. (a) 1/(2µ) + 1/λ

    1
    (b) Let Ti denote the time until both servers are busy when you start with i busy servers
    i = 0, 1. Then,
    E[T0 ] = 1/λ + E̊[T1 ]
    Now, starting with 1 server busy, let T be the time until the first event (arrival or departure);
    let X = 1 if the first event is an arrival and let it be 0 if it is a departure; let Y be the
    additional time after the first event until both servers are busy.

    E[T1 ] =E[T ] + E[Y ]


    1 λ µ
    = + E[Y |X = 1] + E̊[Y |X = 0]
    λ+µ λ+µ λ+µ
    1 µ
    = + E[T0 ]
    λ+µ λ+µ
    Thus,
    1 1 µ
    E[T0 ] − = + E[T0 ]
    λ λ+µ λ+µ
    or
    2λ + µ
    E[T0 ] =
    λ2
    Also,
    λ+µ
    E[T1 ] =
    λ2
    (c) Let Li denote the time until a customer is lost when you start with i busy servers. Then,
    reasoning as in part (b) gives that
    1 µ
    E[L2 ] = + E[L1 ]
    λ+µ λ+µ
    1 µ
    = + (E̊[T1 ] + E[L2 ])
    λ+µ λ+µ
    1 µ µ
    = + + E[L2 ]
    λ + µ λ2 λ+µ
    Thus,
    1 µ(λ + µ)
    E[L2 ] = +
    λ λ3

    You might also like