4 views

Uploaded by Songya Pan

Stochastic Models I (for first-year doctoral students)

- ch10_ex.pdf
- Matrix Sharing Algorithm
- Discrete Probability Distribution.pdf
- Kom Put Project Tu Gasp Pt
- ma3215_exam2_soln.pdf
- Waiting Lines and Queuing Theory Models (2)
- A Geometric Approach to Improving Active packet loss abstract
- Numerical Analysis
- Checkers 3
- 10[1].1.1.112.6217
- Systems of Linear Equations Worksheet
- Assignment 2
- Print
- Statistics Notes.pdf
- 1 6 powerpoint
- Solved-Exercises-ch08.doc
- Bus Travel Time Prediction Under High
- invMatrix.pdf
- Conte Dboor Errata
- null

You are on page 1of 4

SOLUTIONS to Homework Assignment 7

Problem 3.12 Take h(t) = 1

(0,a]

(t).

Problem 3.13 Since the state circulates the state space {1, 2, , n} in the same order. Hence

we can dene the alternating renewal process by on when it is in the state i and o when

it is among {1, , i 1, i + 1, , n}. Dene

i

=

_

F

i

(t)dt. Then

P(process is in i)

E[on]

E[on] +E[off]

=

i

n

j=1

j

.

Problem 3.14 (a) [t x, t]

(b) [t, t +x]

(c) P(Y (t) > x) = P(A(t +x) > x)

(d) See Problem 3.3.

Problem 3.15 (a)

P(Y (t) > x|A(t) = s) = P(X

N(t)+1

> x +s|time at t since the last renewal = s)

=

F(x +s)

F(s)

.

(b) Using (a),

P(Y (t) > x|A(t +x/2) = s) =

_

_

_

0 if s <

x

2

F(s+x/2)

F(s)

if s

x

2

.

(c)

P(Y (t) > x|A(t +x) > s) =

_

1 if s x

P(no events in [t, t +x s]) = e

(xs)

if s < x

.

(d)

P(Y (t) > x, A(t) > y) = P(Y (t y) > x +y) = P(A(t +x) > x +y) .

(e)

A(t)

t

=

t S

N(t)

t

= 1

S

N(t)

N(t)

N(t)

t

1

1

= 0 .

1

Problem 3.16

lim

t

E[Y (t)] =

E[X

2

]

2

=

n

_

1

_

2

+

_

n

_

2

2

n

=

1 +n

2

.

To get it without any computations, consider a Poisson process with rate and say the a

renewal occurs at the Poisson events numbered n, 2n, . Now at time t, t large, it is equally

likely that the most recent event was an event of the formi+kn, i = 0, 1, 2, , n1. That is,

modulo n, the number of the most recent Poisson event is equally likely to be n, 1, , n1.

Conditioning on the value of this quantity gives that for the renewal process

lim

t

E[Y (t)] =

1

n

_

1

+ +

n

_

=

n + 1

2

.

Problem 3.18 (a) Delayed renewal process.

(b) Neither.

If F is exponential,

(a) Delayed renewal process.

(b) Renewal process.

Problem 3.21 Let X

i

equal 1 if the gambler wins bet i, and let it be 0 otherwise. Also, let N

denote the rst time the gambler has won k consecutive bets. Then X =

N

i=1

X

i

is equal

to the number of bets that he wins, and X(N X) = 2XN is his winnings. By Walds

equation

E[X] = pE[N] = p

k

i=1

p

i

.

Thus

(a) E[2X N] = 2E[X] E[N] = (2p 1)E[N] = (2p 1)

k

i=1

p

i

(b) E[X] = p

k

i=1

p

i

Problem 3.22 (a)

E[T

HHTTHH

] = E[T

HH

] +p

4

(1 p)

2

= E[T

H

] +p

2

+p

4

(1 p)

2

= p

1

+p

2

+p

4

(1 p)

2

2

(b) E[T

HTHTT

] = p

2

(1 p)

3

E[N

B|A

] = E[N

HTHTT|H

] = E[N

HTHTT

] E[N

H

] = 32 2 = 30, E[N

A|B

] = E[N

A

] =

64 + 4 + 2 = 70 and E[N

B

] = 32.

(c) P

A

= (32 + 70 70)/(30 + 70) = 0.32

(d) E[M] = 32 30(0.32) = 22.4

Problem 3.23 Let H denote the rst k ips and is the set of all possible H. Conditioning on

H gives:

E[number until repeat] =

H

E[number until repeat|H]P(H)

=

H

1

P(H)

P(H) = || = 2

k

Problem 3.25 (a) First note that

E[N

D

(t)|X

1

= x] =

_

1 +E[N(t x)] if x t

0 if x > t

.

m

D

(t) = E[N

D

(t)] =

_

0

E[N

D

(t)|X

1

= x]dG(x)

=

_

t

0

(1 +E[N(t x)])dG(x)

= G(t) +

_

t

0

m(t x)dG(x)

(b)

E[A

D

(t)] = E[A

D

(t)|S

N

D

(t)

= 0]

G(t) +

_

t

0

E[A

D

(t)|S

N

D

(t)

= s]

F(t s)dm

D

(s)

= t

G(t) +

_

t

0

(t s)

F(t s)dm

D

(s)

t

_

0

t

=

1

_

0

t

_

t

dF(s)dt

=

_

0

s

2

dF(s)

2

_

0

sdF(s)

(c) t

G(t) = t

_

t

dG(x)

_

t

s dG(s)

t

0 since

_

0

s dG(s) < .

(Here we used the so-called dominated convergence theorem.

_

n

s dG(s) =

_

0

s1

[n,)

(s) dG(s)

n

_

0

lim

n

s1

[n,)

(s) dG(s) =

_

0

0 dG(s)

3

since s1

[n,)

(s) s and s is integrable with respect to G() from

_

0

s dG(s) < and

s1

[n,)

(s) 0 for each s in pointwise sense. (Check the conditions for the dominated

convergence theorem.) Now we extend n to t using monotonicity of the integral. Wow!

This is a good example showing that if you are familiar with a little rigorous analysis,

then its O.K. with only one line. But if not, you should practice the underlying logic

whenever you encounter them.)

Problem 3.28 Using the uniformity of each Poisson arrival under given N(t),

E[Cost of a cycle|N(T)] = K +N(T) c

T

2

and so

E[Cost]

E[Time]

=

K +cT

2

/2

T

=

K

T

+

cT

2

which is minimized at T

=

_

2K/c and minimal average cost is thus

2Kc. On the

other hand the optimal value of N is (using calculus) N

=

_

2K/c and the minimal

average cost is

2cK

c

2

.

4

- ch10_ex.pdfUploaded byTom
- Matrix Sharing AlgorithmUploaded bytomtom1000
- Discrete Probability Distribution.pdfUploaded byangela0014
- Kom Put Project Tu Gasp PtUploaded byNur Rochman Muh
- ma3215_exam2_soln.pdfUploaded byPei Jing
- Waiting Lines and Queuing Theory Models (2)Uploaded byGodwin Pichay Cariaga
- A Geometric Approach to Improving Active packet loss abstractUploaded byChaitanya Kumar Reddy Potli
- Numerical AnalysisUploaded byJoshua Cook
- Checkers 3Uploaded byRishabh Jain
- 10[1].1.1.112.6217Uploaded bykcvara
- Systems of Linear Equations WorksheetUploaded bynettexts
- Assignment 2Uploaded bykhetraj
- PrintUploaded byCarlos Teixeira
- Statistics Notes.pdfUploaded byJohn E Cutipa L
- 1 6 powerpointUploaded byapi-366301098
- Solved-Exercises-ch08.docUploaded bysadia
- Bus Travel Time Prediction Under HighUploaded bycristian_master
- invMatrix.pdfUploaded byJilani Osmane
- Conte Dboor ErrataUploaded byRichard Joser
- nullUploaded byapi-26191239
- MIT2_007s09_lec21.pdfUploaded byAmancio Doho
- assignment-kaggleUploaded byapi-302999229
- backpropUploaded bySharad Kumar Van
- KOTPOLYVUploaded byLeRoy Kottke
- Question paper aptitudeUploaded bySiddharth Purohit
- HackerrankUploaded byMartin Bajzek
- 2-L2_model_2014Uploaded byantonio bandras
- MATE LINEAR.pdfUploaded byJorge Valencia
- ga mixingUploaded byapi-3712774
- Gauss Jordan Method for Solving Systems of Linear EquationsUploaded byciki1

- midtermTwo6711F12solsUploaded bySongya Pan
- midtermOne6711F10solsUploaded bySongya Pan
- midtermOne6711F08solsUploaded bySongya Pan
- midtermOne6711F12solsUploaded bySongya Pan
- Midterm Two 6711 f 10Uploaded bySongya Pan
- Midterm One 6711 f 10Uploaded bytabrupt
- Midterm One 6711 f 08Uploaded bySongya Pan
- Midterm Two 6711 f 12Uploaded bySongya Pan
- Lect 0910Uploaded bySongya Pan
- Midterm Two f 07Uploaded bySongya Pan
- Midterm One 6711 f 12Uploaded bySongya Pan
- Lect 0903Uploaded bySongya Pan
- Lect 0905Uploaded bySongya Pan
- midtermTwoF07solsUploaded bySongya Pan
- midtermTwo6711F10solsUploaded bySongya Pan
- homewk11SolsUploaded bySongya Pan
- homewkLTUploaded bySongya Pan
- homewk13Uploaded bySongya Pan
- homewk10Uploaded bySongya Pan
- homewk12Uploaded bySongya Pan
- homewk10SolsUploaded bySongya Pan
- homewk8Uploaded bySongya Pan
- homewk11Uploaded bySongya Pan
- homewk13SolsUploaded bySongya Pan
- homewk8SolsUploaded bySongya Pan
- homewk7Uploaded bySongya Pan
- homewk9SolsUploaded bySongya Pan
- homewk9Uploaded bySongya Pan
- homewk12SolsUploaded bySongya Pan

- CT4-PU-15 UpgradeUploaded byQuag AccidentalCitizen
- UT Dallas Syllabus for opre6301.x12.10f taught by John Wiorkowski (wiorkow)Uploaded byUT Dallas Provost's Technology Group
- Example Final ExamUploaded byCj Rightwing Moore
- 65159-KDA2B-KDF2CUploaded bykalyan
- H8Uploaded byGustavo Almeida
- 090424 Asbestos Guidance Apr09Uploaded byRTRMuizer
- 500ch9.pdfUploaded byEvanora Java
- ms 2016Uploaded bySitangshu Pal
- mthlUploaded byasif_22uk
- Probability NotesUploaded bysimonextra
- Quantiative MethodsUploaded byMr Bhanushali
- EthernetUploaded byBharathi Molleti
- Chap7 Random ProcessUploaded byenyoya
- Wikipedia - Poisson DistributionUploaded by88888888GZ88888888
- Proble SolvingUploaded bySuresh Kothandaraman
- Poisson RegressionUploaded byAngger Wiji Rahayu
- Stat RecapUploaded byRajesh Dwivedi
- gardner1974sequence.pdfUploaded byJames Young
- Ch03 DSPUploaded bySalman Shah
- modeling_n_simulating_football.pdfUploaded bysai420
- Assignment Modeling & Simulation (1)Uploaded byPrince Pavan
- Statistics 2[1]- NotesUploaded byTwinkleSunShine
- Fisher ExactFisher exact variance test for the poisson distribution Variance Test for the Poisson DistributionUploaded byZahirlian
- Binomial DistributionUploaded byMedha Jain
- Binomial DistributionUploaded byAvinash Garikapati
- Assignment 2 Twitter analysisUploaded byCarlton Drizzy Chikono
- chap05-TIF-BSAFC5.docUploaded bylionk442
- MM1 fileUploaded byamolbaviskar
- 001_finalsolUploaded byhacktom
- Bayesian StatsUploaded bysmits031