2005, MATH3801

ASSIGNMENT 4 WITH SOLUTIONS

1. Problems
Problem 1. A service station has three servers. Assume, that at a certain time t0 all three servers
are busy and the service times are independent and exponentially distributed with parameter
= 0.5.
(a) Let T be the first moment when all three servers are free. Find ET . Hint. Use the result about
the distribution of discharge times provided in the notes on Poisson process available on the web
page of this course.
(b) Assume that all three servers are busy when a new customer arrives at the service station.
What is the probability that when his service will be completed, two other servers will still be
busy with the same customers.
Problem 2. Buses arrive at an intersection according to a Poisson process with the rate 10 ar-
rivals/hour, and cars arrive at the same intersection according to another independent Poisson
process with the rate 100 arrivals/hour. Let Nt denote the total number of arrivals before time t
(with time measured in hours).
(a) Find P (N3.1 N3 = 10).
(b) Find E ( N5 N2 | N1 = 115).
Problem 3. Consider a Birth and Death Process with birth rates i = (i + 1) and death rates
i = i, i > 0.
(a) Determine the expected time to go from state 0 to state 4.
(b) Find the invariant distribution of this chain.
Problem 4. A car wash has room for at most 2 cars (including the one being washed). Hence, if
there are already two cars in the system the following potential customers do not wait and leave.
Potential customers arrive at a rate 3 per hour. The service time has the rate 4 per hour.
(a) In the steady state, what is the expected number of cars in the car wash?
(b) What is the proportion of of potential customers that enter the car wash?
(c) If the car wash were twice as fast, how much business would it do?

2. Solutions
Solution to Problem 1. (a) By the lack of memory of exponential distribution we may assume that
t0 = 0. Let Tk denote the moment of the k-th completion of service, where k = 1, 2, 3, that is
T1 6 T2 6 T3 . Then we know that
T1 exp(3), T2 T1 exp(2) and T3 T2 exp().
Since
T3 = T1 + (T2 T1 ) + (T3 T2 ) ,
we obtain
1 1 1 2 11
ET3 = ET1 + E (T2 T1 ) + E (T3 T2 ) = + + = +1+2= .
3 2 3 3
(b) Let C denote the moment when the customer service is completed and let Ti , i = 1, 2, 3 be
the first moment when the i-th server is free. Let A be the event that when the customer leaves
two other servers are still busy. Then
P(A) = P (C < min (T2 , T3 ) |T1 < min (T2 , T3 ) ) P (T1 < min (T2 , T3 ))
+P (C < min (T1 , T3 ) |T2 < min (T1 , T3 ) ) P (T2 < min (T1 , T3 ))
+P (C < min (T1 , T2 ) |T3 < min (T1 , T2 ) ) P (T3 < min (T1 , T2 ))
1
2

= 3P (C < min (T2 , T3 ) |T1 < min (T2 , T3 ) ) P (T1 < min (T2 , T3 )) .
By the lack of memory property C given T1 < min (T2 , T3 ) has exponential distribution with
parameter and min (T2 , T3 ) has exponential distribution with parameter 2. Moreover, C and
min (T2 , T3 ) are independent. Similarly, T1 and min (T2 , T3 ) are independent. Therefore,
  
1
P(A) = 3 = .
3 3 3
We used the fact (proved in class) that if X, Y are independent, X exp(), Y exp() then

P(X < Y ) = .
+

Solution to Problem 2. (a) Since buses and cars arrive independently the process (Nt ) of the total
number of arrivals is Poisson with the intensity = 110. Therefore,
1110 11
P (N3.1 N3 = 10) = P (N0.1 = 10) = e = 0.1194.
10!
(b) Since the Poisson process has independent increments we obtain
E ( N5 N2 | N1 = 115) = E (N5 N2 ) = EN 3 = 3 = 330.

Solution to Problem 3. (a) Let Ti,i+1 denote the time needed for a Birth and Death process to go
from the state i to the state i + 1, where i = 01, . . .. Then ET0,1 = 1
0 and
1 i
ETi,i+1 = + ETi1,i , i > 1.
i i
In our case,
1 1 i
ET0,1 = , Ti,i+1 = + ETi1,i .
(i + 1) (i + 1)
Therefore,
2
 
1   1
ET1,2 = 1+ , ET2,3 = 1+ + 2
2 3
2 3
 
1
ET3,4 = 1+ + 2 + 3 .
4
Finally,
ET0,4 = ET0,1 + ET1,2 + ET2,3 + ET3,4 .
(b) An invariant distribution exists if

X 0 n1
C= < .
n=1
1 n
In fact we have
 n
X ()(2) (n) X
C= = <
n=1
()(2) (n) n=1
if and only < . In that case

C=

and the invariant distribution = (1 , 2 , . . .) is given by
   n
1 0 n1
n = = 1 , n > 0.
1 + C 1 n

Solution to Problem 4. Let Xt denote the number of cars in the car wash at time t. It is a Birth
and Death process with death rates
n = 4, n = 0, 1, 2,
 3

and the birth rates 

3 if n 6 1
n =
0 if n = 2.
(a) The generator of this process has the form

0
A= ( + ) ,
0
and therefore the invariant distribution T = (0 , 1 , 2 ) can be found by solving the equation
AT = 0.
This equation yields
 2
1
0 =  2 , 1 = 0 , 2 = 0 .

1+ +

Finally, denoting by N the expected number of cars in the car wash in the steady state we obtain
EN = 1 + 22 .
(b) The fraction of time when a customer can enter the car wash is
 

0 + 1 = 0 1 +

and this gives also the proportion of potential customers who enter the car wash.
(c) We need replace with 2 in the formulae for invariant probabilities:
 2
1
0 =  2 , 1 = 0 , 2 = 0 ,
2 2
1 + 2 + 2
and compute EN again.