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2 Lecture 11 (Chapter 3)
For example if arrivals to an emergency room follow a Poisson
stream Nt and Yi is the number of patients in the i th incident,
Rt is the total number of patients by time t.
To compute E[Rt] we condition on Nt:
Xk
E[Rtj Nt = k] = E[ Yi ]
i=1
= kE[Yi]
3 Lecture 11 (Chapter 3)
Therefore,
E[Rt] = EE[Rtj Nt]
1
X
= kE[Yi]P (Nt = k)
k=1
= E[Yi] t
Similarly,
V ar[Rt] = tE[Yi2]
4 Lecture 11 (Chapter 3)
APPLICATIONS
Risk Analysis: Suppose claims arrive at an insurance company
in accordance to Poisson stream Xt with rate . Let Yk be the
magnitude of the k th claim then Rt is the cumulative amount
claimed up to time t.
Finance: Transactions on a certain stock take place in accor-
dance to Poisson stream Xt and Yk is the change in market
price between the k th and (k 1) th transaction.
5 Lecture 11 (Chapter 3)
Reliability: Shocks to a system come in accordance to Poisson
stream Xt with rate . Let Yk be the magnitude of the damage
associated with the k th shock. The system continues to
operate as long as cumulated damage is less than a. Let be
the time to failure r.v.:
6 Lecture 11 (Chapter 3)
EXAMPLE 1
Let Y1; Y2; : : : be an i.i.d. collection of rv's uniformly distrib-
uted on (0; 1].
These random variables represent successive bids on an asset
that you are trying to sell, and that you must sell by time t = 1,
when the asset becomes worthless.
As a strategy, you adopt a threshold , i.e. you will accept the
rst offer that is greater than .
7 Lecture 11 (Chapter 3)
Assume bids are coming in according to a Poisson process with
rate = 1:
What is the probability that you sell the asset by time t = 1?
What is the value of that maximizes your expected return ?
8 Lecture 11 (Chapter 3)
EXAMPLE (cont'd)
Conditional on N1 = n, the probability of not selling is
n
\
n
Pr(maxfY1; Y2; : : : ; Yng ) = P( Yi )=
i=1
Thus,
N1
E[Pr(maxfY1; Y2; : : : ; Yng )j N1] =
9 Lecture 11 (Chapter 3)
EE[Pr(maxfY1; Y2; : : : ; Yng )j N1] = E[ N1 ]
1
X
n
= Pr(N1 = n)
n=0
X1 1 n
n e (1)
=
n=0
n!
X1 n
1
= =e
n=0
n!
10 Lecture 11 (Chapter 3)
Hence the probability of selling by t = 1 is
1
Pr (Selling) = 1 Pr (N ot selling) = 1 e
11 Lecture 11 (Chapter 3)
Thus,
E[Return] = EE[ Returnj N1]
N1
= E[( 1+2 )(1 )]
1
X
n
= ( 1+2 )(1 )P (N1 = n)
n=0
= ( 1+2 )(1 e 1
)
12 Lecture 11 (Chapter 3)
THE ECONOMIES OF MASSED RESERVES
Consider the following two con gurations for a service operation.
Requests arrive through four sources each at a rate and labor
force consists of four identical workers, each with a service rate
of ( < 1)
A. Assign a one source to each worker
B. Pool the sources (for a rate 4 ) and workers
Which of the two con gurations is best ?
13 Lecture 11 (Chapter 3)
A request that arrives and can not be immediately served waits
in a queue, so the total time (cost) is a sum of the waiting time
and the service time.
Thus, pooling resources will result in a decrease of the
expected waiting time (assuming a simple “routing” discipline,
e.g. customers are sent to the shortest line)
14 Lecture 11 (Chapter 3)
Arrival Waiting Service
1
λ μ
2
λ μ
3
λ μ
4
λ μ
1
μ
2
μ
4λ 3
μ
4
μ
17 Lecture 11 (Chapter 3)
Pr(Lt+ t = ij Lt = i 1) = t + o( t)
Pr(Lt+ t = ij Lt = i + 1) = t + o( t)
Pr(Lt+ t = ij Lt = i) = 1 ( + ) t + o( t)
18 Lecture 11 (Chapter 3)
Letting pi(t) = Pr(Lt = i) we obtain the system of equations:
pi(t + t) =
Pr(Lt+ t = ij Lt = i)pi(t)
+
Pr(Lt+ t = ij Lt = i 1)pi 1(t)
+
Pr(Lt+ t = ij Lt = i + 1)pi+1(t)
Thus,
pi(t + t) pi(t) o( t)
= ( + )pi(t) + pi 1(t) + pi+1(t) +
t t
19 Lecture 11 (Chapter 3)
As t ! 1,
dpi(t)
= ( + )pi(t) + pi 1(t) + pi+1(t)
dt
In matrix notation:
dp(t)
= p(t)A
dt
20 Lecture 11 (Chapter 3)
λ λ λ λ λ
0 1 2 3 4 5 ...
µ µ µ µ µ
21 Lecture 11 (Chapter 3)
with Q (known as the “in nitesimal generator”) de ned as:
0 1
0
B ( + ) 0 0C
A = @B C
0 ( + ) 0A
.. 0 .. .. ..
22 Lecture 11 (Chapter 3)
STATIONARY PROBABILITIES
Let = limt!1 p(t) then a necessary condition for stability is
()
d (t)
= 0= A
dt
which leads to the “balance” equation:
i ( + ) = i 1 + i+1
0 = 1
1 ( + ) = 0 + 2
.. ..
i ( + ) = i 1 + i+1
24 Lecture 11 (Chapter 3)
To solve, we start with
1 = 0
2
+
2 = 0 0 = 2 0
.. ..
n
n = n 0
25 Lecture 11 (Chapter 3)
Using the fact that:
1
X 1
X 2
i = ( )i 0 = 0(1 + + 2
+ )=1
i=0 i=0
Thus
0 = 1
26 Lecture 11 (Chapter 3)
LONG RUN PERFORMANCE EVALUATION FOR M/M/1
The proportion of time the server is busy is 1 0 =
The average number of customers in the system is:
X1 X 1
L= i i = i ( )i 0
i=0 i=0
= 0 (1 )2
= 1
27 Lecture 11 (Chapter 3)
LITTLE'S LAW
Let
L = W
Lq = W q
28 Lecture 11 (Chapter 3)
Let Xt denote the arrival process. Note that the shaded area (with
upper limit t0) can be written as:
Zt0 X(t0)
X
Ludu = Wi
0 i=0
Zt X(t)
X
Ludu = Wi + error
0 i=0
29 Lecture 11 (Chapter 3)
No. of arrivals
w5
No. of
arrivals/
departures
w4
w3
w2 No. of departures
w1
t’ t
30 Lecture 11 (Chapter 3)
Therefore, 2 3
Zt XX(t)
E[ 1t Ludu] = E 4 1t [ Wi + error]5
0 i=0
1
= t tW + 1t E[error]
In the limit, we obtain
L = W
31 Lecture 11 (Chapter 3)
BACK TO PERFORMANCE EVALUATION
The average time a customer spends in the system is:
1
W = L
1
=
1
1 1
=
1
1
=
32 Lecture 11 (Chapter 3)
mean
response
time
μ
1.0
offered load
33 Lecture 11 (Chapter 3)
M/M/4 QUEUE
Arrivals come according to a Poisson process with rate 4 , and
service times are i.i.d exponentially distributed with mean 1 .
The “state” is de ned as the number of customers currently in
the system, including anyone that is being served.
The difference here is that if the state is k 4 then the rate at
which servers are becoming available is k
34 Lecture 11 (Chapter 3)
A
0 = 1
4 4 0
B ( +4 ) 4 0 0 C
B C
B 0 2 (2 + 4 ) 4 0 C
B C
B .. 0 3 (3 + 4 ) 4 0 C
B C
@ 0 4 (4 + 4 ) 4 A
.. ..
35 Lecture 11 (Chapter 3)
4λ 4λ 4λ 4λ 4λ
0 1 2 3 4 5 ...
µ 2µ 3µ 4µ 4µ
36 Lecture 11 (Chapter 3)
The steady state equations for this example are:
0 4 = 1
1 ( +4 ) = 0 4 + 2 2
2 (2 + 4 ) = 1 4 + 3 3
3 (3 + 4 ) = 2 4 + 4 4
and for i 4
i 4( + ) = i 1 4 + i+1 4
37 Lecture 11 (Chapter 3)
To solve, we start with
4
1 = 0
(4 )2
2 = 2! 2 0
(4 )3
3 = 3! 3 0
(4 )4
4 = 4! 4 0
for i > 4
(4 )i
i = 4i 4 4! i 0
38 Lecture 11 (Chapter 3)
Using the fact that:
1
X
1= i
i=0
=
2 3 4
4 1 4 1 4 1 4
0(1 + + 2! + 3! + 4! (1 + + ( )2 + ))
!
Thus
1
0 = 2 3 4
4 1 4 1 4 1 4 1
1+ + 2! + 3! + 4! 1
39 Lecture 11 (Chapter 3)
PERFORMANCE EVALUATION
The proportion of time the system is busy is
4 (4 )2 (4 )3
= 1 (1 + + 2! 2 + 3! 3 ) 0
4
1 4 1 1
= 4! 1 0 = 4 1
40 Lecture 11 (Chapter 3)
The average number of customers in the system is:
X1
L= i i = + (1 )2 4
i=0
1
X
with 4 = i
i=4
The average time a customer spends waiting in the system is
1 1 41 1
W = L= +
4 (1 )2
41 Lecture 11 (Chapter 3)
THE ECONOMIES OF POOLING SERVICE FACILITIES
42 Lecture 11 (Chapter 3)
12
10
Pool
Response Time 6
Series
0
0,1 0,2 0,3 0,4 0,5 0,6 0,7 0,8 0,9
λ/μ
43 Lecture 11 (Chapter 3)