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CSC304A
Computer Simulation
B. Tech. CSE, 2015
Course Leader:
Santhoshi Kumari
Santoshi.cs.et@msruas.ac.in
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Objectives
• At the end of this lecture, student will be able to
– Understand Brief Review of Probability, Discrete Random Variables,
Continuous Random Variables, Cumulative Distribution Function,
Expectation, Measure of Dispersion, Mode
– Understand Useful Statistical Models like Queueing systems, Inventory and
supply-chain systems, Reliability and maintainability, Limited data
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Outline
• Brief Review
– Probability
– Discrete Random Variables
– Continuous Random Variables
– Cumulative Distribution Function
– Expectation
– Measure of Dispersion
– Mode
• Useful Statistical Models
– Queueing systems
– Inventory and supply-chain systems
– Reliability and maintainability
– Limited data
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Brief Review: Probability (1)
• Is a measure of chance
• Laplace’s Classical Definition: The Probability of an event A is defined a-
priori without actual experimentation as
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Brief Review : Probability (2)
• The axiomatic approach to probability, due to Kolmogorov
developed through a set of axioms
• For any Experiment E, has a set S or of all possible outcomes
called sample space, .
• has subsets {A, B, C, …..} called events. If A B , the empty
set, then A and B are said to be mutually exclusive events.
A
A B A B A
A B A B A
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Brief Review: Probability: Axioms of
Probability
• For any event A, we assign a number P(A), called the
probability of the event A. This number satisfies the
following three conditions that act the axioms of probability.
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Brief Review : Discrete Random Variables (1)
• X is a discrete random variable if the number of possible values of X
is finite, or countably infinite.
• Example: Consider jobs arriving at a job shop.
• Let X be the number of jobs arriving each week at a job shop.
• Rx = possible values of X (range space of X) = {0,1,2,…}
• p(xi) = probability the random variable is xi = P(X = xi)
• p(xi), i = 1,2, … must satisfy:
1. p ( xi ) 0, for all i
2. i 1
p ( xi ) 1
0
x0
2. P ( a X b ) P ( a X b ) P ( a X b ) P ( a X b )
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Brief Review: Continuous Random Variables (2)
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ex / 2 , x 0
f ( x) 2
0, otherwise
• Properties
1. F is nondecreasing function. If a b, then F (a ) F (b)
2. lim x F ( x) 1
3. lim x F ( x ) 0
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Brief Review: Cumulative Distribution Function (2)
• Consider the loaded die example
x (,1) [1,2) [2,3) [3,4) [4,5) [5,6) [6, )
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Brief Review: Cumulative Distribution Function (3)
• Example: An inspection device has cdf:
1 x t / 2
F ( x) e dt 1 e x / 2
2 0
– The probability that the device lasts for less than 2 years:
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Brief Review: Expectation (1)
• The expected value of X is denoted by E(X)=µ
– If X is discrete
E ( X ) xi p( xi )
all i
– If X is continuous
E ( X ) xf ( x)dx
– If X is continuous 14
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Brief Review: Measures of Dispersion (1)
• The variance of X is denoted by V(X) or var(X) or s2
– Definition: V(X) = E[(X – E[X])2] = E[(X – )2]
– Also, V(X) = E(X2) – [E(X)]2 = E(X2)- 2
– A measure of the spread or variation of the possible
values of X around the mean
• The standard deviation of X is denoted by s
– Definition: square root of V(X) i.,e
s V (X )
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Brief Review: Measure of Dispersion (2)
• Example: The mean of life of the previous inspection device
is:
1 x/ 2 x / 2
E ( X ) xe dx xe
e x / 2 dx 2 years
2 0 0
0
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Brief Review: Mode
• I 17
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2. Useful Statistical Models
–Q 18
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Useful Models : Queueing Systems
• In a queueing system, inter arrival and service-time
patterns can be probabilistic (for more queueing examples, see Chapter 2).
• Sample statistical models for inter arrival or service time
distribution:
– Exponential distribution: if service times are completely random
– Normal distribution: fairly constant but with some random
variability (either positive or negative)
– Truncated normal distribution: similar to normal distribution but
with restricted value.
– Gamma and Weibull distribution: more general than exponential
(involving location of the modes of pdf’s and the shapes of tails.)
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Useful Models: Inventory and supply chain
• In realistic inventory and supply-chain systems, there are at least
three random variables:
– The number of units demanded per order or per time period
– The time between demands
– The lead time (time between the placing of an order for stocking
the inventory system and the receipt of that order)
• Sample statistical models for lead time distribution:
– Gamma
• Sample statistical models for demand distribution:
– Poisson: simple and extensively tabulated.
– Negative binomial distribution: longer tail than Poisson (more
large demands).
– Geometric: special case of negative binomial given at least one
demand has occurred.
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Useful Models: Reliability and maintainability
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Useful Models: Other areas
• F 22
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Summary
• Brief Review of Probability, Discrete Random Variables, Continuous
Random Variables, Cumulative Distribution Function, Expectation,
Measure of Dispersion, Mode
• Useful Statistical Models like Queueing systems, Inventory and
supply-chain systems, Reliability and maintainability, Limited data
• Useful Statistical Models
– In a queueing system, inter arrival and service-time patterns can be
probabilistic
– In realistic inventory and supply-chain systems
– For cases with limited data, some useful distributions are: Uniform, triangular
and beta
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