Chapter 5
Chapter 5
Chapter 5
Statistical Models in
Simulation
In this chapter:
Review several important probability distributions
Present some typical application of these models
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Review of Terminology and Concepts
∑
∞
2. i =1
p ( xi ) = 1
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Continuous Random Variables [Probability Review]
3. f ( x) = 0, if x is not in RX
Properties
x0
1. P( X = x0 ) = 0, because ∫ f ( x)dx = 0
x0
2. P(a ≤ X ≤ b) = P( a p X ≤ b) = P( a ≤ X p b) = P (a p X p b)
1 −x / 2
e , x≥0
f ( x) = 2
0, otherwise
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Cumulative Distribution Function [Probability Review]
Properties
1. F is nondecreasing function. If a p b, then F ( a) ≤ F (b)
2. lim x→∞ F ( x) = 1
3. lim x→ −∞ F ( x ) = 0
The probability that the device lasts for less than 2 years:
P (0 ≤ X ≤ 2) = F (2) − F (0) = F ( 2) = 1 − e −1 = 0.632
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Expectation [Probability Review]
σ = V (X ) = 2
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Slide 9
B10 after :, two spaces, then next word starts with a capital letter
Brian; 2005/01/07
Useful Statistical Models
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Inventory and supply chain [Useful Models]
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Other areas [Useful Models]
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Discrete Distributions
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Bernoulli Trials
and Bernoulli Distribution [Discrete Dist’n]
Bernoulli Trials:
Consider an experiment consisting of n trials, each can be a
success or a failure.
Let Xj = 1 if the jth experiment is a success
and Xj = 0 if the jth experiment is a failure
The Bernoulli distribution (one trial):
p, x j = 1, j = 1,2,..., n
p j ( x j ) = p( x j ) = 1 − p = q, x j = 0,j = 1,2,...,n
0, otherwise
where E(Xj) = p and V(Xj) = p(1-p) = pq
Bernoulli process:
The n Bernoulli trials where trails are independent:
p(x1,x2,…, xn) = p1(x1)p2(x2) … pn(xn)
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Geometric & Negative
Binomial Distribution [Discrete Dist’n]
Geometric distribution
The number of Bernoulli trials, X, to achieve the 1st success:
q x −1 p, x = 0,1,2,..., n
p( x) =
0, otherwise
E(x) = 1/p, and V(X) = q/p2
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E(X) = α = V(X)
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Poisson Distribution [Discrete Dist’n]
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Continuous Distributions
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Uniform Distribution [Continuous Dist’n]
Properties
P(x1 < X < x2) is proportional to the length of the interval [F(x2) –
F(x1) = (x2-x1)/(b-a)]
E(X) = (a+b)/2 V(X) = (b-a)2/12
U(0,1) provides the means to generate random numbers,
from which random variates can be generated.
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Exponential Distribution [Continuous Dist’n]
Memoryless property
For all s and t greater or equal to 0:
P(X > s+t | X > s) = P(X > t)
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Mean: −∞ p µ p ∞
Variance: σ 2 f 0
Denoted as X ~ N(µ,σ2)
Special properties:
lim x →−∞ f ( x) = 0, and lim x→∞ f ( x) = 0.
f(µ-x)=f(µ+x); the pdf is symmetric about µ.
The maximum value of the pdf occurs at x = µ; the mean and
mode are equal.
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Normal Distribution [Continuous Dist’n]
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Weibull Distribution [Continuous Dist’n]
A random variable X has a Weibull distribution if its pdf has the form:
β x −ν β −1 x −ν β
f ( x) = α α exp − , x ≥ ν
α
0, otherwise
3 parameters:
Location parameter: υ, (−∞ p ν p ∞)
Scale parameter: β , (β > 0)
Shape parameter. α, (> 0)
Example: υ = 0 and α = 1:
When β = 1,
X ~ exp(λ = 1/α)
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Poisson Distribution
Definition: N(t) is a counting function that represents
the number of events occurred in [0,t].
A counting process {N(t), t>=0} is a Poisson process
with mean rate λ if:
Arrivals occur one at a time
{N(t), t>=0} has stationary increments
{N(t), t>=0} has independent increments
Properties
e − λt ( λt ) n
P[ N (t ) = n] = , for t ≥ 0 and n = 0,1,2,...
n!
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The 1st arrival occurs after time t iff there are no arrivals in the interval
[0,t], hence:
P{A1 > t} = P{N(t) = 0} = e-λt
P{A1 <= t} = 1 – e-λt [cdf of exp(λ)]
Interarrival times, A1, A2, …, are exponentially distributed and
independent with mean 1/λ
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Slide 32
Splitting:
Suppose each event of a Poisson process can be classified as
Type I, with probability p and Type II, with probability 1-p.
N(t) = N1(t) + N2(t), where N1(t) and N2(t) are both Poisson
processes with rates λ p and λ (1-p)
λp N1(t) ~ Poi[λp]
N(t) ~ Poi(λ) λ
Pooling:
Suppose two Poisson processes are pooled together
N1(t) + N2(t) = N(t), where N(t) is a Poisson processes with rates
λ1 + λ2 λ
N1(t) ~ Poi[λ1] 1
λ1 + λ2
N(t) ~ Poi(λ1 + λ2)
N2(t) ~ Poi[λ2] λ2
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Nonstationary Poisson
Process (NSPP) [Poisson Dist’n]
Poisson Process without the stationary increments, characterized by
λ(t), the arrival rate at time t.
The expected number of arrivals by time t, Λ(t):
t
Λ(t) = ∫ λ(s)ds
0
Relating stationary Poisson process n(t) with rate λ=1 and NSPP N(t)
with rate λ(t):
Let arrival times of a stationary process with rate λ = 1 be t1, t2, …,
and arrival times of a NSPP with rate λ(t) be T1, T2, …, we know:
ti = Λ(Ti)
Ti = Λ−1(ti)
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Nonstationary Poisson
Process (NSPP) [Poisson Dist’n]
Example: Suppose arrivals to a Post Office have rates 2 per minute
from 8 am until 12 pm, and then 0.5 per minute until 4 pm.
Let t = 0 correspond to 8 am, NSPP N(t) has rate function:
2, 0 ≤ t p 4
λ (t ) =
0.5, 4 ≤ t p 8
Expected number of arrivals by time t:
2t , 0≤t p4
Λ (t ) = 4 t t
∫0 2ds + ∫4 0.5ds = 2 + 6, 4 ≤ t p 8
Hence, the probability distribution of the number of arrivals between
11 am and 2 pm.
P[N(6) – N(3) = k] = P[N(Λ(6)) – N(Λ(3)) = k]
= P[N(9) – N(6) = k]
= e(9-6)(9-6)k/k! = e3(3)k/k!
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Summary
The world that the simulation analyst sees is probabilistic,
not deterministic.
In this chapter:
Reviewed several important probability distributions.
Showed applications of the probability distributions in a simulation
context.
Important task in simulation modeling is the collection and
analysis of input data, e.g., hypothesize a distributional
form for the input data. Reader should know:
Difference between discrete, continuous, and empirical
distributions.
Poisson process and its properties.
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