330

sTMULATToN MoDELTNG AND ANALysrs

TABLE 6.3

{,BLE 6.3 (continued)

Continuous distributions
Uniform
Possible applications
rJfu,b)

4mential
Dmribution Used as a "first" model for a quantity that is felt to be randoml;r varying between a and b but about which little else is known. The U(0,1) distribution is essential in generating random values from all other distributions (see Chaps. 7 and 8)

expo(

F(r) = [0,-)
B

kameter
*.rnge lean

Scale

Density (see Fig. 6.1)

Distribution
Parameters Range Mean Variance

(t fG):l b- a [o (0 I -_ Fk\=l# lD-o tl

a scale parameter

lMce
[rde ]'{LE

if

a=x<b

B.
0

otherwise

ifx<a
if.a=x<b

imments

B:

it

1. The

ifb<x
b;alsa
location parameter,

2.tf
ther

Wei ram

a and b real numbers with < [a,bl

b-

ais

Erk 3. The
wit

a*b
2

(b

12

o)'

Mode

MLE
Comments

ri:
2.

Does not uniquely exist

min X..6 = max X " t==, t<<n 1. The U(0,1) distribution is a special case of the beta distribution
(when o, : az:l) lf X-U(0,1) and lx,x+Axl is a subinterval of [0,1]

A>0,

with

P(X elx,r + Axl) = I:.* My = (x+ Ax) - x = ax

which justifies the name .,uniform', f (x)

1l@-a)

FIGURE 6.1 U(o,) density function.

Exponential Possible applications

expo(p)

FIGURE 6.2 eryo(l) density function.

Interarrival times
constant rate

of
if

"customers"

to a

system that occur

at

Gamma

Density (see Fig. 6.2)

f(n:[i''''
[o

>0

Possible applications

Time t
repair

otherwise

SELECTING INPUTPROBABILITY

DISTRIBUTIONS 331

T{3LE 6.3 (continued)

L+onential
expo( )

I'srribution

F@=lL-'
Scale parameter B

ifx>0
otherwise

rr3metef
;-:ge
,-,:

>0

[o'-)
B

i:lance
,.{:ule

B'
0

ULE

'rments

*t") and is a special case of both the gamma T ' ff,J "l<0.( B ) distribution : 1 and scale pac parameter (for shape weilii o'i.tiiu,,tion'
p=

2. ''
3.

rameter P in both cases) p ), random variables' lf Xt, Xz, - ,X- are independent expo( also called the mt."" ii* Xr+ " ' + X- -gamma(m'p)' Erlang distibution distribution lh;;.p.t"ntial distribution is the only continuous 4'26) (see Prob' property with the memoryless

;r

-12
F-{GURE 6.2

*r"o(1) densitY function

Gmma
1':ssible aPPlications

gamma(c,P) repair

customer service or machine Time to comPlete some task, e.g.'

332

sIMULATToN MoDELING AND ANALysrs

TABLE 6.3 (continued)

Gamma

#-

gamma(c,B)

][L":.

Density (see Fig. 6.3)

1'):l-- r(")lo
where

( B-axd-te-,tp

if

x>o
LJ-

./"

otherwise

Distribution

f(a) s the gamma function, defined by l(z): li t'-'c^ for any real number z > 0. Some properties of the gamma f(z + 1) : zl(z) for any z>0, l(k + 1): kr for any integer /c, I( + ) = l . I. 3. 5. . .(2k - \ /2k for any integer /r, l(ll2)=1-, If a is not an integer, there is no closed form. If a is a porhn
integer, then

T/

t/

ll *':{; -'-',7"W
Parameters Range Mean Variance Shape parameter a

if

x>o

otherwise

0, scale parameter p

[0,-)
aB

oB'

Mode

MLE

9@-l)ifa>1,0ifa<1

The following two equations must be satisfied:

>rn, h 4 +.rr()

123
m[xE
6.3

aB: *@)

ppm,at a,1) density functions.

Comments

Wette (1969) for the derivation of this procedure and of Table 1. The expo(B) and gamma(l,p) distributions are the same 2. For a positive integer m, the gamma(z,B) distribution is crru the m-Erlang( B ) distribution

which could be solved numerically. [V():f'()/f() d called the digamma function; f' denotes the derivative di Alternatively, approximations to and B canbe obtained by lct 7:[lnX(n)-l,i=,lnX,lnl-', using Table 6.19 (see App. Al obtain as a function of T, and letting B = X1" n. [See Cbri d

E[Lf *r[

6.3 (continued) Weibull(c.,

Fm;ole applications

Time to

3. The chi-square distribution with

gamma(k
I

&

2,

gamma(a,,B), then X, + X2+ -..+ X^-gamma(a, t a- -- -,* + F) 5. lf "^' Xl and X, are independent random variables with f gamma(a,, p), then Xrl (X, + Xr) - beta(a,ar) 6. X-gamma(a,B) if and only if Y:llX has a Pearson tr6 W distribution with shape and scale parameters a and I I B, deod

4. If Xt,

X2,

2) distribution
.,

df is the same as &

gamma der

X-

are independent random variables wirh -f,

Ihmutl

(see

Fig. 6.4)

/('): {;p

Ilmrbution
puTmeters
t:xru_e

"(r:
[0,-)

{-

Shape para

P"t(a,t t p)

Mm
"ffiamce

4
a

7.

r(r \a

l_'S

/('):1p
Io

lr

(a

ifa<1
if a

a{zr(t-,
dt a

:1
fMrrJe

ifa>1

lu("-', a lo'

SELECTING INPUT

PROBABILIfi DISTRIBUTIONS

333

f(x) o= I
2

,9,-l

o=1

FIGURE 6.3

pnma(o,l)

densitY functions.

lf"{BLE 6.3 (continued)

ffieibull
P:ssible applications

Weibull(c,B) Time to complete some task (density takes on shapes similar to

gamma densities), time

to failure of a piece of equipment

otherwise

)cnsity (see Fig. 6.a)

lsrribution
Pr-ameters fl"rnge
hean

n:["9-"x"-te J\'-' t0 lxl = {1-"-"'P'" 0

1

('tP)a if x > o ifx>0

otherwlse

Shape parameter a

)0,

scale parameter B

>0

[0,-)
P

rl1) a \a/ lu("-t\''" 1'\ d / Lo

ira>l ifacl

-eiace

({,(?)- :['(:)]']

lll'Lad

334

sTMULATToN MoDELTNG AND ANALysrs

TABLE 6.3 (continued)

Weibull

Weibull(c,B)
The following two equations must be satisfied:

il
4

MLE

2,*i
i*1

rn", _

"a !rd

+
t=l

B(+)

'"

The first can be solved for numerically by Newton's method. md the second equation then gives B directly. The general recursive sc$ for the Newton iterations is

.l.d -

A+7ldk-cktBk , u,l_ -k+r ** lldo'+lBLHk- co')lBo'

) rn{
n

ll 4

-,11

Bo=),

x,uu, cr:i
/=1

xiuklnx,

ar=i
the iterations, the estimate
qo-

x,k(rn x,)2

[See Thoman, Bain, and O"ri" trn6nl for these forrnulas, as well r* for confidence intervals on the true a and B.] As a starting point fm

0.5
M6[}E
.4

1.0

\ 7f-LFt

l\lrrnxl'-(*
i ,-l
\,-,

x,\' 't //^ll-'' I

rtji,ebcril(a,1) density functions.

Comments

[due to Menon (1963) and suggested in Thoman, Bain, and A (1969)] may be used. With this choice of 0, it was repoed n Thoman, Bain, and Antle (1969) that an average of only _5 Newton iterations were needed to achieve four-place accurac!-. 1. The expo(B) and Weibull(1,p) distributions are the same 2. X-Weibull(a,B) if and only if X" -expo(B") (see prob. J

:,ILE 6.3 (continued)

qfrt[al N(r,o Erros
quanr

3. The (natural) logarithm of a Weibull random variable ha

distribution known as the extreme-value or Gumbel distribrw

lmsble applications

[see Law and Vincent (1990), Lawless (1982), and Prob. 8.lt{fl 4. The Weibull(2, p) distribution is also called a Rayleigh distrifu tion with parameter p, denoted Rayleigh(B). If Y and Z q independent normal random variables with mean S d yi*lm

rtue
lensir-v (see Fig. 6.5)

f(x):

B2 (see the normal distribution), then

Rayleigh(21l!)

X:

(Y2 +

Z2)':

lmrbution
Pns.meters

No clol Locatic

5. As a+@, the Weibull distribution becomes degenerate at $, Thus, Weibull densities for large a have a sharp peak at rh
mode
6.

nmge
fufuff
,[1mrce

(--,-)

It 2 o
lL

lff
fl-E

**':{i:i;:i

: *r
lated

lmments

1. If f\
ortr

SELECTINGINPUTPROBABILITYDISTRIBUTIONS

335

f(x)

0.5 IIIGI,]RE 6.4

'n

1.0

ibull(a,1) density functions.

T{BLE 6.3 (continued)

qmsd
hssible applications

N(t,o') Errors of various types, e.g., in the impact point of a bomb;

quantities that are the sum of a large number of other quantities (by virtue of central limit theorems)

Ie:nsitv (see Fig. 6.5)

e-G-Ptzt2o2 for all real numbers f(x\: -L !2o' No closed form

Location parameter r (-w,e), scale parameter o

lrmrbution
un-meters
illmgE
Wsun

(--,-)

riw:re
lMi3e

p 2 p

rmLE

,
1.

--

*@)

. 6:l'

-nt

s'tu)]' '

l;nnments

If two jointly

distributed normal random variables are uncone-

lated, they are also independent. Fo distributions other than normal, this implication is not true in general

336

STMULATToN MoDELTNG AND ANALysrs

TABLE 6.3 (continued)

Normal

UbmLE

53

(continued)

N(p,o')
2. Suppose that the joint distribution of X,,
tivaiate normal and let p.,_: E(X,) and C,,:'Cov(X,,i,). Then for any real numbes a, br, b2, . . . , b^,'th. .uniorn variable a -t brX, + b2X2+ . . . + b^X^ has a nrmal distribution with mean = a + ti, b,p., and variance

lfiSrel

Xr, ..,X-

is

mul_

il'nnmlrre applications

-c

d o

o'= ) )

b,b,c,,

=l t=l

Ilrns:]

tse Fig. 6.6)

Note that we need not assume independence of the X,,s. If the X,'s are independent, then

lmr:i:,don

o, 3. The N(0,1) distibution

normal distribution

:i

Mtr:elers
fr*mgt

\
e e e

b,z

yar(x,)
called the standard

Ir

,.'lr,"n

lt{ta

or

uni

'i(t&:r.f]{e
lll0irp

lf Xt,Xz, . ,X* are-independent standard nomal random vljalte thgy Xr2 + X22 + . . . t Xorhas a chi_square distribution with tdf, which is also the gu distibution ^1ktZ,Z.) 5. If X-N(p,at), then et has the logno:rmal distribution with
4. . If 7.
k df (sometimes called Student's t distribution) the normal distribution is used to represent a nonnegative quantity (e.g., time), then its density should be tuncated at x : 0

,nd[.-E

o, denoted LN(r.,or) N(0,1), if y has a chi_square qistribution with k df, and X and Y are independent, then X/\/-yTE has a distribution if

parameters p, and

X-

l-mcrents

wirh

If

(see Sec. 6.8)

8. As

o+0,

f(r)

the normal distribution becomes degenerate at &

0.5

1.0

FIGURE 6.5 N(0,1) density function.

F-lCrrnE 6.6 .}'t 0,o'z) density functions

SELECTINGINPUTPROBABILITYDISTRIBUTIONS

337

T.{BLE .3 (continued)
Lognormal

LN(r,o2) Time to perform some task [density takes on shapes similar to gamma(o,B) and Weibull(a,B) densities for a-> L, but can have a
iarge "spike;' close to

Fssible applications

the proiuct of a large number of other quantities (by virtue of central limit theorems)

.x:0

that is often useful]; quantities that are

)ensity (see Fig. 6.6) )istribution

?aameters
Range

r f .---1lnx_r)' ifx>o l-exD-= , 2/ ft')={ *xfr}'"v

l.o
[0,-)
e'"

otherwise

No closed form Shape parameter o > 0, scale parameter p

+n2/2

(-o,o)

\fean
'r

riance

,rr*,'7"-'
e,

\fode
[Il

-o'

- l)

ilf

ULE
--Jmments
rlf
lllll

p=7'i
logarithms

" jrnx,

l),'"x,-)'l =L=- , l

f "

lttz

1. X-LN(.r.,o' if and only if lnX-N(p,u'?)' Thus' if one has data Xt, Xr, . . . , X^ that are thought to be lognormal' the

lu
Itl

dutu points, ln Xr,lnXz, " ',lnX,, can be trJated as normally distributed data for purposes of hypothesizing a distribution, parameter estimation' and goodness-of-fit

tf th"

testing

2. As

the lognormal distribution becomes degenerate at ep' Thus, lognormal densities for small o have a sharp peak at the

a-0,

mode

S. Itq

/(t):0,

regardless

of the parameter values

0.5
-\(0,o'z)

l.u

FIGURE 6.6 densitY functions

338

STMULATToN MoDELTNc AND ANALysrs

TABLE 6.3 (continued)

Beta

TABLE 6.3 (continued)

beta(arrc.r)

Possible applications

Used as a rough model in the absence of data (see Sec. 6.9! distribution of a random proportion, such as the proportion d defective items in a shipment; time to complete a task, e.g., in e
PERT network

Beta

bfa(al

4. 5.

XX\.I

1.*

Density (see Fig. 6.7)

6. The

isa
7

I
for any real numbers zr
function:

0 and z, > 0. Some properties of the bete

8. The
the

B(zr,zr)=
Distribution

B(zr,zr), B(z,,zr)=W

Parameters Range Mean Variance

No closed form, in general. If either dl on d.2 is a positive integer, e binomial expansion can be used to obtain F(.r), which will be polynomial in .r, and the powers of .r will be, in general, positirc real numbers ranging from 0 through a, I a, - '!Shape parameters a, [0,1]
dl

0 and a,

ar1 a,
dtQz

G,+"rt@,+",+1)
I a.-7 I;-:tI d.rt a2

if ar)l,arlI a,11,ar11. (o,<l,ar>t)

(a, > 1, ar<"l)

Mode

]Oanar l0 |1

if if if fdoes not uniquely exist if

v(d,)

ar: ar: l

if (c, = l, ar>L) orif (o,>1,ar=1

or

MLE

The following two equations must be satisfied:

v(1 +

'):

ln G1

'

v(r)

{'(1 + d') = ln G,
and

Comments

(1967)l; note that Gl+G2<1. These equations could be soived numerically [see Beckman and Tietjen (1978)], or approximatim to , and , can be obtained from Table 6.20 (see App. 6A), whirn was computed for particular (Gr,Gr) pairs by modifications of tbc methods in Beckman and Tietjen (1978) 1. The U(0,1) and beta(l,l) distributions are the same 2. lf Xr and X, are independent random variables with X, gamma(q,B), then Xrl (X, + Xr) - beta(ar,ar) 3. A beta random variable X on [0,1] can be rescaled and relocated to obtain a beta andom variable on [a,bl of the same shape by the transformation f (b - a)X

wh-ere V (1 -

[IIl:,

X,)lt'"

is the

digamma function, G, =

[see Gnanadesikan, pinkham," and

(nl:, X,)tt",

Gr: Hugt
FIGURE 6.7 heta(ar,a.) density functions.
Prarson type V
Possible applications

PTS(a,

Time

t,

lognorn

Density (see Fig. 6.8)

f(x):

SELECTINGINPUTPROBABILITYDISTRIBUTIONS

339

TABLE 6.3 (continued)

Beta

bela(a'o.r) 5. X-beta(a,,cr) if and only if Y: Xl(l- X)

4. X-beta(a,ar) if

and only

if 1- X-befa(a',ar)
has a Pearson type

VI distribution with shape

6. 7.

parameters

c' cr and scale parameter

1, denoted PT6(ar,ar,1) The beta(1,2) density is a left triangle, and the beta(2,1) density is a right triangle

l- ifa,<l - {a, if a, = "0" lo ifa,>l lo ifa,>l The density is symmetric about : I if and only if ar : 4.. the mean and the mode are equal if and only if ar: a,
lim F(.r):,1 a, if a, :

(e ifa,(l

lim

'r f

x)

Also,

al=5,

q2=1.5

-0.8, cr=8

ot-0.8,cr=0.2

0.4

(.)
,L RE 6.7

, :..a,)

density functions.

,:son type V

PTS(a,)

rie applications

Time to perform some task (density takes on shapes similar to

lognormal, but can have a larger "spike" ciose to x

:0)

::v (see Fig. 6.8)

frx:1 B-"1(a) l.o

( x to'r\e l"

P\

if y)0 olherwise

sIMULATIoNMoDELINGANDANALYSIS

TABLE 6.3 (continued)

Pearson type V

YlS(a,B)

t63 rcowinued)

Distribution

,@=[r-."(+)
l.o variable
Shape parameter o

tgr

11

irx>o
otherwise

4ptications

Paameters Range Mean Variance

where Fo(x) is the distribu _rtion function of a gamma(a,l/B)

ratrfu

mt@ry *e

Fig. 6.9)

0, scale parameter > B

0
fllmimniitmrian

#
pt
(a -1)'(a p

for

a)l
for

Fl

-2)

a>2
mMIEmE

E-l

Mode

MLE

a+7 If one has data X,, X,, .

m"Er
.

Sh

[0.

,*1'".*i.1;
Comments

the PT5(a, B

) I. x-P"15(a,B)

i#
are

2. Note that the mean

the shape p;;;;;r**
3.6

:;^x;x:#i:,"f

: iil:tr"i:i-m ";;;"jlirl,,l" tu estimators tu :l-lmum-likelihood ' =r^ lf P (see comment t below) ir an'J"" - 'tPG i,:;11,ffi ;'#;j:rui,:?i:th
and

r'

lilfrm

p a:

lftmce

8.,

(a
ffitE

f8

t'
I

va'ance exist only for certain value

d
Iffi-E

to
the

Ifc

res ma
i 3.0

,iflnments

F=
1.

2.
3.

lriryular
Fnen-ble applications

Use

Dessit-v (see Fig. 6.10)

fltl

hstribution

()

0.5

1.0

rls

FIGURE 6.8 PTs(a,1) density functions.

2.0

)<

3.0

3.5

4.0 Faameters
Range

a.b

blo,b

SELECTINGINPUTPROBABILITYDISTRIBUTIONS

34I

T-{BLE 6.3 (continued)

Fcarson type

VI

P{l6(r,a2,p) Time to perform some task

Fossible applications

(
Density (see Fig. .9)

(t/B\"r-'

/(')={

Distribution

r('):1r"!fr) if x>0
lO
otherwise

Lo (\

fE6&'\nrT;/Pf'6

ir>o
otherwise

Farameters Range

where Fr(x) is the distribution function of a beta(a'ar) random variable Shape parameters a, >0 and a, >0, scale parameter B )0

[o'*)

\lean
variance

I d-

for a,>1

E'"J".,,I,",(a,- l)"(a,-

)) 2)

for

a.)2

n,

\lode

Ig@,--t) 1 dzr t
l.o
If
one has data

ifa,>1
otherwise

\ILE

Comments

thought to be PT6(4,'or,1), then fit a beta(a,,or) distibution to X'l(1+ -{) for i=1,2'. .. 'n' resulting in the maximumlikelihood estimators , and r' Then the maximum-likelihood estimators for the PT6(a',4r,1) (note that F : 1) distribution are also , and , (see comment 1 below) 1.. X - PJ6(a'ar,1) if and only it Y = X I G + X) - beta(a',o') 2. lf Xt and X, are independent random vaiables with X, gamma(a,,B), then Y= X,lXr-PT6(a,dr,F) (see Prob. 6'3) 3. Note that the mean and variance exist only for certain values of the shape parameter 42 triang(arbrc) Used as a rough model in the absence of data (see Sec' 6'9)

X, X2,. . . , X,fhatare

Triangular
Possible apPlications

Density (see Fig. 6.10)

[ 2(x..a) l(b-a)(c-at /(*)={ 2(b-x)

if.a-x<c

Distribution

q,-fi !0r

otherwise [o il x<a fo I tx-a)' . ifo<x<c |(b-a)(c-a) (t)=l ,- @,,!l', irc<x<b l' (b-a)(b-c) irb<x It

lr;;re-

ifc<x-b

Paameters
Range

a, b, and c real numbers with a<

b

c1b. a is a location parameter, a is a scale parameter, c is a shape parameter

lo,bl

342
l

sTMULATToN MoDELTNc AND ANALysrs

param( mdicates the interval where -{lso listed are the mean (e lnkelihood estimator(s) of t omments include relations

ion function (if it "Jescription of the

Lwless (1982) for other a

exists

r which the density funo

:utions. Graphs are given notation following the nem Jistribution, which includes

td

as."

Tpe VI distributions, beca

Note that we have inc

provide a better fit to data Fr_e. 6.19) than standard dis

5.2.3 Discrete Distributi

FIGURE.I.g PT6(a,,a.,1) density functions. TABLE 6.3 (continued)
Triangular
Mean Variance

(.)

The descriptions of the six attern as for the continuol

triang(ar,c)

T-TBLE 6.4

aIb*c
J

lXcrete distributions

t
l

rtroulli

Brtr
Ra<

a'+b2+ct-ab-ac-bc
------c

Pssible applications

Mode

othe
nega
M"ass (see

MLE

relevant Comment

Our use of the triangular distribution, as described in Sec. 6.9, is a a rough model when there are no data. Thus, MLEs are nd

Fig. 6.11)

p(x)

The limiting cases as c+ and c+a are called the right triangulg and left trinngular distributions, respectively, and are discussed in Prob. 8.7. For =0 and :1, both the left and right triangula distributions are special cases of the beta distribution

trustribution }Br'meter *-rnge

Mean -rbiance

F()

p(
p

{0.11

p(r fo {0ar

!,{ode

NGURE 6.T0 tnang(a, b, c) density

h{LE Jmments
fu nctions.

Ir P=) 1.A

ot

rh

]TING INPUT PROBABILITY DISTRIBUTIONS

343

:f[:,ytt*'

distri_ Graphs are.givn """, notation foilowins rhe name "r'r" The of each distribtion for that whic incrud"r trr" pu.u-Jr.. ""i"ul.*iation ,,is rn" symbol

fo. o,rn:l apprications]. Then the density function and disrribu_ tion function (if it exists ln ri.pr""'.i.*d ur" iir,""'exr description of the parameters, is a short {orm) including their'possibi"1u".. The range indicates the intervaf where ," can-tate on values. Aiso listed are the mean (expe.r"-""i""j, ""."1"i"i random'variaute u3ri31_"? and mode, i.e., at which the density runctin rr the value n'*irr"d. MLE ,"t ., -'rne maximum_ Iikelihood estimator(s) rl: p";;;;i;,.tr"ut"Jlui; ;""". 6.5. .of comments incrude relationshipi General of the oisiriution ,r"iu to other butions'

Lawless (1982)

j"^iiil;il;;r"#"#Tr,r,oution.
is read

distribut_

Note that we have included the less fam'iar pearson type v and pearson type vI distributions, because *" rruu" found that these dlstributions provide a better fit to crta r",. often *rro." rr-iragru-, are skewed to the right (see Fig' 6'19) than standard distributio; -";, gamma, weibuil, and rognormal.

6.2,3 Discrete Distributions

The descriptions of the six discrete distributios in Table 6.4 follow pattern as for the continuous the same distributionsln Table 6.3.

T.1,BLE 6.4

Discrete distributions
Bernoulli
Possible applications

Bernoulli(p) Random occurrence with two

other discrete random

negative

\lass (see Fig. 6.11)

Distribution
Paramete
Range

pG)=lp ifx=1 |.O orherwise ifx<o fo F@=1t-p ifo<xcr 11 ifl=x

p e (0,1) p

binomial l1-p ifx=o

r.."F outcomes; used to g"n"tut" urll-lltttot" lnates' e'g'' binomial' geometiic, and

\{ean
Variance Mode

{0,u

p(l - p)

J0andl if p=t irp>l [l

i=*@)
1A

(o

irp<!

\fLE
Comments

Bernoulli(p) random variable X can be thought of as the outcome of an experiment that eithe ,.fails,. o.llru"c""o..,, If the probability of success is p, ] and
we let

0lr th.

"rp".l..nt

Y4

SIMULATIoN MoDELING AND ANALYSIs

TABLE 6.4 (continued)

Bernoulli

Bernoulti(p)

TABLE 6.4 (continued)

t
3.

irthen x-BetnoufiJexperiment, ort"n trial' provides u "ul"TT*s' way of relating ,ru"ruro 1l"'n,lulli I other discrete distributions "onu"oi.ol noulli distribution to the Be_

failsandx=lif

s-*il

Discrete uniform Mean

\ariance

.{;:n:*'#:ff , ,:::ir:::" ,.rirg iJ"pla",""r

Suppose we begin

.x, ut: independent ll'1"ll'l:Hi,'.""#'L lf::T::i+, 2; o, +ff::T'ffi"#;

f.i"i'",i,,?Tffi.'ffi*"T;ili

I l,;

-,.

Mode

+.
P

(x)

For a posirive integer nutn.;'oi'lli;;.Jli.o"rameter s_ observing the sth success negative binomial otr,.,n?.ll-o:t has a with parameters s and p ernouil;i is a special case of i.t.iuuio"*i*]ln'rTi"uout'on rhe binomial .nd the same value for p)

geometric distribution o/.,o-J"

;"fi1,-# #:?::,,;,i.,

*li:il"", or.',,....,'
p.

H:i|..

of

,u""..,"rr

\{LE
Commenl

i"

...""n 1.,", rhen the ob"-ing the first success has a

I (i-t+
I

of a Bernour_

rni

;#liron

Binomial
Possible applications

x
Discrete uniform Possible applications

FIGURE .11

Bernoulli(p) mass function (p > 0.5 here).

Mass (see Fig. 6.13)

DU(i,j)
Random occurrence

ts equally likety; used as a.-fi.st,.

fi'#T
Mass (see Fig. 6.12)

among rhe integers

i through,

n@:l/=r lTT

(t

;;"ru;'"luanrity rhar ,* bri;;;;,il;h litre else is

Distribution

if

Distribution

't"/:l
Parameters
Range

l["]-+r
I

[o (0

x {i, i + t.... , }

otherwise

ifx<i
i<x<i r. <*
f
.

/-r.il

Paameters Range

t
{

parameter {i,i+1,...,j}

rhe largest inreger sx i"J Il.i. r and I integers with i <7; . ls a location

denotes

Mean Variance is a scle Mode

tI tI

parameter./-i

\fLE

aj

DISTRIBUTIONS SELECTING INPUT PROBABILITY

'i1i
,ti1r

345

ill

rll

TABLE 6'4 (continued)

Discrete uniform

DU(r,i)

i+j
ilr

Mean Variance Mode

hd,'-

(i-i+t)'z-1
t2
Does not uniquelY exist

Mdr

mr

rh
!!dlI

MLE
Comment

i:

min

X^. j= ,q,u*-&
l and Bernoulli(!)
distributions are the same

ffr.'=oto'f

tu
u.r
illt

1/(i-t+

M]
FIGURE 6.12

DU(t,i)
Binomial
Possible aPPlications

mass function

Number or suuucrrvr'^' ' of "defective" items in a batch T;;;"r ty p of success on each trial of batch.(e-g'' u *11-ot people) of size ; number ol rtems in a an inventory from demanded items of .t-ber

t"""*'itr"t

Mass (see Fig' 6'13)

[(')o'1r-rl' p(x)=l'x'
*h*" (i)
is
the binomial

ifx{o'1""'f}
orherwise

cofficient' defined bv

Mlt$t

IET

('):5
if<0
- p)'-' ifo<< \ft<x

ET

ltr

s.

Distribution

Parameters
Range

(0'1) r a positive integer, P e

tp

{0,1,. .. ' t}
tp(r

Mean Variance Mode

P)

MLE

lipt, i ill ii, o *"*t'

lo(t+ l)

I and p(t +
then

l)

if p(r+ l) isan integer

otherwise

il;;;;';?;;J

I and p are unknown' then r I = i(n tt' lt both v(n)' rhen the onrv ii ln' ('? - 1)s'z('1)/n =

346

sIMULATToN MoDELTNG AND ANALysrs

TABLE 6.4 (continued)

Binomial bin(f,p)

TABLE 6.4 (continued)

following approach could be taken. Let M

function

k=0,1,...,M,Iet /o be the number shown that and p are the values for and p that maximize s(t,p): ) rn(-k+r)+nttn(t-p)+ nilnm j
M

: max X,, and for of X,'s>iltt"n it can be

Geometric Possible applications

geom(

Numbt

,lp

dent

numbe

ilem; r

deman Mass (see Fig. .14)

is easy to see that for a fixed value of t, say /0, the value f p tt,*, maximizes g(ro,p) is X1ntto, so i and p ari the values of ad X(n) I t that lead to the largest value ot gV. *@) t tl for t e M I,. . . , M' j, where M' is given by [see DeRiggi (19g3)] {M, -

o.'o .Pr r,

p(r):

Distribution
Parameter
Range

r("):
pe(0
{0, 1.

''=lLt-t (,'-v("yx-(dl
Comments

*vtu-tt

Note also that g[t,*@)/t] is a unimodal function of 1. If Yt,Yr, .., Y, are independent Bernoulli(p) random variables, then Yt + Y2 + ... + yt-bin(r,p) 2 If X1, Xr, . . , X- are independent random variables and .{ _ then X, + X2+...+ X^^-bin(r, + tz+...+ t^,p) ^ \n(t,,p), 3. The bin(r,p) distribution is symmetric if and only if p-'t^' 4. X -bin(t,p) if and onty if I - X -bin(t,t - p) 5. The bin(l,p) and Bernoulli(p) distributions are the same
p (x)

Mean Variance

1-p
p

1,-p
p2
0

Mode

MLE
Comments

'x
1. If 2. If 3. Th
tio

p (x)

var

the

par

tial

4. Th

bu

4 5 6 7 8 9t0
PG)
',

()

FIGURE 6.13
I

0t
[IGI.]RE 6.14 eom(p) mass functions.

bin(r,p) mass functions.

SELECTINGINPUTPROBABILITYDISTRIBUTIONS

347

TABLE 6.4 (continued)

Geometric Possible applications geom(p)

Number of failures before the first success in a sequence of independent Bernoulli trials with probability p of success on each trial; number of items inspected before encountering the first defective item; number of items in a batch of random size; number of items demanded from an inventory

Mass (see Fig. 6.14)

- tl' ^,., -[n(t Y\^' to

t

ifxe

{0. 1.. . .} if >o

otherwise

otherwise

Distribution
Parameter
Range

Ftrt=[ I - (l -p)r'r'I

p e (0,1)

{0,1,...}
1,- p p

Mean Variance

lp2
0

Mode

MLE
Comments

'D:- X(n)+l
Yt, yr, . . . is a sequence of independent Bernoulli(p) random variables and X: min{i: { = 1} - 1, then X- geom(p). 2. lf Xt, Xr, . . , X, are independent geom(p) random variables, then X, + X2 + .. . + X, has a negative binomial distribution with parameters s and p 3. The geometric distribution is the discrete analog of the exponential distribution, in the sense that it is the only discrete distribution with the memoryless property (see Prob. 4.27) 4. The geom(p) distribution is a special case of the negative binomial distribution (with s = L and the same value for p)

"1

l. lf

p (x)

p (x) 0.6 0.5 0.4 0.3

n)
0.1

34
FIGURE 6.14
_leom(

p)

mass functions.

348

sTMULATToN MoDELTNG AND ANALysrs

TABLE 6.4 (continued)

Negative binomial Possible applications
P

(x,

negbin(s,p)

dent Bernoulli trials with probability p ot ,,r"""r. n each trial; number of good items inspected befoie encountering the sth defectlve rtem; number of items in a batch of random slze; number of items demanded fom an inventory
Mass (see Fig. 6.15)

Number of failures before the sth- success ln u

."qu*."1iliIf,!I-

p@)

=[('* iIo

1)
n'<r

- rt'

if.re{0,1,...}
otherwise

01234567
FIGURE 6.15 negbin(s,p) mass functions.

Distribution

o', = I('
Io

* i,-

1)

n'{t - n)'
e(0,1)

if>0
otherwise

Parameters
Range

s a positive inreger, p {0,1.. . }

Mean

s(1-p)
p
TABLE 6.4 (continued)
Poisson

Vaiance

s(1-p)
p2
Let y = [s(1

Possible applications

Nu

Mode

-p) - t]/p;
Mode:

then

are ( batc

MLE

if y is an inreger fr and r + I otherwise [[y]+t If s is.known, then p: s/[X1n) + s]. If both s and p are unknown. then . and I exist if and onty if V(n) = (n _ tSrqnj tn > il;: ; M=E?yX,, and for k=0, 1,...,M,'tet U" tt" number of x,'s> k' Then we can show that j and p are rhe varues for s andp
that maximize the function
M

Mass (see Fig. 6.16)

pG)

Distribution

r(x)

h(s,p)=

m(r +

k-t)-t

nstn

p+ n*@)h(1_p)
Parameter
Range

Comments

^ If 2.

subject to ,fr" loirrr.uino that.r {1,2,...} and 0<p<1. For a fixed value of s, say so, the value of p tbai maximizisrt(so,p) is sol, so that we examine h(r,t/tX@;;l)" ':lJX(|_* -could. h(2,2.1[X(n)_.+Z]),. . .. Then andl are chosen to " tf," values t..u"d.-t!l{@)+sl that lead to the biggest observed value of of h(s, s I [X(n) + s]). However, since ng,s t a unimoda.l ii(n+ fuqction of s [see Levin and neeas' (tlZZ)],'it "j-is is clear when ro terminate the seach l. \ Y,Y2,. ..,Y" are independent geom(p) random variables" Yt + y2+... + y"-negbin(s,p)

^>1 {0, r

Mean Variance Mode

t
Lr

f^-

MLE
Comments

=
a

l!.! Y.1,

1.L

l"-j3b$ ^ If 3. X\,
+ s-,p)

-yr,

...

ir

negbin(s,,p), then Xt+ X2+ ...+ X^_negbin(s, + s, + i.

4. The negbin(1,p) and geom(p) distributions are the
same

and X = min{i: Xi=, yt= ,} _ s, then X_ negbin(s,p) {r, , X^ are indpnent iandom vaiables and X, _

a sequence.of independent

Bernoulli(p) random

) )
2.

tl

"

lJ

SELECTING INPUT PROBABILITY

DISTRIBUTIONS

349

(x)
0.25

p (x)

0.30

of indepen; on each trial; .g the sth defecsize; number of

)nce

0.20
0.15
0.

l0

"o

| 2 3 4

FIGURE 6.15 negbin(s,p) mass functions'

TABLE 6.4 (contnued)

Poisson

Poisson(,\)

Possible applications

Numbe of events that occur in an interval of time when the events of items in a are occuring at a constant rate (see Sec' 6'10); number inventory batch of ,undo- size; number of items demanded from an
(

eger

-^'
xr

Mass (see Fig. 6.16)

e(,r) =

i p are urtknown,

t
Io

ifxe{0,1,...}
otherwise

n)ln> X(n). Let : the number of

alues

ifr<0
Distribution FG) =

for s and p

l"
A>0

-^

$ ^' i!
o

if

o<

n) ln(1

- p)

Parameter
Range

l0<p<1.Fora
rimizes ft(so,p) is (1, 1/lt(n) + 1l), o be the values of

Mean Variance

{0,1,...} I
,I

bserved value of s]) is a unimodal is clear when to random variables,

Mode

MLE
Comments

L^l i: *(n)
t

l,\ - I and A

if I

is an integer otherwise

r. I-ei , Yt,..
ables,'and- let

moulli(p) random
o

X-negbin(s,P)

be a sequence of nonnegative IID random variThen the distribution of Also' if X-Poisson(r)' if otv and ii expo(1/r) ;"-i'. is i; :u4i,Li,:iY,=r), then the {'s are expo(l) if and only if

X:max{i: Xl=' Y=l}'

'ariables and

X,-

egbin(s,*s,t"'
re the same

2.

X'-Poisson(i) (see also Sec' 6'10) X' lt Xt, Xr,. . , X^ are independent random variables and + + 12 "' X--Poisson('tr' + "'+ Xz+ X' then foision(i,),
+

I.)

350
P@\

STMULATToN MoDELTNG AND ANALysrs

p (x')

Ff):1n-I [,
o.2
0.1

lL.

("

Figure 6.17 gives

p (x)

p()

:aprdll' over those ranger nssred. Also, for each i nrge n) the proportion c w,mld like a continurus
,oiruussion

of other

q'ar

:rm it during a simulari

see Sc. 8.3.12).

inucring this particular

(see Prob. 6. If. on the other har :a"hen since we do not kr

m the

.{'s

Also. t

012

34

FIGURE 6.1 Poisson(,\) mass functions.

Cften the ar's will be eq .d, reasonable piece*ise ryrecified by first letting

:trt the /th interval

r -{.'s are grouped into I

cor

: l....,k.Then,inte4
(o

6.2.4 Empirical Distributions

some situations we might want to use the observed data themselves to specify directly (in some sense) a distribution, called an empirical distribuon. from which random values are generated during the simulation, rather than fitting a theoretical distribution to the data. For example, it could happen that we simply cannot find a theoretical distribution that fits the data uiqu"t"ly (s.ee.Secs. 6.4 through 6.6). This section explores ways of specifying "-piri distributions. For continuous random variables, the type of empirical distribution tha can be defined depends on whether we have the actual values of the individual original observations x1, x2,. . . , xn rather than only the number of x,'s thar fall into each of several specified intervals. (The latter case is called grouped data or data in the form of a histogram.) lt the original data are availble, we can define a continuous, piecewise-linear distribution function F by first sorting the x,'s into increasing o-rder. L"t \,1denote the ith smallest oi the 4'r, J that X1r X(r) =

In

r,o. ., * G(x):( '' "

I

xaj-

t,