Probability and its applications

Engineering Economics Management Agriculture etc.

Probability and its applications

Decision Analysis under Uncertainty Reliability Quality Control Queueing Systems Production and Inventory Control Simulation

Modeling uncertainty with Probability

Uncertainty is a critical element of many decisions Model depends on the nature of the uncertainty The use of probability to model uncertainty -Uncertainty quantities (random variables) - Chance event Sth about which a decision maker is uncertain More than one possible outcome The use of decision tree

Measuring uncertainty with Probability Bayes Theorem

P(B \ A) = P( A \ B)P(B) P( A \ B)P(B) + P( A \ B)P( B)

Example (Aircraft engine) Test a part of an aircraft engine before installation 75% chance of revealing a defect if present 75% chance of passing a good part Part may undergo an rework operation to produce a part free from defects 1/8 of parts are initially defective

Decision Tree Diagram

rk wo Re

Data from Example (defect)

1 = a defect is present A1 = test reveals a defect C = cost of test L = rework cost 5 1 P(1 ) = 8 P(A1 \ 1 ) = 0.75 P(A2 \ 2 ) = 0 .75 2 = no defect is present A2 = test doesnt reveal a defect L = loss cost

L C 5

A1

inst all

-L-C

A2

ork Rew
ins tall

L C
5

te st

-C

Rework
ll sta in

L 5

1
2

-L

2
0

-C

7 8 P(A1 \ 2 ) = 0 .25 P(2 ) = P(A2 \ 1 ) = 0. 25

Posterior Distribution by Bayes Theorem

Prior Probability A1: Likelihood 0.75 0.25 P(A1) A2: Prior Prob. x Posterior Probability Likelihood 0.09375 0.21875 0.3125 0.03125 0.65625 0.6875 0.045 0.955 0.3 0.7

Decision Tree Diagram

[-0.2L-C] 0.3125

rk wo Re

L C 5

0.3 [-0.3L-C]

te st

1 2 1 2

1/8 7/8

A1
[-0.093L-C] 0.6875

inst || all

1
0.7

-L-C
-C

A2

rk [-0.045L-C] Rewo ||
ins tall

L C 5

Rework

1/8 7/8

0.25 0.75 P(A2)

||

L 5

[-0.045L-C]

0. 045

1
2

1 8

-L-C
-C

ll sta in
[-0.125L]

-L
0

0. 955

7 8

Making Decision
The possible optimal decision: 1. - 0.093L C < -0.125L C > 0.032L do not test and install 2. - 0.093L C > -0.125L C < 0.032L test and if test reveals a defect, rework if test doesn t reveal a defect, install 3. - 0.093L C = -0.125L install or test

Example
Example (Oil Wildcatter problem) Not sure about cost to drill the well Not sure whether will find oil Two options for conducting test Cost = Cost of test + Cost of drilling Revenue from selling oil

Influence Diagram for the Drilling Problem

Decision Tree Diagram

Specify
-40 0.5 [40] 0 0.3 120 0.2 270

Decisions Uncertainties Values Relationships

[-50] [70] [220]

-50 -70

Show precise sequence of events

Decision Tree Diagram

Max(40,0)

Decision Tree Diagram

Decision Tree Diagram

Result from Decision Tree Analysis

None

Drill [40]

Yes No

Drilling_Costs [40] [0]

Test [40]

Seismic_Structure Core_Sample [34.3] -10 Exp_Seismic_Test Exp_Seismic [37] -3

Influence Diagram for Deming s inspection

Software Design

Sample size n

X1 #defective in n

Stop or Continue

X2 #defective in N-n

Loss

Y1 #additional inspections

%defective

Applications of Poisson process in Reliability

Applications of Poisson process to failures

{X( t 1 ), X( t 2 ),..., X( t n )}, t 1 < t 2 < ... < t n

Time intervals over which failures are recorded have length Time horizon = K = T

When T and

0, use Poisson process approximation

N(t): the number of failures in [0,t] k = 0,1, : failure rate

P[N( t ) = k \ , t ] = ( t ) k e t k!

K = T

k t

Application in Computer Hard disk failures

Hard disk failures (M denotes million seeks) No. of seeks Errors Company A Company B 250M 1M 2500 5

Application in Computer Hard disk failures

Using Bayes formula, Posterior density for conditional on data: t k +1 k e t p( \ k , t ) = k! Posterior mean:

=errors/no. of seeks 2500 A = = 10 10 6 250 M 5 B = = 5 10 6 1M

E( \ k , t ) =

k +1 t

Posterior Density of Failure rate

Posterior Density of failure rate
. E+

Posterior mean
Posterior mean:

E+

E( A \ 2500, 250 10 6 ) = 1.0004 10 5 E(B \ 5, 1 10 6 ) = 0.6 10 5

Company A Company B

E+

posterior density

E+

E+

E+

Company A claimed that since they had many more disks in use, the apparent superiority of Company B was void. Would you agree?
The failure rate for hard disks from Company B is significantly better.

E+

E+

E+ . . . . . . Failure rate per . ^ seeks . . . . . .

Network Reliability
9 4 1 s:source 2 5 3 6 8 7 t:terminal

Network Reliability
(x 1 , x 2 ,..., x 9 ) = 1 0 if the system works otherwise

Coherent system: 1. is increasing coordinatewise, 2. Each component is relevant.

Component is irrelevant if (1i , x) = (0 i , x)

1 if arc i works, 0 otherwise state of arcs : (x 1 , x 2 , x 3 ,..., x 8 , x 9 ) xi =

Success: there is at least one working path of nodes and arcs from s to t.

(1,1,...,1) = 1 all componentsin a coherentsystem are relevant.

Network Reliability
Given P(X i=1)=pi Probability that there is at least one working path at a given instant in time between the distinguished nodes s and t:

Network Reliability
Factoring Algorithm Series-parallel probability reductions Pivoting Conditions

M M M M

1 p1

2 p2

M M M

p1p2 1 p1

h (p) = h ( p1 , p 2 ,..., p n )
For a coherent system,
(1) Arcs fail independently (2) Nodes are perfect

DEF

h (1,1,...,1) = 1

2 p2

p1B p2=p1+p2-p 1p2

Network Reliability
Pivoting operation
s

Network Reliability
1 3 2 1 4 s 2 3 5 t s 2 5 4 t

p = ( p1 , p 2 ,...,p n ) and (1i , p) = (p1 , p 2 ,...,p i-1,1i , p i +1 ,...,p n ) h (p) = pi h(1i , p) + (1 p i )h(0i , p ) valid when arcs fail independen tly

1
4 3 5 t

h( p) = h(p1 , p 2 ,..., p 5 ) = p1 [((p 2 C p 3 )p 5 ) C p 4 ] + (1 p1 )[p 2 (p 3p 4 C p 5 )]

Probability in Quality Control

Control Chart
.

Probability in Quality Control

p Chart

-p Chart: for the rate of defective items -c Chart: for the number of defects on a group of samples p Chart
p

. .

. . .

np n p(1 p) CL = p 3 n p= p=

np n

. group

Probability Application in Queueing Systems

Probability Application in Queueing Systems

Queue the current demand for service exceeds the current capacity Examples Commercial service systems barber shop, bank teller service, checkout points, a gas station Business-industrial internal service systems Maintenance systems, material handling systems, a computer facility

Transportation service systems Car waiting at a tollbooth or traffic light, airplanes waiting to land or take off, a parking lot, elevators Social service systems A juridical system, health-care systems Presonal Queues Work to do, homework assignments, etc.

Queueing Theory
Queueing theory Involves the mathematical study of queues or waiting lines Provides information for making decisions First applications to telephone engineering, A. K. Erlang

Structure of Queueing Models

Queueing system

Input source

Customers Queue

Service Mechanism

Served customers

Input source Infinite

Interarrival time

Queue Infinite finite

Service Mechanism First-come-first served Random Priority-based

Service time Exponential Degenerate Erland General

Goal: Achieve an economic balance between cost of service and cost associated with waiting for the service

finite

M/M/1 Queueing systems

Basic model of M/M/1 System Single server Exponential distributed, time homogeneous, state independent interarrival times with mean 1/ Exponentially distributed service times with mean 1/ L(t) = number of customers in system at time t, t 0
0

M/M/1 Queueing systems

A flow balance procedure (Stochastic Balance) In steady state, Rate In = Rate Out
1 n-1

n+1

0 = 1 n+1+n-1 = n+ n

M/M/1 Queueing systems

p1 = p0 +
n =1

M/M/1 Queueing systems

Measure of Effectiveness

p0 ,

pn =

p 0 , n = 1,2,... pn = 1 p 0
n =1

p n = 1, p 0 = 1 1
n =0 n

n =1

L: E( number in the system) Lq: E(number in queue) W: E(waiting time in system) Wq: E(waiting time in queue)

L=

p0 =

=1

<1

pn = 1

= (1 ) ,
n

(utilizati on rate) < 1

= (1 ) 2 Lq = (n - 1) p n = 1 n =1 L 1 W= = = (1 ) L 2 Wq = q = = (1 )
n =0

np n =

M/M/1 Queueing systems

Example of M/M/1 with discouraged arrivals

Gas station problem

Expected number in the system
Expected waiting time in the system

- One gasoline pump - Customer arrives according to Poisson Process with rate 15/hr
L
W

- If the pump is being used and there are n cars at the station, potential customers will balk with prob = n/3, n=1, 2, 3.

- Service time has exponential dist with mean 4 minutes 0=15/hr and =15/hr k= (1-n/3) for k=1,2,3

utilization rate
utilization rate

Example of M/M/1 with discouraged arrivals

State of the system
15 10 5

Example of M/M/1 with discouraged arrivals

L=
1 2 15 15 3

0 15

What is the expected waiting time at the gas station for those cars that stay? Compute steady state probabilities 150 = 151 = 9/26
0

9 3 1 27 +2 +3 = 26 13 13 26 9 9 3 255 = p n = 15 + 10 +5 = 26 26 13 26 n=0 L 27 = W= 0.11 hr 255

n =0

np n = 0 + 1

152+150 = 101+ 151 153+101 = 52+ 152 52 = 153 0+ 1 + 2 + 3 =1

1 = 9/26 2 = 3/13 3 = 1/13

Thus the expected waiting time at the gas station is 0.11 hour.

Other Applications
Production and Inventory Control When demand is uncertain model by probability and expectation Markov Decision Process Simulation Study Etc.