Stochastic Models I (for first-year doctoral students)

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Stochastic Models I (for first-year doctoral students)

Attribution Non-Commercial (BY-NC)

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Problem 3.19 P {SN (t) s} = = (t) + = G = Problem 3.20 (a) Say that a renewal occurs when that pattern appears. By Blackwells theorem for renewal processes we obtain 1 7 E [time] = 7 =2 (1/2) (b) By Blackwells theorem E [time between HHTT renewals] = E [time between HTHT renewals] = 16 But the HHTT renewal process is an ordinary one and so the mean time until HHTT occurs is 16 whereas the HTHT process is a delayed renewal process and so the mean time until HTHT occurs is greater than 16. Problem 3.29 Let L denote the lifetime of a car with distribution function F (). (a) Under the policy of replacements at A, Cost of cycle = and Length of cycle = Then (A) E[Cost] C1 + C2 F (A) R(A)F = A (A) E[Time] xdF (x) + AF

0

(t) G

n=1 0 P {Sn

t}

C1 + C2 if L A C1 R(A) if L > A

L if L A A if L > A

(Validate the nal formula by yourself. If you are confusing, utilize the indicator to combine the if -clauses into one function as I said in the rst recitation.) 1

E[Length of cycle] =

0 A

=

0 A

xdF (x) +

A

(A + E[Length])dF (x)

= = and similarly

0 A 0 xdF (x)

E[Cost of cycle] =

0 A

E[Cost|L = x]dF (x) (A) (C1 + C2 )dF (x) + (C1 R(A) + E[Cost])F

=

0

= Then

E[Cost] = same as in (a). E[Time] Problem 3.31 Let i and i denote the means of Fi and Gi , respectively for i = 1, 2, 3, 4. Then, lim P {i is working at t} = i /(i + i ), i = 1, 2, 3, 4 Now, if pi is the probability that component i is working, then P {system works} = (p1 + p2 p1 p2 )(p3 + p4 p3 p4 ) Hence lim P {system works at t} is equal to the preceding expression with pi = i /(i + i ), i = 1, 2, 3, 4 Problem 3.32 (a) 1 P0 = average number in service = (b) By alternating renewal processes P0 = proportion of time empty = E [I ] E [I ] + E [B ]

where I is an idle period and B a busy period. But clearly I is exponential with rate and so 2

1 =

1/ or E [B ] = 1/ + E [B ] 1

(c) Let C denote the number of customers served in a busy period B and let Si denote the service time of the i-th customer, i 1. Then

C

B=

i=1

Si

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