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Questions can be found from:
http://www.scribd.com/doc/42962265/METU-Industrial-Engineering-Operations-Research-III-Homework-Questions

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c

c

c

c

c

c

c

cc

c

c

c !c c

c c

c

c

c c

"# $#%c

& &c
c'c

c

c

ccc

0 cc

c

c

In Question 1, two players, Aylin and Barış are playing Rock, Paper, Scissors with given

strategies and their choices depend only on the last played games and have no relation to the

history of the game, therefore being a discrete time stochastic process this system can be defined

as a Markov chain.

States can be defined as their choices from Rock(R), Paper(P) or Scissors(S) for Aylin

and Barış, respectively, for discrete times.

S =

ƍ
ışƍ
or equivalently

Considering given strategies transition probability matrix (P) can be given as a table as

follows:

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë ë

O c

In this game the rules and player strategies do not change throughout the game as

mentioned in the question. From the transition probability matrix and state transition diagram,

which is shown below as Diagram 1-b, it can be investigated whether this process is ergodic or

not. From state diagram it can be shown that all states are communicative with each other. In

addition all states are recurrent, which means not having a transient property which imposes to

being reachable from a state but not being able to reach this state. Observing diagram and

probability matrix, it can be stated that all states are aperiodic and having these three properties

this Markov chain can be classified as ergodic which implies the effect of initial state diminishes

in the long term. For an ergodic Markov chain, for the long term we can use steady state

analysis.

sing steady state analysis, in order to find stationary distribution we need to find 8 =

8 8 8 8 equilibrium distribution vector. By using the theorem which states

8 = 8x P where

8 = 1

and using Excel Solver and given probability matrix, 8vector is found as it is:

8 8 8 8 8 8 8 8 8

8 ë ë

ë ë

ë ë ë ë ë ë ëëë ë ë ë

c

In addition, since stationary distribution vector can be found without any error by using

theorem, it also shows that there exists stationary distribution of Markov chain for this process.

In the long term situation of the game can be identified from stationary distribution. For

Aylin, according to the specifications of game; win, loss and draw situations are highlighted

below in 8 vector.

8 8 8 8 8 8 8 8 8

8 ë ë

ë ë

ë ë ë ë ë ë ëëë ë ë ë

Summing up the related probabilities we could find the ratio in the long turn:

0 cc

c

In the second question we are asked to analyze a reordering system consisting of three

processors. For each processor probability of being successful is given as:

P( P1 is successful ) = 0,8

P( P2 is successful ) = 0,64

P( P3 is successful ) = 0,512

For this process states can be defined as the order of processes at a discrete time.

In this question ordering activity does not take the history of past orderings into account.

It only considers the last order of processes; therefore this system can be identified as a Markov

chain.

Considering properties of the system given in the question, transition probability matrix

can be calculated. For instance, transition of the system from state P1P2P3 to state P1P2P3,

which is the first element of matrix, is calculated in this manner:

P = 0,8 + 0,2 * 0,36 * 0,488

P = 0,835136

With this approach all transitions are calculated and transition probability matrix (P) is given as a

table below:

c c c c c c c

c ë

ë ë

ë ë ë ë

c ë ë

ë

ë ë ë ë ë

c ë ë ë

ë ë

ë ë

c ë ë ë ë ë

ë ë

c ë ë ë ë ë ë

ë ë

c ë ë ë ë ë ë ë

O c

In order to find long-run probabilities we need to use steady state analysis for this system.

Since the system¶s properties and probabilities of orderings do not change over the time, in

addition being an ergodic Markov chain this system can be analyzed for long run.

sing steady state analysis, in order to find stationary distribution we need to find 8 =

8 8 8 8 equilibrium distribution vector. By using the theorem which states

8 = 8x P where

8 = 1

and using Excel Solver with given probability matrix (P), 8vector is found as it is:

8 8 8 8 8 8

8 ë

ë
ë

ëëë ëë

ëë

In the long run, probability of having Processor 1 closer to the front than Processer 3 can

be determined from stationary distribution vector8. As highlighted in the below, these occur

when in the long run this system is in the state of P1P2P3, P1P3P2 and P2P1P3.

8 8 8 8 8 8

8 ë

ë
ë

ëëë ëë

ëë

Summing up the related probabilities will give the total probability of having Processor 1 closer

to the front than Processor 3 in the long-run. As calculated below, this probability is 0,882318.

ë

$ë $ë

ë

0 cc

In the third question we need to consider a periodic review inventory system with (s=1,

S=4) and a given periodic demand distribution with backlogging restriction. It is assumed that

control of the inventory is done at the end of each period and next period starts with

replenishment if necessary.

States can be defined as the level of inventory at the end of time periods:

S = 0, 1, 2, 3, 4

sing the demand distribution and given periodic inventory system, transition probability

matrix for this process can be given as:

ëc c c c c c

ëc ë ë ë ë ë

c ë ë ë ë ë

c ë ë ë ë ë

c ë ë ë ë ë

c ë ë ë ë ë

c

Since this system is an ergodic Markov chain ensuring that all states in the system has the

three properties of being ergodic which are being recurrent, aperiodic and communicative, this

system can be analyzed for steady state probabilities.

sing steady state analysis, in order to find stationary distribution we need to find 8 =

8 8 8 8 equilibrium distribution vector. By using the theorem which states

8 = 8x P where

8 = 1

and using Excel Solver with given probability matrix, 8vector is found as following:

ë

8 8 8 8 8

8 ë

ë
ë

ë

ë

m

! "

8

"ë%8 $%8 $%8 $%8 $%8

ë%ë

$%ë
$%ë

$%ë

$%ë

Considering long-run probabilities and related level of inventories, mean inventory level in the

long run can be stated as

O c

In this inventory system, demand is lost whenever the inventory level is less than the

demand of related period. Considering this inventory system, since demand is never greater than

2, there is no loss when the inventory level is 4,3 and 2. In addition, when inventory level is zero,

replenishment occurs and in the next period inventory level becomes 4, where no demand can be

lost.

Therefore, for investigating lost demand only inventory level of 1 must be considered. In

addition when the inventory level is one, in order to witness a lost demand, demand of related

period must be more than 1, in this concept only 2. In the long run we could identify the fraction

of having inventory level of 1 from the steady-state distribution. As mentioned in the previous

part, probability of having inventory level of 1 in the long run is 8 = 0,163613. Besides, demand

distribution function gives the fraction of having demand level of 2 for any period, which is 0.2.

Since these events are independent of each other, probability of occurring together can be

calculated by multiplying them.

] # #%8

ë%ë

ë ë

As calculated above, having a lost demand for this system occurs with the probability of 4,55 %.

In order to calculate expected long-run average daily profit, we need to consider the long-

run steady state probabilities of inventory levels and demand distribution for different cases.

We need the expected level of demand for any period. As calculated below it is 0,7 items

per day.

| &&'&&|#ë %

For the first case, if there is no lost demand, only selling price and cost of keeping item in

the inventory should be considered for related periods and their probabilities:

ë

ë ()#$ë

%ë ()#$ë

%ë ()#

cë ëcccccc ëccc

For the second case, if we have 1 item in the inventory we sell zero or one item with

related demand distribution or we can have lost demand.

ë %ë()#)ë %ë%'

cë ëcccccë ccccë ëccc

Finally, if we had zero items in the inventory at the end of the period we will have

replenishment. In addition inventory holding cost for items in replenishment are not taken into

account because it is assumed that the checking is done at the end of the period; however new

items are shipped at the beginning of the next period, explaining why there is no inventory

holding cost for these items.

)8 %

ccë ccc

Combining these three cases long-run average daily profit can be calculated as shown below:

ë

ë
%()
ë %)ë

%$ëë

%()ë
%)ëë%'

Y cc ccë cccë ccc cccë ëcc

consider long-run probabilities where inventory level is strictly less than 1, which is 8 in this

system.

*8

*ë

c c

As calculated above, replenishments are expected to occur between nearly 6.11 days.

0 cc

c

In the fourth question analyzing of a tennis player¶s performance with regard to his

morale is conducted.

For any discrete time, results of his two last games will be used for analyzing this system.

States can be defined as the result of last two games using ³L´ for losing, ³W´ for

winning the related game.

Considering given probabilities given in the question transition probability matrix (P) can

be given as a table as follows:

c ë ë ë

ë

c ë ë ë ë

c ë ë ë ë

c ë ë

ë ë

Since the probabilities do not change over the time and they do not consider the whole

past history of the games, in other words since they only consider the last state of the system,

performance of this player can be identified as a Markov chain.

c

O c

As given in the question, Mert has won his first two games, which can also be stated as

his first state is WW according to state definition.

In order to find a future loss followed by another loss, path from WW to LL could be

investigated. For the first three paths from WW to LL are given as following with related

probability calculations:

ë %ë

Intuitively it can be said that this path has the probability of form:

q

+ , -

, - Í

+

ë%ë

% +,"!!'

$

cë c

As calculated above, probability of having the first loss followed by another loss is 0,6.

c

c

In order to find a probability mass function for L which is defined as the number of

games played until the first loss, we need to consider available paths from initial state, WW, to

occurring of first loss. In the calculation of L, the first two games which Mert has already won

are not considered. For the rest of the system number of the games until the first loss can be

identified from paths as following:

#ë

#ë %ë

Since it can be derived from these initial situations, probability mass function of L can be

given as:

P( L ) = P ( = WL | $ = WW ) * P ( = WW | $ = WW ) .$

c

c

,' !& -( &, , + "&

&! &,) ++ sing steady state analysis, in order to find stationary

distributions we need to find 8 = 8 8 8 8 equilibrium distribution vector. By using the

theorem which states

8 = 8x P where

8 = 1

and using Excel Solver with given probability matrix, 8vector is found as it is:

8 8 8 8

8 ë

ë ë ë

c

In this part of the question, it is assumed that in the 2000th game this system reaches

stability where steady-state analysis and its results can be used. In other words these two

consecutive games are assumed that they can be investigated as a state in the long-run.

P ( = W | = ) is need to be calculated for this reason. For 2000th and

2001st game this system could be thought in WW or in LL for the long-run. Probability of being

in states WW or LL in the long run can be gathered from steady state distribution vector.

.#

1(

1!#

1(

!

!#

1!

2 #

ë

2 #23 #

As calculated above, probability of Mert¶s winning 2000th game given that the 2000th and

2001st games have same results is 0,5.

[ c

In this question we are asked to calculate the expected number of games until first

occurrence of two consecutive losses. Since the initial state of this system is Win-Win, expected

number of transitions before we first reach Loss-Loss state can be found by using mean first

passage times formula.

$.. $4$ $.. $4$. .$.. $4$. .$..

$.. $ë %$.. $ë%.$.. $ë

ë$.. $ë%.$..

$.. ë*$.$.. u

.$.. $56.. 4.$5 5$..

.$.. $4.$ $.. $4.$. .$.. $4.$. .$..

.$.. $ë$ë$ë%.$..

.$..

$56.. 4.$5 5$..

.$..

$4.$ $.. $4.$. .$.. $4.$. .$..

.$..

$ë

%$.. $ë%.$.. $ë 2

Combining 1st, 3rd and 4th equation and renaming m values for readability:

.$..

/ $.. 0 .$.. 1

.$..

$ë

%$.. $ë%.$.. /$ë

0$ë1

$.. ë*$%.$.. 0ë*$1

.$.. $ë%.$.. 1$ë/

/$ë

ë*$1#$ë1

/$1

1$$ë1

ë

1

1*&Úc

As calculated above $.. = 7, implies that starting with initial state WW, expected

number of games until the first occurrence of state LL is 7 games.

c

In this part of the question total numbers of the games until Mert will end his career is

asked. According to his press conference he will end his career when he faces three consecutive

losses. Since three conssequitive games are considered in this question there is need for new state

definition which we can investigate mean first passage times for three games.

Defining the states for three games is given as:

State space can be defined as the result of last three games using ³L´ for losing, ³W´ for

winning the related game.

Considering given probabilities given in the question transition probability matrix (P) can

be given as a table as follows:

c ë ë ë ë ë ë ë ë

c ë ë ë ë

ë ë ë ë

c ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë

c ë ë ë ë ë ë ë ë

c ë ë ë ë

ë ë ë ë

c ë ë ë ë ë ë ë ë

With this transition matrix mean first passage times can be calculated for states from

WWW to LLL and from WWL to LLL. By formulation and using related probabilities expected

number of games can be found as:

Since calculating mean first passage time values for this transition probability matrix takes

too long further calculations cannot be given.

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