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Poisson Process

No. of occurrences of an event in intervals of time/space.

Occurrences occur one at a time.

No. occurrences in a given interval is dependent only on the width

of the interval, not on the starting point.

No. of occurrences in different (non-overlapping) intervals are

random & independent of each other, but the long-run average is a

constant, designated by λ.

it is possible that X follows a Poisson distribution.

1

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar

4

1

POISSON DISTRIBUTION (DISCRETE) O

The probability that there will be k occurrences of the event in

any randomly picked interval, P(X = k):

where k = 0, 1, 2, 3, ….

Probability mass function

λk e-λ

P(X = k) = ---------

k!

k = 0,1, 2,…

Mean, E(X) = λ

Variance, V(X) = λ

15

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar

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DATA DISTRIBUTIONS – EXERCISE 4 O

It is found that the number of cars arriving at a toll

plaza in any period of time follows a Poisson

distribution. The average in a 4-min period is 3.85.

What are the mean and standard deviation of this

distribution?

What is the probability that the number of cars that arrive

at the plaza in the period 10:12 am – 10:24 am is (a)

exactly 0, exactly 1, and so on until exactly 8 (b) ≤ 0, ≤ 1,

≤ 2 and so on until ≤ 8 and (c) > 8.

Theoretically speaking, what is the max no. of cars that

can arrive in this period?

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar 16

3

EXPONENTIAL DISTRIBUTION (CONTINUOUS) O

Probability density function

PDF

f(x) = λ e-λx x ≥ 0

0; x<0

CDF

F(x) = 0; x<0

1 – e-λx x ≥ 0

1

Mean, E(X) = ----

λ Source: Wikipedia

1

Variance, V[X] = ----2

λ

17

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar

4

EXPONENTIAL – POISSON RELATIONSHIP O

When occurrences of an event (across time/space)

follows a Poisson process, then:

The number of occurrences of the event in a fixed

interval follows a Poisson distribution (with mean =

l); and,

The “gap” between successive occurrences follows

the exponential distribution with mean = 1 / l.

18

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar

5

DATA DISTRIBUTIONS – EXERCISE 5 O

An absent-minded scientist forgot to switch OFF the

bulb in his house, while going on a tour for exactly

149 days. The scientist had switched ON the bulb

exactly 1 day before leaving. He also knew that the

life of the bulb follows an exponential distribution with

a mean of 3500 hours. What is the probability that…

…the bulb has burnt out when he returns?

…the bulb is still burning when he returns?

…if it is known to be burning when he returns (and is not

switched OFF after he returns), it will continue burning for

(A) exactly another 10 days (B) at least another 10 days (C)

at least another 3600 hours?

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar 19

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EXPONENTIAL DISTRIBUTION (CONTINUOUS) O

Markovian property

The exponential distribution is a memory-less

distribution.

P (x > a + b | x > a) = P (x > b)

HW

Prove that the above equality holds in the case of

the exponential distribution.

Hint:

Start with the Bayes’ theorem of conditional probability.

20

Operations Research TAPMI, Term 2, B2010-12, Oct - Dec 2010 Prof. Ajith Kumar

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