Professional Documents
Culture Documents
Statistical Models in
Simulation
In this chapter:
Review several important probability distributions
Present some typical application of these models
2
Review of Terminology and Concepts
3
Discrete Random Variables [Probability Review]
2. i 1
p( xi ) 1
4
Continuous Random Variables [Probability Review]
3. f ( x) 0, if x is not in R X
Properties
x0
1. P( X x0 ) 0, because f ( x)dx 0
x0
1 x / 2
e , x 0
f ( x) 2
0, otherwise
6
Cumulative Distribution Function [Probability Review]
Properties
1. F is nondecreasing function. If a b, then F (a ) F (b)
2. lim x F ( x) 1
3. lim x F ( x) 0
7
Cumulative Distribution Function[Probability Review]
The probability that the device lasts for less than 2 years:
P(0 X 2) F (2) F (0) F (2) 1 e 1 0.632
8
Expectation [Probability Review]
9
Expectations [Probability Review]
s V (X ) 2
10
Useful Statistical Models
11
Queuing Systems [Useful Models]
12
Inventory and supply chain [Useful Models]
13
Reliability and maintainability [Useful
Models]
14
Other areas [Useful Models]
15
Discrete Distributions
16
Bernoulli Trials
and Bernoulli Distribution [Discrete Dist’n]
Bernoulli Trials:
Consider an experiment consisting of n trials, each can be a
success or a failure.
Let Xj = 1 if the jth experiment is a success
and Xj = 0 if the jth experiment is a failure
The Bernoulli distribution (one trial):
p, x j 1, j 1,2,..., n
p j ( x j ) p( x j ) 1 p q, x j 0,j 1,2,...,n
0,
otherwise
where E(Xj) = p and V(Xj) = p(1-p) = pq
Bernoulli process:
The n Bernoulli trials where trails are independent:
p(x1,x2,…, xn) = p1(x1)p2(x2) … pn(xn)
17
Binomial Distribution [Discrete Dist’n]
The number of
Probability that
outcomes having the
there are
required number of
x successes and
successes and
(n-x) failures
failures
18
Geometric & Negative
Binomial Distribution [Discrete Dist’n]
Geometric distribution
The number of Bernoulli trials, X, to achieve the 1st success:
q x 1 p, x 0,1,2,..., n
p( x)
0, otherwise
E(x) = 1/p, and V(X) = q/p2
19
Poisson Distribution [Discrete Dist’n]
20
Poisson Distribution [Discrete Dist’n]
21
Continuous Distributions
22
Uniform Distribution [Continuous Dist’n]
Properties
P(x1 < X < x2) is proportional to the length of the interval
[F(x2) – F(x1) = (x2-x1)/(b-a)]
E(X) = (a+b)/2 V(X) = (b-a)2/12
U(0,1) provides the means to generate random
numbers, from which random variates can be
generated.
23
Exponential Distribution [Continuous Dist’n]
Memoryless property
For all s and t greater or equal to 0:
P(X > s+t | X > s) = P(X > t)
25
Normal Distribution [Continuous Dist’n]
Mean: m
Variance: s 2 0
Denoted as X ~ N(m,s2)
Special properties:
limx f ( x) 0, and limx f ( x) 0.
f(m-x)=f(m+x); the pdf is symmetric about m.
The maximum value of the pdf occurs at x = m; the mean and
mode are equal.
26
Normal Distribution [Continuous Dist’n]
xm
F ( x ) P X x P Z
s
z 1 t 2 / 2
( xm ) /s 1 z2 / 2
e dz , where ( z ) e dt
2
2
( xm ) /s
( z )dz ( xs m )
27
Normal Distribution [Continuous Dist’n]
28
Weibull Distribution [Continuous Dist’n]
3 parameters: ( )
Location parameter: u,
Scale parameter: b , b > 0
Shape parameter. a, > 0
Example: u = 0 and a = 1:
When b = 1,
X ~ exp(l = 1/a)
29
Lognormal Distribution [Continuous Dist’n]
31
Interarrival Times [Poisson Dist’n]
The 1st arrival occurs after time t iff there are no arrivals in the
interval [0,t], hence:
P{A1 > t} = P{N(t) = 0} = e-lt
P{A1 <= t} = 1 – e-lt [cdf of exp(l)]
Interarrival times, A1, A2, …, are exponentially distributed and
independent with mean 1/l
32
Splitting and Pooling [Poisson Dist’n]
Splitting:
Suppose each event of a Poisson process can be classified
as Type I, with probability p and Type II, with probability 1-p.
N(t) = N1(t) + N2(t), where N1(t) and N2(t) are both Poisson
processes with rates l p and l (1-p)
lp N1(t) ~ Poi[lp]
N(t) ~ Poi(l) l
Pooling:
Suppose two Poisson processes are pooled together
N1(t) + N2(t) = N(t), where N(t) is a Poisson processes with
rates l1 + l2 l
N1(t) ~ Poi[l1] 1
l1 l2
N(t) ~ Poi(l1 l2)
N2(t) ~ Poi[l2] l2
33
Nonstationary Poisson
Process (NSPP) [Poisson Dist’n]
Poisson Process without the stationary increments, characterized by
l(t), the arrival rate at time t.
The expected number of arrivals by time t, L(t):
t
Λ(t) λ(s)ds
0
Relating stationary Poisson process n(t) with rate l1 and NSPP N(t)
with rate l(t):
Let arrival times of a stationary process with rate l = 1 be t1, t2, …,
and arrival times of a NSPP with rate l(t) be T1, T2, …, we know:
ti = L(Ti)
Ti = L1(ti)
34
Nonstationary Poisson
Process (NSPP) [Poisson Dist’n]
Example: Suppose arrivals to a Post Office have rates 2 per minute
from 8 am until 12 pm, and then 0.5 per minute until 4 pm.
Let t = 0 correspond to 8 am, NSPP N(t) has rate function:
2, 0 t 4
l (t )
0.5, 4 t 8
Expected number of arrivals by time t:
2t , 0t 4
4
L(t ) t t
0
2 ds 4
0.5ds
2
6, 4 t 8
35
Empirical Distributions [Poisson Dist’n]
36
Summary
The world that the simulation analyst sees is probabilistic,
not deterministic.
In this chapter:
Reviewed several important probability distributions.
Showed applications of the probability distributions in a simulation
context.
Important task in simulation modeling is the collection and
analysis of input data, e.g., hypothesize a distributional
form for the input data. Reader should know:
Difference between discrete, continuous, and empirical
distributions.
Poisson process and its properties.
37