IE306

SYSTEMS SIMULATION

Ali Rıza Kaylan

kaylan@boun.edu.tr

1
 LECTURE 4
OUTLINE

Stochastic Components of Simulation Models

Bernoulli Process
Discrete Random Variables
Continuous Random Variables
Statistical Analysis
Poisson Process

2
 RANDOM VARIABLES

Discrete :
Bernoulli Process
Related Distributions
Binomial, Geometric, Multinomial, Pascal
Poisson Process
Continuous :
Uniform
Exponential
Normal
3
 BERNOULLI TRIALS
Independent trials with two possible
outcomes
p if x = 1
p( x) = 
1 - p if x = 0
0 if x < 0

F( x ) = 1- p if 0 ≤ x p 1

1 if 1 ≤ x
E( x ) = p
Var( x ) = p(1 − p)
4
 BERNOULLI TRIALS

Binomial
Bernoulli n

X = { 10 Success
Failure n
Y= Σ
i=1
Xi
trials
First
Success

Geometric Negative Binomial

k
T kth S= Σ Ti
i=1
success
5
 BINOMIAL DISTRIBUTION
 n x
   p (1 - p) n-x if x = 0,1,2,...,n
p( x) =   x 

 0 otherwise
0 if x < 0

 x  n i
F( x ) =  ∑   p (1 - p) n-i if 0 ≤ x ≤ n
 i=0  i 

1 if n ≤ x
E( x ) = np
Var( x ) = np(1 − p)

6
GEOMETRIC DISTRIBUTION
 p(1- p) x-1 if x = 1, 2,...
p( x) = 
 0 otherwise
 0 if x < 1
F( x ) = 
1- (1 - p) x if 1 ≤ x
1
E( x ) =
p
1
Var( x ) = 2
p
7
 NEGATIVE BINOMIAL
DISTRIBUTION
 s - 1  k
  p (1 - p) s-k if s = k , k + 1,...
p( s) =  k - 1

 0 otherwise
0 if s < k

F(s ) =  s  i - 1  k
 ∑  p (1- p) s-k if k ≤ s
 i=k  k - 1
k
E( x ) =
p
k
Var( x ) = 2
p
8
 POISSON DISTRIBUTION
 e -λ λ x
 if x = 0,1,...
p( x) =  x !
 0 otherwise

0 if x < 0

F( x ) =  -λ x λ i
e ∑ if 0 ≤ x
 i=0 i!

E( x ) = λ
Var( x ) = λ
9
UNIFORM DISTRIBUTION

f(x)

1
b-a

x
a b

10
 UNIFORM DISTRIBUTION
 1
if a ≤ x ≤ b
f (x) = b − a
 0 otherwise
 0 if x < a
x−a
F( x ) =  if a ≤ x ≤ b
b − a
 1 if b < x
a+b
E( x ) =
2
( b − a )2
Var( x ) =
12
11
EXPONENTIAL DISTRIBUTION
 1 -x/ β
 e if x ≥ 0
f (x) =  β
 0 otherwise
1- e -x /β if x ≥ 0
F( x ) = 
 0 otherwise
E( x ) = β
Var( x ) = β 2
12
EXPONENTIAL DISTRIBUTION

Memorlyless Property

Relationship to other distributions

Poisson
Weibull
Erlang

13
 NORMAL DISTRIBUTION

f(t)

Density function is the familiar “bell-shaped” curve”

Completely described by mean µ and standard
deviation σ: N( µ, σ2).
f(t) is symmetric around the mean: f(µ + t) = f (µ - t)
f(t) is highest at its mean (when t = µ)
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NORMAL DISTRIBUTION

68.3%

95.4%

µ−3σ µ−2σ µ−σ µ µ+σ µ+2σ µ+3σ

.0228
.1587
.5
.8413
.9772

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NORMAL DISTRIBUTION
0.80

X Y Z
0.60

0.40

0.20

0.00
-1 0 1 2 3 4

0.80 X

0.60 Y

0.40
Z
0.20

0.00
-1 0 1 2 3 4

16
 STATISTICAL ANALYSIS
1. Collect a random sample from the process of
interest
X={X1,X2,...,Xn}
2. Preliminary statistical analysis
Graphical Analysis (Histogram, Box Plot)
Calculate Descriptive Statistics
(Mean, Median, Mode, Variance, Range, Coef. of
Variation)
3. Identify the candidate model
4. Carry out Statistical Analysis (Parameter Estimation,
Goodness of Fit Tests)
5. Draw conclusions about the underlying model. If
necessary, repeat previous steps. 17
 POISSON PROCESS
Let {N(t),t>=0} be a counting process where N(t) designates the
number of occurrences in the time interval (0,t].
The counting process is said to be Poisson with mean rate λ if
i) Arrivals occur one at a time,
ii) Process has stationary increments,
iii) Process has independent increments,
iv) N(0)=0.

e − λt (λ t ) n
P{N (t ) = n} = n = 0,1,2, ,... t ≥ 0
n!
Examples:
Arrival of calls to a call center,
Arrival of jobs to a job shop,
Arrival of customers to a bank.
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 POISSON PROCESS
Random Splitting:
Consider a Poisson Process {N(t),t>=0} with rate λ. Suppose that each
time an event occurs, it is classified as type 1 with probability p
or type 2 with probability q=1-p.
Let N1(t) and N2(t) be the random variables that denote the type 1 and
type 2 events respectively.
N1(t) and N2(t) are both Poisson processes with rates λp and λ(1-p)
respectively.

Poisson
λp
λ
Bernoulli

Poisson λ(1-p) Poisson

19
 POISSON PROCESS
Pooled Process:
Let N1(t) and N2(t) be two independent Poisson processes with rates λ1
and λ2 respectively.
Then N(t)= N1(t) + N2(t) is a Poisson process with rate λ1 + λ2.

Poisson λ1
λ= λ1+λ2
Poisson

Poisson
λ2

20