随机过程与排队论

信息与软件工程学院
顾小丰
Email：guxf@uestc.edu.cn
2021年12月2日星期四
 !"#
!"#$%&'"()*+,-./01
23./4567.89:0;(9:&<9
=>?@AB0CDEF9:67GH&<I
JKALM
NOP .8QR&<(STU
NVP 5WX!"YZ[.8U
N\P !"(EFYZ&<U
]^P 67!"YZ_`67%&(abU

2021/12/2 信息与软件工程学院 顾小丰 81!2

 $
!"#$%&'()*+*+,+¥-./% l0
3
123+456%µ0723+456%r0 8,9
4
1
:6 ;<=>?@A0;<'(?@A0B!0,Cr0
4
0DEFG9
r2 (3 / 4)2 9
H6 IJKLMN Nq = = = = 2.25
1- r 1- 3/ 4 4
OIJPFEFGQR3KLS=>
r 3/4 3
!" #$%&'( Wq = = = = 0.75
µ(1 - r) 4(1 - 3 / 4) 4
OR3TIJKL5UVDEWG45%O7GXY9

2021/12/2 信息与软件工程学院 顾小丰 81!3

 $%&'
Z6 ;<KL[\]Q45A
0;<^"_,A
0,C;<^"`,A
0,C^"2,6 Wq ( t ) = 1 - re -µ (1-r )t , t>0
0ra#µ$%#r&
3
3 - 4 ( 1- 4 ) 3 - 1
= e = e
4 4
fDEFWe
OR3KL[\]Q45TbcdVDEFWe9

2021/12/2 信息与软件工程学院 顾小丰 81!4

 !"(
v !"#$%&'l(l>0)*+,-. /
v !"#$0#12%k345678*9:%ak(0;ak
;1)41<a0=a1=…=ak→0(k→¥)4>?1@2
1
56*ABC@D(Eak< )/
k +1
v !"FG*HI3JKL{cn, n≥1}MNOHPQR'S
T4UVWXHI:µ1Oµ2(0!µ1!µ2)4Y12!m
(mZ[X\]*^_')34HI`ab:µ1cd4
Y12≥m34HI`ab:µ2cd/
v 78efV[XHIg/
v hi%jkl4mn#$-.oHI-.pqMNr
v st12Ouv12*wxST4yz{12Oz{
uv12Oz{uv3J|z{}~3J

2021/12/2 "#$%&'()* +,- 81!5

 •]N(t)€•‚3ƒt78e*!"'4„…^‚†H
I*!"'4>N(t)€•3ƒt78*124t³04nE
pij(Dt)＝P{N(t+Dt)＝j|N(t)＝i}，i, j＝0, 1, 2, …
‡
pi,i+1(Dt)<P{‚Dtˆ#$n561XmHI‰Š‹}Œ
¥

å P{‚Dtˆ#$n56jXmHIŠj-1X}
j= 2

1
= (lDt + o( Dt))(1 - µDt + o( Dt)) + o( Dt)
i+1
l
= Dt + o( Dt) i＝0, 1, 2, …
i+1

2021/12/2 信息与软件工程学院 顾小丰 81!6

 $)&1*
pi,i-1(Dt)<P{‚Dtˆ#$n560XmHIŠ‹1X}Œ
¥

å P{‚Dtˆ#$n56j-1XmHIŠ jX}
j= 2

ì (1 - lDt + o( Dt))(µ1Dt + o( Dt)) + o( Dt) = µ 1Dt + o( Dt) i < m

=í
î(1 - lDt + o( Dt))(µ 2 Dt + o( Dt)) + o( Dt) = µ 2 Dt + o( Dt) i ³ m
i＝1, 2, 3, …
•ŽS•A•‘pij(Dt)<o(Dt)4|i-j|³2
’Z4 {N(t) 4 t³0} Z E < {0,1,2,…} “*”•-.4–&
'% ì l
ïl i = i + 1 , i ³ 0
ï
í µ , i = 1, 2,! ,m - 1
ïµ i = ìí 1
ïî îµ 2 , i ³ m
2021/12/2 信息与软件工程学院 顾小丰 81!7
 $)&2*
l l
E r1 = , r2 = , p j = lim p j (t), j ³ 04 —%
µ1 µ2 t ®¥

¥ l 0 l 1 ! l j- 1 m -1
1 j ¥ 1 m - 1 j- m + 1
1+ å = 1+ å r1 + å r1 r 2 <¥
j= 1 µ1µ 2 ! µ j j= 1 j! j= m j!

-1
1 æ l 0 l 1 ! l j- 1 ö
¥
1
+ åç ÷÷ ×
ç
l 0 j=1 è µ1µ 2 ! µ j ø l j

1 m - 1 r1 - j ¥
r1- m +1r 2 - j+ m -1
= +å (j + 1)! + å (j + 1)! = ¥
l j= 1 l j= m l

2021/12/2 信息与软件工程学院 顾小丰 81!8

 $)&3*
F˜{pj4j³0}™‚4oš›œ•jž4n
-1 -1
æ l 0 l 1 ! l j- 1 ö
¥ æ m -1 1 j ¥
1 jö
p0 = ç 1 + å ÷ = ç å r1 + r 1 r 2 å r 2 ÷
m -1 1- m
ç j=1 µ 1µ 2 ! µ j ø
÷
è è j= 0 j! j= m j! ø
-1
æ m -1
1 j 1 j öm -1
= ç å r1 + r1 r 2 (e - å r 2 ) ÷
m -1 1- m r2

è j= 0 j! j= 0 j! ø
ì r 1j
ï p0 , j = 1, 2,! ,m - 1
l 0 l 1 ! l j- 1 ï j!
pj = p 0 = í m - 1 j- m + 1
µ1µ 2 ! µ j ï r1 r 2
ï p 0 , j = m,m + 1,!
î j!

2021/12/2 信息与软件工程学院 顾小丰 81!9

 $)&4*
IJMNg
¥ æ m -1 r1 j ¥ rm1 -1r j2- m +1 ö
N = E(N) = å jp j = p 0 ç å j +åj ÷÷
ç
j= 0
è j= 0 j! j= m j! ø

æ m - 1 r1 j ¥
r j
ö
= p0 ç å + r1 r 2 å
m -1 1- m 2
÷
è j=1 (j - 1)! j= m (j - 1)! ø

æ m - 2 r1 j ¥
r j
ö
= p 0 ç r1 å m -1
+ r1 r 2 2-m
å 2
÷
è j= 0 j! j= m -1 j! ø

æ m - 2 r1 j m-2
r j
ö
= p 0 ç r1 å + r1 r 2 (e - å
m -1 2-m r2 2
)÷
è j= 0 j! j= 0 j! ø

2021/12/2 信息与软件工程学院 顾小丰 81!10

 $)&5*
KLMNTXhg
ì p 0 + p1 , j = 0
P{N q = j} = í
î p j+ 1 , j³1

IJKLMNg
¥
N q = å (j - 1)p j
j= 1

¥ ¥
= å jp j - å p j
j= 1 j= 1

= N - (1 - p 0 )

2021/12/2 信息与软件工程学院 顾小丰 81!11

 !"#6$
k
Ÿ’!"#$3 ¡78VkX!"m¢£*9:%
k +1
¥
pk
—q!"#$«V5678m¬-*9:% 1 - å
k =0 k + 1
¥
pk
¤¥¦4[X!"#$m5678*9:% å
k =0 k + 1
¥
pk
©ª3Jˆ#$n5678*z{!"'% l e = l å
k =0 k + 1

ŸLittle§¨4•
Nq N
z{uv3J Wq = z{}~3J W =
le le

2021/12/2 "#$%&'()* +,- 81!12

 !"+
]ijklPFQmn%opjk]Q"q
T5UrstuvXh%IJFDXY9op"q
wxyz{|}%IJ~45|}GQ9•€•
"qTbc‚IJ€•T"qv9

2021/12/2 信息与软件工程学院 顾小丰 81!13

 $
Ÿ®¯°4±78²³´³´µ´¥¶·¸4µ<¹4l<
º»®´D3¼4µ<½»®´D3¼4 r = 5 , rc = 5 < 1
3 6
c -1
rj crc -1 2-1 (5 3) j 2 × (5 3)2 -1
p 0 = [å + ] = [å + ]
j= 0 j! c!(c - r) j= 0 j! 2!× (2 - 5 3)
-1
é 5 25 9 ù 1
= ê1 + + ú = » 0.0909
ë 3 13û 11
¾¿ÀÁ®ÂÃ< ¾¿®Â#$3GÄuvÃ
¥
rc (5 3)2 1 25
= å pj = p0 = ´ = » 0.7576
j= c (1 - rc ) × c! (1 - 5 6) × 2! 11 33
rc
z{ÀÁ*®Â' = Nq = p
2 c
(1 - rc )
rc rc (5 6) (5 3)2 1 125
= p0 = ´ ´ = » 3.7879
(1 - rc ) c!2
(1 - 5 6) 2
2! 11 33
2021/12/2 信息与软件工程学院 顾小丰 81!14
 !",
ƒ„]Q M/M/1/K…M'(% λ0 103 /4
5%μ0303/45%K029†/‡ˆ‰Šr‹
lŒ%•Ž••Q‘’9‘’ I g“”KL?
U%K03•‘’IIg•–r‹c%μ0403/4
59o#—˜™5Uš˜™r‹›œ 5 •ž~
r‹]QŸ ¡¢ 8 •£¤¥¦§¨%©Q‘
’ª¥«¬T¡¢-®λ0303/45%¯P°
±²³-

2021/12/2 信息与软件工程学院 顾小丰 81!15

 !
˜™5UšT´¡µV
(1 - r )r K
f = 8l (1 - p K ) - 5µ = 8l (1 - k +1
) - 5µ
1-r
‘’I(λ0103/45%μ0303/45%K03)g
(1 - 1 3)(1 3 ) 3
f = 8 ´ 10 ´ (1 - ) - 5 ´ 30 = -72
1 - (1 3 ) 4

‘’II(λ0103/45%μ0403/45%K02):
(1 - 1 4)(1 4) 2
f = 8 ´ 10 ´ (1 - ) - 5 ´ 40 = -123.8
1 - (1 4) 3

¶‘’I·‘’II¸9
2021/12/2 "#$%&'()* +,- 81!16
 !(&)
®λ0303/45g

‘’I(λ0303/45%μ0303/45%K03)g

1
f = 8l (1 - p K ) - 5µ = 8 ´ 30 ´ (1 - ) - 5 ´ 30 = 30
3+1

‘’II(λ0303/45%μ0403/45%K02):

(1 - 3 4)( 3 4) 2
f = 8 ´ 30 ´ (1 - ) - 5 ´ 40 = - 31.35
1 - ( 3 4) 3

¶‘’I·‘’II¸9
2021/12/2 信息与软件工程学院 顾小丰 81!17
 !"-
¹'(º»FijklŠ¼½¾./9¿³
,ijklÀÁÂÃ5UrstuvXh%IJ
,DÄ%ÅjklÆÇ5!,ÈÂÉÊËÌ%ËÌ,
ijklT5UwtuvXhT%IJGÄ9•g
l FijklÍÀÁμTbc•
l !ÏjklÆÇÐÑμTbc•
l '(ÒIJμTjklv9

2021/12/2 信息与软件工程学院 顾小丰 81!18

 $
!"#$%&'() M/M/c/m/m -./%
c01%m02%l01/10(i/Ä)%µ01/5(i/Ä)%
r01/29

P{2ijklÍÀÁμ}0p0
-1 -1
é é
m
m! 2! iù 1 iù 2
2
= êå= êå r ú ( ) ú = = 0.4
ë i = 0 ( m - i )! û
ë i = 0 ( 2 - i )! 2 û 5
m!
P{jklÆÇÐÑμ} j p = r j
p 0 , j = 1,2,! , m;
(m - j)!
2! 1 2 2! 1 2
0 p2 = ( ) p0 = ( ) ´ 0.4 = 0.2
( 2 - 2)! 2 ( 2 - 2)! 2
2021/12/2 信息与软件工程学院 顾小丰 81!19
 $(&)
IJÓ>¶ÔTjklv
m
N = å jp j = p1 + 2p 2
j= 0

= (1 - p 0 - p 2 ) + 2p 2 = (1 - 0.4 - 0.2) + 2 ´ 0.2 = 0.8

'(ÒIJμTjklvV 2－0.801.2(i)

2021/12/2 信息与软件工程学院 顾小丰 81!20

 !".
¹ÕÖiPF×ÓØl%,×ÓØ,×Ù»9
¿³,×ÀÁÂÃ5UrstuvXh%IJÚ
Ä%ÅÛÜËÌ,×lÝTwtuvXhT%I
J1Ä9•ÐÙ»lÅÀÁÎÞTbcž!Ïß
lÐÑÓØTbc9

2021/12/2 信息与软件工程学院 顾小丰 81!21

 $
!"#$%l01/9(i/Ä)%µ01/3(i/Ä)%r
0 1/3 %&'() M/M/c/m+k/m -./% c 0 1 %
m01%k019
àÐÙ»lÝ%O K 0 0 %áV M/M/c/m/m
-'(g
P{ÐÙ»lÅÀÁÎÞ}0p0
-1 -1
é m
m! iù é 1
1! 1 iù 3
= êå r ú = êå ( ) ú = = 0.75
ë i = 0 ( m - i )! û ë i = 0 (1 - i )! 3 û 4

2021/12/2 信息与软件工程学院 顾小丰 81!22

 $(&)
âM/M/1/1+1/1-'(
-1
é m i 1
c -1 i K -1
m m × m!
i K K+ m
1 iù
p 0 = êå r + å i-c r i + å i-c
r ú
ë i = 0 i! c! i = c c c! i=K c ( m - i + K )! û
-1
é 1 1 i 1 × 1!
1-1 1 1
11+ 1
1 iù
= êå ( ) + å i -1
( )ú
ë i = 0 i! 3 1! i =1 1 (1 - i + 1)! 3 û
-1
é 1 1 ù 9
= ê1 + + ( )2 ú = » 0.6923 m K × m!
ë 3 3 û 13 pj = j- c
r j
p0
(m - j + K)!× c × c!
P{!ÏßlÐÑÓØ}0p2 j = K,K + 1,! ,m + K
11 × 1! 1 2 9 1
= 2 -1
( ) ´ = » 0.0769
(1 - 2 + 1)!× 1 × 1! 3 13 13
2021/12/2 信息与软件工程学院 顾小丰 81!23
 !"/
c6de0GH#)*+,-fgh0
EF5AL,-97GHij9:k$5ALl
9: 10 7GH09:&<9=?@ABMd
emnopqGHYZ&<r_`1ALM;
5s7tuv
1) wx6y9:z{|b(9:k,}~•9
:b6€M
2) wx6•‚hM
ƒA„…†‡ˆtuU

2021/12/2 信息与软件工程学院 顾小丰 81!24

 $
ã‘’ l09/5(Q/XY)%µ02(Q/XY)%r
09/1081%&'()M/M/1/∞-./%IJKL
5U 9
r 10 9
Wq = = = = 2.25 (XY)
µ(1 - r ) 9 4
4 ´ (1 - )
10
‘’1 l09/5(Q/XY)%µ04(Q/XY), r0
9/2081%&'()M/M/1/∞-./%IJKL5
U 9
r 20 9
Wq = = = » 0.20(XY)
µ(1 - r) 9 44
4 ´ (1 - )
20
2021/12/2 信息与软件工程学院 顾小丰 81!25
 $(&)
‘’2 l09/5(Q/XY)%µ02(Q/XY)%r09/10%
&'()M/M/c/∞-./% c02%rc09/2081%
-1
é 9 2 ù
2´( ) ú
c -1
rj cr c -1 ê 9 10 11
p 0 = [å + ] = ê1 + + ú =
j! c! ( c - r ) 10 9 29
j= 0 ê 2 ´ (2 - ) ú
ë 10 û
2
1 c 1 æ 9 ö 11 891
pc = r p0 = ´ ç ÷ ´ =
c! 2 è 10 ø 29 5800
IJKL5U
9
rc 20 891 891
Wq = × p c= ´ = » 0.13(XY)
l(1 - rc ) 2
9 9 2 5800 7018
´ (1 - )
5 20
2021/12/2 信息与软件工程学院 顾小丰 81!26
 01
#äl¤åX TbcæçèvVfx(x) = Ae-|x|%
é•g
1. 'vA•
2. Xê—ëU(0, 1)šTbc•
3. XTbcXhèv9

2021/12/2 "#$%&'()* +,- 81!27

 $
+¥
1. Ÿ ò-¥ f X (x)dx = 1 °Å4A<1/I4–e
+¥ +¥
I=ò e dx = 2 ò
-|x|
e - xdx = 2
-¥ 0

—q4A<1/2r
2. ŸSTÆ'*CÇ°
11 1
P(0 < X < 1) = ò e dx = (1 - e -1 )
-x
0 2 2
3. Ÿ9:STÆ'|9:ÈÉÆ'ÊJ*ž7°Å
ì 1 x
ï e , x£0
x 1 ï 2
FX (x) = ò -|t|
e dt = í
-¥ 2
ï1 - 1 e - x , x > 0
ïî 2
2021/12/2 "#$%&'()* +,- 81!28
 02
# N(t) w]QìvV λ Tyz\É9#&y
z\ÉÒ%~]íîÓ>5ïðñò%#ÀóŽ
ôTbcVp9 #N1(t)žN2(t) XõV5U[0,t)š
ÀóžöóŽôT÷v9
ø é•P{N1(t)=j, N2(t)= k | N(t)=k + j}•
ù úûN1(t)žN2(t)XõVüýþÿTìvVpλ
ž(1−p)λTyz\É9

2021/12/2 "#$%&'()* +,- 81!29

 $
ø !"%P{N1(t) = j, N2(t) = k | N(t) = k + j }#$
—ð• k + j ÷ñò%%Žô j ÷Àó k ÷ö
óTbc9&x
P{N1 ( t ) = j, N 2 ( t ) = k | N ( t ) = k + j} = Ckj + j p j (1 - p)k

'V
P{N1(t) = j, N2(t) = k }
= P{N1(t) = j, N2(t) = k | N(t) = k + j}P{N(t) = k + j}
k+j
l
=C j
k+j p (1 - p)
j k
e - lt
(k + j)!
2021/12/2 "#$%&'()* +,- 81!30
 $(&)
âP{N1(t) = j, N2(t)= k}•()Xhèv
¥
P{N1 (t ) = j} = å P{N1 (t ) = j, N 2 (t ) = k }
k =0

k+j
¥
(lt)
= åC j
k+j p (1 - p)
j k
e - lt
k =0 (k + j)!
(pl ) j - lt ¥ [(1 - p)lt]k
= e å
j! k =0 k!
(pl ) j - lt (1- p) lt (pl ) j - plt
= e e = e
j! j!
2021/12/2 "#$%&'()* +,- 81!31
 $(&)
¥
P{N 2 (t ) = k } = å P{N1 (t ) = j, N 2 (t ) = k }
j= 0

[(1 - p)l ]k - (1- p) lt

= e
k!
—qV P{N1(t) = j, N2(t) = k } = P{N1(t) = j }﹒P{N2(t) = k }

Ÿ9:*CÇ°4N1(t)oN2(t)¤ËMNr

Ÿ+,-.*]Ì4ÍÎN1(t)oN2(t)SÏ%&'%

pλ|(1−p)λ*+,-.+,-.r

2021/12/2 "#$%&'()* +,- 81!32

 )N1(t) *+,*pλ-./01
1. Ÿ’N(0) = 04F˜N1(0) = 0r
2. ÐÑÒ^_'n³24t1, t2, …, tnÎTnt1 < t2 < … < tn4
—%+,-.N(t)ZMNÓi-.4F˜
N(t2)- N(t1), N(t3)- N(t2), …, N(tn)- N(tn-1)¤ËMN4
mN1(t)ZN(t)*[ÔS4F˜
N1(t2)- N1(t1), N1(t3)- N1(t2), …, N1(tn)- N1(tn-1)¤ËMN4
>N1(t)ZMNÓi-.r
3. ŸN(t)*zÕC4Í•N1(t)ÖZzÕ*4—qV
[pl (t - s)]j - pl (t - s )
P{N1 (t ) -N1 (s ) = j} = P{ N1 ( t - s) = j} = e
j!
2021/12/2 "#$%&'()* +,- 81!33
 12345678
P{N1 (t ) -N1 (s ) = j}
¥
= å P{N1 (t ) -N1 (s ) = j | N(t ) -N(s ) = n} × P{ N( t ) -N(s) = n}
n=k
¥
[ l (t - s)]n
= å Cnj p j (1 - p)n - j e - l (t - s)
n= j n!
+¥
[l (t - s)]j[l (t - s)]n - j - l (t - s) n!
=å e p j (1 - p)n - j
n= j n! j!(n - j)!
[l p(t - s)]j - l (t - s) +¥ [l (1 - p)(t - s)]n - j
=
j!
e ån= j (n - j)!
[l p(t - s)]j - l (t - s) +¥ [l (1 - p)(t - s)]n
=
j!
e ån=0 n!
[l p(t - s)]j - l (t - s) l (1- p)(t - s) [pl (t - s)]j - pl (t - s)
= e e = e
j! j!
2021/12/2 "#$%&'()* +,- 81!34
 03
*+•3Š¼],·-%#~.·-*/T
bcV p %+/TbcV q %ž.TbcV r%0
08p, q, r81%p + q + r = 19#~.·-/‡1
1 X%t‡1 -1 X%ž.1 0 X9®P]3ª¥ 2
X5·-²29x Xn#$·-34 n.5*ª¥
TXv%5{Xn%n≥1}w6÷789:;9
1<=Ž>??UE•
2<•@AÞBbcCD•
3<•*Eª¥1X5%FGH-•.9x²
2·-Tbc9
2021/12/2 "#$%&'()* +,- 81!35
 !
1<E0{-2, -1, 0, 1, 2} -2 -1 0 1 2
-2 æ 1 0 0 0 0ö
ç ÷
-1 ç q r p 0 0÷
2<ÞBbcCD P0= çç 0 q r p 0÷
÷
1 ç0 0 q r p÷
ç
2 è0
÷
0 0 0 1ø
æ 1 0 0 0 0 ö
ç ÷
ç q + rp r 2
+ pq 2pr p 2
0 ÷
P( 2) = P 2 = ç q 2 2rq r 2 + 2pq 2pr p2 ÷
ç ÷
ç 0 q2 2qr pq + r 2 p + pr ÷
ç ÷
è 0 0 0 0 1 ø
2021/12/2 "#$%&'()* +,- 81!36
 !(&)
3<FGI•.²2·-JK•,¦Lg*¥1X
I@AÞB3¥2XŲ2·-%M*¥-3X
I@AÞB3¥-2XŲ2·-9
'N%P
p0p45(2)+p41(2)0(p+pr)O00p(1+r)

2021/12/2 "#$%&'()* +,- 81!37

 04
—]jkl'(Ò%~]PQRPSTTb
cUVÏWX]QPQwYPST9x0#$S
T>?%x1#$ÐST>?%#ÞBCDV

æ 0.75 0.25 ö
P = çç ÷÷
è 0.5 0.5 ø
Z[ü\6÷789:;T]^_%`•a
bcXh9

2021/12/2 "#$%&'()* +,- 81!38

 $91):;<$*
V•nAÞBCDPn%W•PTdefžde
gå

l - 0.75 - 0.25
lI - P = =0
- 0.5 l - 0.5

•¥defl1 = 1žl2 = 0.25%degå

æ 1ö æ 1 ö
x1 = çç ÷÷, x 2 = çç ÷÷
è 1ø è - 2ø
2021/12/2 "#$%&'()* +,- 81!39
 $91(#1)
æ 1 ö æ 1 ö
ç ÷ ç ÷
^×4Ø–©ªÙ• h1 = ç 12 ÷, h2 = ç 52 ÷
ç ÷ ç ÷
ç ÷ ç - ÷
è 2ø è 5ø
æ 1 1 ö æ2 2 2 ö÷
ç ÷ ç
•ÚÛ B = çç 12 5 ÷, B -1 = ç 3
ç 5
3 ÷
-
2 ÷ 5÷
ç ÷ ç - ÷
è 2 5 ø è 3 3 ø
æ1 0 ö
D = B PB = çç
-1
÷÷, P = BDB -1
è 0 0.25 ø
Pn = BDnB-1
æ 1 1 ö æ2 2 2 ö÷ æ 2 1 1 1 ö
ç ÷ ç ç + ´ 0.25
n
- ´ 0.25 n ÷
2 5 ÷çæ 1 0 ö
=ç ç ÷÷ç 3 3 ÷=ç3 3 3 3 ÷
ç 1 2 ÷è 0 0.25 øç 5
n
5 ÷ ç 2 - 2 ´ 0.25 n 1 2
ç - ÷ ç - ÷ çè 3 3 + ´ 0.25 n ÷÷
è 2 5ø è 3 3 ø 3 3 ø
2021/12/2 "#$%&'()* +,- 81!40
 $91(#2)
æ2 1ö
ç ÷
'N%P lim P n = ç 3 3÷
n®¥ ç2 1÷
ç ÷
è3 3ø

!Ïh—iiÐjTbc% lim p ij (n) = p j %&x

n ®¥

N;RP]^_9

'V2/3O1/301%&xπ0(2/3%1/3)VN;Tb

cXh9
2021/12/2 "#$%&'()* +,- 81!41
 $92
!ÏPÒ•klm0%&xN;RP]^_9
# Π 0 (p0, p1)%! Π 0 ΠP‚p0Op101%¥
‘Én
ì p 0 = 0.75 p 0 + 0.5p1
ï
í p1 = 0.25 p 0 + 0.5p1
ïp + p = 1
î 0 1

¥o]pp002/3%p101/3%¶ Π0(2/3%1/3)w
bcXh9

2021/12/2 "#$%&'()* +,- 81!42

 05 =>?@A"
•qr*s+Š¼]'tqu9qr*Pa
•%qr+Pb•%~q].v‡wx‡1•%y
Pž.%z|•3ÒP]Qv{V|9#—~]
.Ò%*xTbcVp%vTbcVq = 1-p%•
*v{Tbc9
}Q~"•€•w‚P•Qƒ¡„Täl…
†%a>??U>??UE={0, 1, 2, …, c}%c =
a+b9¶ô—T~"w•€‡sa‡ŽÓ|}0>
?WÏ|}c>?Tbc9

2021/12/2 "#$%&'()* +,- 81!43

 !
¯X(n)€•ánâãä3å*æç4‡{X(n), n = 0, 1, 2,
…}%èéêëìíîrÜÝÞßÚÛ%
0 æ1 0 0 0 ! 0 0 0ö
ç ÷
1 çq 0 p 0 ! 0 0 0÷
2 ç0 q 0 p ! 0 0 0÷
P.. = ç ÷
. ç " " " " " " "÷
c-1 ç 0 0 0 0 ! q 0 p÷
çç ÷÷
c è0 0 0 0 ! 0 0 1ø
–e04c = a + b%ïðñr ÜÝÞßà
p p p p
1 0 1 2 … c-1 c 1
q q q q
2021/12/2 "#$%&'()* +,- 81!44
 !"#1$
¯ ui €•åPÜÝ i ò Þß#ÜÝ 0 *9:4óôÄõ
ö*÷ZuarŸ’0|cZïðÜÝ4øV
u0 =14 uc=0r
Ÿù9:§¨•
ui = pui+1 + qui-1 ( i = 1, 2, …, c-1)
“¨*úÌZ4åPV i ûü›æ#ýþ*9:u’ÿ!
"#£$%[â(9:% p)4·’ÜÝ i+1 &'ýþ(
|ÿ!"#£ý%[â(9:%q)4·’ÜÝ i-1 &'
ýþ()WX*•*|*•*9:r
Ÿ’ p+q = 14“¨+Ç“Z[X,S-.
ui+1 - ui = r(ui - ui-1) ( i = 1, 2, …, c-1)
r = q
–e
p 4./ϥ% u0 =14uc=0r
2021/12/2 "#$%&'()* +,- 81!45
 !"#2$
0st r = 14> p = q =1/2*124q3
ui+1 - ui = ui - ui-1
E i = 1, 2, …, c-14u1 = u0 + α4•
u2 = u1 + α = u0 + 2α
ã5€64‚ p = q 12#
…(>åO78â9:eý$
ui = ui-1+ αZuAB*12#)4åý
= u0 + iα
…þ*9:o7*æ; b‹^
uc = ui-1+ α94>æ;D<ýþ*AB
= u0 + cα
Ø u0 =14 uc= 0 364&[¨4•&' Clr
α = -1/c
F˜ ui = 1 - i/c4 i = 1, 2, …, c-1
a b
ˆ i =a%•¥*v{TbcV a u = 1 - =
c a+b
2021/12/2 "#$%&'()* +,- 81!46
 !"#3$
!Ï*s+T‰™wâŠT%¶+v{TbcV
a
ub =
a+b
!Ï ua + ub = 1%#û*s+Ò‹P]3Œv{%
qu•ŽŒ²29
HZ[ r ≠ 1%O p ≠ q T¦§g
! ui+1 - ui = r(ui - ui-1)
¥ c -1
uc - uk = å r(u i - u i -1 )
i =k
c -1
r k
- r c
= å r i (u1 - u 0 ) = (u1 - 1)
i =k 1- r
2021/12/2 "#$%&'()* +,- 81!47
 !"#4$
1 - rc
ˆ k = 0%!Ï uc = 0%P 1 = (1 - u1 )
1- r
1- r
O 1 - u1 =
1 - rc
rk - rc rk - rc
•µ uc - uk = (u1 - 1) %¥ uk =
1- r 1 - rc
ra - rc
ˆ k = a%¥*v{Tbc ua =
1 - rc
r1b - r1c p
!âŠ_%+v{TbcV ub = , r1 =
1 - r1c
q
!Ï ua + ub = 1%'N— r ≠ 1%O p ≠ q5•Q3
Ò•‘P]Q3Œv{T9
2021/12/2 "#$%&'()* +,- 81!48
 05-1
qr*Pa•%qr+Pb•%•3Š¼qu9
~q].t‡w/‡1•%yPž.%z|•3
ÒP]Qv{V|9#—~].Ò*+ª/Tb
cJV0.5%X(n)#$4n.²25*Tq’9
{X(n), n = 0, 1, 2, ……}V6÷78“:;9
(1)=Ž>??Už>?ÞBCD•
(2)•Ž*v{Tbc9

2021/12/2 "#$%&'()* +,- 81!49

 !
(1) ÜÝ=JE={0, 1, 2, …, a+b}rÜÝÞßÚÛ%

0 æ1 0 0 0 ! 0 0 0ö
ç ÷
ç 1 1
1 0 0 ! 0 0 0÷
ç2 2 ÷
ç 1 1 ÷
2 ç0 0 ! 0 0 0÷
. =ç
P 2 2 ÷
. ç" " " " " " "÷
. ç ÷
1 1÷
a+b-1 ç 0 0 0 0 ! 0
ç 2 2÷
ç ÷
a+b è 0 0 0 0 ! 0 0 1ø
–e04a+b%ïðñr
2021/12/2 "#$%&'()* +,- 81!50
 !"#$
(2) #ui#$!>?iFm}|0Tbc%5P
1 1
u0 =1% ua+b=0• u i = u i -1 + u i +1
2 2
&x ui - ui-1 = ui+1 - ui
sÅ ui+1 - ui = ui - ui-1 = …= u2 - u1 =u1 - u0
ua – u0 = ua - ua-1 + ua-1 - ua-2 + ua-2 … - u1 +u1 - u0
=a(u1 - u0)
¯ ua+b=0, ua+b – u0 =(a+b)(u1 - u0)
1 a b
¶ u1 = - +1 ua = 1 - =
a+b a+b a+b
b
O*v{TbcV
a+b
2021/12/2 "#$%&'()* +,- 81!51
 06
#Õ”‘l—[0, t)•|TÕ”–—vX(t)w
yz\É%IJ~XY2÷%•g
1. [0, 3)XYš•|5÷–—Tbc•
2. —[0, 1)XYž[2, 3)XYš˜•|2÷–—T
bc•
3. [0, 3)XYš•|5÷–—%045÷–——[2,
3)XY•|Tbc9

2021/12/2 "#$%&'()* +,- 81!52

 !
1. 3S>ˆ"#5é?@*9:
(3 ´ 2)5 -3´2 324 -6
P{X(3) = 5} = e = e
5! 5
2. ‚[0, 1)S>|[2, 3)S>ˆA"#2é?@*9:
P{X(1) - X(0) = 2, X(3) - X(2) = 2}
= P{X(1) - X(0) = 2}P{X(3) - X(2) = 2}
= (P{X(1) - X(0) = 2})2 = (P{X(1) = 2})2
(1 ´ 2)2 -1´2 2
=( e ) = 4e -4
2!

2021/12/2 "#$%&'()* +,- 81!53

 3. 3S>ˆ"#5é?@4ná5é?
!"#$ @‚á3S>#B*9:
P{X(3) = 5, X(3) - X(2) ³ 1}
= P{X(3) = 5} × P{X(3) - X(2) ³ 1 | X(3) = 5}
P{X(2) = 5, X(3) = 5}
= P{X(3) = 5} × (1 - )
P{X(3) = 5}
P{X(2) = 5, X(3) - X(2) = 0}
= P{X(3) = 5} × (1 - )
P{X(3) = 5}
(2 ´ 2)5 -2´2 (1 ´ 2)0 -1´2
e e
(3 ´ 2)5 -3´2
= e (1 - 5! 0! )
5! (3 ´ 2) -3´2
5
e
5!
324 -6 25 844 -6
= e (1 - 5 ) = e
5 3 15
2021/12/2 "#$%&'()* +,- 81!54
 07
#6÷7™;{X(n), n=0, 1, 2, 3, …}T>?
?UE = {1, 2, 3}%aš›Xhž]A>?ÞBC
D¿¨g
æ1 1 1 ö
ç 4 2 4÷
X(0) 1 2 3
P=ç1 1 1 ÷
ç 2 4 4÷
P 0.2 0.3 0.5 çç ÷÷
0 1 3
è 4 4ø
1. •P{X(0)=1, X(2)=3}•
2. •P{X(2)=2}•
3. [a]^_•
4. •IœXh9
2021/12/2 "#$%&'()* +,- 81!55
 !
CDE°œ•A•
é1 1 1ù é1 1 1ù æ 5 5 3ö
ê4 2 4ú ê4 2 4 ú ç 16 16 8÷
ê ú ê ú ç ÷
ê 1 1 1ú ê1 1 1ú ç 1 3 3÷
P(2) = P =
2
× =ç
ê2 4 4ú ê2 4 4ú 4 8 8÷
ê ú ê ú ç ÷
ê0 1 3ú ê 1 3ú ç 1 1 5÷
0
êë 4 4 úû êë 4 4 úû çè 8 4 ÷
8ø
1. P{X(0)=1, X(2)=3}
= P{X(0)=1} P{X(2)=3 | X(0)=1}
= p1(0)p13(2)=0.2*3/8 = 3/40

2021/12/2 "#$%&'()* +,- 81!56

 !"#$
2. P{X(2) = 2}
3
= å p i (0)p i 2 (2)
i =1

5 3 1
= 0.2 ´ + 0.3 ´ + 0.5 ´
16 8 4
3
=
10
3. —%P(2)eFVûF{l’04F˜±èéêGîZH
I*r

2021/12/2 "#$%&'()* +,- 81!57

 !"#1$
4. HI*èéêGî[]™‚wxST4–wxST÷
ZzÕST
ì 1 1
ï p1 = 4 p1 + 2 p 2
ï
ì P = PP ïp = 1 p + 1 p + 1 p
ï 3 ï 2
í Þ í 2 1
4 2
4 3

ïå pi = 1 ï 1 1 3
î i =1 ï p 3 = p1 + p 2 + p 3
ï 4 4 4
ïî p1 + p 2 + p 3 = 1
1 3 1
Þ P = ( p1 , p 2 , p 3 ) = ( , , )
5 10 2
2021/12/2 "#$%&'()* +,- 81!58
 08
¯èéêGî{X(n), n=0, 1, 2, 3, …}*ÜÝ=JE =
{1, 2, 3, 4, 5, 6}4[JÜÝÞßÚÛK#‘
æ 0 0 1 0 0 0ö
ç ÷
ç 0 0 0 0 0 1÷
ç 0 0 0 0 1 0÷
ç ÷
P =ç 1 1 1
0 0 0÷
ç 3 3 3 ÷
ç 1 0 0 0 0 0÷
ç ÷
ç 1 1÷
ç 0 0 0 0 ÷
è 2 2ø
1. LòÜÝÞßà/
2. stAÜÝCÇ/
3. SMÜÝ=Jr
2021/12/2 "#$%&'()* +,- 81!59
 !
1. ÜÝÞßà‘

2021/12/2 "#$%&'()* +,- 81!60

 !"#$
2. ÜÝCÇ‘
f11(1)<04f11(2)<04f11(3)<14f11(n)<0(n=3)4
f11<14øÜÝ1%NOÜÝr
¥
m µ1 = å nf11 (n) = 3 < +¥ 4
n =1
F˜ÜÝ1%^NOÜÝr—%p11(3n)=1=0(n=1)4
F˜ÜÝ1*PQZ3rŸ’ÜÝ1O3O5ËR4—q
UV¤S*ÜÝCÇr

2021/12/2 "#$%&'()* +,- 81!61

 !"#1$
f66(1)< 1 2 4f66(2)< 1 2 4f66(n)<0(n=2)4f66<14

øÜÝ6%NOÜÝr
¥
3
m µ 6 = å nf66 (n) = < +¥ 4F˜ÜÝ6%^NOÜÝr
n =1 2
—%p66=04F˜ÜÝ6ZTPQ*rŸ’ÜÝ2O6Ë
R4—qUV¤S*ÜÝCÇr
f44(1)<1 3 4f44(n)<0(n=1)4f44 < 14øÜÝ4%T
NOÜÝr
4. ÜÝ=JSM%
E0NOC1OC20{4}O{2,6}O{1,3,5}
aÒNVmÁ•ž%C1žC2VÀÁ•Ÿž9
2021/12/2 "#$%&'()* +,- 81!62
 09
]/Ó P/Ó¡ 2 3%¢Ÿ K£T¤™
P3Q•àŸ xyz{|}%~4583•/Ó
5UVtuvXh%~]/Ó¡IJV]3/Ó
¥Œ30XY9¿³Ÿ |¦ÓôÐ?¤™K£5
§¨©•r‹9é•g
1. ~45IJƪŸ v•
2. ~45šIJ«¬T/Ó¡v•
3. Ÿ …MKL/ÓTIJ5U9

2021/12/2 "#$%&'()* +,- 81!63

 !
Ÿ®Ò4²M/M/c/KUVW?178·¸4–ec<24k
l
<54λ<8(X/D3)4μ<2(X/D3)4r = = 4
µ
-1
é r c -1 j K
r ù j
1
p0 = ê å + å j- c ú
= = 0.008
ë j= 0 j! j= c c!c û 125
ì rj
ï p0 , 1£ j£ c-1
ï j!
pj = í
ï r
j

ïî c j- c × c! p 0 , c £ j £ K
4 8 16 32 64
p1 = , p2 = , p3 = , p4 = , p5 =
125 125 125 125 125
2021/12/2 "#$%&'()* +,- 81!64
 ! (# )
1. ©ª3Jˆz{Y-!"'
64 512
l e = lpK = 8 ´ =
125 125
2. z{Z[*¸ `'>%^‚†HI*z{!"'

64 244
N c = r ( 1 - pk ) = 4 ´ (1 - )=
125 125

2021/12/2 "#$%&'()* +,- 81!65

 !(#1)
3. E qj ۥ#$n567878*!"0#VjX!"
*zÕ9:
pj
q j == , j = 0,1, 2,! , K - 1
1 - pk
1 4 8 16 32
q 0 = , q1 = , q 2 = , q 3 = , q 4 =
61 61 61 61 61
F˜4!"?1uv¸ *z{3J
K -1
j- c +1 34
Wq = å × q j = (D3)
j= c cµ 61

2021/12/2 "#$%&'()* +,- 81!66

 010
¹-ή¯P3°±²%2QÌ/Â%op±
²ÀÁμ5UžÌ/5UÍrsuvXh%~
°²IJ30ÄÌ/]÷%IJÌ/5UV6Ä9
•g
1. &®¯Ð²9»Tbc•
2. ¥ŒÌ/T±²TIJv•
3. ~°±²KLÌ/TIJ5U•
4. àH“”1°±²Ù»%N5&®¯Ð²9
»Tbc9

2021/12/2 "#$%&'()* +,- 81!67

 3! 1 250 3
! p3 = ´ ´ =
2!´ 2 125 433 433
Ÿ®Ò4²M/M/c/m/m78·¸4–ec<24m<34λ<
1 1 l 1
(\/])4μ< (\/])4ρ< = 4—q
30 6 µ 5
-1
æc -1 m
i! i ö
p 0 = ç å Cm r + å C m
i i i
i -c
r ÷
è i=0 i =c c!c ø
1 1 3! 1 -1 250
= (1 + 3 ´ + 3 ´ + ´ ) =
5 25 2!´ 2 125 433
ìCmj r jp 0 , j = 0,1, 2,! ,c - 1
l 0 l 1 ! l j- 1 ï
pj = p 0 = í j j!
µ1µ 2 ! µ j C
ï m j- c
r j
p 0 , j = c,c + 1,! ,m
î c!c
1 250 150 1 250 30
p1 = 3 ´ ´ = , p2 = 3 ´ ´ = ,
5 433 433 25 433 433
2021/12/2 "#$%&'()* +,- 81!68
 ! (# )
3
1. ±©ªj^Aa*9: p 3 =
433
2. GÄ_¸*`^*z{'
c -1
m! r j m! m jr j 219
N=å p0 + å j- c
p0 = (\)
j= 0 (j - 1)!(m - j)! c! j= c (m - j)!c 433
3. z{uv12
m
3
N q = å (j - c)p j = p 3 = (\)
j= c 433
8\`^uv_¸*z{3J
Nq 1
Wq = = (])
l (m - N) 12

2021/12/2 "#$%&'()* +,- 81!69

 !(#1)
4. Ÿ®Ò4²M/M/c/m+k/m78·¸4–ec<24m<
1 1 l 1
34k=14λ< (\/])4μ< (\/])4ρ< = 4
30 6 µ 5
—q
K -1
m i i c -1 m K × m!
p0 = [å r +å ri
i = 0 i! i = K i!(m - i + K)!

m K × m! K + m 1 2500
+
c!
åi =c c
i -c
(m - i + K)!
i -1
r] =
4549
q3±§aj^Aa*9:
m K × m! 31
´ 3! 1 4 2500 9
p4 = j- c
r p 0 = 4- 2
j
´( ) ´ =
(m - j + K)!× c × c! 2 ´ 2! 5 4549 4549
2021/12/2 "#$%&'()* +,- 81!70
 %&'(
1. bc[T³œ$´
1) bcdeOf;gOf;=JObc*•h
2) bc*•Oi;*•|Aj=J
3) 9:O9:=JO9:*CÇ
4) œ•9:Okl§¨O*•*MNCOù9:§¨
omno§¨
5) bcpiy–ST—STÆ'OSTqO9:ÈÉ
6) Nr*bcpiy–ST—+,STOR'STO
^ÝSTOkstëuST
7) nvbcpi—wVSTO.xSTOœ•STO
MN
8) bcpi*'yz{—'|Q}O-,OksÚO
~-,(ÚÛ)Oz{Æ'
2021/12/2 "#$%&'()* +,- 81!71
 %&'(
2. äl\ÉT³œbµ
1) bc-.*]ÌyS•
2) bc-.*ST——[(•On)vSTÆ'O[
(•On)v9:ÈÉOMN
3) bc-.*'yz{——{€Æ'O-,Æ'O
~-,Æ'|¤žÆ'O•¤ž
3. þÿ\É
4. ¶Iœ<þÿ“å\É
‚Ò‘Ói*&'ƒJjׄ
5. À?\É
%M
6. Ë·\É
2021/12/2 "#$%&'()* +,- 81!72
 %&'(
7. yz\É
1) WX]Ìy–u…C
" N(0)#0
$ %&'()*
+ )*,-./01
2 P{N(h)=1}#lh+o(h)3
4 P{N(h)³2}#o(h)
2) 9:ST——[vO•vOVxv
3) 'yz{——{€Æ'O-,Æ'O~-,Æ'O
¤žÆ'O[vz{Æ'
4) CÇ——gJJ†KLOuv3JKL
5) Tèé+,-.
6) ‡Vé+,-.
2021/12/2 "#$%&'()* +,- 81!73
 %&'(
8. 789:\É
ˆ êëAí-.*9‰
" 56789:;<=9
$ >?@A
+ BC5678DE
2 5678DEF0G
Š ¢‹&'êëAíî
" HI:mJKFkL>?@A:mJKFkL>?MN
$ BC5678O:>?@A:>?MN:PQ>?R
Œ èéGêëAíî*CÇ
" C-KSE
$ TU01:VW01:XY01:Z[9\H
+ %&01:Π=ΠP

2021/12/2 "#$%&'()* +,- 81!74

 %&'(
8. 789:\É
• èéêëAíîÜÝ*S•
" ]^_`Ca0PQGb

非常返态

状态
零常返态
常返态 有周期
!"#$
正常返态
%&"'()
非周期 遍历态
"'#$

$ PQcdF0e

2021/12/2 "#$%&'()* +,- 81!75

 %&'(
8. 789:\É
Ž ••&'êëAíî
" >?@Afg:>?MN:hi9jk
$ hilgBC5678O
+ C-KSE:TU01:VW01:Z[9:XY01
2 >?mn:oDmn:PQ>?mnMNpQ-MNq
4 r6stu8<vpwxqy0SE
z {|-}~|SE
• %&01: ΠQ=0
‘ ”•-.
" HI€•>?@A:@A‚I
$ PQ>?mnR
+ r6stu8<vpwxqy0SE
2 {|-}~|SE€•eFƒ„9
4 XYH…:%&01Fƒ„9€†e‡ˆ
2021/12/2 "#$%&'()* +,- 81!76
 %&'(
9. …M'(b¸
ˆ i;*?178
Š ?178*’‹o€•
Œ ?178*“Ä'iR”
10. Ðc¹Tº˜…M'(
ˆ M/M/1/∞
" ‰Š‹Œ
$ •Ž——•ŽDE:••DE:pXYH…†q%&01:
%‘•Ž:’“•ŽF01:%‘’“•Ž:„’“jk
”F’“•Ž01:„’“jk”F%‘’“•Ž
+ ’“Jd•–—Jd——01fg:‘˜
2 Little‡ˆ
4 ™š
z ›œDE
2021/12/2 "#$%&'()* +,- 81!77
 %&'(
9. Ðc¹Tº˜…M'(
Š UVApý6:*M/M/1/∞
" ‰Š‹Œ
$ •Ž——•ŽDE:••DE:pXYH…†q%&
01:%‘•Ž:’“•ŽF01:%‘’“•Ž
+ ’“Jd•–—Jd——pj-:01fg:‘˜
2 Little‡ˆ——•žŸ x¡¢£¤¥¦F@A:•ž
¤x¡¢£F@A:§¨Jd©•žªx¡¢£F%
‘«¬
Œ UVApHI:*M/M/1/∞
• M/M/∞
Ž M/M/c/∞?178
Nc-¢£%®J¯°„±,²F«¬g
‘ M/M/c/KUVW?178
2021/12/2 "#$%&'()* +,- 81!78
 %&'(
9. Pc¹Tº˜…M'(
ˆ M/M/c/m/m
" ‰ŠF³¡
$ •Ž——´µF¶·g
+ ’“Jd•–—Jd——´µ¶·’“¸¹FJd
2 •º»¼½¾
Š M/M/c/c/mY-W
Œ V•a–*M/M/c/m+K/m
• •s—˜™?178

2021/12/2 "#$%&'()* +,- 81!79

 %&'(
10. ]»r‹TM/G/1/¥…M'(
ˆ š®*›6
Š œ6êëAíî——{Nn+4n≥1}
" HI
$ vnp„¿n_«¬F,²Jd©•žF«¬gqF@A
01:‘˜:SÀ
+ ÁL>?@ApMNq
2 {Nn+¯n≥1}°ÃÄFÅ0ƼjkÇr#l/µ!1
4 %&01
z %‘•ŽpÈÉ|—ÊË‘˜‡ˆq
• %‘’“•Ž
Ì %‘’“Jd
Í %‘–—Jd
Œ –•——%M
2021/12/2 "#$%&'()* +,- 81!80
2021/12/2 "#$%&'()* +,- 81!81