Assignment 5

Due: November 9 , 2015

1. One hundred items are simultaneously put on a life test. Suppose the lifetimes of the indi-
vidual items are independent exponential random variables with mean 200 hours. The test
will end when there have been a total of 5 failures. If T is the time at which the test ends,
find E[T ] and Var(T ).
h
Hint: Denote Y1 , . . . Y100 the failure times of those 100 items. Then T = Y(5) which is
the 5-th order statistics of (Y1 , . . . Y100 ). There is a formula for the order statistic Y(5) , using
which it is not easy to get closed-form answers for this problem. The following is another
approach that leads to closed-form answers.
Let T1 = Y(1) , and Ti = Y(i) − Y(i−1) for i ≥ 2. Then Ti0 s are independent of each other.
The pdf of T1 can be obtained easily since it is the smallest oder statistics of 100 exponential
distributions. The pdf of T2 can be obtained (easily) by considering it as the smallest order
statistics of the rest 99 items (since one item is already dead). Similarly you can get the pdf
of T3 , T4 and T5 , all of which are all exponentially distributed (with
i different parameters).
Since T = T1 + · · · + T5 , now it is to compute E[T ] and Var(T ).

2. A machine works for an exponentially distributed time with rate µ and then fails. A repair
crew checks the machine at times distributed according to a Poisson process with rate λ; if
the machine is found to have failed then it is immediately replaced. Find the expected time
between replacements of machines.

3. Show that if {Ni (t), t ≥ 0} are independent Poisson processes with rate λi , i = 1, 2, then
{N (t), t ≥ 0} is a Poisson process with rate λ1 + λ2 where N (t) = N1 (t) + N2 (t). What is
the probability that the first event of the combined process is from the N1 process?

4. Consider a two-server parallel queuing system where customers arrive according to a Pois-
son process with rate λ, and where the service times are exponential with rate µ Moreover,
suppose that arrivals finding both servers busy immediately depart without receiving any
service (such a customer is said to be lost), whereas those finding at least one free server
immediately enter service and then depart when their service is completed.

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(a) If both servers are presently busy, find the expected time until the next customer enters
the system.
(b) Starting empty, find the expected time until both servers are busy.
(c) Find the expected time between two successive lost customers.