?
m In Modeling real-world phenomena there are few
situations where the actions of the entities within
the system under study can be completely
predicted in advance
m The world the model builder sees is probabilistic
rather than deterministic
m Some statistical model might well describe the
variations.
m An appropriate model can be developed by
sampling the phenomenon of interest. Then
through educated guesses, the model builder
would select a known distribution form, make an
estimate of parameter of this distribution, and
then test to see how a good fit has been obtained

’
Àeview of Terminology and Concepts
Discrete random variables 3
Jet X be a random variable. If the no:of possible values of
X is finite, or countably infinite, X is called a discrete
random variable. The possible values of X may be listed as
x1, x2, ««..
E.g:
The no. of jobs arriving each week at a job shop is
observed; random variable X (no. of jobs arriving each
week)
The possible values of X are given by the range space of
X, which is denoted by Àx. Here Àx = {0,1,2««}

Œ
 iscrete Àandom variable«««.

m With each possible outcome xi in Àx, a no: p(xi) = P(X=xi)

gives the probability that the random variable equals the
value of xi
The numbers p(xi), i = 1,2,««.. must satisfy the following
2 conditions
1. p(xi) >= 0 for all i

2. ›
£ ’ p(xi) = 1

The collection of pairs (xi, p(xi)), i =1,2,«.. is called the

probability distribution of X, and p(xi) is called the
probability mass function (pmf) of X

è
 Continuous Àandom Variables
a is a continuous random variable if its range space
 is an
interval or a collection of intervals.

m Dor a continuous random variable X, the probability that a

lies in the interval [a, b] is given by:

P(a” X ”b) = a œb f(x) dx

The function f(x) is called the probability density function

(pdf) of the random variable X.

·
 Continuous random variable«..

The pdf satisfies the following conditions:

a) f(x) • 0 for all x in Àx.

b) Àx œ f(x) dx=1
c) f(x) = 0 if x is not in Àx.

Dor any specified value x0,P(X = x0)=0,

since x0 œ x0f(x) dx = 0

ÿ
Cumulative istribution Dunction
Cumulative istribution Dunction (cdf) is denoted
by D(x), where it measures the probability that
the random variable X assumes a value less than
or equal to x, i.e.
m D() = P(X ” )

m If X is discrete, then
D()=Ȉall xi ” x p(xi)
m If X is continuous, then
m D() = -’œ f(t) dt

ü
m Properties of cdf are,
m a) D is a nondecreasing function.
If a< b, then D(a) ” D(b).
b) lim xĺ’ D(x)=1
c) lim xĺ-’ D(x)=0

Here P(a < X ” b ) = D(b) - D(a) for all a< b


 Expectation
m If X is a random variable, the expected value of a is
denoted by a
m If a is discrete, ¦

 › ›  ›

m If a is continuous, ¦


x f(x dx

m The Expected value E(X) of a random variable X is

also referred to as the mean,µ, or the first moment
of X.

m The nth moment of X is computed as

m ¦

 › ›  › if X is discrete.

m ¦


   if X is continuous.

 

 

m The variance of a random variable a is denoted by a or

 a or ı

m a  a a

m Also, a  a
 a

m The Variance of X measures the expected value of the

squared difference between the random variable and its
mean.

m Thus the variance V(X) is the variation of the possible

values of X around the mean E(X).

m The standard deviation of a is denoted by ı, it is the

square root of a
m p


  
 ı = oV(X)

?
 Ô 
m In the discrete case, the mode is the value of the
random variable that occurs most frequently.

m In the continuous case, the mode is the value of

which the pdf is maximized.

m The mode may not be unique.

m If the modal value occurs at two values of the

random variable, the distribution is said to be
bimodal.
??
 Îseful Statistical Models
m Statistical models appropriate to some
application areas :
m The areas include:
m Queueing systems
m Inventory and supply-chain systems
m Àeliability and maintainability
m Jimited data

?’
 Queueing Systems
m In queueing systems, the time between arrivals and
service times are always probabilistic; However it
is possible to have a constant interarrival time or
constant service time.
m Eg: Jine moving at a constant speed in the
assembly of an automobile

m The distribution of time between arrivals and the

distribution of the number of arrivals per time
period are important in the simulation of waiting-
line systems
m Service times may be constant or probabilistic
?Œ
Sample statistical models for interarrival or service
time distribution:
m Exponential distribution: if service times are
completely random
m Normal distribution: fairly constant but with
some random variability (either positive or
negative)
m Truncated normal distribution: similar to normal
distribution but with restricted value.
m Gamma and Weibull distribution: more general
than exponential (involving location of the
modes of pdf¶s .)

?è
 Inventory systems
m There are 3 Àandom variables
o The number of units demanded per order or per time
period
o The time between demands
o The Jead time (time between placing an order for
stocking the inventory system and the receipt of that
order)

m In Mathematical models of Inventory systems demand is

a constant over time and lead time is 0 or a constant.
m In simulation models demand occurs randomly in time.

?·
Sample statistical models for lead time distribution :
Gamma
Sample statistical models for demand distribution:
m Poisson: simple, extensively tabulated and well
known.
m Negative binomial distribution: longer tail than
Poisson (more large demands).
m Geometric: special case of negative binomial ,has
its mode at unity ,given that at least one demand
has occurred.

?ÿ
 Àeliability and maintainability
> Time to failure has been modeled with numerous
distributions, including the exponential, gamma
and Weibull.
> If only random failures occur, the time-to-failure
distribution may be modeled as exponential.
> Gamma: In a case where each component has an
exponential time to failure.
> When there are a number of components in a
system and failure is due to the most serious of a
large number of defects, or possible defects, the
Weilbull distribution seems to do particularly well
as a model .
?ü
 J

m In many instances simulations begin before data
collection has been completed

m 3 distributions have application to incomplete or

limited data
m Îniform, triangular and beta distributions.

m Îniform distribution can be used when an

interarrival or service time is known to be random,
but no information is immediately available about
the distribution

?
 Jimited data

m Triangular distribution can be used when

assumptions are made about the minimum,
maximum and modal values of the random
variable

m Beta distribution provides a variety of

distributional forms on the unit interval, which,
with appropriate modification, can be shifted to
any desired interval

?
iscrete istributions
m iscrete random variables are used to describe
random phenomena in which only integer values
can occur.
m It contains
m Bernoulli trials and Bernoulli distribution
m Binomial distribution
m Geometric distribution
m Poisson distribution

’
> Bernoulli Trials and Bernoulli istribution [iscrete..]
> Bernoulli Trials:
> Consider an experiment consisting of n trials, each can be
a success or a failure.
> Jet a    



   

> and a    



   

>  xj = 1, j=1,2,«n
> pj (xj) =p(xj) = 1-p = q, xj = 0, j=1,2,«n
 


> Dor one trial, distribution denoted by this equation is

called Bernoulli istribution.

’?
m The Bernoulli distribution (one trial):
m where mean a      
m  a  
  
  
!  

Bernoulli process:
The n Bernoulli trials are called a Bernoulli process if
i) the trials are independent
m ii)Each trial has only two possible outcomes ie success or
failure
m iii)and the probability of a success remains constant from trial
to trial.
m Thus p(x1,x2,«, xn) = p1(x1). p2(x2) «..pn(xn)

’’
Binomial istribution [iscrete ««..]
m The random variable X denotes the no of
success in n Bernoulli trials has a binomial distribution given
by P(x) where
m p(x) = ( ) p q, x = 0,1,2,«n
 


It determines the probability of a particular outcome with all
the success ,each denoted by S, occurring in the first x trials
followed by the n-x failures, each denoted by an D.

m P( SSS..SS DD«DDD ) = p q

m x values n-x values

m The mean,     "   #
m The variance, a    "   #
’Œ
m Geometric istribution [iscrete«. ]

m Àelated to Bernoulli distributions. The random

variable of interest X is defined to be the number
of trials   


 


m p
 $  a  %
 $&

m   x
   

m  


’è
m The event { X=x’} occurs when there are x-1
failures followed by a success.
m Probability of failure = q = 1-p
m Probability of success = p

m P(DDD...DS) = q p

m Mean = E(X) = 1/p

m Variance = V(x) = q/p’

> Poisson istribution [iscrete ist¶n]
> Poisson distribution describes many random
processes quite well and is mathematically quite
simple.
> Poisson probability mass function is given by,

> p(x) = (e ƒ) /x ! ,x=0,1,«.

> 0 , otherwise where ƒ > 0

> Important property of poisson distribution is ,

> Mean E(X) = Variance V(X) = ƒ
> The cumulative distribution function is given by,
> D(x) = i=0£x (e ƒ›) / i ! ’ÿ
Poisson istribution [iscrete ist¶n]
Example: A computer repair person is ³beeped´ each
time there is a call for service. The number of beeps per
hour ~ Poisson(ƒ = 2 per hour).
Dind the probability of three beeps in the next hour:
' 

!

'(')  *
The probability of two or more beeps in a 1-hour
period:

 
 
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Œ
Queuing Notation :-

Kendall [1953] proposed a notational system for parallel

server systems. It is in the format A/B/c/N/K.
A : the interarrival . time distribution
B : the service . time distribution
C : the number of parallel servers
N : system capacity
K : the size of the calling population.
Common symbols for A and B are :
M : Exponential or Markov
 : constant or deterministic
Ek : arbitary or general
GI : general independent.


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Jong-run Measures of performance of Queuing system

The primary long run measures of performance of

queueing systems are the long-run time average number
of customers in the system(J) and in the Queue (JQ),
the long run average time spent in the system(w) and in
the queue (wQ) per customer, and the server utilization
ie busy time of server ().
Here the term System¶ refers to waiting line
+service mechanism and the term Queue¶ refers to the
waiting line alone.


    Ô         › 
1. p›   
 ›   3
Consider, a queuing system over a period of time T. Jet J(t)
denote the number of customers in the system at time t. Jet Ti
denote the total time during [0,T] in which the system contained
exactly i customers. In General,
i=0ü p  p
The ››  number in the system is defined
by
J = (1/ p i=0ü i Ti = i=0ü i { Ti / T }«««««.(1)

i=0ü i Ti = 0
TJ(t) dt

J = (1/ p 0
TJ(t) dt««««««««.(2)

The expression in equations (1) and (2) are always equal for any
queuing system, regardless of the number of servers, the queue
discipline, or any other special circumstances. This average is
also called ››  
èü
As time T gets large, the observed value J approaches a limiting
value say J, which is called the long-run time-average number
in the system. That is with probability 1
J = (1/ p 0
TJ(t) dt  J as T  ...... (3)

Jet JQ(t) denote the number of customers waiting in line, and

TiQ denote the total time during [0,T] in which exactly i
customers are waiting in line then
J
 (1/ p i=0ü i TiQ =(1/ p 0
T JQ(t) dt  JQ as T  ...(4)
Where J Q is the observed time-average number of customers
waiting in line from time 0 to T and JQ is the long-run time-
average number of customers waiting in line.

è
’   p›  ›     
Consider, a queuing system over a period of time T.
Jet Wi be the time spent by customer i in the system during
[0, T]. The average time spent in the system per customer,
called the average system time, is given by
ŵ = (1/ ´ i=1üN Wi
Where N is the number of arrivals in [0, T].
Dor stable systems as N   ŵ  w

Jet WiQ denote the total time customer i spends waiting in

queue. Jet ŵQ be the observed average time spent in the
queue(called delay) and wQ be the long-run average delay per
customer. Then
ŵq = (1/ ´ i=1üN WiQ

ŵq  wQ  ´ 

è
3. The Conservation equation : J = Ȝw
J = Ȝ w This relation holds for almost all queueing
systems.
When T and N  The equation becomes J = Ȝw.
It says that the average number of customers in the system at
an arbitrary point in time is equal to the average number of
arrivals per time unit , times the average time spent in the
system.

4. The Server Îtilization

Server Îtilization is defined as the proportion of time that a
server is busy.  is defined over a specified time interval
[0,T] .Jong run server utilization is denoted by .
   as N  .

·
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·?
Steady ±State Behavior of Infinite population
Markovian Models
Dor the infinite population models , the arrivals are assumed to
follow a Poisson process with rate { arrivals per time unit. i.e
inter arrival times are assumed to be exponentially distributed
with mean 1/ {.
Service times may be exponentially distributed.
The queue discipline will be DID
. Because of the exponential
distributional assumptions on the arrival process ,these models
are called Markovian Models.
A Queueing system is said to be in
statistical equilibrium or steadystate ,provided the probability that
the system is in a state which does not depend on time.
i.e P(J(t) = n) = Pn(t) = Pn is independent of time t.
The steady state parameter J ,the time average
number of customers in the system is
J = n=0ü n Pn
Where Pn are the steady state probabilities.
The other parameters are
w=J/{
wQ = w ± (1 / )
JQ = { wQ
Where { is the arrival rate and is the service rate
per server.
1. Single-server Queues with poisson arrivals and Înlimited
capacity: M/ G / 1( i.e capacity & calling population are infinite)
Steady state parameters are
 6{/
J =  '{2(1/ 2 + ı2 ) =  '2 (1+ 2 ı2)
2(1-  ) 2(1-  )
w = 1 + {(1/ 2 + ı2 )
2(1-  )

wQ = {(1/ 2 + ı2 )
2(1-  )
JQ = {2(1/ 2 + ı2 ) = 2 (1+ 2 ı2)
2(1-  ) 2(1-  )
P0 = 1- 
2. M/ M / 1 Queue : Steady state parameters are
+ 6{/
ii) J = { = 
-{ (1-  )
iii) w = 1 = 1
-{ (1-  )

iv) wQ = { = 
( -{) (1-  )

v)JQ = {2 = 2
( -{) (1-  )

vi) Pn = (1- {/ ) ({/ )n = (1- +n

··
2. Multiserver Queue: M/ M / c /’ / ’
Here c channels (servers) operating in parallel. These channels
has an independent and identical exponential service time
distribution with mean 1/ .The arrival process is poisson
with rate {. Arrivals will join a single queue and enter the
first available service channel. If the number in the system
is n < c , an arrival will enter an available channel .When n
• c, a queue is formed.
Steady state parameters are:
 { È c

ii)P0 = {[ £
n=0
c-1 ( {/ )n] + [ ({/ )c (1 / c!) (c ) ] }-1
n! (c - {)

= {[ £
n=0
c-1 ( c )n] + [ (c )c (1 / c!) 1 ] }-1
n! (1-  )
·ÿ
iii) P(J( ) • c) = ( {/ )c P0 = ( c )c P0
c!(1 - {/c ) c!(1 - 
iv)J = c ' (c)c+1 P0 = c ' P(J( ) • c)
c (c!)(1-  )2 (1 - 
v) w = J
{

vi) wQ = w ± (1/ )

vii)JQ = { wQ = (c)c+1 P0 =  P(J( ) • c)

c (c!)(1-  )2 (1-  )

viii) J ± JQ = c 
( {/ )c P0
c!(1 -  ·ü
Steady ±State Behavior of Dinite population Models
(M/M/c/K/K)
Dor the finite population models with K customers,
the arrivals are assumed to be exponentially
distributed with mean 1/ { time units.
Service times may be exponentially distributed with
mean 1/ time units. There exist c parallel servers
and system capacity is K.
m Steady state parameters are:
i)  = {e È c = (J - JQ) /c
ii)P0 = [ n=0 £c-1 (K n) ( {/ )n + n=c £K K! ( {/ )n ] -1
(K - n)! c! cn ± c

iii) Pn = (K n) ( {/ )n P0 , n = 0,1,«..c-1
K! ( {/ )n P0 , , n = c , c+1,««.K
m (K - n)! c! cn ± c

iv) J = n=0 £K n Pn
v) JQ = n=c+1 £K (n - c )Pn
vi) {e = n=0 £K (K - n) { Pn
vii) w = J
{e

viii) wQ = JQ
m {e