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Вы находитесь на странице: 1из 195

Science Applications:

Second edition

by K.S. Trivedi

Publisher-John Wiley & Sons

Dept. of Electrical & Computer Engineering

Duke University

Email: kst@ee.duke.edu

URL: www.ee.duke.edu/~kst

Copyright 2006 by K.S. Trivedi

Definitions

Distribution function:

If FX (x) is a continuous function of x, then X is a

continuous random variable.

FX (x) : grows only by jumps Discrete rv

F (x ) : both jumps and continuous growth Mixed rv

X

Note

distributions, also known as improper distributions will be

covered later and are very useful in computer science

applications

These distributions satisfy F1, F2 and a modified version of

F3:

to be non-defective

Definitions

(Contd.)

Equivalence:

but avoid this name as it can be confused with

pdf (prob. density function)

Distribution function

Copyright 2006 by K.S. Trivedi

pdf properties:

Definitions

(Continued)

Equivalence: pdf

density function

density

dF

f(t) =

dt

F (t ) =

f ( x ) dx

= f ( x ) dx

0

, for a non-negative

random variable

Example 3.1

To be a pdf, it must also satisfy (f2),

Exponential Distribution

A non-negative continuous random variable.

It exhibits memoryless property.

Related to (discrete) Poisson distribution

Often used to model

Interarrival times between two IP packets (or voice

calls)

Service time distribution

Time to failure, time to repair etc.

Exponential Distribution

that needs to be validated based on experimental

data; if the data does not support the assumption,

other distributions may be used

For instance, Weibull distribution is often used to

model time to failure; Markov modulated Poisson

process is used to model arrival of IP packets

Exponential Distribution

Also

10

random variable with = 0.0001

12500

25000

37500

50000

11

(pdf)

12

Memoryless property

the component has not failed until time t.

lifetime

GY ( y | t ) = P(Y y | X > t )

= P( X y + t | X > t )

P (t < X y + t )

=

= 1 e y

P( X > t )

Copyright 2006 by K.S. Trivedi

13

Memoryless property

to the original exponential distribution of X.

The distribution of the remaining life does not

depend on how long the component has been

operating.

Its eventual breakdown is the result of some

suddenly appearing failure, not of gradual

deterioration.

Copyright 2006 by K.S. Trivedi

14

Memoryless property

15

with Memoryless property

X is a nonnegative R.V. with Memoryless property:

16

with Memoryless property

Solution to the differential equation is given by

where K is the const. and

since

and denoting

by constant

Copyright 2006 by K.S. Trivedi

17

Example 3.2

file server in the interval (0, t]

Nt be Poisson distributed (parameter = t )

X : time to next arrival.

Therefore,

18

Example 3.3

Average rate of requests, = 0.1 reqs/sec.

Number of request arrivals per sec is Poisson

distributed

19

during the interval (0,t). Let X be the lifetime

of a component subject to failures.

surviving ones; Nf(t)= no. failed by time t.

20

Definitions

(Contd.)

Equivalence:

Reliability

Survivor function

R(t) = 1 -F(t)

Copyright 2006 by K.S. Trivedi

21

(#failures/time unit)

rate is time or age independent:

failure rate (CFR)

Copyright 2006 by K.S. Trivedi

22

f (t )

f (t )

h (t ) =

=

R (t ) 1 F (t )

h(t) t = conditional prob. of system failing in

(t, t + t] given that it has survived until time t.

f(t) t = unconditional prob. of system failing in

(t, t + t].

probability that someone will die between 90

and 91, given that he lives to 90

probability that someone will die between 90

and 91

Copyright 2006 by K.S. Trivedi

23

to the hazard rate in the following way

Using simple calculus the following applies to any

rv,

24

Failure-Time Distributions

Relationships

f(t)

R(t)

h(t)

R(t)

h(t)

t

f(t)

F(t)

F(t)

f (u ) du

F ' (t )

R ' (t )

1 R (t )

h (t ) e 0

t

h ( u ) du

1 e 0

h ( u ) du

f (u ) du

f (t )

1 F (t )

d

F ' (t )

log e R (t )

dt

f (u ) du (1 F (t ))

Copyright 2006 by K.S. Trivedi

e 0

h ( u ) du

1

25

Bathtub curve

DFR phase: Initial design, constant bug fixes

CFR phase: Normal operational phase

IFR phase: Aging behavior

h(t)

(burn-in-period)

(wear-out-phase)

CFR

(useful life)

DFR

IFR

t

Decreasing failure rate

26

Weibull Distribution

failure etc. (very long tails)

F (t ) = 1 e

t 0

Reliability: R(t ) = e

Weibull distribution is capable of modeling DFR ( < 1),

CFR ( = 1) and IFR ( >1) behavior.

is called the shape parameter and is the scale

parameter.

t

27

F (t ) = 1 e

( t )

R(t ) = e

t0

Reliability:

In this text we will use the definition on the previous slide

( t )

28

Example 3.4

Observation: 15% components last 90 hrs, but fail

before 100 hrs., i.e.,

Find scale parameter for this Weibull distribution:

29

with various values of and = 1

5.0

1.0

2.0

3.0

4.0

30

that the image of the random variable is in the interval

(,):

31

Bathtub curves

Early-life period

Steady-state period

Copyright 2006 by K.S. Trivedi

32

Early-life Period

Also called infant mortality phase or reliability

growth phase or decreasing failure rate (DFR

phase).

Caused by undetected hardware/software

defects that are being fixed resulting in

reliability growth.

Can cause significant prediction errors if

steady-state failure rates are used.

Availability models can be constructed and

solved to include this effect.

DFR Weibull Model can be used.

33

Steady-state Period

Failure rate much lower than in early-life

period.

Either constant (CFR) (age independent)

or slowly varying failure rate.

Failures caused by environmental shocks.

Arrival process of environmental shocks

can be assumed to be a Poisson process.

Hence time between two shocks has

exponential distribution.

34

Failure rate increases rapidly with age (IFR

phase).

Properly qualified electronic hardware do not

exhibit wear out failure during its intended

service life (as per Motorola).

Applicable for mechanical and other systems.

Again (IFR) Weibull Failure Model can be used

for capturing such behavior.

35

Failure-Rate Multiplier

7

6

5

4

3

2

1

0

2,190

4,380

Operating Times (hrs)

and the steady-state phase by the exponential.

36

1 t 8,760

hW (t ) = C1 t

t > 8,760

= h SS

where:

C1 = hW (1), h SS =

is the Weibull shape parameter

Failure rate multiplier = hW (t ) h SS

Copyright 2006 by K.S. Trivedi

37

failure rates in availability models.

The easiest way is to approximate a continuous

function by a decreasing step function.

Failure-Rate Multiplier

7

6

h1

5

4

3

h2

h SS

1

0

2,190

4,380

Operating Times (hrs)

Copyright 2006 by K.S. Trivedi

38

Here the discrete failure-rate model is

defined by:

0 t < 4,380

hW (t ) = h1

= h2

4,380 t < 8,760

= h ss

t 8,760

taking smaller time steps.

39

HypoExponential (HYPO)

2-stage HypoExp denoted as HYPO(1, 2). The

density, distribution and hazard rate function are:

Disk service time may be modeled as a 3-stage

Hypoexponential as the overall time is the sum of

the seek, the latency and the transfer time.

Copyright 2006 by K.S. Trivedi

40

Hypo(1,5)

Hypo(1,5) pdf

Hypo(1,5) CDF

41

rejuvenation models

Preventive maintenance is useful only if failure rate is increasing

A simple and useful model of increasing failure rate:

Robust state

Failure

probable

state

Failed state

Increasing failure rate

aging

42

Erlang Distribution

and Nt is Poisson (parameter: t). This interpretation

gives,

Copyright 2006 by K.S. Trivedi

43

Erlang Distribution

exponential distribution

Erlang distribution can be used to

approximate the deterministic variable,

since if the mean is kept same but

number of stages are increased, the pdf

approaches the delta (impulse) function

in the limit.

Copyright 2006 by K.S. Trivedi

44

an impulse function at r/ .

Copyright 2006 by K.S. Trivedi

45

r-stage Erlang can approximate a deterministic variable.

Copyright 2006 by K.S. Trivedi

46

variables (see Section 3.9 and Chapter 10)

Gives distribution of time required for exactly r

independent events to occur, assuming events take

place at a constant rate (p. 131 of text). Used frequently

in queuing theory, reliability theory

Example: Distribution of time between re-calibrations of

instrument that needs re-calibration after r uses; time

between inventory restocking, time to failure for a

system with cold standby redundancy (Ex. 3.25)

Erlang, exponential, and chi- square distributions are

special cases.

Copyright 2006 by K.S. Trivedi

47

Because (1)=1, it follows that (r)=(r-1) (r-1)=...=(r-1)! So

gamma with an integer valued shape parameter is the Erlang

distribution

Gamma with shape parameter = and scale parameter

= n/2 is known as the chi-square random variable with n degrees

of freedom.

48

Gamma distribution can capture all three types

depending on the value of the shape paramter

= 1: CFR

<1 : DFR

>1 : IFR

49

50

When there are alternate Exp( ) stages it becomes

Hyperexponential.

In workload based software rejuvenation model we found

the sojourn times in many workload states have this kind of

distribution.

Copyright 2006 by K.S. Trivedi

51

may be better described by the HyperExp( )

as compared to the EXP( ) distribution.

52

Log-logistic Distribution

behavior than simple CFR, IFR, DFR cases.

after momentarily leveling off, it decreases with time.

This is known as the inverse bath tub shape

curve.

Useful in modeling software reliability growth .

Copyright 2006 by K.S. Trivedi

53

54

central limit theorem (average of values of n observations

approaches normal distribution, irrespective of form of original

distribution under quite general conditions).

Consequently, appropriate model for many, but not all, physical

phenomena.

Example: Distribution of physical measurements on living

organisms, intelligence test scores, product dimensions, average

temperatures, and so on.

Many methods of statistical analysis presume normal

distribution.

In a normal distribution, about 68% of the values are within one

standard deviation of the mean and about 95% of the values

are within two standard deviations of the mean.

Copyright 2006 by K.S. Trivedi

55

Central Limit Theorem: sum of a large number of

starts following Normal distribution as n

and completely describe the rv. This is significant in

statistical estimation/signal processing/communication

theory etc.

Mean, median and mode are all equal; infinite range

Copyright 2006 by K.S. Trivedi

56

parameter =2 and =1

57

modeling long-term wear or aging related

failure phenomena.

58

distribution

59

get infinitely many normal densities

60

determine P(a< X <b)?

Answer: use tables after a transformation to

standard normal

N(0,1) is called standard normal distribution.

X ~ N(, 2)) then Z=(X- )/ is N(0,1)

N(0,1) is symmetric i.e.

f(x)=f(-x)

F(-z) = 1-F(z).

Copyright 2006 by K.S. Trivedi

61

Example 3.5

X has a normal distribution N(200,256)

Find P(X > 240)

62

63

Example 3.6

N(105,106) (in hour units)

Find R9,000(500) and R11,000(500)

64

Similarly,

65

generate random deviates of Unif(0,1)

distribution; that is, if a large number of

random variables are generated and their

empirical distribution function is plotted, it will

approach this distribution in the limit.

Copyright 2006 by K.S. Trivedi

66

Uniform pdf Unif(a, b)

67

Uniform distribution

0,

x a

F ( x) =

,

b a

1,

x<a

a x<b

bx

68

Uniform CDF

69

approximated by a Erlang random

variable

We will see an example of this in

Chapter 8

In the next two slides, pdfs and CDFs of

Unif(0,1) and 3-stage Erlang with

parameter =6 are compared

Copyright 2006 by K.S. Trivedi

70

Comparison of

probability density functions (pdf)

1.8

1.6

1.4

1.2

1

pdf

U(0,1) pdf

0.8

0.6

0.4

0.2

1.

02

0.

96

0.

9

0.

84

0.

78

0.

72

0.

66

0.

6

0.

54

0.

48

0.

42

0.

36

0.

3

0.

24

0.

18

0.

12

0.

06

time

71

Comparison of cumulative

distribution functions (cdf)

1.2

0.6

U(0,1) cdf

0.4

0.2

1.

02

0.

9

0.

96

0.

84

0.

78

0.

72

0.

6

0.

66

0.

48

0.

54

0.

42

0.

3

0.

36

0.

24

0.

18

0.

12

0

0

0.

06

cdf

0.8

time

72

Pareto Distribution

distribution.

Found to be useful in modeling of

Web file size on internet servers.

Number of data bytes in FTP bursts.

Thinking time of a Web browser.

Copyright 2006 by K.S. Trivedi

73

Pareto Distribution

f ( x) = k x

(Contd.)

, x k, , k > 0

74

75

76

Log-normal

follows normal distribution. Model for a process arising from

many small multiplicative errors. Appropriate when the value of

an observed variable is a random proportion of the previously

observed value.

In the case where the data are log-normally distributed, the

geometric mean acts as a better data descriptor than the

mean.The more closely the data follow a lognormal distribution,

the closer the geometric mean is to the median

Example: Repair time distribution; life distribution of some

transistor types.

pdf is given by:

77

Defective Distribution

Recall that

Example:

If p c < 1, then , FX ( x ) = p c (1 e

) is a

could represent the probability that the program

will not terminate (1-pc). Continuous part can

model completion time of program; we will see

many examples in later chapters.

There can also be a mass at origin.

Copyright 2006 by K.S. Trivedi

78

variable

79

transformed/operated upon.

the density of Y ?

Example: Y = X2

Example: Y= --1ln(1-X)

80

Example 3.8

81

Example 3.9

degree of freedom

Copyright 2006 by K.S. Trivedi

82

Example 3.10

Then, if Y = --1 ln(1-X) is EXP().

variate (or deviate) of the Exp() distribution

Copyright 2006 by K.S. Trivedi

83

84

sampled from a given distribution. If we take

a large number (ideally infinite) of them and

plot a histogram, it will approach the original

pmf or pdf.

Goal: Study methods of generating random

deviates of a given distribution, assuming a

routine to generate uniformly distributed

random numbers is available.

Note that distribution of interest can be

discrete or continuous.

Copyright 2006 by K.S. Trivedi

85

variate are:

Convolution Method

Direct Transformation of Normal Distribution.

Acceptance-Rejection Method

86

Inverse Transform

If F(x) is strictly monotonic distribution function

and U is uniformly distributed over the interval

(0, 1).

Then the new random variable X=F-1(U) has the

the CDF F.

Method:

over (0, 1) is generated and then the F is

inverted to generate random deviate x of X.

F-1(u) gives the required value of x.

Copyright 2006 by K.S. Trivedi

87

Example 3.11

Let, Y = F(X)

FY(u) = FY(F 1(u)) = u, or, Y=F(X) has pdf,

distribution F,

1. Generate random number u

-1

2. Find x = F (u) and x will be a random deviate with distribution F

3. If x = -1 ln(1-u), then x will be a random deviate of EXP()

distribution.

using a table

Copyright 2006 by K.S. Trivedi

88

Inverse Transform

Pareto, Rayleigh, Triangular, Log-logistic and

many others can be generated by this

method.

Variates of empirical and discrete

distributions like Bernoulli and Geometric can

also be generated using this idea.

It is most useful when the inverse of the

CDF, F(.) can be easily computed in closed

form although a numerical or tabular method

can also be used.

Copyright 2006 by K.S. Trivedi

89

Some Examples

Exponential Distribution

CDF

F ( x) = 1 e x , x 0

Random Variate x

ln(1 u )

x=

Since (1-u) is also a random number , use the

simpler formula

x=

ln(u )

90

Exponential variate

sampled then the sample of generated

numbers is sufficient to describe the pdf of

the distribution.

We see that as we increase number of

observations the plot becomes closer and

f (t ) = e for t 0

closer to the theoretical pdf

pdf of exponential distribution with mean 1 is

plotted

Three cases are taken with 10, 100 and

1000 observations.

Copyright 2006 by K.S. Trivedi

91

t

For 10 Observations

1.2

1.2

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

2 3

4 5 6

7 8

9 10 11 12 13 14 15 16

1.2

10 11 12 13 14 15 16

1.2

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

11

13

15

2 3

4 5 6

7 8

9 10 11 12 13 14 15 16

92

Weibull Distribution

CDF

FX ( x ) = 1 e

1

Random Variate x

ln(1 u )

x=

Simplified formula

1

ln(u )

x =

93

Write down the random deviate formual for the alternate for

of the Weibull Distribution

CDF

FX ( x) = 1 e

( x )

CDF

94

Pareto Distribution

CDF

FX ( x ) = 1

xk

x

=0

xk

where k>0 is location parameter and is shape

parameter.

Random Variate x

k

x=

(1 u )

k

Simplified Formula

x= 1

Copyright 2006 by K.S. Trivedi

95

Rayleigh Distribution

x 2 / 2 2

x0

CDF FX ( x ) = 1 e

=0

otherwise

where 2 is the variance.

Random Variate x

x = 2 2 ln(1 u )

Unif(0,1).

x = 2 2 ln(u )

Simplified Formula

Copyright 2006 by K.S. Trivedi

96

Log-Logistic Distribution

CDF

FX ( x) = 1

1

1 + ( x )

parameter.

1

Random Variate x

1 u

x=

u

1

Unif(0,1).

Copyright 2006 by K.S. Trivedi

97

Name

Density

Expo

e x x > 0

f(x)

1 e x x > 0

1 e x

Weibull

e x x > 0

Pareto

k x 1 x > k ,

,k > 0

Rayleigh

1 x 2

x 2 / 2 2

exp

e

2

2

x

X=F-1(u) Simpl.

F(x)

k

1

x

x=

form

ln(1 u )

x=

ln(1 u )

x=

ln(u )

1

1

ln(u )

x =

1

k

x= 1

u

2

x 0 x = 2 ln(1 u )

x = 2 2 ln(u )

x=

k

(1 u )

98

F(x)

Name

Density

LogLogistic

Cauchy

1

(t )

1

t0

1 + ( t )

[1 + (t ) ]2

Triangul

ar

f(x)

(x + )

2

2 x

1

a a

1 1

x

+ arctan

2

2

x2

x

a

2a

X=F-1(u) Simplifie

d form

1 u

x=

1 u

x=

1 u

1 u

tan (u )

tan (u )

a (1 1 u )

a (1 u )

1

2

99

p j = P( X = x j ), j = 0,1,...

j

and distribution F ( x j ) = pi

i =0

This is as

x = x j , if F ( x j 1 ) < u F ( x j )

j 1

i =1

i =1

P( X = x j ) = P ( pi < U pi ) = p j

Copyright 2006 by K.S. Trivedi

100

Bernoulli distribution

CDF with parameter (1-q)

FX ( x ) = 0 x < 0

= q 0 x <1

=1 x 1

F 1 (u ) = 0 0 < u q

=1 q < u 1

get Bernoulli random variate from above.

Copyright 2006 by K.S. Trivedi

101

p (1 p ) j 1 j 1

F ( j ) = 1 (1

Distribution is given by

So geometric random variate j satisfies

p) j

1 (1 p ) j 1 < u 1 (1 p ) j

(1 p ) j 1 < 1 u (1 p ) j

random variate x

= min{ i : i >

log( 1 u )

}

log( 1 p )

log( 1 u )

=

log(

1

p

)

Copyright 2006 by K.S. Trivedi

log(u )

log(1 p )

102

Example 3.13

Let fX(x) = e-x and Y = rX

Thus the exp distribution is closed under a

multiplication by a scalar

103

Example 3.14

distribution.

Repair times are often found to follow this

distribution

Copyright 2006 by K.S. Trivedi

104

Copyright 2006 by K.S. Trivedi

105

106

107

108

Order Statistics: k of n

distributed) random variables with a common

distribution function F and common density f.

permuting the set X1 ,X2 ,..., Xn so as to be in

increasing order.

To be specific:

Yn = max{X1 ,X2 ,..., Xn}

Copyright 2006 by K.S. Trivedi

109

Order Statistics: k of n

(Continued)

ORDER STATISTIC.

If Xi is the lifetime of the ith component in a

system of n components. Then:

Yn will denote the lifetime of a parallel system.

Yn-k+1 will be the lifetime of an k-of-n system.

Copyright 2006 by K.S. Trivedi

110

Order Statistics: k of n

(Continued)

the probability that exactly j of the Xi's lie in (- ,y]

and (n-j) lie in (y, ) is (n Bernoulli trials; p=F(y)):

n j

F ( y ) [1 F ( y )]n j

j

< y <

hence

n j

FYk ( y ) = F ( y ) [1 F ( y )]n j , < y <

j =k j

n

111

Overview:

General iid Random Variables

Let Y1 ,,..., Yn denote the order statistics of the random variables X1 ,..., Xn,,

which are iid with common distribution function F.

Y1

Yn k +1

FYn k +1 ( y )

n

n j

= F ( y )[1 F ( y )]n j

j = n k +1 j

Rk |n (t ) = 1 FYn k +1 (t )

n

n j

= R (t )[1 R(t )]n j

j =k j

Yn

Copyright 2006 by K.S. Trivedi

112

Overview:

General iid Random Variables

Let Y1 ,,..., Yn denote the order statistics of the random variables X1 ,..., Xn,,

which are iid with common distribution function F.

Y1

Yn k +1

Yn

FYn k +1 ( y )

n

n j

= F ( y )[1 F ( y )]n j

j = n k +1 j

FYn ( y ) = [ F ( y )]

Rk |n (t ) = 1 FYn k +1 (t )

n

n j

= R (t )[1 R(t )]n j

j =k j

R parallel (t ) = 1 FYn (t )

= 1 [ F (t )]n = 1 [1 R(t )]n

113

Overview:

General iid Random Variables

Let Y1 ,,..., Yn denote the order statistics of the random variables X1 ,..., Xn,,

which are iid with common distribution function F.

Y1

Yn k +1

Yn

FY1 ( y ) = 1 [1 F ( y )]

FYn k +1 ( y )

n

n j

= F ( y )[1 F ( y )]n j

j = n k +1 j

FYn ( y ) = [ F ( y )]

Rseries (t ) = 1 FY1 (t )

= [1 F (t )]n = [ R(t )]n

Rk |n (t ) = 1 FYn k +1 (t )

n

n j

= R (t )[1 R(t )]n j

j =k j

R parallel (t ) = 1 FYn (t )

= 1 [ F (t )]n = 1 [1 R(t )]n

114

n

j =k

Series system:

Rseries (t ) = [ R(t )]

or Ri (t )

i =1

Parallel system:

n

i =1

min{X1,,Xn} where Xi~EXP(i) so Y1~EXP( i)

Thus the exponential is closed under series composition but not

under the parallel composition .

Copyright 2006 by K.S. Trivedi

115

Example 3.16

ith components life time distribution ~ EXP(i)

components with each component having

EXP( ) distribution is also EXP(s) with

116

method)

exponentially distributed with the following failure

rates:

117

Example 3.18

failure rate.

What about a parallel system of n such components:

118

Example 3.20

time t . Ni (t) Poisson with parameter it

Xi :time between two successive arrivals from si has

EXP(i) distribution.

Total no. of jobs

is also Poisson with rate parameter

The jobs arrive in the pooled stream with interarrival

time,

119

R(t)

R(t)

Voter

R(t)

consider the Triple Modular Redundant (TMR) system (n = 3

and k = 2). Y2 then denotes the time until the second

component fails. We get:

RTMR (t ) = 3R (t ) 2 R (t )

2

120

TMR

(Continued)

component is given by,

R (t ) = e

we get:

RTMR (t ) = 3e

2 t

2e

3t

121

TMR

(Continued)

vs. t as well as R(t) vs. t.

Also graphs have been plotted for comparison

between TMR and TMR/Simplex using SHARPE

GUI. A step by step procedure has been shown.

We see that TMR improves reliability over the

simplex for short mission times (defined by

t < ln 2/); for longer mission times, TMR has

lower reliability than simplex

Copyright 2006 by K.S. Trivedi

122

TMR

(Continued)

123

124

125

126

127

128

129

130

131

132

133

134

Example RBD Approach

135

A file-server

Two workstations

Computing network connecting them

Copyright 2006 by K.S. Trivedi

136

Workstation 1

File Server

Workstation 2

137

Rw(t): workstation reliability

Rf (t): file-server reliability

System reliability R(t) is given by:

Note: applies to any time-to-failure distributions

138

139

bind

lambdaW 0.0001

lambdaF 0.0003

end

block wfs1

* each component is non-restorable and has exp time to fail dist

comp Workstation exp(lambdaW)

comp FileServer exp(lambdaF)

parallel work Workstation Workstation

series sys work FileServer

end

* define function R(t) for reliability at time t

func R(t) 1-tvalue(t;wfs1)

* vary the time t from t=0 to 10000 in steps of 1000 hours and print R(t)

loop t,0,10000,1000

expr R(t)

end

Copyright 2006 by K.S. Trivedi

140

end

exp

1.2

1

Reliability

0.8

0.6

exp

0.4

0.2

0

0

1000

2000

3000

4000

5000

6000

7000

8000

9000

10000

tim e

141

Example 3.21

WS reliability is Rw(t) and FS reliability is Rf(t)

Assuming all devices fail independently,

142

Example

voice

control

voice

control

voice

143

Description

at least 1 voice channel are up.

Reliability:

R (t ) = [1 (1 Rc (t )) ][1 (1 Rv (t )) ]

2

144

model in SHARPE GUI

145

block diagram model

146

Output selection

147

148

Plot definition

149

150

151

152

or

Structure Function:

and

and

c1

c2

v1

= c1 c2 + v1 v2 v3

v2 v3

Copyright 2006 by K.S. Trivedi

153

Assume Rc (t ) = e

c t

and Rv (t ) = e

v t

2

ct

= (2e

2ct

vt

)(3e

2vt

3e

3vt

+e

154

155

Example 3.22

8 x 8 SEN

156

this SEN given individual switch reliability rSE(t)

157

Example 3.23

to increase reliability; 00 01 has two paths.

Copyright 2006 by K.S. Trivedi

158

For 8X8 case, SEN+ reliability works out to be better

than SEN

8x8 SEN+

159

Random Variables

Let Y1 ,,..., Yn denote the order statistics of the random variables X1 ,..., Xn,,

which are iid with common distribution function F(x)=1 exp(-x).

Y1

1

= 1 exp( ny )

= exp( nt )

Yn k +1

FYn k +1 ( y )

n

n

= [1 exp( y )] j

j = n k +1 j

exp( ( n j )y )

Rk |n (t ) = 1 FYn k +1 (t )

Yn

FYn ( y ) = [1 exp( y )]

Y1 EXP( n )

R parallel (t ) = 1 FYn (t )

= 1 [1 exp( t )]n

160

Random Variables

Let Y1 ,,..., Yn denote the order statistics of the random variables X1 ,..., Xn,,

which are iid with common distribution function F(x)=1 exp(-x).

Y1

1

= 1 exp( ny )

= exp( nt )

Y1 EXP( n )

Yn k +1

FYn k +1 ( y )

n

n

= [1 exp( y )] j

j = n k +1 j

exp( ( n j )y )

Rk |n (t ) = 1 FYn k +1 (t )

Yn

FYn ( y ) = [1 exp( y )]

n

( n 1),..., )

= 1 [1 exp( t )]n

Yn k +1

HYPO( n,

( n 1),..., k )

161

Overview: Exponential

Independent Random Variables

Let Y1 ,,..., Yn denote the order statistics of the independent random

variables X1 ,..., Xn,. The distribution function of Xi is F(xi)=1 exp(ix).

n

Y1

FY1 ( y ) = 1 exp( i y ) R (t ) = 1 F (t )

series

Y1

i =1

= 1 exp( y i =1 i )

Yn k +1

Complicated

n

Yn

FYn ( y ) = Fi ( y )

n

i =1

= [1 exp( i y )]

i =1

= exp( t i =1 i )

n

Complicated

R parallel (t ) = 1 FYn (t )

n

= 1 [1 exp( i t )]

i =1

Y1 EXP( i =1 i )

n

Complicated

Complicated

162

Z = (X, Y)

The resulting pdf is (assuming independence),

Convolution integral (modify for the non-negative

case)

Copyright 2006 by K.S. Trivedi

163

Z = X + Y, X & Y are independent random

variables (in this case, non-negative)

t

f Z (t ) = f X ( x) fY (t x) dx

0

convolution of fX and fY. Thus the density of

the sum of two non-negative independent,

continuous random variables is the convolution

of the individual densities.

Copyright 2006 by K.S. Trivedi

164

performance

Precedence relationship: 3 has to wait for both 1

and 2 to complete

T1, T2 and T3 : respective random execution times

Total execution time = max{T1, T2 }+ T3 =M + T3

T1 and T2 ~Unif(t1- t0 , t1+ t0); T3 ~Unif(t3- t0 , t3+ t0)

Find Probability that T > t1+ t3

165

166

167

168

appear naturally in reliability modeling

Cold-standby redundancy

Warm-standby redundancy

Hot-standby redundancy

Triple Modular Redundancy (TMR)

TMR/Simplex

k-out-of-n Redundancy

Copyright 2006 by K.S. Trivedi

169

variable, X and Y, assumed independent

Series system (Z=min{X,Y})

Parallel System (Z=max{X,Y})

Cold standby: the lifetime Z=X+Y

170

X

Lifetime of

Active

Lifetime of

Spare

EXP()

EXP()

Total lifetime 2-Stage Erlang

R(t ) = (1 + t )e

Detection & Switching perfect;

Spare does not fail.

EXP()

EXP()

171

independent.

Then

f Z (t ) = e e

x

( t x )

dx

2 t

= e

dx

0

= te , t > 0

2

172

(Continued)

t

FZ (t ) = f Z ( z )dz = 1 (1 + t )e

R(t ) = 1 F (t )

t

= (1 + t )e , t 0

Copyright 2006 by K.S. Trivedi

173

identical exponential distributions, then the resulting

random variable is known as r-stage (or r-phase)

Erlang and is given by:

174

Convolution: Erlang

EXP()

EXP()

f (t ) =

(Continued)

EXP()

r r 1 t

t e

(r 1)!

(t ) k t

F (t ) = 1

e

k!

k =0

r 1

175

exponential distribution with failure rate .

Two modes

Only 1 of n is active, others are cold standby

All n are active, working in parallel

We can see that:

since

(t ) t

t n

e

(

1

e

)

k!

k =0

n 1

Copyright 2006 by K.S. Trivedi

176

variables of the n processors

At time Y1=min {X1, X2, , Xn}, one processor has

failed and remaining (n-1) are working

Computing capacity will also drop to (n-1),

177

we wish to find distribution for Cn.

First find distribution for Yj+1-Yj

Assume that all processor lifetimes are EXP(), then

we assert, (Yj+1-Yj)~EXP[(n-j) ].

Assume Y0 = 0,

Hence, assertion is true for j=0.

After j procs have failed, the residual lifetimes are W1,

W2, , Wn-j , each of which is EXP() due to the

memoryless property of the exponential distribution.

Copyright 2006 by K.S. Trivedi

178

(Yj+1-Yj) = min{W1, W2, , Wn-j}

Using the result of Example 3.13,

Therefore, Cn is the sum of n independent identically

distributed exponential rvs or Cn is n-stage Erlang.

Thus the total computing capacity delivered before

operation.

Copyright 2006 by K.S. Trivedi

179

Warm standby

With Warm spare, we have:

Active unit time-to-failure: EXP()

Spare unit time-to-failure: EXP()

EXP(+ )

EXP()

Copyright 2006 by K.S. Trivedi

180

the spare will fail. Time to this event is

min{EXP(),EXP()} which is EXP( + ).

Then due to the memoryless property of the

exponential, remaining lifetime is still EXP().

Hence system lifetime has a two-stage

hypoexponential distribution with parameters

1 = + and 2 = .

Copyright 2006 by K.S. Trivedi

181

(Continued)

X and Y are independent.

t

Then f Z ( t ) = 1e 1 x 2 e 2 ( t x ) dx

1 2 2t

1 2 1t

e

e .

=

+

1 2

2 1

This is the density of the 2-stage hypoexponential distribution with parameters 1

and 2.

Copyright 2006 by K.S. Trivedi

182

With hot spare, we have:

Active unit time-to-failure: EXP()

Spare unit time-to-failure: EXP()

EXP(2)

EXP()

2-stage hypoexponential

Copyright 2006 by K.S. Trivedi

183

as hypoexponentials

EXP(3)

EXP()

TMR/Simplex

EXP(3)

EXP(2)

TMR

184

r

Z=

i =1

where

i j for i j

random variable.

EXP(1)

EXP(2)

EXP(r)

185

Density function:

186

k of n system lifetime, as a

hypoexponential

At least, k out of n units should be operational

for the system to be up. Here failure rate of

each unit is .

EXP(n)

Y1

EXP((n-1))

Y2

...

EXP(k)

Yn-k+1

EXP((k-1))

Yn-k+2

...

EXP()

Yn

187

system to be up. Initially n units are active and s units are

warm spares. The failure rate of a unit when active is

and the failure rate of a unit when spare is .

EXP(n

+s)

EXP(n

+(s-1))

...

EXP(n

+ )

EXP(n)

...

EXP(k)

188

rvs, then, the rv Z = (X1+ X2+ ..+Xn) is also

normal with

random variables is also normal.

X1,..., Xn are independent standard normal. Then

ffff

follows the gamma distribution

or the 2 distribution with n degrees of freedom.

Copyright 2006 by K.S. Trivedi

189

Example 3.34

random variables, X1,X2, . . . , Xn, is known as a

random sample of size n.

In many problems of statistical sampling theory, it is

reasonable to assume that the underlying distribution

is the normal distribution.

Thus let

190

191

Example 3.35

are independent, and

Copyright 2006 by K.S. Trivedi

192

Example 3.36

identically distributed normal random variables such that

Then

Therefore,

The random variable

Copyright 2006 by K.S. Trivedi

.

193

Example 3.37

unknown.

can then be estimated from the sample variance

Copyright 2006 by K.S. Trivedi

194

Example 3.39

identically distributed normal random variables such that

Then

Also

Therefore,

has the

distribution.

195

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