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# 6.

Processes

Outline
Introduction

## The Bernoulli Process

The Poisson Process

Introduction
A stochastic process is simply a (finite

## or infinite) sequence of random

variables.
Example: The sequence of

## Daily prices of a stock;

Scores in a football game;
Failure times of a machine;
Hourly traffic loads at a node of a
communication network.

Emphasis
Dependencies
For example, how do future prices of a
stock depend on past values?
Long-term averages
For example, what is the fraction of time
that a machine is idle?
Boundary events
For example, what is the frequency with
which some buffer in a computer network
overflows with data?

## Two Major Categories of Stochastic

Processes
Arrival-type processes
Bernoulli process (Sec. 6.1)
Poisson process (Sec. 6.2)
Markov processes (Ch. 7)

## 6.1 Bernoulli Process

The Bernoulli process is a sequence X1,

## X2, of independent Bernoulli random

variables Xi with
P(Xi=1) = P(success at the ith trial) = p,
P(Xi=0) = P(failure at the ith trial) = 1-p,
for each i.

## Random Variables Associated with

the Bernoulli Process
S: number of successes in n

## Properties of the Bernoulli Process

Fresh-Start
For any given time n, the sequence of RV
Xn+1, Xn+2, is also a Bernoulli process, and
is independent from X1, , Xn.

Memorylessness
n: given time

## ~ geometric(p), and is independent

of the RV X1, , Xn, i.e.,

## Example 6.1: Independence

(a) Let U be the number of successes in trials 1

## to 5. Let V be the number of successes in trials

6 to 10. Then, U and V are independent. This is
because U = X1 + + X5, V = X6+ + X10,
and the two collections {X1, . . . , X5}, {X6, . . . ,
X10} have no common elements.

## (respectively, even) time i in which we have a

success. Then, U is determined by the odd-time
sequence X1, X3, . . ., whereas V is determined
by the even-time sequence X2, X4, . . .. Since
these two sequences have no common
elements, U and V are independent.

## Example 6.2 (1/3)

A computer executes two types of tasks,

## priority and nonpriority, and operates in

discrete time unit (slots).
independent.

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## Example 6.2 (2/3)

T = the time index of the first idle slot

## first busy period

I = the length of the first idle period
Z = the number of slots after the first
slot of the first busy period up to and
including the first subsequent idle slot
Z=B
pT (k ) p k 1 (1 p),k 1, 2,....

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## Example 6.2 (3/3)

T is geometrically distributed random

## variable with parameter 1p, and its

PMF is
pT (k ) p k 1 (1 p),k 1, 2,....

1
p
,var(T )
.
2
1 p
(1 p )
1
1 p
pI (k ) (1 p ) k 1 p,k 1, 2,....,E[ I ] ,var( I ) 2
p
p

E[T ]

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## Example 6.3: Fresh-Start at a

Random Time
N: first i for which Xi-1 = Xi = 1.

P(XN+1 = XN+2 = 0) = ?
Sol:

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Interarrival Times
Yk: the time of the kth success (or

arrival)
Tk: kth interarrival time
T1 = Y1, Tk = Yk Yk1, k = 2, 3, .
Yk = T1 + T2 + + Tk.

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## Alternative Description of the

Bernoulli Process

## geometric RV T1, T2, , with common

parameter p.
Let Tis stand for the interarrival times.
Record a success (or arrival) at times T1,
T1 + T2, T1 + T2 + T3, etc.

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## Example 6.4: Rainy Days

After a rainy day, the number of days

## until it rains again ~ geometric(p),

independent of the past.
P(It rains on both the 5th and 8th day
of the month.) = ?
Sol: p2

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## Properties of the kth Arrival Time Yk

Yk = T1 + T2 + + Tk.

Ti ~ i.i.d. geometric(p).
E[Yk] = E[T1] + + E[Tk] = k/p.
var(Yk) = var(T1) + + var(Tk)

= k(1-p)/p2.
The PMF of Yk is
and is known as the Pascal PMF of order
k.

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Example 6.5
single foul with probability p

## No foul with probability 1p

The number of fouls in different minutes

## are assumed independent.

Sixth foul : foul out
She will play 30 minutes if she does not
foul out.
What is the PMF of Alicias playing time?

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## Example 6.5 - Solution

Bernoulli process with parameter p

## Z: Alicias playing time

Y6: the time until the sixth foul
Z= min{Y6,30}

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## Splitting of a Bernoulli Process

Bernoulli(pq)

Bernoulli(p)

Bernoulli(p(1-q))

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Processes

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## Poisson Approximation to the

Binomial
Z ~ Poisson().
For any fixed nonnegative integer k, the

binomial probability

## converges to pZ(k) as n and p = /n,

while keeping constant.
The Poisson PMF is a good
approximation to the binomial as long
as = np for large n and small p.

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approximation

## is valid to several decimal places if n

100, p 0.01, and = np.

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## Example 6.7: Packet Transmission

An n-symbol packet, transmitted over

noisy channel.
Symbol error rate p = 10-4.
Errors of symbols are independent.
How small should n be in order for P(at
least one symbol in error) < 10-3?
Sol:

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## 6.2 Poisson Process - Terminology

Consider an continuous-time arrival

process.
Any real time t is a possible arrival time.
Define P(k, ) = P(there are exactly k
arrivals during an interval of length ).
Positive parameter : arrival rate or
intensity of the process.

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## Definition of the Poisson Process

(1/2)
An arrival process is called a Poisson

## process with rate if it has the

following properties:

## Time-homogeneity: The probability P(k, )

of k arrivals is the same for all intervals of
the same length .
Independence: The number of arrivals
during a particular interval is independent
of the history of arrivals outside this
interval.

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(2/2)

## Small interval probabilities: The

probabilities P(k, ) satisfy
P(0, ) = 1 + o(),
P(1, ) = + o1(),
P(k, ) = ok(), for k=2, 3,
Here, o() and ok() are functions of that
satisfy

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## Interpretation of the Definition

Time-homogeneity
Arrivals are equally likely at all times.
Independence
Analogous to the independence of trials in a
Bernoulli process.
Small interval probabilities
For small ,
P(0 arrival) : 1 ;
P(1 arrival) : ;
P(2 or more arrivals) : 0.

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Poisson Process

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## Random Variables Associated with

the Poisson Process
N: Number of arrivals in a Poisson

## process with rate , over an interval of

length ~ Poisson().

exponential().

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POISSON

BERNOULLI

Times of
Arrival

Continuous

Discrete

PMF of # of
Arrivals

Poisson

Binomial

Interarrival
Time CDF

Exponential

Geometric

Arrival Rate

/ unit time

p / per trial

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## Example 6.8: Check Email

Email arrival: Poisson process, = 0.2

messages/hour.
You check email every hour.
P(0 new message) = ?
P(1 new message) = ?
If you have not checked email for a
whole day, P(no new message) = ?
Sol:

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Example 6.9
The Sum of Independent Poisson

## Random Variables is Poisson.

Arrival of customers are modeled by a
Poisson process with a rate of = 10
customers per minute.
Let M be the number of customers
arriving between 9:00 and 9:10. Also,
let N be the number of customers
arriving between 9:30 and 9:35. What
is the distribution of M + N?

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## Example 6.9 - Solution

M is Poisson with parameter = 1010 = 100 and

## N is Poisson with parameter = 105 = 50. M

and N are independent.

## Let be the number of customers that arrive

between 9:10 and 9:15. Note that has the
same distribution as N (Poisson with parameter
50). Furthermore, is also independent of N.
Thus, the distribution of M + N is the same as
the distribution of M + . But M + is the
number of arrivals during an interval of length 15,
and has therefore a Poisson distribution with
parameter 10 15 = 150.

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## Properties of the Poisson Process

Fresh-Start
For any given time t > 0, the history of the
process after time t is also a Poisson
process, and is independent from the
history of the process until time t.
Memorylessness
t: given time

## ~ exponential(), and is independent

of the history of the process until time t.

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Example 6.10
You and your partner go to a tennis

## court, and have to wait until the players

occupying the court finish playing.
Assume (somewhat unrealistically) that
their playing time has an exponential
PDF. Then the PDF of your waiting time
(equivalently, their remaining playing
time) also has the same exponential
PDF, regardless of when they started
playing.

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## Example 6.11: Queuing in the Bank

You enter the bank.
You see 3 tellers are serving other

customers.
No other customers in queue.
Service time ~ i.i.d. exp. RV.
P(You will be the last to leave.) = ?
Sol:

## Focus at the moment when you start service

with one of the tellers. Then, the remaining
time of each of the other two customers being
served, as well as your own remaining time,
have the same PDF. Therefore, you and the
other two customers have equal probability
1/3 of being the last to leave.

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Poisson Process

## exponential RV T1, T2, , with common

parameter .
Let Tis represent the interarrival times.
Record an arrival at times T1, T1 + T2,
T1 + T2 + T3, etc.

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## Properties of the kth Arrival Time Yk

Yk = T1 + T2 + + Tk.

Ti ~ i.i.d. exp().
E[Yk] = E[T1] + + E[Tk] = k/.
var(Yk) = var(T1) + + var(Tk)

= k/2.
The PDF of Yk is
and is known as the Erlang PDF of order
k.

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Example 6.12
You call the IRS hotline and you are

## told that you are the 56th person in line,

excluding the person currently being
served. Callers depart according to a
Poisson process with a rate of = 2 per
minute. How long will you have to wait
and what is the probability you will
have to wait for more than an hour?

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## Splitting a Poisson Process

: Poisson process with rate

Split

p):

## p the point goes to A1(t)

With probability 1-p the point goes to A2(t)

With probability

## A1(t) and A2(t) are two independent

Poisson processes with rates

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## Example 6.13: Splitting of Poisson

Process
Packet is destined for that node with

## probability p, or else it must be relayed

to another node with probability 1p
Packets arrive according to a Poisson
process with rate . Packets are
independent to each other.
The process of local packet arrivals is
Poisson with rate p.

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merge

## processes with rates 1 and 2 creates

a Poisson process with rate 1+2.

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## Example 6.14: Merging of Poisson

Process
People with letters to mail arrive at the

## post office according to a Poisson

process with rate 1, while people with
packages to mail arrive according to an
independent Poisson process with rate
2.

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Two light bulbs.

## Independent exp. lifetimes Ta and Tb.

Parameters a and b, respectively.

## when a bulb burns out?

Sol:

FZ z Pmin Ta , Tb z 1 Pmin Ta , Tb z
1 PTa z , Tb z 1 PTa z PTb z
1 e a z e b z 1 e a b z

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## Example 6.16: More on Competing

Exponentials (1/2)
Three light bulbs have independent

a common parameter . What is the
expected value of the time until the last
bulb burns out?

Sol:

## Let T1, T2, T3 be the time to the first,

second and third burnout, respectively.

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## Example 6.16: More on Competing

Exponentials (2/2)
T1: exponential with parameter 3

## T2: exponential with parameter 2

T3: exponential with parameter

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L: interarrival time of a Poisson process.

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## Example 6.17: Random Incidence in a

Non-Poisson Arrival Process
Buses arrive on the hour and 5 minutes

## after the hour.

Average interarrival time = 30 minutes
A person shows up uniformly randomly
within a particular hour.
E[length of the chosen interarrival
interval] = ?
1
11
Sol:
5

12

55

12

50.83,

time