Home Work 2

MTH 412
Applied Stochastic Process

1. A machine needs two types of components in order to function. We have a stockpile

of n Type-1 and m Type-2 components. Type 1 and Type 2 components last for
exponential time with mean 1/1 and 1/2 , respectively. Compute the mean length of
time the machine is operative if the failed component is replaced immediately by one
of the same type from the stockpile.
2. Compute the joint distribution of S1 , S2 , S3 .
3. The following method can be used to generate a Poisson random variable. Let U1 , U2 , . . .
be independent uniform (0, 1) random variables.
(a) If Xi = ( ln Ui )/, show that Xi is exponentially distributed with rate .
(b) Use part (a) to show that N is Poisson distributed with mean when N is defined
to equal that value of n such that
n n+1
Ui e >
Y Y
Ui
i=1 i=1

4. Let f (x) and g(x) be probability density functions, and suppose that for some constant
c, f (x) cg(x) for all x. Suppose we can generate random variables having density
function g(x), and consider the following algorithm.
Step 1: Generate Y , a random variable having density function g(x).
Step 2: Generate U , a uniform (0,1) random variable
y(Y )
Step 3: If U , set X = Y . Otherwise go back to Step 1.
cg(Y )
Show that X has the density function f (x).
5. Generate a random sample from the following probability density function, for known
0 < < 1.
1 1 x
f (x) = x e ; x > 0.
()
6. Busses arrive at a certain stop according to a Poisson process with rate . If you take
a bus from that stop then it takes a time R, measured from the time at which you
entered the bus to arrive home. If you walk from the bus stop then it takes time W to
arrive home. Suppose that your policy when arriving at the bus stop is to wait up to
time s, and if the bus has not arrived by that time then you walk home.
(a) Compute the expected time from when you arrive at the bus stop until you reach
home.
(b) Find s so that the expected time is minimized.