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Textbook :
C. Cassandras and S. Lafortune, Introduction to Discrete
Event Systems, Springer, 2007
1
Plan
Discrete
events
Discrete
time
Continuous
time
Memoryless
A CTMC is a
continuous time and
memoriless discrete
event stochastic
process.
4
Poisson
Arrivals
N(t) : number of
customers at time t
Customer
Arrivals
Customer
departures
Homogenuous CTMC
Definition : A CTMC {X(t), t > 0} is homogeneous iff
P[X(t+s)= j X(t) = i] = P[X(t+s)= j X(t) = i] = pij(s)
Homogeneous memoryless:
In reliability, we only say "a machine that does not fail at age t is
as good as new"
Only homogeneous CTMC will be considered in this chapter.
7
Characteristics of CTMC
Behavior of a CTMC
X(t)
P Ti t x Ti t P Ti x , t , x
The exponential distribution is the only continuous probability
distribution having this property.
Exponential distribution
Mean : E[T] = 1/
Standard deviation: [T] = 1/
t0
t0
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Exponential distribution
Memoryless :
P T t s T t
P t T t s
t s
e t e
e t
P T t
1 e s P T s
Transition probability
Whe a CTMC leaves state i, it jumps to state j with
probability pij. This probability is:
independent of time as the CTMC is homogeneous
independent of sojourn time Ti as the process is markovian
(memoryless)
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14
Classification of a CTMC
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Probability distribution
State probability
i(t) = P{X(t) = i}
state probability vector, also called probability
distribution
(t) = (1(t), 2(t), ...)
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Transient analysis
By conditionning on X(t),
With
20
Transient analysis
It can be shown,
Letting dt go to 0,
21
Infinitesimal generator
Let
The matrix Q = [qij] is called infinitesimal generator
of the CTMC
As a ressult,
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A manufaturing system
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Poisson process
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Poisson process
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Birth-Death process
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Definition
Consider a population of individuals
Let N(t) be the size of the population with N(t) = 0, 1, 2, ...
When N(t) = n, births arrive at according to a Poisson pocess of birth
rate n > 0
Deaths arrive also according to a Poisson process of death rate n > 0.
33
Key issues
Graphic representation of the Markov chain
Relation with the Poisson process (also called pure birth process)
Condition for existence of steady state distribution
0 ...n 1
S n 1
1 ... n
Sufficient condition (larger death rate than birth rate)
n
1, n n *
n 1
Steady state distribution n
34
Approximation of general
distributions by phase type
distribution
35
Phase-type distribution
A probaiblity distribution that results from a system of one or more
inter-related Poisson process occurring in sequence, or phases.
The sequence in which each of the phases occur may itself be a
stochastic process.
Phase distribution = time until the absorption of a CTMC one
absorbing state. Each of the states of the Markov process represents one
of the phases.
Phase-type distributions can be used to approximate any positive
valued distribution.
36
Definition
A CTMC with m+1 states, where m 1, such that the states 1,...,m are
transient states and state m+1 is an absorbing state.
S S 0
Q
0
0
Characterization
Time X until the absorbing state is phase-type distributed PH(,S).
The distribution function of X is given by,
F(x) = 1 - exp(Sx)1,
and the density function,
f(x) = exp(Sx)S0,
for all x > 0.
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Erlang distribution
Ek : k-stage Erlang distribution with parameter
X = sum of k independent random variable of exponential
distribution with parameter
E[X] = k/
Var[X] = k/ 2
CX = X / E[X] = 1/k1/2
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40
Coxian distribution
Coxian distribution can be used to approximate any
distribution.
1-p1
p1
1-p2
p2
pn-1
n
1
41
A manufaturing system
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