Simulation aay Fourth EditionNAV Say Simulation [gag Fourth Edition Sheldon M. Ross Epstein Deparment of indus ‘ond Systams Engineering Universiy of Souther Calfomia ELSEVIER Aen i ne ver‘ete et ne Bee Foe ange! Sn Sone ese Pa Hoan Si Se Seis ‘ne Pc Te Mao Val Bak Matte ‘0 Coxon Deve, ute 40, Bulag, MA O18, USA $254 Se Sey Ces OSA ‘beta pec it epg 8 oni 620 ever i. Alig rere ty ey acu Seceon or mecha, clung perry rec an) Sesleri emi may ht Sty om Ha Se Tecalgs ‘ia Bop Go pe (a0 fs SH fe C8) 18S {Siiht cm pemieesebereecnn You mi sone our tt (plore Core homens paca iy sng "Case Sent de See Rees” ayo Cart Catal Pete Daa ‘eso sme eh ieary Capa Pbcine Data oa reat ee om eB Lib “Working together to grow libraries in developing countries rrncricm | wai, | weston Preface ix V Introduction 1 Execises 3 2 Elements of Probability 5 21" Sample Space and Events 5 22 Axioms of Probebiliy 6 23. Conditional Probability and Independence 7 28 Random Vaibes 9 25 Bxpecation 11 26 Valance 4 27. Chebyaber’s Inequality and the Laws of Large Nambers 16 28 Some Discete Random Vaibes 18 Binomial Random Variables 18 Poisson Random Vibes 20 (Geometric Radom Variales 22 ‘The Neguive Binomial Random Vasisble 25 Hypergometric Random Vertes 24 29 Condauovs Random Vasbles 24 Uniformly Distibote Random Vaibles 25 Normal Rendon Variables 26 Exponeotal Random Variables | 27 ‘The Poisson Process sad Gana Random Variables 29 “The Nonhomogeacous Poisson Process "32 ‘210 Condionl Expectation snd Conditional Variance 33 “The Conditional Variance Formala 34 Exercise 35 References 39Conant coments 3 Random Numbers 41 7 Statistical Analysis of Simulated Data 117 i Tneotacion Tniedvetion 7 $31 Preudorandom Number Generation 41 71. The Sample Mean and Sample Variance 117 532 Using Random Numbers to Evalste Integrals 42 12 rv Estimates of Poplin Mesn 123, Exerciser 46 73 The Bootsuappng Technigue for Estimating Mean References 8 Suse Bors 126 Bereses 133 Refereaces 135 4 Generating Discrete Random Variables 49 441 The lnvene Transform Method 42 Generating a Poisson Random Variable $5 8 Variance Reduction Techniques 137 443 Generating Binomial Random Variables 37 Tnredacton 137 44 Toe Acceptance Rejection Technique 58 1 The Use of Antibetc Variables 139 445 The Composition Agprowch 60 82 The Use of Contel Varnes 147 | 466 Generating Random Vectors 61 83 Variance Reducdon by Condtioning 154 Beeler @2 Estimating te Expected Number of Renewals by Time 164 BA Seated Sampling 166 15. Applications of Stotied Sampling 175 | 5 Generating Continuous Random Variables 67 Analyzing Sytems Having Poison Anivals 176 Tnoduction 67 Comparing Molidimensiona Integrals of Moootne 51 The Inverse Transform Algorithm 67 Functions 180 132 The Rejection Mefod 71 Compound Random Vests 182 5:3 The Pola Method for Generating Noma Random Vases 78 86 Imporance Sampling 188 Si Generting « Pison Process #2 87. Using Common Ranlom Numbers 197 8 Evaluating an Exotic Option 198 55 Genenting # Nonhomogsneois Poisson Process 83 _ ion er mies 189. Estimating Functions of Random Permutations and References 91 Random Subsets 203 Rendom Permutations 203 Random Sabees 206 A 810 Appeoix: Vetiieton of Antec Variable Approach wlation Approach 93 ‘When Estimating the Expected Value of Monotone Fonctoos 207 Evers 209 References 217 6 The Discrete Event Tatton 93, 61 Simulation vin Discrete Events 93 62 A Single-Server Queueing System 94 663 A Queuing System with Two Serves in Series 97 {54 A Queveing Sytem with Two Pull Severs 99 63 An tovenory Model. 102 9 Statistical Validation Techniques 219 166 An Inarance Risk Model 103, Tnoiuction 219 67 A Repair Problem 105 9A Goodness of Fit Tess 219 68 Exeresing a Stock Option 108 ‘The Chi Square Goodness of Fi Test foe Dierte Data 220 69 Verification ofthe Simulation Model 110 ‘Te Kolmogorov-Smimov Test for Coninaons Data 222 Exersises 111 92 Goodness of Fc Tess When Some Parmer Are References 115 Unspeciied 227i Cantos ‘The Discrete Data Case 227 ‘The Contnvour Data Case 230 83 The Two-Sanple Problem 250 94 Validating the Assumption of a Nonhomogencous Poisson Process 237 Exercise 241 References 244 10 Markov Chain Monte Carlo Methods 245 Tntedacion 245 1 Mato Chains 245 2 The Hasings-Metropolis Agoritum 248 10.3 The Gibbs Sampler 251 ‘ 15 tas Ran in 28 ‘ocean es ero Boor SSS ny nt ee cr ene Tee dd aot seem tobe any pay in choosing a model ht itll conformed tothe phenomenon under say fit were not posible o mately analyze 11 Some Additional Topics 273 that model Sina considerations have led fo te concentration on sympie Taolucion 273 or seas results us opposed to the move useful ones on anset ine 11.1 The Alas Method far Generating Discrete Hlowove, the rltively nest advent of fast and inexpensive computation Rendom Variables 273 powers opened up another approse—namely otro model he phenomenon 11.2 Simulating Two-Dimensional Poisson Process 277 5 hy as possible and then to relyon a sinuliton stadt eayas i 113 Simulation Applications of an Kesiy foe Sums of In this text we show bow to analyze a model by use of simulation sty. ermoall Random Variables 280, In particular, we first show how a computer ean be uilized wo generate random 1.4 Estimating te Disuiboton snd the Men of he Fit (Care pecsly, pseudorandom) sumer, ad then how these random numbers Passage Tine of Markov Chain 285 ‘un be used to generate the values of random vaisles from arbitary dist 115 Coupling from the Pst 289 "ons Using the conent of dsr events me show how toa endo viable Bretises 291 to generate the bebe ofa snchastic model overtime. By cootioaly gener References 293 ating the behavior of he sytem we show how to csi estimators of desired ‘ques of interest. The staiscl questions of when wo op a smulton and Index 294 ‘hat couidence to place in the reslingextimstor re consiered. A vty of vas in which oe ean improve os the usual simulation estimators ae peseated Tn ation, we show how to ue simustion o determine whether the stochastic ‘odel chose ie consistent wih et of stl da Now to This Edition [Now exercises in most chapters New esi on. genenting «sequence of Bernoulli random variables (Example 4).ee [Now results the optima use of he exponential generate gamma random ‘atlabes by the ejection method (Section 52) ‘Anew example (8p) felted fading the disuibuton of the eumber of healy ‘call that sive when all ance cel se tobe killed. ‘Areiten secon (8.4) on sutiied sampling, coding teal on poststet- fcaon apd eaten marlon finding the optimal numberof smalaton rns in each saa, ‘A sew section (8.5) on applications of stratified sampling ost of systems having Poisson arvals (8.5.1) to computation of multidimensional integrals of moeotne functions (85.2), and to compound random vecars (8.3.3) ‘Anew section (2.9) on variance reduction techniques useful when computing fetes of random permutation abd random subset Chapter Descriptions “The sucesive chapters i his text ares follows. Chapter 1 is an inode tory chapter wich presents typial phenomenon thi of inesest to say. ‘Chapter 2s aeview of probably. Wheres hs chiptr sel consned snd oes not assume the reader i anlar with probity, we imagine tht wll indeed be a review for most readers. Chapter 3 deals with random numbers and how a varia of tem (be so-ealed pseudorandom umber) can be ge ‘red ont compte. The use of random number fo generate discrete and fea ‘ontinaoe sndom variables i considered in Chapters 4S ‘Chapter 6 presets the dsr event approach o wack sn airy sytem a icevaes overtime. A variety af examples relating to both singe nd rutile ‘sever quesing systems, a insurance Hk mode, oan inventory sytem, ‘machin opie model, and othe exereiing of «ck oon ae prseted (Chapter 7 introduces te subject mate of stasis. Assuming dat ou average reader has ot previously studld this subject, the chap tarts wih vey base ‘concepts an eas by intoducing the bottap statisti! meth, wich gute ‘ofl in analyzing he ress of smalaton Chapter 8 dels with he important subject of variance redoctio, This is an _atenpt to improve on the vst simulation estimators by nding ove having ‘he same mean and smaller variances. The caper begins by iatodacig the tecigue of ting antec variblen. We aoe (with «prot defer othe ‘haps appedi) that this always rests n variance reduction slong vith ' computational savings when we ae tying to esimate the expected valve of ‘funtion tats monotone in each of arses. We thes intoduee coal ‘arabes and iustte thei wseuless in variance reduction. Far astance, We Show bow contol variables canbe effetvelyuilized in analyzing quoeing systems, relay systems, Us reodering problem, snd blackjack. We aso india how to use regression packages to flat the resuling eompetatons| Preface ‘whos using contol variables. Variance reduction by we of contonl expect ions then considered Its see indeed in examples dealing with estimating ‘and in arlyzng Gite capacity quseing systems. Also, in conjunction with ‘ool variate, conditional expectation i sed to estimate the expected number ‘of evens of renal proces y sme fed ime. The we of ated sampling 1 a variance redoton tol is indicted in examples dealing with queues Wi, ‘varying aia aes and evalating integrals. The relationship between the vai nce reduction techaques of coadtional expecaton and sutid sampiag ‘plained and ‘lstrated inte entiation ofthe expected return in vide poker ‘Applications of sated sampling to queueing systems having Poison ava, ‘© computcon of multidimensional intra nd to compound random vectors sie also gives. The technique of importance suming is next considered. We Indicate and explain how dis can bean extremely poet vasance eduction ‘eehugue whe extinaing soll probabilities. In doing 0, we inode the oaEep of ted dsbibatons and show how they ean he wld nn impo ‘ance sampling etimaton ofa small convolution all pcb. Appicntons of importance sampling to queveing random walks, and random permutations, ‘and (computing conditional expectations when one is condoning ona ae ‘ren are presented. The nl variance reduction ecigue of Chapter & rls {othe use of acommon steam of andom numbers. An applicant valalag 32 ‘i sock option that ulizes a combination of Vance eduction lcs Js resented i Secon 87, ‘Chapter 9's concern wit tistics validation tshniqes, which aes ‘isa procedures that canbe used to validate the stocbase medel when Some teal data are avilable. Goodness of it tests suchas the chi-square es td the ‘Koimogorov-Smimoytst ae preicated, Othe sacton inthis coptr deal with ‘he two-sample and the msm problems and wih way of statis esting ‘he hypothesis that given procs is «Poisson proces, ‘Chapter 10 i coocerned wth Markov chain Monte Cario methods, These se techniques tat have realy expanded the use of simulation Ia rece years. ‘Te standard simulation paradigm for estimating @ = E[A(X)]), wher X is ‘andom veto, so simulate indepeadeat and ieaically dsiaed copies of ‘and then us the werae vale of NOX) a he etm. This the svcd “aw simulation estimator, which can thes possibly be improved wpe by using ‘one or mor of the variance reduction ileus of Caper 8. However, node employ ths approach itis pecesary bah thatthe dstibtion of X be speciod Sandals that We beable o simulate fam dis ltibtion. Yt, we sein Chapter 10, tee are many examples where the dstibuton of i own bat ‘eae not ale to dec simulate the random vector X, sd ther examples ‘where the distin i no completly known but is ony specified wp to 3 ‘ulplcave conan. Ths a either ete, the wil approach to estimating isnot avalabla. However, a new approach, hiked on fenerating # Maiov sa whose lining dstibtion is the dbo of X, and estimating 0 by ‘he average ofthe tales ofthe fnction fh eva tthe sce ttsnh Pratace ofthis chin, has become widely used in recent year. These Markov chin Monte Cuslo methods are explore in Chapter 10. We star, in Seton 102, by lnoduiag and presenting sme ofthe properties of Markov chaos. A gental technique fr generating & Markov chan having iting dstibuson that is spected up 0 2 multiplicative const. Known asthe Hasiags-Mewopols loc, presented in Section 10, and an application o generating aandom ‘lement of large "combina" sis given. The most Widely used version ‘ofthe Hastings Meopolis algun is kaown asthe Gibbs sampler, nd this it Presented in Seaton 104. Examples are diseased relating to sch pobre even random pots in seion sbjet ox constr that nop of pnts fae within a fed distance ofeach ote, to analyzing product form queueing ewouks, 10 azljzing 4 hiearhic! Bayesian etal model for pesiing ‘the number of Home rans tat wil be ht by cea Baseball players, and © ‘Simulating «liom vector conitonal om the evat that all outcome oneut atleast once. An application of the methods ofthis ehapee to deerme ‘optimization problems, cle simulated annealing, ie preseied in Section 10.5, andan example concerning the aeling slesman problem spresoted. The ial ‘Seton of Chapter 10 deals withthe sampling inpoance resampling algorithm, Which isa genecization ofthe acceptance-rejecon technique of Chapters 4 ‘nd 5. The tue of ds algocitim in Bayesian sists i indicated. Chapter 11 deals with some aiona tops in simolition, In Seetoa 11.1 We lear af the ais metiod which, whe cot of some setup tne, is «Very ficient way to generate discrete random variables. Secon 112 is eoncered wit simul 2 two-dimensional Poisson proces. a ection iL3 we pest ‘identity concering the covariance ofthe sum of dependent Broo random ‘arabes and sow Row suse cen result in etnexs of small probabilities ‘ving very low variances Aplications ein to estimating thereat of sytem, wich sppeas to be more ecient that any oer known estimator of ‘Sl sytem reat and wo estimating the pcb hat specified pater ‘osu some fixed ne piven Section IL presents an fie tse {0 eaplay simulation wo estimate fit pea time means and dstbtons of ‘Markov cain. An application wo competing the tal probes of a bivariate oral fdr variable given. Seton 11S peseats the cowl fom the past apreach o simulating u random variable whose ditibuton is at of the Sonar disbuion of e speciied Marko eta, Thanks We ar indebee to Youta At (Califomnia State Univessiy, Long Bese) David Butler (Oregon Saxe University) Mat Carton (California Polytechnic Stte “Univesity, James Daniel (University of Texa, Aus), Wiliam Frye (Ball tte Universi), Mark Gclanan (Boston University) Chine i (University of "Nar Curling), Youshee Kim Park (California Sate Univesity, Laog Beh), Proce Donal E. Mir (St. Mays College), Kreeof Ostszewsk (noi Stat Universin), Berard Papnoceli, Erol Pekde (Boston Univesity), Yuval Pars (University of California, Berkley), and Esther Pormoy (Univesity of ia, ‘Urban Champsigo) for their many helpful commen. We would keto tank ‘owe teat reviewers who witht remhinsnoaymousConsider the folowing sivaton faced by a pharmacist whos thinking of sting ‘pt small pharmacy where be wil ill prescription. He plas on opeaing Up 139 AN every weskday and expects tat on serge, tare wl be about 32 ‘esriptions eae in diy before 5 nat His experience indices tat th time {hat it wl ake him to fil «preseription, once he begins working oni Ss 3 random quantity having © mexn snd sanded deviation of 10 and 4 nutes, rerpectvely He plans on acepting no new prsergions afer 5 Pc although ‘wl resin nthe shop pa this me if nessa ofl ll he prsrpions ‘ordered tat day. Given this sceiro the parmacit is probably, tong ther ‘things intrested inthe snswers othe folowing questions: 1. Whats the average ime tht he wil depar bis store at night? 2, What proportion of days wil he sll be working 2530 93.7 5 What ithe average imei wl ake him to la presedption (king into secount tat he canot begin working on newly rived prescription uni A ati arving ones have been filed)? 4. What propoion of prscipons wil be Hed within 30 minutes? 5. rhe changes his policy on accepting all prescptons between 9. and 5 rac, bat rather aly sceps new ooes when tee ae fewer than ve ‘rescipdons sill needing fo be He, how many prescipions, on averape, wil be oe? (6, How would the conditions of limiting orders affect the answers fo questions 1 ogh 47 In onder to employ mathematics to analyze this station and anewer the uestons, we fist const a probability mode. To do this is necessary 10 ‘take some reasonably aoctrte essumpions conceming the preceding sensi, Forinstince we most make some sumptions aboat te probate mechan 121 tnroduc that deseibes the asvals ofthe dally average of 32 customers. One possible ‘sumption mig be tat te aival ates, probabilistic sents, constant over ‘he day, whereas a second (poly mre cea) posible ssemption is hat the aml rate depends on te time af day. We mus thn specify «probability isuibaton having mean 10 and standard doviaion 4) for he te takes 0 Service a pesrpion, and we must make aisunpuons abou wheter oe note service time ofa given preseiption always has this dstibotion or water i changes sa finetion of her variables (the numberof wating presets tobe led or the tine of dy). That, we mst make probabilistic sumptions shout the diy aval and sevice tines. We mos alo decide te probably Taw desebing a given day changes st a fcton ofthe dy ofthe week or whether it emains basally corsa over tine Afr these tssunptions, nd possibly others, have been speced, a probably tol of our scenario wil Inve been conic. ‘Once «probability model as been constructed the anaer to the quesions ca, in theory, be atl determined However, npc, these esting ‘se mich too dificult determine analytically, and soto answerthem we url fave to perform a simoation study. Such study programs the proba ‘mechani on 2 compute, and by utlizig "atdom number” it imoltes posible oocureces from this model over lege mimber of days end then tiles the theory of tastes estimate the answers to qoesons sich those sven In tee words, the computer program ulizes random numbers to gene the values of andor varabls having the assumed probability dibuons, ‘which represent te anival es andthe service times of prescipons. Ung thos ales, determines over many days the unntes of nrest lated othe ‘esons. I ten uses sisal techniques to provide existed anewers—fr ‘ample, if ou of 1000 sinus aye ter ze 122 in wc he prnacat all working at 5:30, we would estimate that te answer to question 2s 0.123 Tnomer tobe able to exceut sch an analysis, one st have some knowledge ‘of probability so as to decide on cern probably ditbutons snd questions Such s whee appropiate random variables are be atume independent ot no. A review of probability is provided in Chapter 2 The beso simultion| ‘saudy are so-called random numbers. discussion of hee unites and hos {hey te computer generated is presented in Chapter 3. Chapters 4 and 5 show how one ean ‘se casom numbers to generate he vies of random vail ‘ving citar esebutons. Discrete itbatios are considered in Chapter 4 nd continuous ones in Chap 3. Aer completing Chapter 5, he ead shod ‘ave some insight into the consuion ofa probably model fre iva ym nd also how ous random umber to generat the vals of endo quatiies ‘elated this mode. The use ofthese generated values o ack th yea it ‘roves continuously over time, the actual sinultion ofthe sytem — Js disused in Chapter 6, where we present the concept of “dissec event” tnd indicate how to uti these ents to obtain systema approach 10 mulaing systems. "The ert event simulation approach leads o's compute saarce 3 program, which canbe wales in whatever language the rede is comfortable {nda smolts the sytem a ge eumber of times. Some his concerning the verfiestion ofthis progiam—to ecerai that ts setully dong wba ‘ested are ls piven in Caper 6. The use of the outputs of a simsltion Study to answer probable questions concerning the model necessitates the te of the theory of sais, sad this subjects induced in Cape 7. Tis ‘hope sats withthe spl od mos baie concep in statistics and conn fond te recent sonovaion of “Bootsrap statistic,” which i gate usefl in ‘Nulation. Our stay of static ndetes the imporancs of the aranceof the ‘Stites obtcined fom simaliion study as an indo of te efficiency ‘tthe simulaon In prea, the smaller this variance i the smaller is the Sout of simulston needed to obi a Bxed precision As a reult we ae Ted in Chapter 8, o ways of obtaining bew estates thse improverens ‘over the raw simliton estimators Dooause they have reduced variances, This {opi of variance reduction is exemly inpotant in sinulaton stay bcos iteansubuaatally improve is effeiency. Chapter 9 shows bow oe can ise the rsuls of @ simulation to ven), when some reaife dats are aval, the appopristnes of the probability model (which we bavesimaltd) to the feat worl usin, Chapter 10 invodaces he imparaae topic of Mirko ein ‘Monte Calo rsthods. Th nse ofthese methods bs, in eet yeas, tea Crpunded the cls of problems tht canbe atackol by snulation. Chapter 11 ‘onriders avait of daonl topics. Exercises 1, The following dt yield the rival des end sevice times that each cus ‘omer wil el, forte fist 13 estomers at a single server system. Upon lava cao elher eaters sevice i the server se or jis the waling line, When the server completes werk ona casomer, the next one in ie (Le the one who ha en wating the longs) ens service Atival Times: 12.31 63 9§ 99 154 198 221 304 346 411 435 537 Service Times: 40 32 55 48 18 50 47 18 28 S440 72 12 (0 nine te degre ies f 1 woe (8 Rem) an eer eer an ctor cn be seed y Soe (Rape) andr he nw espn tt when he ee amet (© WS wa cots oer son mo as ea ‘ne te 2 Consider a service station where casters ave sad are seve in their Cader of aval Lat Ay, Sy sod D, denote, respectively, che aval ie, the4 troduction service time, andthe departure tine of caster n. Suppose there is server and thatthe system silly empty of castes, (9) With Dy = 0, argue tat for n> >, = Masia (Ay, Dy} (©) Detemine the conespoding recanion formula when there ee two {2 etemin he comspedig ion ma wen ie a ser Wii computer program wo determin the departs tines a function ofthe arial and service nes and set to check your answer in pacts and () of Exercise | Elements of Probability fg 2.1. Sample Space and Events ‘Consider an experiment wots outcome isnot koown in advance. Let called the sample space ofthe experiment, dente de seta al posible outcomes. For ‘rane ifthe expetineot const ofthe running of «race among te sven ‘wes nimbered I troop 7 hen (at orderings of (1,2,3,4.5,6.} The outcome (3 1, 7,6, 5, 2) mean, for example thatthe number 3 horse ‘me in fe, te number bors cae in Second, aso on “Any sibeet A ofthe sample spaces Known as an eea. That san event i se contig of possible outcomes ofthe expeiment If the outcome of te xpeiment ie contaot in A we say thar Abas cured. Rr examl, in the ‘hove, iF A= (al outcomes in staring with 5) then Ais the event tha the umber $ hose comes in frst or any two events A and we dfite the new evet AUB, called te won of A and B,to consist of ll oucomes tat ae either in A or B rin both A hd 2 Sloat, we define the eveat A, caled the intersection of A and B, 1 ‘onset of al outcomes tht sein both and. That, the event AUB occas itekter Aor B oor, whereas the event AB occurs if oth A and B ocr We fn also define ions and intreetions of mare than two evens. Tn particular, the union of the events Ay designated by Ur Ay—is defined consis, ‘fall outcomes hat aren any ofthe A, Similar, he intersection of the events 552 lomont of Prabity Avs Ac designated by Ay Ay—is fined to consi of all outcomes ‘hat ain of the For any event A we define the event A, refered to a the complemet of A, ‘0 consi fal outcomes i the sample space 8 tht arent in A That iy A ‘occas if and only fA does at Sine he oatone ofthe experiment ase inthe sample space 5, follows ht $* does at cota any onteomos and this ‘cannot occur. We eal * the mul stand designate it by pe AB = 8s tha A tnd B canot br occa (ace there ae no oomes tat atin ba Asn) We sy that A and are mutually excnsve. 22 Axioms of Probability Seppe tat for each event A of an exprieat having sample space Stes ‘name, deo by PA) and elle the probably of te event A wich is in accord wid the following tes sons: Axiom 1 0= 74) <1 ‘Axiom? Fs) Axiom 3 For any sequence of mutually exclusive events Ady ‘Tas, Axiom 1 sts that dhe probably tht the outcome ofthe experiment, Hes within is some number tetween O and I; Axion 2 sey that with ‘baby I this outcome ia meer ofthe sample space ad Axiom 3 tates that foray sec of mutalyexcuive event he probably tat est one of ‘hese events occas is equal othe sum of thir respective probes, ‘These three axioms can eased to prove a varity fra bout rubs. oc instance, snc A and A® ae always mutaly exclave al since AVA = 8 weave fom Axioms 2 end 3 that M13) PA) AD, orequvaenty a9: ~7A) in wor, te probe ata pent oe a ocaris 1 minsh ‘that it does. Liniemad 22 Condional Probably andindependence 7 2.3 Condioncl Probebilly and Independence Consider an experiment that consi of flppag a cola twee, noting each ine whether the rst was heads or as Tho sample space of hs expetiment can te taken to be the folowing st of fur oucoe: (HE), 1.1), (1.4. 00.) were (H, ) means, fr example tht the fs flip lands heads andthe sac {al Suppose aw that each of the four possible outcomes i equally ly to occur and ths ha probability |. Soppose fhe hat we observe tate fst fp lands on heads. The, given ts information, what i the probably that both flip land on ade? To east thi potty we eeason a fl- lowe Given that the intl ip lnds ead, there can beat most vo possible fulzomes of our experiment, amely, (HH) or (Hy 7). In addin, as each of these outcomes orginally had the some probability of occuring, ey should ‘sl have equal pobuiities. That, given tat the fst ip lands heads, the {Condon oobi ofeach ofthe outcomes (HH) nd (HT), whores the (conditiogul) probability of the other two outcomes is 0. Hence the desied probably i we let Aa denote, respectively, the event hat both ips and on hes tnd the event thst he fst Hip lands oa ead, then the probably bined ‘hove is called the conditional probability ofA given that Bhs oocued as ‘ene by Paley ‘A genera formal for P(A] that valid for al experiment and evens A and ‘Bane obuined in he sre nner a ven pevooly. Namely ifthe event ‘Bcevrs then in order for Ato oscur ite necessary tha he set orcurence ‘be pin in both A and Bhat i it must be in AB. Now since we know tat 2B bas oor, ollows that B becomes our now sample space and beace the ‘roby th the event AB occurs wil equa the probability of A relative to the probability of . That Pea = ‘The determination ofthe probably tat some event A occurs often snl ‘el by considering secon event fend then deteining bth the condo probably of given at oscars andthe condona! probably of A ven {tat des oot occur Todo this, ot ist oat auase82 laments of Probebity ‘Because AB and AB" we manually exclusive, the preceding yes Pa) = AB) + PAB) = PAID) + PIPL) We neu the cen frm, ey hat we ae cmpuig A) by conditioning on whether or not B oceurs. ied Example 2a Ax isaac compcy cise itp bls be cite nce one ao Tia nde nt ase poe on Wl fea cam was ono year pcod with poaiy 25 wih rly fling 10 for anon scent pron es. a new poly bodes eident tron wih poablity wha she echt he or ew etc ‘ihn a yee? Solution Let Cbe the eveot hata clam wile filed, and le be te event that the policy hole i acidat pre. Ten EO) = NCI PB) + PICEA) 23)(4)+ (10.6) = 16 Suppose that exactly one ofthe evens Bf Ty... 40 mast ck, Tats suppose tht y+ Bae munally exclsive event whose ion i the sample space $ Thea we un alto compe the prcbaby of an event by 0 Puree) Al Proof Define the random varisle ¥by ja, WX 2a Yolo, fx ca Because X20, it esl follows that xy “Taking expsctations ofthe preceding inequality yk AR] = Earn = and the result is proved. . c 127. Chebyshev’ inequality andthe laws of Large Numbers 17 ‘As wooallary we have Chebyshev’ inequality, which stats tat the probably hata ratdom vable differs from itr mean by more than F of i sandal ‘evitions is bound by 1/, where the tanderd devin of random variable is deed to be the square rot of is variance, Corollory Chebyshev’s Inequality 1X ia random variable having ‘mean jad vriznce @, then for ay value > Pel eto) = Proot Sine (X-—1)!/o? sa nomepive anon ashe whose mean =") _ KW PAS ‘we obtain from Makov'sinequaliythat ‘Te nt ow lon ne he iegity (Vo? eae 0 the inequality [X=] > ke. ‘We now ute Chebyshev’ inequality rove the weak law of lange numb, ‘which states that th probability thatthe average of the fistn terms of a soquence ‘findependeot tod deealydsubuted random varles ifr om is mean ‘by more than «goes 100 asm goes fo nity. ‘Theorem The Weak Law of Large Numbers Lat XX... be ‘oequence of independent and denial dsriuted random veils having ‘mean Then for any €> 0, ofp a0 wre Proof We give 2 proof under the aon ssumysion tht te random ‘ible, have a finite variance 0% Now Lourat-tme als. [Var(X) +--+ Van)182 lemants of Probobitty ‘where te above equation makes use ofthe fc thatthe variance of the sum of independent apdom varbls is eqal tothe sum of tir vances, Hence, ‘om Caetyshe's inequality, follows that for any postive & HBSS telah ‘enc, for any €> 0, by leting I be such that ko /= ta iby leting WS nefot we se at {fst which esablses the esl, a ‘A geowraizton of te weak aw i the strong law of large umber, which state tw probly, ‘Tati, wih cetsiny, te long-run aveage ofa sequence of independent and ‘easel ditbued random variables will converge ts me, 2.8 Some Discrete Random Variables ‘There are ceria types of andom variables that rebel pps in pions, In this seedon we survey some ofthe discrete one Binomial Random Variables Soppose that iadepeadet ts, etch of which resus in “auoes" with, ‘probably p, ae to be perfoone If represents te numer of successes ‘hat occur the wis, then X i sid to bea binomial rao vale with ames (np) Is probably mas anton is ven By Pat B= ()e0-n ion a9 (=m ‘ste binomial covfclont, equal to the numberof ferent subsets ff eemens that an be chose fom set of elements here 28 Some Discrete Rndom Varishles 19 “Te validity of Equation (25) can be sen by First noting tht the probability ‘of ny pariclar sequence of outcomes that rls inf ucretes an flues, bythe assumed independance of was, (1p) Equation (28) then follows since tere are () ferent soquences of th outcome ht eal ini suceses and ni flares—which cam be een by noting tat there ar (1) ferent choices of h tia that rest in scenes, ‘A biaomial (1p) random variable called x Beroul random vrs. Since 1 bisoial (1,9) random variable X sepeesnt the number of successes ite ‘ndepeadeor il, each of Wich reiu in a succoss with probability p, we ean repre ia flows cy where neff tauggaeemne Now ay, van) = DR] —20 0" —p* = pp) ‘bere the above egustion uies the fact that AF =X, Gince OF = 0 and TH), Heace the representation (26) yes dat, fora binomial (np) dom vache X, ai) = Sate Vuc(X) =SVar(¥) since dhe re independent =n00-7) ‘The folowing secusive fouls expressing pn tems of pis wel when computing the binomial probable ean Pa" GO nlon—9 wane eB Ha yaa ee202. lamant of Probability Poisson Random Variables ‘A random variable X that takes on on ofthe vas 0,1, 2,18 sid w bea Poisson random variable with parte A, A> 0, its probebiiy mas function isgivenby anean-eh ‘The symbole, defined by €= ity a (1+1/n), ia famous constant in math- matics hat roghly egal 027183, Poison random vaibls have wide range of applications. One reason for thse that sh random variables maybe used to approximate the distbation of ‘he number af Suceses in lage number of tri (tic ar eter independent frat most “weakly depeader’) when each wat has «small probablity of bring a sucess. To see why this I so, Suppose that Xi 4 biomilrandom ‘variable wih parameters (,p)—and 50 represents the numberof successes ‘independent als men cach til faces with probably pend le Ane Then Pee wae ~ anal) (3) fan H)---(a—te1) 0 (—Ayaye Now for mage and p sal, (afees 2 eace, frm lage and p smal, x=. Sine the mean and variance of binomial random vvable ae given by HY= np, Var(X)=np(t—p)%np for small p 1c itv, given the relationship berven binomial and Poisson random ‘ible, th or a Poesn andor variable, X having parsley AIX] = Var) ‘An ansyic proof ofthe above is et san exercise 2.8 Some Discrete Random orice 21 ‘To comput th Poisson probabilities we make use ofthe following recursive formals: Pons _ Sie 7 ‘Suppose that a cern number, of evets wl occu, where N i Poisson andonvarsble with mean A. Suppose further tt each evet that ecu Wil, independendy, be ether a type | event wih probly p ora type 2 event with obey 1— Ths fe te mame of eens a ae re ‘te N= Ky +, A afl rent the random variables, nd 1a inependent Polson random varbls, wi espetve meant However, given that N= n-hm, boca cach of then mevens i indepen eal either a type 1 even wit probability p or type 2 wits probability Ip, {efllows tut he aunber of tem that are ype |i binomial random Vatale ‘vith parameters nF, p.Contequenty, i= (S2)r0-ore (emt Sint era i prerwenon 2 a.222. Elemento robobility ‘Suing over m yields tht PIN =n) = EPA, mi} ewe ee ea naan =P Sint, Aion} ween =n ‘tus verifying that Ny aN re nde fdpendent Poison cencdom vail wit epective means Ap and A 2). ‘The proeding rt generalizes when each of the Poison umber of vents independently one of the types 1,» with especie pobabiies Disevc sr Py= I With Nel othe numberof the event tht ae = BELA Seis similarly shown that s+, are indepeadest Poisson random vriabies,with especie means AiNJ=Ap. ‘Geometric Random Variables Consider independent ia, each of whic sa sucess with probably p. IE X represents the mumber ofthe fit al ht i sues, he Pe apy! med en Which is emily obtained by noting that inorder for the fst success to cccur (onthe mh a, the fist mI mast all be fallues and the mh a succes, Equation (2.7) wow follows because the ri independent “A random arable whose probability mass faction given by (2.7) id tobe a geometric random vanable wit pareterp. The mean of be geomedic 1s obtained follows: ue Sre-prot 2.8 Some Disrte Random Varibles 23, where te above esution made use ofthe algebraceniy, for 0 << 1, Ben E)-aa)> Ii lo ot tcl to show tat ‘The Negative Binomial Random Variable we let X denote the numberof wis needed 1 amass a toto r sucess ‘hea each lt ndepedently a sacees wit roallyp, then X ised tobe ‘regatve binomial, sometimes called a Pascal rndom vanale wih paruters ‘andr. The probity mass fnetion of such mrandom variable given by tbe flowing Puend=(])eo-ne, nee en 1 cy Ban 28) a eat eer ae ed Ta thay mec io eho aly 7 ‘conan te oy ft a(t) pan ben th ‘atm cee epi a Toei fyi yr dette mbt oe etl ts (— se al hi een tie 0 a ye ngewe ‘Soar ton vata enn pak See whore he pccediag made use ofthe comesponding resus fr geomenic random vibe242 ements f Prabal Hyporgeometric Random Variables Consider an un containing N-+M balls, of which N are Hight colored and M tue dak colo, I sample of ize nis randomly chocen fin the see a cach af the ("2 sabsts of size mx eqully likly to Be chosen) thea X, the ‘umber of phi colored balls selected as probbity mse function ) equation is elled a hyprgeometic asdom variable ‘Suppose that he als re chosen sequently. If we let Pur=i= i: fi it the th sclection is ght pee! ds, eo — ane fana= zt, ere te above equation ses the fact chat, by symmeay, the i sleton 1 equally hey tobe any of the N+ alle, and «0 2X) = PUK, = 1) = Nyro, Since the X, are not independent (why oo), he uiization ofthe represen ‘ation (28) 0 compute Var) involves coverance terms The end prod ca be sion to yield the result Varta): wag (- weit 2.9 Continuous Random Variables In this section we conser cern types of continous random variables. 29 ContinwousRendom Varibles 25. Uniformly Distributed Random Variables {random variable X fp sid w be uniformly disetutd over the iaarval (b).a Bits probability density fancon i ven by ty Wacsce FO= 10" erwize In otter words, X is uifarmly distur over (a, ) i it pus all its mass on that ral ani is equally Lely o be “near” any pint on ht interval “Te mean snd valance of «uniform (2) random vaable are obuaed 2s follows: 1p gy Bae _ bee et eal ae Bod _@sttab ala zh [tan Boe ete and 0 ner en Var(X)= He +07 4b) — He 407 4208) = 0a “Ths, for instance, the expected vale is af one might have expected the ingot ofthe interval (2,0) “The dseibuion funtion of X is given, fora <2 a) =a “The wie applicability of noma random varisbes rolls fom one of tho ‘moet port theorems of probability they —the cena init tearm, Which ‘seri tht the sim of & large numberof independent random varisie bas ‘proximately » normal isebation. The simplest form of this remarable theorem is follow, The Central Limit Theorem Ler X,X,.-.. bea sequence of independent (nd identically lriced random variables having fte mean and fe ‘rian oF Then lin P (Bag one = decrees ae J)=Ae, Oexee282 Haments of Prbiliy for some A> 0 ssid wo be an exponential random variable with parameter [is cumulative deuibuton i given by Fe) [devanine™, dre Wis eas to verify thatthe expected value and variance of such random variable ‘se as follows: 1 sana dandvartsy= The key propery’ of exponential random varies is that they poses the ‘memoryless propery” where we say ta the nonnegative random vale X is memories i Pes eX A= > 1) foralls.120 10) ‘To undestand why the shove i calle the memoryless propery, imagine hat X sepreseas the eine of sme ei, and consider the pcb tat aunt of ‘ages will survive an tional tie t Sine this wl cour if he lie of the nit exceeds 1-5 given that ti lave at time swe se that Pladoal ie of an tem of age x excents 1} = PUX> eX > sf “Thos, Equation (2.10) a satement of fat ht the dsibuton of the remaining ie fan tem of ages doesnot depend on Thai it ol neces 10 remerber the age ofthe unto know ts dstibuton of emining lie ‘Equation (2.10) i equivalent © Pike ate) = Px> sPiK> 9 As the above equation is satisfied whenever X isan exponential random Yariable—since, inthis case, P(X > x)= e°*—we se that expoeatil random "arabes ae memoryless (id indeed is ao iu o show hat they ar the ‘aly memoryless random Yarables) ‘Another usefal propery of exponential random vaiabes is that they cemsia ‘exponen whea multiple by positive constant. To se his suppose that X is exponential wit prance, abd let ete postive oumber. Theo norss=P[rs3]=1-em whlch shows that eX i exponential wih parameter 2c. Lat I, ---»%, be independent exponential random varales wih respective ree Ae ssc cd Asef self hat min(yee es.) exponential with 129 Continvous Random Vericbles 29 rate TA, and independent of which one ofthe X, iste smallest. Tovey this, lear PO, ming, — 91a A) = PU Fin 91% > 4 a ‘The faa equality follows becanse, bythe lack of memory ropey of exp eal tad varsble, given Gat X, exceeds 1 he unount by which i ‘code itis exponential wih rate, Consequently, te conta dsbution SEK) —1..,%,—f given ta all the X, exceed fis the sume a the unc ona stu of X,---.X. Ths, Bis independent of which of the Xs ‘he smallest “Te ren ha the dsribution of M i exponent with rte FA, follows fom > eta PO > tt FPR a ‘The probly tat the set i tine from Poxyaa= | Px) =Mls,= Ane ar fore nisin anewae = [Perino [ (a) aera fea a eh ‘he Poisson Process and Gamma Random Variables Suppose that “event” are occu at random time pont and let N() dene the umber of events that occur in fhe ine interval (0,1, These vents oe sid to onsite a Paton process having rate A, A> O,if Mo (©) The umber of eveats ocurng in disjoint time imervals re independent