LECTURE 14 The Poisson process Readings: LECTURE Start Section 6.2.

16
The Poisson process Lecture outline Readings: Start Section 5.2. Review of Bernoulli process

Bernoulli review Discrete time; success probability p Number of arrivals in n time slots: LECTURE 16 Bernoulli review binomial pmf
Discrete time; success probability p The Poisson process Interarrival times: geometric pmf

Number of arrivals in n time slots: Readings: Start Section 5.2. Time to k arrivals: Pascal pmf binomial pmf

N b

Denition of Poisson process Lecture outline Distribution of number of arrivals Review of Bernoulli process Distribution interarrival times Denition ofof Poisson process Other properties of the of Poisson process Distribution of number arrivals
Distribution of interarrival times Other properties of the Poisson process

Memorylessness Interarrival time pmf: geometric pmf Lecture outline

Timeto k arrivals: Pascal pmf Review of Bernoulli process Memorylessness Denition of Poisson process Distribution of number of arrivals Distribution of interarrival times Other properties of the Poisson process

Denition of the Poisson process Denition of the Poisson process

t1 0 x x x x t2 x x t3 xx

PMF of Number of Arrivals N of the Poisson PMF Denition of Number of Arrivals N process
t1 t2 x x t3 xx

!
x x x Time

!
x x x Time

P (k, ) =

x xk x x 0 ( ) e

k!

k = 0, 1, . . .

Time homogeneity: P (k, ) = Prob. of k arrivals in interval P (k, ) = Prob. of k arrivals in interval of duration of duration Assumptions: Numbers of arrivals in disjoint time Numbers of arrivals in disjoint time inintervals independent tervals are are independent
For VERY small : Small interval probabilities: For VERY small : 1 if k = 0 P (k, ) if k = 1 1 , if k = 0; 0 if k > 1 P (k, ) , if k = 1; = arrival rate 0, if k > 1.

E[N ] = P (k, ) = Prob. of k arrivals in interval Finely discretize [0, t]: approximately Bernoulli 2 = of duration N Assumptions: t(esdiscrete 1) Nte(of approximation): binomial s) = MN ( Numbers of arrivals in disjoint time intervals are independent Taking 0 (or n ) gives: For VERY small : ( )k e Example: You according k to a k = P (k, get ) =email = 00 , 1, . . . 1 , if k ! Poisson process at a rate of = 0 . 4 mesP (k, ) if k = 1 sages per hour. You check your every 0 email if k>1 E[Nt] = t, var(Nt) = t thirty minutes. = arrival rate Prob(no new messages)= Prob(one new message)=

Exa Poi sag thir

: arrival rate

Example You get email according to a Poisson process at a rate of = 5 messages per hour. You check your email every thirty minutes. Prob(no new messages) =
k

Interarrival Times Yk time of kth arrival

Erlang distribution: Yk time of kth arrival ey y fYk (y ) = k k1 y , y(k e1)!

Interarrival Times

!
0

Erlang distribution: k k1 fYk (y ) =

fY (y)
flr (l)

(k 1)!
r=1 r=2 r=3

y0

y0

Prob(one new message) =

k=1 k=2

k=3
0

Image by MIT OpenCourseWare. First-order interarrival times (k = 1): exponential Time of rst arrival (k = 1): (y ) = ey , f y 0 fY1 (y ) = ey , y 0 exponential:

Y1

Memoryless property: the Memoryless property: The The time time to to the next arrival is independent of the past next arrival is independent of the past

Bernoulli/Poisson Relation
Bernoulli/Poisson Relation
! ! ! ! ! ! ! !
0 x x Arrivals x Time n = t /! p ="! np =" t

Adding Poisson Processes Processes Merging Poisson Sum of of independent Poisson random Sum independent Poisson randomvariables is Poisson variables is Poisson
Merging of independent Poisson processes Sum of independent Poisson processes Poisson is is Poisson

0
POISSON Times of Arrival BERNOULLI

POISSON
Continuous

BERNOULLI
Discrete

Red bulb flashes (Poisson) "1 "2 Green bulb flashes (Poisson) All flashes (Poisson)

Times Arrival of Arrival Rate

PMF of Rate # of Arrivals Arrival

Continuous /unit time

Poisson /uni t time Exponential

Discrete p/per trial

Binomial p/per trial Geometric Pascal

1):

PMF of # of Arrivals

Interarrival Time Distr. Time to k-th arrival

Poisson
Erlang

Binomial

Interarrival Time Distr. Time to k-th arrival

Exponential Erlang

Geometric Pascal

to the past

What is the probability that the next What is the probability that the next arrival comes from the rst process?
arrival comes from the rst process?

m vari-

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6.041 / 6.431 Probabilistic Systems Analysis and Applied Probability

Fall 2010

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