3 Mathematical Statistical Models

Chapter 3
Mathematical and Statistical

Models
1.
2.
Kleber Barcia V.
Statistical models in simulation

Queueing models
Chapter 3
Introduction
Systems and processes that the analyst sees in the real

world are probabilistic rather than deterministic.
Some statistical models can accurately describe the variations in a

system.
An appropriate model is the one that represents a

phenomenon of interest by taking a sample of the real
system:
Selecting a known distribution

Estimating the correct parameters
Trying to find the distribution that best fits (Test for goodness of fit)
In this chapter:
Review some probability distributions and statistical models

Presents some queue models
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Chapter 3
Review of terminology and concepts
In this section, we will review the following

concepts:
Discrete
Random Variables
Continuous Random Variables
Cumulative Distribution Functions
Expected Value
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Chapter 3
Discrete random variables
[Probability Review]
X is a discrete random variable if the number of possible

values of X is finite, or at most a countably infinite set.
Example: Consider jobs arriving at a job shop.
Let X be the number of jobs arriving each week at a job shop.
Rx = possible values of X (range space of X) = {0,1,2,}
p(xi) = probability the random variable is xi = P(X = xi)
p(xi), i = 1,2, must satisfy:

1. p( xi ) 0, for all i
2.
i 1
p( xi ) 1
The collection of pairs [xi, p(xi)], i = 1,2,, is called the probability mass
function (pmf) of X.
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Rev. 1
Chapter 3
Discrete random variables
Example:
Consider the roll of a dice. Consider X as the number of points for each
face of the die. Then:
Rx = {1,2,3,4,5,6}
Assume load is distributed proportionally to the number of points of
each face.
xi
p(xi)
1/21
2/21
3/21
4/21
5/21
6/21
Then:
1. p( xi ) 0, for all i
2.
i 1
p( xi ) 1 / 21 2 / 21 ... 6 / 21 1
So, x is a discrete random variable

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Chapter 3
Continuous random variables
X is a continuous random variable if its range space Rx is an interval or

a collection of intervals.
The probability that X lies in the interval [a,b] is given by:
b
P(a X b) f ( x)dx
a
f(x), denoted as the pdf of X, satisfies:

1. f ( x) 0 , for all x in R X
2.
f ( x)dx 1
RX
3. f ( x) 0, if x is not in RX
Properties
x0
1. P( X x0 ) 0, because f ( x)dx 0
x0
2. P(a X b) P(a X b) P(a X b) P(a X b)

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Chapter 3
Continuous random variables
Example: Life of an inspection device is given by X, a

continuous random variable with pdf:
1
e x / 2 , x 0
f ( x) 2
otherwise
0,
X has an exponential distribution with mean 2 years

Probability that the devices life is between 2 and 3 years is:
1 3 x / 2
P(2 x 3) e dx e 3 2 e 1 0.14
2 2
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Chapter 3
Cumulative Distributions Functions? [Probability Review]
Cumulative Distribution Function (cdf) is denoted by F(x), where F(x)

= P(X <= x)
If X is discrete, then
F ( x) p( xi )
all
xi x
If X is continuous, then
F ( x) f (t )dt
Properties
1. F is nondecreas ing function. If a b, then F (a) F (b)
2. lim x F ( x) 1
3. lim x F ( x) 0
All probability question about X can be answered in terms of the cdf,

e.g.:
P(a X b) F (b) F (a), for all a b

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Chapter 3
Cumulative Distributions Functions? [Probability Review]
Example: An inspection device has cdf:

1 x t / 2
F ( x) e dt 1 e x / 2
2 0
The probability that the device lasts for less than 2 years:
P(0 X 2) F (2) F (0) F (2) 1 e1 0.632
The probability that it lasts between 2 and 3 years:
P(2 X 3) F (3) F (2) (1 e(3 / 2) ) (1 e1 ) 0.145
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Chapter 3
Expected Value
The expected value of X is denoted by E(X)
If X is discrete
E ( x) xi p( xi )
all i
If X is continuous
E ( x) xf ( x)dx
a.k.a. the mean, m, or the 1st moment of X

A measure of the central tendency
The variance of X is denoted by V(X) or var(X) or s2

Definition:
V(X) = E[(X E[X]2]
Also,
V(X) = E(X2) [E(x)]2
A measure of the spread or variation of the possible values of X around
the mean
The standard deviation of X is denoted by s
Definition: square root of V(X)

Expressed in the same units as the mean
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Chapter 3
Expected Value
Example: The mean of life of the previous inspection device

is:
1 x / 2
x / 2
E ( X ) xe dx xe
e x / 2 dx 2
0
2 0
0
To compute variance of X, we first compute E(X2):
1
x / 2
2 x / 2
2
E ( X ) x e dx x e
e x / 2 dx 8
0
2 0
0
2
Hence, the variance and standard deviation of the devices life

are:
2
V (X ) 8 2 4
s V (X ) 2
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Chapter 3
Queuing systems
[Useful Models]
In a queueing system, interarrival and service-time

patterns can be probabilistic.
Sample statistical models for interarrival or service time

distribution:
Exponential distribution: if service times are completely random
Normal distribution: fairly constant but with some random

variability (either positive or negative)
Truncated normal distribution: similar to normal distribution but

with restricted value.
Gamma and Weibull distribution: more general than

exponential (involving location of the modes of pdfs and the
shapes of tails.)
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Chapter 3
Inventory systems and supply chains [Useful Models]
In realistic inventory and supply-chain systems, there are

at least three random variables:
The number of units demanded per order or per time period
The time between demands
The lead time
Sample statistical models for lead time distribution:
Gamma
Sample statistical models for demand distribution:
Poisson: simple.
Negative binomial distribution: longer tail than Poisson (more

large demands).
Geometric: special case of negative binomial.
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Chapter 3
Reliability and Maintainability
[Useful models]
Time to failure (TTF)

Exponential:
failures are random
Gamma:
Excessive waiting for components, where

each component has an exponential distribution of
time to failure
Weibull:
failure is due to the most serious defects in a

system of components
Normal:
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failures are due to overuse

14
Rev. 1
Chapter 3
Other models
uniform
triangular
beta
discrete Distributions
[Useful Models]
Bernoulli
trials and Bernoulli distribution

Binomial distribution
Geometric distribution
Poisson distribution
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Chapter 3
Binomial Distribution
[Discrete Distribution]
The number of successes in n Bernoulli trials, X, has a

binomial distribution.
n x n x
p q , x 0,1,2,..., n
p( x) x
0,
otherwise
The number of
outcomes having the
required number of
successes and
failures
Probability that
there are
x successes and
(n-x) failures
x!nn! x!
n
x
The mean, E(x) = p + p + + p = n*p

The variance, V(X) = pq + pq + + pq = n*pq
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Chapter 3
Binomial Distribution
Example: A production process assembles computer chips with an average of

2% of non-conformity. Every day we take a sample of 50 chips in the process.
If the sample contains more than 2 chips nonconforming, the process should
be stopped. Determine the probability that the process stops each day.
n = 50
50
(0.02) x (0.98)50 x , x 0,1,2,...,50
p( x) x
0,
otherwise
p = 0.02
It is easy to calculate: P (X> 2) = 1-P (X <= 2)

2
p( X 2)
x 0
(0.02) (0.98)
50
x
50 x
(0.98)50 50(0.02)(0.98) 49 1225(0.02) 2 (0.98) 48 0.92
The probability that the process stops is 0.08
E (x) = n * p = 50 (0.02) = 1
V (X) = n * pq = 50 (0.02) (0.98) = 0.98
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Chapter 3
Geometric distribution
Geometric Distribution
The number of Bernoulli trials, X, to achieve the 1st success:
q x 1 p, x 0,1,2,..., n
p( x)
otherwise
0,
E(x) = 1/p, and V(X) = q/p2
Example: 40% of the assembled printers are rejected in the inspection

department. Find the probability that the 1st acceptable printer is the
3rd one inspected. Consider each inspection as a Bernoulli trial with
q = 0.4 and p = 0.6
P (3) = (0.4)(3-1) (0.6) = 0,096
In only about 10% of the cases, the 1st acceptable printed is the 3rd
one from any arbitrary starting point.
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Rev. 1
Chapter 3
Poisson distribution describes many random processes

quite well and is mathematically quite simple.
where a > 0, pdf and cdf are:
e a a x
p( x) x! , x 0,1,...
otherwise
0,
e a a i
F ( x)
i!
i 0
x
E(X) = a = V(X)
a = np
pmf and cdf

graphics for
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a=2
19
Chapter 3
Example: A computer repair person is beeped each

time there is a call for service. The number of beeps per
hour ~ Poisson(a = 2 per hour).
The probability of three beeps in the next hour:

p(3)
= e-223/3! = 0.18
also, p(3)
= F(3) F(2) = 0.857-0.677=0.18
The probability of two or more beeps in a 1-hour period:

p(2 or more)
= 1 p(0) p(1)
= 1 F(1)
= 0.594
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Chapter 3
Continuous distributions
Continuous random variables can be used to

describe random phenomena in which the
variable can take on any value in some interval.
In this section, the distributions studied are:
Uniform
Exponential
Normal
Weibull
Lognormal
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Chapter 3
Uniform Distribution
[Continuous Distribution]
A random variable X is uniformly distributed on the

interval (a,b), U(a,b), if its pdf and cdf are:
1
, a xb
f ( x) b a
otherwise
0,
xa
0,
x a
F ( x)
, a xb
b a
xb
1,
E(X) = (a+b)/2
V(X) = (b-a)2/12
U(0,1) provides the means to generate random numbers,
from which random variables can be generated.
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Chapter 3
Uniform Distribution
Example: A bus arrives every 20 minutes at a specific stop beginning

from 6:40 am until 8:40 am A special passenger does not know the
schedule but arrives uniformly from 7:00 am until 7:30 am every morning.
What is the probability that the passenger waits more than 5 min. for a
bus?
The passenger has to wait more than 5 min. only if he arrives between
7:00 and 7:15 or between 7:20 to 7:30. So the probability is:
P (0 <X <15) + P (20 <X <30)
As X is uniformly distributed on (0, 30):
x a
F ( x)
, a xb
b a
F(15) + F(30) - F(20) = (15-0)/(30-0) + (30-0)/(30-0) - (20-0)/(30-0) = 5/6

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Chapter 3
Exponential Distribution
A random variable X is exponentially distributed with

parameter l > 0 if its pdf and cdf are:
le lx , x 0
f ( x)
elsewhere
0,
x0
0,x
F ( x)
lt
lx
l
e
dt
e
, x0
E(X) = 1/l
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V(X) = 1/l2
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Chapter 3
Exponential Distribution
Memoryless property
For all s and t greater or equal to 0:
P(X > s+t / X > s) = P(X > t)
Example:
A lamp ~ exp(l = 1/3 per hour), hence, on

average, 1 failure per 3 hours.
The probability that the lamp lasts longer than its mean life is:
P(X > 3) = 1-(1-e-3/3) = e-1 = 0.368
The probability that the lamp lasts between 2 to 3 hours is:

P(2 <= X <= 3) = F(3) F(2) = 0.145
The probability that it lasts for another hour given it is

operating for 2.5 hours:
P(X > 3.5 | X > 2.5) = P(X > 1) = e-1/3 = 0.717
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Rev. 1
Chapter 3
Normal Distribution
A random variable X is normally distributed if its pdf is:

1 x m 2
1
f ( x)
exp
, x
s 2
2 s
m
Mean:
2
s
0
Variance:
Represented as X ~ N (m,s2)
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Chapter 3
Normal Distribution
Evaluating the distribution:
Use numerical methods (no closed form)

Independent of m and s, using the standard normal distribution:
Z ~ N(0,1)
Transformation of variables: let Z = (X - m) / s,
xm
F ( x ) P X x P Z
( xm ) /s
1 z2 / 2
e
dz
( xm ) /s
( z )dz (
xm
, where ( z )
1 t 2 / 2
e
dt
2
Tabla A.3.
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Chapter 3
Normal Distribution
Example: The time required to load an oceangoing

vessel, X, is distributed as N(12,4)
The probability that the vessel is loaded in less than 10 hours:

10 12
F (10)
(1) 1 0.8413 0.1587
2
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Using the symmetry property, (1) is the complement of (-1)
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Chapter 3
Weibull distribution
A random variable X has a Weibull distribution if its pdf and cdf have
the form:
x 1
x
exp
, x
f ( x) a a
a
0,
otherwise
x
F ( x) 0,
1 exp a , x
When = 1,
X ~ exp(l = 1/a)
3 parameters:
Location parameter: , ( )
Scale parameter:
, ( > 0)
Shape parameter. a, (a > 0)
Example: = 0 and a = 1:
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Chapter 3
Weibull distribution
Example: The time it takes for an aircraft to land and clear the runaway
at an international airport has a Weibull distribution with = 1.34 min.,
= 0.5 and = 0.04 min. Find the probability that an incoming plane will
take more than 1.5 min. to land and clear the runaway.
In this case P (x> 1.5), then compute P (x <= 1.5) = F (1.5)
F (1.5) = 1 - exp [- ((1.5 - 1.34) / 0.04) 0.5]
F (1.5) = 1 - e-2 = 1-0.135 = 0.865
Then the probability that an plane will require more than 1.5 min. to
land and clear the runaway is:
1-0865 = 0.135
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Rev. 1
Chapter 3
Queueing models. Introduction [Part 2]
Simulation is often used in the analysis of queueing models.
A simple but typical queueing model:
Some typical measurements yield queue systems are:
Server utilization, length of the queue and queued customers
Simple systems can be calculated with mathematical formulas.
Real complex systems must be calculated using simulation.
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Chapter 3
Characteristics of queuing systems
Key elements of queuing systems:
Customers:
It refers to anything or anyone that arrives at a workplace
and requires service. Example: people, machines, trucks,
e-mails.
Server:
Refers to any resource that provides the requested service.
Example: a repair technician, production machines, the
airport runway.
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Chapter 3
Population
[Characteristics of Queueing System]
Population:
They are potential customers, it can be assumed finite or infinite.
Finite Population Models

Infinite Population Models
System capacity:
It is a limit on the number of customers that may be in the waiting
line or system.
Limited capacity. Example: an automatic car washing only has

room for 10 cars to wait in line to enter the mechanism.
Unlimited capacity. Example: concert ticket sales without limit on

the number of people allowed to wait to purchase tickets
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Chapter 3
Process arrival
For infinite population models:
It is characterized in terms of interarrival times of

successive customers:
Random arrivals
Scheduled arrivals:
Interarrival times can be constant or constant plus or minus a

small random amount to represent early or late arrivals.
Example: patients to a physician or scheduled airline flight

arrivals to an airport.
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Chapter 3
Process arrival
For finite-population models:
Customer is pending when customer is waiting for a service, e.g.,

machine-repair problem: a machine is the customer and is
pending for a repair service when it is operating.
Let A1(i), A2(i), be the successive runtimes of customer i, and

S1(i), S2(i) be the corresponding successive service times. Then
the figure shows the arrival process model of the machine-repair
problem:
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Rev. 1
Chapter 3
Queue Behavior and Queue Discipline

Queue behavior: the actions of customers while in a queue

waiting for service to begin, for example:
Balk: leave when they see that the line is too long,
Renege: leave after being in the line when it is moving too slowly,
Jockey: move from one line to a shorter line.
Queue discipline: the logical ordering of customers in a queue

that determines which customer is chosen for service when a
server becomes free, for example:
First-in-first-out (FIFO)
Last-in-first-out (LIFO)
Service in random order (SIRO)
Shortest processing time first (SPT)
Service according to priority (PR).
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Rev. 1
Chapter 3
Service Time and Service Mechanism

Service times of successive arrivals are denoted by S1,

S2, S3.
May be constant or random.
{S1, S2, S3, } is usually characterized as a sequence of

independent and identically distributed random variables, e.g.,
exponential, Weibull, gamma, lognormal, and truncated normal
distribution.
A queueing system consists of a number of service

centers and interconnected queues.
Each service center consists of some number of servers, c,

working in parallel, upon getting to the head of the line, a
customer takes the 1st available server.
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Chapter 3

Example: consider a discount warehouse where

customers may:
Serve themselves before paying at the cashier:
Wait for one of the three clerks:
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Chapter 3

The service center 2 is represented below:
Service in batches with 3 dependents in parallel
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Chapter 3
Queueing Notation
A notation system for parallel server queues:

A/B/c/N/K
A represents the interarrival-time distribution,

B represents the service-time distribution,
c represents the number of parallel servers,
N represents the system capacity,
K represents the size of the calling population.
Common symbols for A and B include: M

(exponential or Markov), D (constant or
deterministic), Ek (Erlang of order k), G (general)
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Chapter 3
Queueing Notation
Primary performance measures of queueing systems:
Pn:
Pn(t):
l:
le:
m:
r:
An:
Sn:
Wn:
WnQ:
L(t):
LQ(t):
L:
LQ:
w:
wQ:
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steady-state probability of having n customers in system,

probability of n customers in system at time t,
arrival rate,
effective arrival rate,
service rate of one server,
server utilization,
interarrival time between customers n-1 and n,
service time of the nth arriving customer,
total time spent in system by the nth arriving customer,
total time spent in the waiting line by customer n,
the number of customers in system at time t,
the number of customers in queue at time t,
long-run time-average number of customers in system,
long-run time-average number of customers in queue,
long-run average time spent in system per customer,
long-run average time spent in queue per customer.
41
Rev. 1
Time-Average Number of Customers in System L
Chapter 3
Consider a queueing system over a period of time T,
Let Ti denote the total time during [0,T] in which the system
contained exactly i customers, the time-weighted-average number
of customers in a system is defined by:
1
L
T
i 0
iTi
T
i i
T
i 0
Consider the total area under the function is L(t), then,

1
L
T
1
iTi
T
i 0
L(t )dt
0
The long-run time-average # of customers in system, with

probability 1:
1 T
L
L(t )dt L as T
T 0
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Chapter 3
Time-Average Number of Customers in Queue LQ

The time-weighted-average number of customers in queue is:
1
1 T
Q
LQ
iTi
LQ (t )dt LQ as T
T i 0
T 0
G/G/1/N/K example: consider the results from the queueing

system (N > 4, K > 3).
L [0(3) 1(12) 2(4) 3(1)] / 20
23 / 20 1.15 cusomters
if L(t) 0
0,
LQ (t )
L(t ) 1, if L(t) 1
0(15) 1(4) 2(1)
LQ
0.3 customers
20
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Chapter 3
Average Time Spent in System Per Customer w

The average time spent in system per customer, called

the average system time, is:
1
w
N
i 1
where W1, W2, , WN are the individual times that each of the N
customers spend in the system during [0,T].
w as N
w
For stable systems:
If the system under consideration is the queue alone:
1 N Q
w Q Wi wQ
N i 1
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Chapter 3
Average Time Spent in System Per Customer w

G/G/1/N/K example (cont.): The average system time is:

assume FIFO
1
w
N
i 1
W1 W2 ... W5
5
2 (8 3) (10 5) (14 7) (20 16)
4.6 time units

5
1 N Q
w Q Wi wQ
N i 1
w Q
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as
0 033 0
1.2 time units
5
45
Chapter 3
The Conservation Equation

Conservation equation (a.k.a. Littles law)

Average # in system
L lw
Average System time
Arrival rate
L lw as T and N l N / T
Holds for almost all queueing systems or subsystems (regardless

of the number of servers, the queue discipline, or other special
circumstances).
G/G/1/N/K example (cont.): On average, one arrival every 4 time

units and each arrival spends 4.6 time units in the system.
Hence, at an arbitrary point in time, there is (1/4)(4.6) = 1.15

customers present on average.
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Chapter 3
Server Utilization
Definition: the proportion of time that a server is busy.
Observed server utilization, r , is defined over a specified time

interval [0,T].
Long-run server utilization is r.
For systems with long-run stability:
r r as T
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Chapter 3
Server Utilization
For G/G/1// queues:
Any single-server queueing system with average arrival

rate l customers per time unit, where average service time
E(S) = 1/m time units, infinite queue capacity and calling
population.
Conservation equation, L = lw, can be applied.
For a stable system, the average arrival rate to the server,
ls, must be identical to l.
The average number of customers in the server is:
T T0
1 T
Ls
L(t ) LQ (t ) dt
T 0
T
T = total time
T0 = server idle time
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Chapter 3
Server Utilization
In general, for a single-server queue:
L s r Ls r as T
and
l
r lE ( s )
m
For a single-server stable queue (l m):
l
r 1
m
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For an unstable queue (l m), long-run server utilization is 1.
49
Chapter 3
Server Utilization
For G/G/c// queues:
A system with c identical servers in parallel.
If an arriving customer finds more than one server idle, the

customer chooses a server without favoring any particular
server.
For systems in statistical equilibrium, the average number of

busy servers, Ls, is: Ls, = lE(s) = l/m.
The long-run average server utilization is:
Ls
l
r
,
c
cm
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where l cm for stable systems

50
Chapter 3
Server Utilization and System Performance

Example: A physician who schedules patients every 10 minutes and

spends Si minutes with the ith patient:
9 minutes with probability 0.9
Si
12 minutes with probability 0.1
Arrivals are deterministic, A1 = A2 = = l-1 = 10.
Services are stochastic, E(Si) = 9.3 min and V(S0) = 0.81 min2.
On average, the physician's utilization = r l/m = 0.93 < 1.
Consider the system is simulated with service times: S1 = 9, S2 =
12, S3 = 9, S4 = 9, S5 = 9, . The system becomes:
The occurrence of a relatively long service time causes the formation

of a temporary queue.
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Chapter 3
Costs in Queueing Problems

Costs can be associated with various aspects of the

waiting line or servers:
System incurs a cost for each customer in the queue, say at a rate
of $10 per hour.
The average cost per customer is:
N
j 1
$10 *W jQ
N
$10 * w Q
W Q is the time customer j

j spends in queue
If l customers per hour arrive (on average), the average cost

per hour is:
customer $10 * w Q
$10 * lw Q $10 * LQ / hour
l
hour customer
Server may also impose costs on the system, if a group of c

parallel servers (1 c ) have utilization r, each server imposes
a cost of $5 per hour while busy.
The total server cost is: $5*cr.
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Rev. 1
Chapter 3
Steady-State Behavior of Infinite-Population

Markovian Models
For this model, stable parameter, L, number of customers

in the system in an average time is:
Pn: probability of n customers in the system

n: number of clients
nPn
n 0
Applying Little's equation to the system, we have:

w
Applying Little's equation to the queue:

If : wQ w
Kleber Barcia V.
Then : LQ lwQ
53
Chapter 3
M/G/1 queues
[Steady-State of Markovian Model]
Single-server queues with Poisson arrivals & unlimited

capacity.
Suppose service times have mean 1/m and variance s2 and
r = l/m < 1, the steady-state parameters of M/G/1 queue:
r l / m , P0 1 r , r 1 P0
r 2 (1 s 2 m 2 )
r 2 (1 s 2 m 2 )
Lr
, LQ
2(1 r )
2(1 r )
r2
l2s 2
LQ
2(1 r ) 2(1 r )
l (1 / m 2 s 2 )
l (1 / m 2 s 2 )
w
, wQ
m
2(1 r )
2(1 r )
1
Kleber Barcia V.
54
Chapter 3
M/G/1 queues
Example: Two workers competing for a job, Able claims to be faster

than Baker on average, but Baker claims to be more consistent,
Both, Poisson arrivals at rate l = 2 per hour (1/30 per minute).

Able: 1/m = 24 minutes and s2 = 202 = 400 minutes2:
(1 / 30) 2 [24 2 400]
LQ
2.711 customers
2(1 4 / 5)
The proportion of arrivals who find Able idle and thus experience no delay is P0
= 1-r = 1/5 = 20%.
Baker: 1/m = 25 minutes and s2 = 22 = 4 minutes2:

(1 / 30) 2 [252 4]
LQ
2.097 customers
2(1 5 / 6)
The proportion of arrivals who find Baker idle and thus experience no delay is
P0 = 1-r = 1/6 = 16.7%.
Although working faster on average, Ables greater service variability

results in an average queue length about 30% greater than Bakers.
Kleber Barcia V.
55
Chapter 3
M/M/1 queues
Suppose the service times in an M/G/1 queue are

exponentially distributed with mean 1/m, then the variance
is s2 = 1/m2.
M/M/1 queue is a useful approximate model when service

times have standard deviation approximately equal to their
means.
The steady-state parameters:
r l / m,
l
Pn 1 r r n
l2
r2
L
, LQ
m l 1 r
m m l 1 r
1
1
l
r
w
, wQ
m l m (1 r )
m m l m (1 r )
Kleber Barcia V.
56
Chapter 3
M/M/1 queues
Example: M/M/1 queue with service rate m10 customers

per hour.
Consider how L and w increase as arrival rate, l, increases from 5

to 8.64 by increments of 20%:
l
r
5.0
6.0
7.2
8.64
10.0
0.500
0.600
0.720
0.864
1.000
1.00
1.50
2.57
6.35
0.20
0.25
0.36
0.73
If l/m 1, waiting lines tend to continually grow in length.
Increase in average system time (w) and average number in

system (L) is highly nonlinear as a function of r.
Kleber Barcia V.
57
Chapter 3
Effect of Utilization and Service Variability

A measure of the variability of the distribution is the coefficient of

variation (cv):
V (X )
s2
2
2 2
(cv )
s
m
E ( X )2 1 m 2
The larger cv, the more variable is the distribution relative to its
expected value.
Consider LQ for any M/G/1 queue:

r 2 (1 s 2 m 2 ) r 2 1 (cv ) 2
LQ

2(1 r )
2
1 r
LQ for M/M/1
queue
Kleber Barcia V.
Corrects the M/M/1 formula to

account for a non-exponential
service time distribution
58
Chapter 3
Multiserver queues
M/M/c// queue: c channels operating in parallel.
Each channel has an independent and identical exponential

service-time distribution, with mean 1/m.
To achieve statistical equilibrium, the offered load (l/m) must
satisfy l/m < c, where l/(cm) = r is the server utilization.
Some of the steady-state probabilities:
r l / cm
c 1 (l / m ) n l c 1 cm

P0

n! m c! cm l
n 0
r P L ( ) c
L cr
cr
2
1 r
c(c!)(1 r )
(cr ) c 1 P0
w
Kleber Barcia V.
Table 6.12, chap. 6 p. 254
59
Chapter 3
Multiserver queues
Other common multiserver queueing models:
M/G/c/: general service times and c parallel server. The

parameters can be approximated from those of the M/M/c//
model.
M/G/: general service times and infinite number of servers, e.g.,

customer is its own system, service capacity far exceeds service
demand.
M/M/C/N/: service times are exponentially distributed at rate m

and c servers where the total system capacity is N c customer
(when an arrival occurs and the system is full, that arrival is turned
away).
Kleber Barcia V.
60
Chapter 3
Steady-State Behavior of Finite-Population Models
When the calling population is small, the presence of one or

more customers in the system has a strong effect on the
distribution of future arrivals.
Consider a finite-calling population

model with K customers (M/M/c/K/K):
The time between the end of one

service visit and the next call for
service is exponentially distributed,
(mean = 1/l).
Service times are also exponentially
distributed.
c parallel servers and system capacity
is K.
Kleber Barcia V.
61
Chapter 3
Some of the steady-state probabilities are:

c 1 K l n K
K!
P0
n c
n 0 n m n c ( K n)!c!c
K l n
P0 ,
n m
Pn
K!
( K n)!c!c n c
L nPn ,
n 0,1,..., c 1
n
l
P0 ,
m
w L / le ,
n 0
l

m
n c, c 1,...K
wQ LQ le ,
r le / cm ,
LQ
n c Pn
n c 1
where le is the long run effective arrival rate of customers to queue (or entering/e xiting service)
le
( K n )l P
n 0
Kleber Barcia V.
62
Chapter 3
Example: two workers who are responsible for10 milling

machines.
Machines run on the average for 20 minutes, then require an

average 5-minute service period, both times exponentially
distributed: l = 1/20 and m = 1/5.
All of the performance measures depend on P0:
n
n
2 1
10
10!
5
10 5
P0
n2
n
20
20
(
10
n
)!
2
!
2
n2
n 0
Then, we can obtain the other Pn.
Expected number of machines in system:
0.065
10
nP
3.17 machines
n 0
Kleber Barcia V.
The average number of running machines:

K L 10 3.17 6.83 machines
63
Chapter 3
Networks of Queues
Many systems are naturally modeled as networks of single

queues: customers departing from one queue may be routed
to another.
The following results assume a stable system with infinite

calling population and no limit on system capacity:
Provided that no customers are created or destroyed in the

queue, then the departure rate out of a queue is the same as the
arrival rate into the queue (over the long run).
If customers arrive to queue i at rate li, and a fraction 0 pij 1 of

them are routed to queue j upon departure, then the arrival rate
form queue i to queue j is lipij (over the long run).
Kleber Barcia V.
64
Chapter 3
Networks of Queues
Discount store example:
Suppose customers arrive at the rate 80 per hour and 40%

choose self-service. Hence:
Arrival rate to service center 1 is l1 = 80(0.4) = 32 per hour
Arrival rate to service center 2 is l2 = 80(0.6) = 48 per hour.
c2 = 3 clerks and m2 = 20 customers per hour.
The long-run utilization of the clerks is:
r2 = 48/(3*20) = 0.8
All customers must see the cashier at service center 3, the

overall rate to service center 3 is l3 = l1 + l2 = 80 per hour.
If m3 = 90 per hour, then the utilization of the cashier is:
r3 = 80/90 = 0.89
Kleber Barcia V.
65
Chapter 3
Networks of Queues
The overall arrival rate into queue j:
lj aj
l p
i
ij
all i
Arrival rate from
outside the network
Sum of arrival rates from other

queues in network
If queue j has cj < parallel servers, each working at rate mj, then
the long-run utilization of each server is rj=lj/(cmj) (where rj < 1
for stable queue).
If arrivals from outside the network form a Poisson process with
rate aj for each queue j, and if there are cj identical servers
delivering exponentially distributed service times with mean 1/mj,
then, in steady state, queue j behaves likes an M/M/cj queue with
arrival rate l j a j li pij
all i
Kleber Barcia V.
66
Chapter 3
Networks of Queues
Example of a driver's license office:
Drivers arriving at a rate of 50 per hr. Everyone should go check to a

Center with two servers with an average checking time of two
minutes.
After checking, 15% of drivers need to take the written exam takes
about 20 minutes.
Everyone should wait for the photo of your license. This station
processes an average of 60 licenses per hr.
The head office want to know the arrival rate for each of the queues.
Service center, queue 1 (c1 = 2, m1=30 drivers per hr.)
Written Exam center, queue 2 (c2= , m1=3 drivers per hr.)
Photo center, queue 3 (c3= 1, m1=60 drivers per hr.)
Kleber Barcia V.
67
Chapter 3
Networks of Queues
The arrival rate for each queue is:

3
l1 a1 pi1li 50 0 50 drivers per hr.

i 1
l2 a2 pi 2li 0 (0.15)50 7.5 drivers per hr.

i 1
3
l3 a3 pi 3li 0 (0.85)50 (1)7.5 50 drivers per hr.

i 1
Approaching the service center to model M/M/c1

Approximating written exam center to model M/M/
Approaching photo center to model M/M/c2
------
Kleber Barcia V.
HOMEWORK 5 at SIDWEB
------
68

3 Mathematical Statistical Models

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3 Mathematical Statistical Models

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Chapter 3

Mathematical and Statistical

Statistical models in simulation

Systems and processes that the analyst sees in the real

Some statistical models can accurately describe the variations in a

An appropriate model is the one that represents a

Selecting a known distribution

Review some probability distributions and statistical models

Review of terminology and concepts

In this section, we will review the following

Discrete random variables

X is a discrete random variable if the number of possible

Let X be the number of jobs arriving each week at a job shop.

Rx = possible values of X (range space of X) = {0,1,2,}

p(xi) = probability the random variable is xi = P(X = xi)

p(xi), i = 1,2, must satisfy:

Discrete random variables

So, x is a discrete random variable

Continuous random variables

X is a continuous random variable if its range space Rx is an interval or

f(x), denoted as the pdf of X, satisfies:

2. P(a X b) P(a X b) P(a X b) P(a X b)

Continuous random variables

Example: Life of an inspection device is given by X, a

X has an exponential distribution with mean 2 years

Cumulative Distributions Functions? [Probability Review]

Cumulative Distribution Function (cdf) is denoted by F(x), where F(x)

All probability question about X can be answered in terms of the cdf,

P(a X b) F (b) F (a), for all a b

Cumulative Distributions Functions? [Probability Review]

Example: An inspection device has cdf:

P(0 X 2) F (2) F (0) F (2) 1 e1 0.632

The probability that it lasts between 2 and 3 years:

P(2 X 3) F (3) F (2) (1 e(3 / 2) ) (1 e1 ) 0.145

The expected value of X is denoted by E(X)

a.k.a. the mean, m, or the 1st moment of X

The variance of X is denoted by V(X) or var(X) or s2

The standard deviation of X is denoted by s

Definition: square root of V(X)

Example: The mean of life of the previous inspection device

To compute variance of X, we first compute E(X2):

Hence, the variance and standard deviation of the devices life

In a queueing system, interarrival and service-time

Sample statistical models for interarrival or service time

Exponential distribution: if service times are completely random

Normal distribution: fairly constant but with some random

Truncated normal distribution: similar to normal distribution but

Gamma and Weibull distribution: more general than

Inventory systems and supply chains [Useful Models]

In realistic inventory and supply-chain systems, there are

The number of units demanded per order or per time period

The time between demands

The lead time

Sample statistical models for lead time distribution:

Sample statistical models for demand distribution:

Negative binomial distribution: longer tail than Poisson (more

Geometric: special case of negative binomial.

Reliability and Maintainability

Time to failure (TTF)

failures are random

Excessive waiting for components, where

failure is due to the most serious defects in a

failures are due to overuse