Engineering Mathematics 2013

SUBJECT NAME : Probability & Queueing Theory

SUBJECT CODE : MA 6453
MATERIAL NAME : Formula Material
MATERIAL CODE : JM08AM1007
REGULATION : R2013
UPDATED ON : December 2014

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Name of the Student: Branch:

Unit – I (Random Variables)

1) Discrete random variable:
A random variable whose set of possible values is either finite or countably
infinite is called discrete random variable.
Eg: (i) Let X represent the sum of the numbers on the 2 dice, when two
dice are thrown. In this case the random variable X takes the values 2, 3, 4, 5, 6,
7, 8, 9, 10, 11 and 12. So X is a discrete random variable.
(ii) Number of transmitted bits received in error.
2) Continuous random variable:
A random variable X is said to be continuous if it takes all possible values
between certain limits.
Eg: The length of time during which a vacuum tube installed in a circuit
functions is a continuous random variable, number of scratches on a surface,
proportion of defective parts among 1000 tested, number of transmitted in
error.
3)
Sl.No. Discrete random variable Continuous random variable
 
1

i 
p( xi )  1  f ( x )dx  1


2 F ( x)  P  X  x x

F ( x)  P  X  x   f ( x )dx


3 Mean  E  X    xi p( xi ) 

i Mean  E  X    xf ( x )dx


4 E  X 2    xi2 p( xi ) 

E  X 2   x
2
i f ( x )dx


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5 Var  X   E  X 2    E  X   Var  X   E  X 2    E  X  
2 2

6 Moment = E  X r    xir pi 
Moment = E  X r   x
r
i
f ( x )dx


7 M.G.F M.G.F
M X  t   E e tX    e tx p( x ) 

x M X  t   E  e tX   e
tx
f ( x )dx


4) E  aX  b   aE  X   b
5) Var  aX  b   a 2 Var  X 
6) Var  aX  bY   a 2 Var  X   b2Var Y 
7) Standard Deviation  Var  X 
8) f ( x )  F ( x )
9) p( X  a )  1  p( X  a )
p A B
10) p  A / B   , p  B  0
p  B
11) If A and B are independent, then p  A B   p  A  p  B  .
12) 1st Moment about origin = E  X  =  M X   t   (Mean)
  t 0
2nd Moment about origin = E  X 2  =  M X   t  
  t 0
r
t
The co-efficient of = E  X r  (rth Moment about the origin)
r!
13) Limitation of M.G.F:
i) A random variable X may have no moments although its m.g.f exists.
ii) A random variable X can have its m.g.f and some or all moments, yet the
m.g.f does not generate the moments.
iii) A random variable X can have all or some moments, but m.g.f does not
exist except perhaps at one point.
14) Properties of M.G.F:
i) If Y = aX + b, then MY  t   e bt M X  at  .
ii) McX  t   M X  ct  , where c is constant.
iii) If X and Y are two independent random variables then
M X Y  t   M X  t   MY  t  .
15) P.D.F, M.G.F, Mean and Variance of all the distributions:
Sl. Distributio P.D.F ( P ( X  x ) ) M.G.F Mean Variance
No. n
nc x p x q n x  q  pe 
1 Binomial t
n np npq

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2 Poisson
e  x e

 e t 1   
x!
3 Geometric x 1
q p (or) q x p pe t 1 q
1  qe t p p2
4 Negative
Binomial
( x  k  1)Ck 1 pk p x  p 
k
kq kq
 t  p2
 1  qe 
p

5 Uniform
 1 e bt  e at ab ( b  a )2
 , a xb
f ( x)   b  a ( b  a )t 2 12
 0, otherwise
6 Exponential
  e   x , x  0,   0  1 1
f ( x)  
 0, otherwise  t  2
7 Gamma
e  x x  1 1  
f ( x)  , 0  x  ,   0
(  ) (1  t )
8 Weibull 
f ( x )   x  1e  x , x  0,  ,   0

16) Memoryless property of exponential distribution

P X  S  t / X  S  P X  t.

Unit – II (Two Dimensional Random Variables)

1)  pi j
ij  1 (Discrete random variable)

 


 
f ( x , y )dxdy  1 (Continuous random variable)

P  x, y 
2) Conditional probability function X given Y, P  X  xi / Y  yi   .
P( y)

P  x, y 
Conditional probability function Y given X , P Y  yi / X  xi   .
P( x)

P  X  a,Y  b 
P  X  a / Y  b 
P (Y  b)

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f ( x, y)
3) Conditional density function of X given Y, f ( x / y)  .
f ( y)

f ( x, y)
Conditional density function of Y given X, f ( y / x)  .
f ( x)
4) If X and Y are independent random variables then
f ( x, y )  f ( x ). f ( y ) (for continuous random variable)

P  X  x, Y  y   P  X  x  .P Y  y  (for discrete random variable)

d b
5) Joint probability density function P  a  X  b, c  Y  d     f ( x , y )dxdy .
c a

b a

P  X  a , Y  b     f ( x , y )dxdy
0 0


6) Marginal density function of X, f ( x )  f X ( x )  

f ( x , y )dy


Marginal density function of Y, f ( y )  fY ( y )  

f ( x , y )dx

7) P( X  Y  1)  1  P( X  Y  1)

Cov ( X , Y )
8) Correlation co – efficient (Discrete):  ( x , y ) 
 X Y

1 1 1
Cov ( X , Y ) 
n
 XY  XY ,  X  n
 X 2  X 2 , Y 
n
 Y 2 Y 2

Cov ( X , Y )
9) Correlation co – efficient (Continuous):  ( x , y ) 
 X Y

Cov( X , Y )  E  X , Y   E  X  E Y  ,  X  Var ( X ) ,  Y  Var (Y )

10) If X and Y are uncorrelated random variables, then Cov( X , Y )  0 .

   
11) E  X    xf ( x )dx , E Y    yf ( y )dy , E  X , Y     xyf ( x, y)dxdy .
   

12) Regression for Discrete random variable:

Regression line X on Y is x  x  bxy  y  y  , bxy 

  x  x  y  y 
 y  y
2

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Regression line Y on X is y  y  byx  x  x  , byx 

  x  x  y  y 
 x  x
2

Correlation through the regression,    bXY .bYX Note:  ( x, y )  r ( x, y )

13) Regression for Continuous random variable:

x
Regression line X on Y is x  E ( x )  bxy  y  E ( y )  , bxy  r
y

y
Regression line Y on X is y  E ( y )  byx  x  E ( x )  , byx  r
x

Regression curve X on Y is x  E  x / y   x f  x / y  dx



Regression curve Y on X is y  E  y / x   y f  y / x  dy


14) Transformation Random Variables:

dx
fY ( y )  f X ( x ) (One dimensional random variable)
dy

x x
u v
fUV ( u, v )  f XY ( x , y ) (Two dimensional random variable)
y y
u v

Unit – III (Random Processes)

1) Random Process:
A random process is a collection of random variables {X(s,t)} that are
functions of a real variable, namely time ‘t’ where s Є S and t Є T.

2) Classification of Random Processes:

We can classify the random process according to the characteristics of time t
and the random variable X. We shall consider only four cases based on t and X
having values in the ranges -∞< t <∞ and -∞ < x < ∞.

Continuous random process

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Continuous random sequence

Discrete random process

Discrete random sequence

Continuous random process:

If X and t are continuous, then we call X(t) , a Continuous Random Process.
Example: If X(t) represents the maximum temperature at a place in the
interval (0,t), {X(t)} is a Continuous Random Process.
Continuous Random Sequence:
A random process for which X is continuous but time takes only discrete values is
called a Continuous Random Sequence.
Example: If Xn represents the temperature at the end of the nth hour of a day, then
{Xn, 1≤n≤24} is a Continuous Random Sequence.
Discrete Random Process:
If X assumes only discrete values and t is continuous, then we call such random
process {X(t)} as Discrete Random Process.
Example: If X(t) represents the number of telephone calls received in the interval
(0,t) the {X(t)} is a discrete random process since S = {0,1,2,3, . . . }
Discrete Random Sequence:
A random process in which both the random variable and time are discrete is
called Discrete Random Sequence.
Example: If Xn represents the outcome of the nth toss of a fair die, the {Xn : n≥1} is a
discrete random sequence. Since T = {1,2,3, . . . } and S = {1,2,3,4,5,6}

3) Condition for Stationary Process: E  X (t )  Constant , Var  X (t )  constant .

If the process is not stationary then it is called evolutionary.

4) Wide Sense Stationary (or) Weak Sense Stationary (or) Covariance Stationary:
A random process is said to be WSS or Covariance Stationary if it satisfies the
following conditions.
i) The mean of the process is constant (i.e) E  X (t )   constant .
ii) Auto correlation function depends only on  (i.e)
RXX ( )  E  X (t ). X (t   )
5) Property of autocorrelation:

 E  X (t )    lim RXX  
2
(i)
 

(ii) E  X 2 (t )   RXX  0 

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6) Markov process:
A random process in which the future value depends only on the present value
and not on the past values, is called a markov process. It is symbolically
represented by P  X (tn1 )  xn1 / X (tn )  xn , X (tn1 )  xn1 ... X ( t0 )  x0 
 P  X (tn1 )  xn1 / X (tn )  xn 
Where t0  t1  t2  ...  tn  tn1

7) Markov Chain:
If for all n , P  X n  an / X n1  an1 , X n 2  an 2 ,... X 0  a0 
 P  X n  an / X n1  an1  then the process  X n  , n  0,1, 2, ... is called the
markov chain. Where a0 , a1 , a2 ,...an ,... are called the states of the markov chain.

8) Transition Probability Matrix (tpm):

When the Markov Chain is homogenous, the one step transition probability is
denoted by Pij. The matrix P = {Pij} is called transition probability matrix.

9) Chapman – Kolmogorov theorem:

If ‘P’ is the tpm of a homogeneous Markov chain, then the n – step tpm P(n) is
n
equal to Pn. (i.e) Pij( n )   Pij  .

10) Markov Chain property: If    1 ,  2 ,  3  , then P   and

1   2   3  1 .

11) Poisson process:

If X ( t ) represents the number of occurrences of a certain event in (0, t ) ,then
the discrete random process  X ( t ) is called the Poisson process, provided the
following postulates are satisfied.

(i) P 1 occurrence in (t , t  t )  t  O  t 

(ii) P  0 occurrence in (t , t  t )  1  t  O  t 
(iii) P  2 or more occurrences in (t , t  t )  O  t 
(iv) X ( t ) is independent of the number of occurrences of the event in any
interval.
et   t 
n

12) Probability law of Poisson process: P  X ( t )  n  , n  0,1, 2, ...

n!
Mean E  X (t )   t , E  X 2 (t )   2 t 2   t , Var  X (t )   t .

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Unit – IV (Queueing Models)

n – Number of customers in the system.
 – Mean arrival rate.
 – Mean service rate.
Pn – Steady State probability of exactly n customers in the system.

Lq – Average number of customers in the queue.

Ls – Average number of customers in the system.

Wq – Average waiting time per customer in the queue.

Ws – Average waiting time per customer in the system.

Model – I (M / M / 1): (∞ / FIFO)


1) Server Utilization  


2) Pn   n  1    (P0 no customers in the system)


3) Ls 
1 

2
4) Lq 
1 
1
5) Ws 
 1   


6) Wq 
 1   
7) Probability that the waiting time of a customer in the system exceeds t is
P ( ws  t )  e  (    ) t .

8) Probability that the quue size exceeds “t” is P  N  n    n1 where n  t  1 .

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Model – II (M / M / C): (∞ / FIFO)


1)  
s
1
 s 1  s   n  s  
s

2) P0     
 n 0 n ! s !1    


1  s 
s 1

3) Lq  P
s.s !  1    2 0

4) Ls  Lq  s 

Lq
5) Wq 

Ls
6) Ws 


 s 
s

7) The probability that an arrival has to wait: P  N  s  P

s !1    0

8) The probability that an arrival enters the service without waiting = 1 – P(an

arrival hat to wait) = 1  P  N  s 


 ( s  ) 1  e
s   t ( s  1 s  )
  
9) P  w  t   e  t
1  P0 
 s !(1   )( s  1  s  ) 
 

Model – III (M / M / 1): (K / FIFO)


1)  

1 
2) P0  (No customer)
1   k 1

3)      1  P0  (effective arrival rate)

  k  1  k  1
4) Ls  
1  1   k 1

5) Lq  Ls 


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Ls
6) Ws 

Lq
7) Wq 

8) P a customer turned away   Pk   k P0

Model – IV (M / M / C): (K / FIFO)


1)  
s
1
 s 1  s   n  s   s k 
2) P0       n s

 n 0 n ! s! n s 

  s n
 P , n s
 n! 0
3) Pn  
  s 
n

 s ! s n s P0 , s  n  k

 s 1

4) Effective arrival rate:      s    s  n  Pn 
 n 0 

 s     1   k  s   k  s   k  s 1 
s

5) Lq     P0
s !  1   2 1  


6) Ls  Lq 

Lq
7) Wq 

Ls
8) Ws 


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Unit – V (Advanced Queueing Models)

1) Pollaczek – Khintchine formula:

 2 Var ( t )   E ( t )  
2

LS   E ( t )   
2 1   E ( t ) 

(or)
 2 2   2
LS   
2 1   

2) Little’s formulas:
 2 2   2
LS   
2 1   

Lq  LS  

LS
WS 

Lq
Wq 

3) Series queue (or) Tandem queue:
The balance equation
 P00  2 P01
1 P10   P00  2 P11
 P01  2 P01  1 P10  2 Pb1
1 P11  2 P11   P01
2 Pb1  1 P11
Condition P00  P10  P01  P11  Pb1  1

4) Open Jackson networks:

k
i) Jackson’s flow balance equation  j  rj   i Pij
i 1

Where k – number of nodes, rj – customers from outside

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ii) Joint steady state probabilities

P  n1 , n2 ,...nk   1n1 1  1  2n2 1  2  ...k nk 1  k 

iii) Average number of customers in the system

1 2 k
LS    ... 
1  1 1   2 1  k

iv) Average waiting time of a customers in the system

LS
WS  where   r1  r2  ...  rk

5) Closed Jackson networks:
In the closed network, there are no customers from outside, therefore rj  0

then
k
i) The Jackson’s flow balance equation  j   i Pij rj  0
i 1

(or)

 P11 P12 ... P1k 

 
P P22 ... P2 k 
 1 2 ... k    1 2 ... k   21 
 
 Pk 1 Pk 2 ... Pkk 

ii) If each nodes single server

P  n1 , n2 ,...nk   C N 1n1 2n2 ... knk

Where C N 1  
n1  n2  ... nk  N
1n  2n ... kn
1 2 k

iii) If each nodes has multiple servers

1n  2n  kn
P  n1 , n2 , ...nk   C N
1 2 k

...
a1 a2 ak

1n  2n  kn

1 2 k

Where C N 1  ...
n1  n2  ... nk  N a1 a2 ak


 ni ! , ni  si
ai   ni  si

 si ! si , ni  si

Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 12

Engineering Mathematics 2013

---- All the Best ----

Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 13