Lecture03 Printed
Lecture03 Printed
Lecture03 Printed
随机过程及应用
Lecture Three: Poisson Process
罗俊 )
Instructor : Jun LUO (罗
Department of Management Science
Antai College of Economics and Management
Shanghai Jiao Tong University
λe −λx , x ≥ 0
f (x) =
0, x <0
Memoryless Property
Example 5.8
Suppose you arrive at a post office having two clerks at a moment when
both are busy but there is no one else waiting in line. You will enter
service when either clerk becomes free. If service times for clerk i are
exponential with rate λi , i = 1, 2, find E [T ], where T is the amount of
time that you spend in the post office.
Denote Ri the remaining service time of the customer with clerk i,
i = 1, 2.
E [T ] = E [T |R1 < R2 ]P{R1 < R2 } + E [T |R2 ≥ R1 ]P{R2 ≥ R1 }
Denote S your service time, so
1 1
E [T |R1 < R2 ] = E [R1 + S|R1 < R2 ] = +
λ1 + λ2 λ1
3
So E [T ] = λ1 +λ2
or E [T ] = E [min(R1 , R2 ) + S] = E [min(R1 , R2 )] + E [S]
Shanghai Jiao Tong University Stochastic Processes with Applications 7 / 33
Chapter 5: The Exponential Distribution and The Poisson Process
Counting Processes
A stochastic process {N(t), t ≥ 0} is said to be a counting process if
N(t) represents the total number of events that occurs by time t.
Example:
If we let N(t) be the number of persons who enter a particular store at
or prior to time t, then N(t) is a counting process where the event
refers to the person enters the store (If N(t) denotes the number of
persons in the store at time t, it is not a counting process. why?)
Number of child born before t
Properties:
N(t) ≥ 0, integer valued
For s < t, N(t) − N(s) is the number of events that occur in the
interval (s, t]
Independent increments (独立增量): Number of events that occur in
disjoint time intervals are independent.
How about the example of persons in the store and child born?
Stationary increments (平稳增量): the distribution of the number of
events in any interval of time depends only on the time length.
Shanghai Jiao Tong University Stochastic Processes with Applications 11 / 33
Chapter 5: The Exponential Distribution and The Poisson Process
Poisson Processes
λ λ p3
pn
λ pn
n Poisson streams
en two or more independent Poisson streams merge, the resulting stream is also a P
Properties of Poisson Processes
am. It follows then that multiple arrival processes to a single service center can be mer
stitute a single arrival process whose interarrival times are exponentially distributed, so l
Suppose
nterarrivals times of {Nthei (t), t ≥ 0}, arrival
individual i = 1,processes
2, . . . , n, are
areexponentially
independentdistributed
Poisson (althoug
processes with
y having different parameters), as rate λ , then, th
i illustrated in Figure 11.3. If the i stream, i = 1, 2, . . .
ameter λi , then the parameter for the{N(t), merged t ≥stream
0} (also called the pooled stre
n by Pn
where N(t) = i=1 Ni (t), is a Poisson
n
process with rate
#
n
λ= X λi .
λ =i=1 λi .
i=1
λ1
λ2
Pooled stream
λ3 λ
λn
Example 5.15
Suppose nonnegative offers to buy an item that you want to sell arrive according
to a Poisson process with rate λ. Assume that each offer is the value of a
continuous random variable having density function f (x). Once the offer is
presented to you, you must either accept it or reject it and wait for the next offer.
We suppose that you incur costs at a rate c per unit time until the item is sold,
and that your objective is to maximize your expected total return, where the total
return is equal to the amount received minus the total cost incurred. Suppose you
employ the policy of accepting the first offer that is greater than some specified
value y . (Such a type of policy, which we call a y -policy, can be shown to be
optimal.) What is the best value of y ?
The time until an offer is accepted is an exponential random variable with
rate λF̄ (y ).
E [R(y )] = E [accepted offer] − cE [time to accept] = E [X |X >
y ] − c/[λF̄ (y )]
R∞
Differentiation yields y (x − y )f (x)dx = λc
If E [X ] < c/λ, no solution, so accept any offer.
Shanghai Jiao Tong University Stochastic Processes with Applications 16 / 33
Chapter 5: The Exponential Distribution and The Poisson Process
Dividing both sides by ni=1 hi and letting all hi go to zero yields that
Q
n!
f (t1 , . . . , tn ) = .
tn
Shanghai Jiao Tong University Stochastic Processes with Applications 19 / 33
Chapter 5: The Exponential Distribution and The Poisson Process
Additional Propositions
Exponential distribution
f (x) = λe −λx , x ≥0
Uniform[a, b] distribution
1
f (x) = , a≤x ≤b
b−a
Weibull distribution
β β−1 −(x/α)β
f (x) = x e
αβ
1
p(x) = , x = 1, . . . , n
n
Exercise: Suppose the number of customers in each party to Canteen
2 has the following distribution. How to generate X ?
x p(x) F (x)
1 0.4
2 0.4
3 0.1
4 0.1