OPERATIONS RESEARCH

(PROBABILISTIC MODELS AND STATISTICAL TECHNIQUES)

Lecture Notes for AAOC C312

PART THREE

S. VENKATESWARAN
BIRBAL SINGH

educational developmentdivision
BIRLA institute of technology & SCIENCE
PILANI(RAJASTHAN)India
2007
 OPERATIONS RESEARCH
(PROBABILISTIC MODELS AND STATISTICAL TECHNIQUES)

Lecture Notes for AAOC C312

PART THREE

S. VENKATESWARAN
BIRBAL SINGH

EDUCATIONAL DEVELOPMENT DIVISION

BIRLA INSTITUTE OF TECHNOLOGY & SCIENCE

PILANI(RAJASTHAN)India
 PART THREE

CONTENTS

Page No.
6.1 to 6.33
CHAPTER 6: Reliability

7.1 to 7.81
CHAPTER 7: Queueing System

8.1to 8.54
chapter 8: Inventory Systems

9.1 to 9.85
chapter 9: Simulation

CHAPTER 10; Decision Analysis 10.1 to 10.22

A-58 to A-66
Appendix: Table of Random Numbers
R-ltoR-8
References:
 PREFACE TO THE THIRD EDITION

These noles were first brought out i,t August 1982 and subsequently revised ,n A"g"St'982
and January, 1992.This third edition incorporates all the points which arose out of
froitt the teaehers and students during the previous offerings of the Course No. AAOC C3I2,
Operations Research at BITS.
Due to organisational leasons and convenience, we have divided these notes in three parts^
This part, Part III contains five chapters, an appendix containing the randon, number table and
references.

In this edition, the following changes have been made.

In Chaoter9 new material on Simulation has been added.The multiplicative congruential
method and the mixed congruential method for generating random numbers are discussed.
Statistrcal methods for testing a sequence of generated pseudo-random numbers for untformity
and independence ate also discussed. The polar method for generatmg standard no™al var^te
is also newlv added. Generation of beta random vartate ,s also added.The compostt.on method
and the method of acceptance - rejection are also included. The computational algorithm for the
next event simulation is introduced in Section 9.8. An algorithm and the corresponding
flow-chart for simulatinga single-server queueing system are also given. An example simulating
a two - server(single queue)queueing system is added new. Further, several new examples are
added in this Chapter. Some new problems are also added.
Typographical errors, brought to our notice, have been corrected. The authors are thankful
to the students of^BITS
^ .-
who haveOecmrch
painstakingly goite through these notes as textbook of Course
and have pointed out the shortcomings. We are also
No AAOC C312 Operations Researcn anu iia> i c,
' , „ who tauffht the course using these notes and gave several
thankful to our several colleagues who tau^ru e e
fruitful suggestions.
p f k;E Raman,Dean,Engineering Services Division, and
The authors are thankful to Rron
members of his Division for the great help

S. Venkateswaran
Birbal Singh
 CHAPTER 6
RELIABILITY

6.1 CERTAIN BASIC CONCEPTS

ReUabilily ofa device(which may be a compoaent or a subsystem or a system)at time t is
the probability that the device wiU operate without faUute over the mterval(o,t) under certam
specified operating conditions,and is denoted by R(t). Thus
(6.1-1)
R(t)= PlT>t],t>0,
whereTisaconUnuousr^^mt^abl^^^^^
o ^ device.Forexample,
variable reotesenting the life- length ofthe
if t IS mea^red m ou , . ^ f„t 20O hours under operating conditions
conditions C't^ims p,ri„a i,o,99-.Or, it wffl tnean that'Ha large
aevices are put to use under conditions C,then 99 per cent ofthem wUl still be

, .uW
n(a) "'
where n(t)is the number ofdevicessurviving attheinstanttandn(o)=nisthenomber ofdevices
put to use initially.
■nteorem 6.1: The reliability function R(t) satisfies the following properties:
(6.1-3)
00

(i) R(t) =
t

wheref is pdf of T. We assume that f(t) = o, for t<o.

(6.1-4)
(ii) R'(t) = -f(t)

(iii) R(t) is a nonincreasing function oft.

(6.1-6)
(iv) R(0) = 1, R(«>) =0
(6.1-7)
(v) R(t)=l-F(t),

where F(t) is the cdf of T.

 Proof: The proof of(i)follows from the definition of pdf and R(t).(ii) follows from
(i) using the fundamental theorems of Integral calculus. To prove (iii),
lett2>ti >0,then

R(ti) =j f(u)du =j f(u)du +j f(u)du

'I t2

or R(ti)= R(t2)+1 f(u) du.

Hence R(ti)> R(t2),since f(t) is a nonnegative function and t2 > ti.

oo

Further R(0)= J f(u)du= I, sincef(,)is,hepdfofTandf<t)= OforKO

0

oo

R(~)=0follows from the convergence of the integral j f(u) du.

0

(v) follows from the definitions of R(t) and F(t).

6.2 CONDITIONAL FAILURE (HAZARD) RATE FUNCTION
The conditional failure (hazard) rate function is a very useful f.m f
denoted by Z(t)or h(t) and is defined as; function in reliability. It is

Z(0= H'l'Uo
At (6.2-1)

It can be easily shown that Z(t) =^

^(0" (6.2-2)
From (6.2-1), it follows that for small At > 0
Zit)At = P (t<r$r+ Atir>o,
that is, for small At,Z(t)At • (6.2-3)
«„s,he.„.erva,(,,,.,,,,,,„~
.ate Z(,), approx,.a,es.he pr„hablh„ fat,pre of tlTdev '' failure
^ 'U a unit of time following the

6.2
 instant t, if it is working at time t or it represents the proportion of failures in the interval
{t, t + Ar] out of those surviving at time t/At. In particular if Z(r)= X(a constant,) we get
P[t<r<r + A/I7'>/] = XAt.

Thus,in this case,the probability that the device will fail in a small interval(r,/+ Ar]given
that it is surviving at time t is independent of t and depends upon the length of the interval only.
In such a case, it is natural to say that the device is as good as new at any instant t of its life.
The following theorem gives the method of determining f(t) and R(t)from Z(t).
Theorem 6.2: If T is the time to failure of a device with pdf f and cdf F, F(0)= 0, and Z(t) is
the failure rate function of the device, then
t

-jZ{s)ds
R{f)= e " (6.2-4)
t

-jZ(j)ds
At)= Z(t) e " , t>0. (6.2-5)
Proof: Z(^)=^=-:^^
/?(^) R(s)'
Integrating both sides with respect to s with limits s =0 to s = t and using R(0)= 1, vve get
t

/z(j)i/^= - In (R(t)).
0 \

Hence (6.2-4)follows. Also from (6.2-2)

f(t)= z(t)R(t). .

Substituting for R(t)from (6.2-4),,we get(6.2-5).

Thus, we find that the failure tate function Z(t) uniquely detertnines the.pdf f(t) and
vice-versa. , ,

functiM° life-length of a device in tertus of its reliabiUty

6.3
Theorem 63: E(1^ ~ J ^(.s)ds, where T is the time to failure.

oo oo

Proof: J iR(j) =I jj{u)du, using (6.2-5).

0 0 j

On changing the other of integration on the right hand side, we get

oo oo II

I Mdu \ds
0 0 0

oo

= I ufiju)du
0

= E{T).

63 FAILURE PATTERNS

It has been experimentally observed that the failure rate fn

devices follows a "bath-tub" pattern as shown in Figure 6.1 ^ manufactured

PHASE I
phase II
PHASE III

figure 6.1

6.4
 f ^ VP rin be divided into three phases. During Phase I,
Thus,the total life - period of a dew i, p„iod ofinfant
the failures are caused due to .rate starting from a high value.Devices

ration of the components of the device,

human beings.

'■4 ^rureTuirLoncanbemadeusinsthefoUowingnvomethods.
::::::;lilum.t.me d,strihut,o„ . de— h, cen. ph.ieal considerahons
~"Xfailn.dimedis.butionisdeterminedusingtheactualfailnre
large number of such devices.

■a"™ ""
First we discuss certain stan
. . .... .l:., distribution plays a vital role. This is the
(i) Exponential distribution: In p ' of many devices, when the failure occurs
distribution during Phase
a„etoexternalcauses.wh.chmay . ^„r in aPoisson process with a
Suppose that a device fails due o . ^
„ , Assumethatthedevicefailsassoona
rcifF(t)ofthelife-.enp»T''f"'^''"--'^
F(,)= l-e-Hr>0
= 0, otherwise
(6.4-1)
_ a .a-
or j\t)~ '
t>0 and0elsewhere
Thus the failure-time distribution is exponential with parameter X.

6.5
 Suppose,further, that p is the probability that even after the shock, no failure occurs, then

R(t)=P {No failure occurs in time - interval (0,t])

oo

=^ P(n shocks arrive in time (0,t] and the device survives all the n shocks)
n=0

OO

= X^ ~"1 device survives all the n shocks I Xi = n],

n=0

where Xt is the number of shocks which arrive in the time- interval (O.t). Under the assumption
that the shocks amve in a Poison process X,has Poisson distribution with parameter Xt. Thus

Rit)- erXt n
Ln "
n=0

On differentiating, we get the pdf,f(t), of T,

/(t)= X(l-p)e-Ml-P).,>0;0 elsewhere.

is constant Taking Z(t)=rTgeTfrot°i^*r6.2^"' """ Action

f(t)= Xe
exponentta! withHt>0;
parameterandX 0then
elsewhere.
the hazardConversely ■ c
if adZfT^X
rate funcUon "''"'"""ion
Further,it can be shown that, ifT has expanentia,distribution then
P[T>t.ttlT>t,=P[T>t,„„ra„,.„o.
peripiXJ::i:;z:ht r »«•-ive the s b
ofits survival duringtheinitia.periodofle„g;T^"'°^°f'-8tt..ise,„altotpm^^^

6.6
 Thus the device has no ageing effects or is as good as new throughout its life. Thus the
following three statements are equivalent;
(a) A device has a constant failure rate function.
(b) The life-length T of a device has exponential distribution.
(c) The device is "as good as new' at any instant t of its life or the life of the device has
the no memory property.

(il) Gamma distribution: Suppose that shocks occur In a Polsson process with rate X and the
device fails as soon as the r-th shock arrives.
Let T be the life-length of the device.

R(t)= P(T > t) = P(Xt ^ r - 1),

where X. is the number of shocks that arrive in time (0,t,. X. has Poisson distribution with
parameter Xt. Thus

-[T-
lc=0

Differentiating with respect to t, we get

Qjf-' M-
/?'(r) = -Xe ^'+ Xe ^ X Ik-l U
A=1

__XO^Y ^ ^>0
- (r-1)!

orf(t)=,X^^e-Xr,^>0,
...A

(6.4-3)
= 0 elsewhere.

Thus T has Gamma distribution with parameters r and X.

In the above discussion r is a positive integer. But,in general, the parameter r of Gamma
distribution may be any positive real number.In what follows, we assume that r is any positive
real number.

6.7
 The failure rate function of the gamma distribution is

i'"' e~^
2(0 = (6.4-4)

oo

jr' dt +1'
V m= i ,f > 0.

oo

Consider *F(t)=(r - 1 - X t)j/'"' e~^ dt+/e~^.

I

Case 1:Let r> 1.

If t <^,then'P(t)> 0;hence Z'(t)> 0.

oo

Ift^^.rct) = -(r-1) lr^e-'^dt<0.

'Hence ^(t) decreases from a positive value(—/ of '"-1

X' atr=-^ =
t—>oo

Thus4'(t)>0 for all t>0. OrZ'(0>0 forallt>0.

The hazard rate function Z(t)of the Gamma distribution is an "
> 1. Thus the Gamma distribution for r > 1 can be used as a life m function of t if r
life, when the device has an ageing effect. third phase f
Case 2:

IfO<r<l, »P'(t)>0 forall t>0.

Hence 4'(t)increases from the negative value

oo

(r-l)Jr'e~^'dt Of f=0 to lim'?(f)=0.

0 f-»<»

6.8
 Thus 4^ (t) is negative for all t > 0. Hence

Z'(t) < 0 for all t > 0.

Hence Z(t) is a decreasing function of t (t > 0), if 0 < r < 1.

Thus Gamma distribution with 0 < r < 1 is a suitable model duri.ig the first phase of life of
a device.

We thus find that the failure rate function of the Gamma distribution with parameters r and
X is an increasing function of t if r > 1 and is a decreasing function of t if 0 < r < 1. If r = 1. the
Gamma distribulion degenerates to the exponential distribution with parameter X. whose failure-
rate function is a constant = X.

(iii) Normal distribution as a Ufe-model:

One may reasonably use the normal distribution with mean and variance as the
distribution of life length T if H is so large that

P (T < 0) = d> (- ^) is negligible, so that P(T ^ 0) is approximately 1.

The hazard rate function

r—u 2
, « 2(-^) (6.4-5)
<W27t
G

e 2^ a
Hence, Z (r) o i—— /—u ,2
<rV2ir {i-4>(^)r
We shall show that

^(0= -{1-^^)1 (^) is positive for all t > 0.

&■

Ift^u or —^0, then 4'(0>0.

G

Fort>p, weput^ = z, we get

6.9
 v(z)= 4'(ti+ az)=;;^e-l^'-|(l-<5(2)|2, 2>o.
v'(z)=-(l-4)(z))<0 for all Z>0.

Hence v(z)decreases ffom the positive value at z=0 to 0 at z= «

Hence ^PCt) is positive for all t > 0.

Z'(t)>0for allt>0.
Thus,Z(t) IS an increasing function of t for all t > 0.
Truncated normal distribution as life-model:

ft= —1
r— u ^ ^ '^^0 (6.4-6)
O

= 0for all t<0.

In this case also Z(t)

w,t>nicfi,«.
I > u IS the same as given by (6.4-5).
Thus the normal or the trunonf^a i j- ..

(iv) Weib^,dU«b„«o„:Suppo.,Ka..hehaza,d,a. iu..™,,

Ti T| ^ ''^>a

Using,heo.Pm6.2,i,Ueaaytoshowtha«.hepdf„fTi,
(6.4-8)
= 0, otherwise,

Tbed«b„a„„iacan=d.eweib„„di3«b„d„„,,,,parameters oc, p,n.

6.10
 a is called the guarantee time (or shift parameter),

P is called the shape parameter and Ti is called the scale parameter.

Also R(t)= exp H— t>a.

Z(0 n

For 0 < P < 1, Z(r) is a decreasing function of t.

For P > 1, Z(r) is an increasing function of t.

Remark 6.1; (i) During the initial phase of the life of an item, the Weibull distribution with
P < 1, a=0 may be used. During the chance or random failure phase,either the exponential or
the gamma or Weibull distribution with P close to 1 may be used. During the old-age phase, the
normal or the Weibull with P > 1 may be used.

(ii) There are other distributions, such as log-normal which are suitable for certain physical
situations, which will not be discussed here.

6.4.2 STATISTICAL METHODS OF DETERMINING FAILURE TIME

DISTRIBUTIONS:

The failure-time distribution may also be approximated by properly plotting the failure
data. Let n(t) be the number of survivors at any time t and n(0)= n. The data density function
fd(t)(which approximates the actual density function f(t)) is defined as

n Ati

The hazard rate function Z(t)can be approximated by the data hazard function

n{ti) Ati

The cumulative distribution function F(t) can be approximated by the data cumulative
function Fd(t)

In particular if ti is the time of i-th failure then F(ti) is estimated as

(6.4-12)

6.11
 If correction for continuity is made then the following estimates are used:

(6.4-13)

Example 6.1: Twelve components were put on life test and their failure times were noted as;

Failure No. 1 2 3 4 5 6 7 8 9 10 11 12
Time to failure 10 21 33 46 61 78 98 122 152 192 252 372

The dau-density function and the data hazard function are calculated and ptesented in the
followmg table: ^

Time
fd(t)x 10
interval Zd(t)x 10

12x10
=(.833)
12^^102=.756 = -826
21-33
12x12 ~ i^^lO =.833
33-46 12^13x10 =.641 1
^^10'=.855
46-61

78-98

98-122

122-152

152-192

192-252

252-372

The graph of data-density functinn-.

top of each rectangle, we find that th,. ^^8"^ 62 Wf^ • •
—
the pdf,s the form J®'" the mid points of the
= t>{
■0.

6.12
fd(t)x10
A .o
X 3£•85X10''

10 21 33 46 61 78 98 122 152 192 372 t

Time

Figure 6.2

6.13
 X 10

X 2-85x10'

10 21 33 46 61 78 98 122 152 192 372 t

Time

Figure 6.2

6.13
X can be approximated by the intercept on the vertical axis, hence 1 = .85 .v 10 Without
plotting, we observe that the hazard rate function is almost constant. The same conclusion can
be arrived at by plotting the observed cumulative proportions,F(ti)against the times ti on a special
graph paper. We explain this technique below.

The cdf of the exponential distribution is

f(()=l-e-^ (>0,
or-l„(l-F(,)) = X..

This.howstatif,he life isexponeniial.hee.he points ^^

te.Thus,.0 checlc for.he su,n.b,I.,y of.he exponential model,we plot.he points(„ ^ .on
a specal graph paper av.ng ..s seales.mnsformed so that the divisions on the verttl s 1a"
prop„r..onal.oln<—,andd.edivision on the horironn.laxis(.al.e„as.-axis,are ordinary
f„i«r;srd:r' ^ '-•- -ha.an exponential model is a
In the absence of this paper, the ordinary graph paner m-,,, k
(ti.Htd) is converted into the point (fi.-ln (1 case the point
(.,,-to(l-?-(r,)))arefound.oliealmos.onasttaigh.|ine'then!
as a suiWrle modeltor die life. U.as do the calculations for an " «^Wbutio„ isPO>n«
taken
""""^Sraphinthecaseofour
hti)
10
-ln(l-^(ti))
1/24
21
3/24 .04
33
5/24 .13
46
7/24 .23
61
9/24 .34
78
11/24 .47
98
13/24 .61
122
15/24 .78
152
192
17/24 .98
252
19/24 1.23
372
21/24 1.57
23/24 2.08
3.18

6.14
 The points(ti, -In (1 - ^(ti))) are plotted on the ordinary graph paper, we find that the points
are almost on a straight line. See Figure 6.3.

To estimate X the least squares method may also be used. We know thatZ(t)= X. The least
squares estimate ^ for X is that value of X which minimizes
12

X(Z(6)-X)2.
/=!

12
10.018
Hence ^ ^ Z(/0/12 .= 12
x ,^-2
10 ^ =-.835x 10
/=!

6.5 DATA ANALYSIS TO CHECK THE SUITABILITY OF WEIBULL

DISTRIBUTION:

We shall discuss the situation where the Weibull distribution fits the data. For
simplicity, we take a = 0. The reliability function of Weibull distribution (for a =0) is
R(t)= exp[-

which gives

In In
/?(0
— 1= P(In/)- P In T). (6.5-1)

Thus,if the points (/,-, P{ti)) are plotted as (In ti. In In on an ordinary graph
paper,the points will lie almoston a straightline ifthe data obey the Weibull-distribution.Another
approach is based upon using the hazard rate function.

11 T|

In (Z(t)) = In +(P-1) In/-(p-l)lmi.

6.15
3.6 —

3.4 -

3.2 -

3.0 -
(372,3.18)
Whent= 168,-ln(1-F{t))=1,4,
2.8 -
which gives X=0.833x10"^
2.6 -

2.4 -

2.2

2.0
_<Lir
1
(252,2.08)
_ w
1.8 c

1.6 - '

1.4 -
(192,1.57
1.2 -

'(152,1.23)
1.0 -

(122,-98)
•8 -

(98,-78)
•6 -
(78,-61)
(61,-47)
•4 -

(46,-34)
.2 - J (33,23)
(21,-13)
0
20 40 60 80 100 120 140 160 180 200 220 240 26028^^^^
Tbe '

Figure 6.3
When t= 168,
whichgives^=0.833l0-2

6.16
 Thus, in the case of Weibull distribution the points (In t, In Z(t)) are on a straight line. We
consider one example.

Example 6.2: 50 components were installed on a life-test and the failure times of first 10 were
noted as under:

Failure No: 1 2 3 4 5 6 7 8 9 10
Time of failure 15 26 34 40 46 51 55 60 64 68

(a) Considering the cumulative distribution function and equation (6.5-1), determine
whether Weibull distribution with a =0 is a suitable model or not. Hence estimate
the parameters graphically and also using the least squares principle.
(b) Considering the hazard rate and equation (6.5-2)determine whether Weibulll distri
bution is a suitable distribution or not. Hence estimate the parameters graphically and
also using the least squares principle.

(c) Estimate the reliability of this component for using it for 100 units of time.
2i 1
Solution: We plot(In ti. In In ))• Using P(U)= we have the following table:

15 26 34 40 46
ti

In(ti) 2.708 3.258 3.526 3.689 3.829

-4.600 -3.491 -2.970 -2.623 -2.361

51 55 60 64 68
ti

In(ti) 3.932 4.007 4.094 4.159 4.220

-2.150 -1.971 -1.817 -1.680 -1.557 '

The points are plotted in Figure 6.4. We find that the points are almost on a straight line.
The slope of this straight line gives an estimate of p [See equation (6.5-1)]. Hence an estimate
of pis

3=(-4.6 + 1.557)/(2.708 - 4.22)= 2.0

T| can be estimated from the fact that, when
In In (1/R (t))= -1.2 then In t = 4.4. Hence equation (6.5-1)gives:
- 1.2 = 8.8 - 2In 11, or in T]=5 or Ti = 148.41.

6.17
4.A

4.3

4.2 (4Ji2,-l557)1
(4.159,-1.680)^
4.1
(4.094,-1.817)''
4.0 (4.007,-1.971)'
3.9 (3.932,-2.150)^
3.8 (3.829,-2.36ir
VI
(3.689,-2.623)^
3.6

3.5
(3.526,-2.970r
3.4

3.3

3.2 (3.258,-3.491)^
3.1

3.0

2.9

2.8

y=i"»'>(Rk)
— I ■ I I I 1 , . (2 708,-/;60OrW

6.1,.50

Figure 6.4

6.18
 However,the parameters may be approximated by the principle of least squares. Denoting
In (t) by X and In In (1/R(t)) by y, equation (6.5-1) becomes
y = P x+a, where a = - P In rj.
10

The least squares estimates of a and P are obtained such that^ (yi — P x, — a) is minimum.
/=!

Hence we get

which give

^=(10^ y,- ^Xi X y/)/(10 X

In the present example xi= 37.422, ^yi=-25.22, xi yi =-90.367269,

^xj= 142.03366.
Hence ^= 40.11015/19.930516= 2.01, and a = =

Hence In (ti)=- = 4.995 or q = 147.67662.

Interval kt) t In t In kt)

2.708 -6.623
0-15 l/C 15x50)=.133 10'^ 15
3.258 -6.287
15-26 1/(11x49)=.186 10"^ 26

34 3.526 -5.952
26-34 1/(8x48) =.260 10'^
40 3.689 -5.641
34-40 1/(6x47) =.355 10'^
46 3.829 -5.621
40-46 1/(6x46) -.362 10'^
51 3.932 -5.417
46-51 1/(5x45) -.444 10'^
55 4.007 -5.171
51-55 1/(4x44) -.568 10'^
60 4.094 -5.371
55-60 1/(5x43) =.465 10'^
64 4.159 -5.124
60-64 1 1/(4x42) =.595 10'^
68 4.220 -5.099
64-68 1/(4x41) =.610 10'^
The points(In ti. In ^(ti))are plotted on the ordinary graph paper(see Figure 6.5).The graph
shows that the points are almost on a straight line. The WeibuU distribution seems to be good
model for the given data. From the graph we see that the points (3,-6.475) and (4,-5.38) are on
the graph,hence M=(-5.38+6.475)/l =1-095, or ^ = 2.095. Equation (6.5-2) gives
- 6.475 = In $ - ^ In q + 3(^ - 1), or q = 150.16281.

6.19
 (2.708,-6.623)

(3.258,-6.287)

(3.525,-5.952)

(3.689,-5.641)

(3.932.-5.417)
(4.094.-E

(4.007.-
(4.159.-

2.5 2.6 2.7 2.8 2.9 (4.220.-

3-0 3.1
3-6 3.7 3.8 3.9 4,0
4.1 4.2

figure 6.5

6.20
 Once again, the parameters may also be approximated by the principle of least squares.
Denoting In t by x and In Z(t) by y, equation (6.5-2) gives y = bx + a, where b = P - 1 and
a = In p - P Inr]. Hence using the principle of least squares we get

^yi- b^xi- l()fl = 0, ^xiyi-b^xj-i^xi)a =0.

In the present case, = 37.422,^xf = 142.03366, =- 56.306,
J)A:/y/= -.208.57455.

Hence S = 1.0706 , or ^ = 2.0706, a =(^i- b ^xi)/lO or, a = -9.6369993.

or In (T|)=(- a + In ^)/^ = 5.006, or T] = 149.264.

(c) R(100)=exp (-(100/149.264)^ °''°^)= .6464.
Note: For most of the standard distributions, there are special probability papers. If a given data
satisfies a pailicular distribution, say D and if (//, ^(f/V) plotted on the prooability graph of
D,the points should lie approximately on a straight line. This is achieved by taking the divisions
properly on the axes.The necessary transformations have already been done while preparing the
graph papers. Therefore there is no necessity of transforming ti and P(ti). This means the data
can be plotted directly.

6.6 ESTIMATION OF THE PARAMETERS:

In order to determine the reliability ofa device, not only the life-time distribution is needed,
but the parameters should also be known or estimated by actual failure data.Suppose n items are
put to test. If the experiment is terminated at a specified time to without waiting for the failure of
all the items, it is called Type I censoring of the lifenest. If the life-test is terminated as soon as
the rth failure occurs(r < n), it is called type II censoring.
The following two theorems are useful:
Theorem 6.5: Let Yi,Y2,...,Yn be the life-lengths of n components put on test, and Xi, X2,...Xn
be the ordered sample of these life-lengths. The joint probability density function of the first r
ordered statistics is

f(xi, X2, ..., Xr)=r7^

L(n-r)
il-F(Xr)f~'',0<Xl <X2< <Xr <oo.

6.21
 The above theorem is used in Type n censoring. For Type I censoring, we have the
following theorem:

Th^retn 6S:Suppose that r components have failed before time t„. Then the joint pdf of the
first r ordered statistics is given by ^

I '■
f[xi,x2, Xr)= n l/(xO 1 (l-F(ro)f-'', (6-6-2)
("-O!

where 0<^,<^2< Herer is also random variable.

6.7 ESTIMATION OF THE PARAMETER OF THE EXPOmi^m^
DISTRIBUTION: ^ EXPONENTIAL

The failure model is f(t) = X e~^\ X>0, t> O and

are put to life-test (without replacement), and the test irt^minTa ""^^mponents
occirs (r < n). Let« <„ s .... Sa:, be the ordered life-lengths 0^1,?'
jomt pdf of XI. X2, ... Xr is f(xi,x2,...,Xr) components that fail. The

= -^X^ e-Xxr{,n-r)
(n-r)! ,-=| • (6.7-1)
Taking logarithm and differentiating with respects X and
and solving for X we get equating the derivaf
"^e to zero,
i=
X (n-r) (6.7-2)
f=l

Hence the mean time to failure (MTm •

^ M- IS estimated as

[X^'+^rCn-r)]
(I = — (6.7-3)

The above method is called the method of

above.

Type n censoring

6.2')
 Employing a similar procedure in the case of Type I censoring (without replacement) we
get

/• A _
^ = "7 ' ^ - I' (6.7-4)
^xi+ to{n-r)
i=\

where XI,X2,.-,Xr are life-lengths of r components which have failed before time to. Here we use
Theorem 6.5.

^Ve now discuss estimation of the parameter A. of exponential distribution if the testing is
done with replacement. In this life-test situation, any item, at the time of its failure is repaired or
replaced and put on life-test with essentially zero time assumed for repair or replacement. It can
be shown that

n to'

where r is the number of components that have failed and have been replaced or repaired
before time to.(This is Typel censoring with replacement).
In the case of Type II censoring with replacement the estimator of X. is

^^ _Z_. where Xr is the total time upto the rth failure. (6.7-6)
nXr

These results can be proved as follows.

Let Xi,X2,.... Xn be the number of times devices 1,2,...., n fail during (0,to). Obviously
Xi,X2,...,Xn are independent.Each Xi is a Poisson variate with parameter XTo .Xi +X2+...+Xn
is the total number of failures of all the components in time interval (0, to). Hence is
Poisson with parameter n X to(mean number of failures). Let r be the observed value of
that is,r is the total number offailures of all the devices in the time interval(0,to).
n^to = r'm the former case.

or 1=-^,
n to
which proves(6.7-5).

6.23
 To derive (6.7-6) we note that in the interval(0, Xr), r failures occur. Replacing to by Xr in
the above argument we obtain the result. Alternatively (6.7-6)can be proved as follows-
At any instant n components are functioning. Let Ti be the time to failure of the i-th device
reckoned from this instant. The time to the nextfailure is min.(Ti,T2,...,Tn), which is exponential
with parameter nX.Thus the time to the rth failure has gamma distribution with parameters r and
nk.

•• E(Xr) — where Xr is the time to the rth failure

Hence nt= where Xr is the observed value of X

or 1 which proves(6.7-6).

Remark 6.2: The estimation of the parameters of Weibull di t h •

likelihood methodofisleast
by the principle complicated.
squares. However as we have shown earL T"
mat they can bemaximum
estimated
6.8 ACCLERATED LIFE-TESTING

the accelerated life testing under heavy stress conditinnc a usuallv J?

distribution. Further,certain specric assumptions ahn. the fo
of the life-time distribution under normal stress conditi between .h
distribution under heavy stress conditions are made pl r Parameters „f
et. al.(1974)Chapter 9. P"further details „„ "fe- time
consult Mann
6.9 RELIABILITY OF A SYSTEM IN TERIUq r\
ITS COMPONENTS ^^-KMS OF THE Ri?t,
Given a complex system consisting of var" ^''^^ILITIES OF
as a function of the reliabilities of its component"! its reP u-
interacting factors among the components of the'conr of tl. obtained
configuration"•^•reconfiguration
tk ^ and th« T

6.24
may be complicated. Below we discuss two basic configurations of a system.They are(i)series
system, and (ii) parallel system.

6.9.1 SERIES SYSTEM

A system consisting of a certain number of components (say n) which will function

satisfactorily if and only if all the n components function satisfactorily is called a series system.
An example of a series system is a string of light bulbs in a marriage decoration. A series system
can be represented as in Figure 6.6.

^ ^
o Q n
1 2 0

Figure 6.6: Series system with n components.

Let X- i = 1 2,..., n represents the life times of the n components.Let fs and Fs denote the
joint pdf and the joint cdf of the n variables Xi. If Y is the life of the series system,then
Y = min (Xi,X2,".,Xn)

Let Rs(t) be the reliability of the system, then

Rs(t)= P (Y > t)=P(Xi > t, X2> t,...., Xn > t)

=j J fs(xi,X2 Xn) dxi, dx2, dxn. (6.9-1)

We consider the special case when the components function independently of each other.
In this case the variables Xi,i=l,2 n are independent.The system is then called an independent
series system. Using independence we obtain from(6.9-1)
OO OO

Rsit) = J ••• 1/X1(X1) ■■■■fx. (Xn) dxi, dx2 dXn

t I

= n/?,(/), (6.9-2)
/=!

where/x, is the pdf of Xi and Ri(t) is the reliability of the i-the component, i=1.2,...,n. (6.9-2)
can be stated in words as:

'The reUability of a series system with n independent components is the product of the
reliabilities of its components'.

6.25
 Using (6.9;2)one may obain the pdf and the cdf of the life Y of the independent series
pstem.Furtherthe hazard rate function of the independent series sysrem can also be expressed
in terms of the hazard rate functions of its components.(See Problem VI.7)
6.9.2.PARALLEL SYSTEM

n com^onlntTfai^^L^^^^^^^^ Tytrm w\th7c7"''^''''''''

operating
can simultaneously
be represented and the6.7.
as in Figure failed components are noTTi^^H 7 Such a system
paired or replaced.

Figure 6.7: Pnrallel Sy^icm with n-,

^Ofnponents
Using the notations ofSection 6.9.1, we have
Y = max(Xi,X2,...,Xn),
Rs(t)= P(Y>t) '

1 - P(Y ^t), noting that Y i

continuous.
= l-P(X,<t,X2^t. ,x„^t)
t t -

_ 1- J .... Jfs{x\,X2,....,x,^ ^ (6.9-3)

0 0 """

In the case the (6.9-4)

components function
't t '
Rsit)-^\ -J —J/;r,(:ci), ^''=-^-.y,(6.9.4)md„ee..
G 0 :
•fx,n (jC/i) cij-j
■dxn.

6.26
 n

= 1 - n( (6.9-5)
1=1

The pdf and the cdf of the life Y of the independent parallel system may be obtained using
(6.9-5). Further, the hazard rate function of the system can also be expressed in terms of the
hazard rate functions of its independent components.(See Problem VI.9).

6.9.3. UTILIZATION OF REDUNDANCY TO IMPROVE THE RELIABILITY OF A

SYSTEM

Redundancy is one of the methods of improving the reliability of a system. By introducing

some additional components or subsystems into a system it is possible to achieve higher
reliability. The questions of the degree, type and the level(component level or subsystem level)
of redundancy are further details in this direction.

From (6.9-3), we get

Rs(t)> I - P(Xi < t) for each i.

.•. Rs(t)> Ri(t) for each i.

Hence we obtain

Rs(t)> max Ri(t).

l<i^

Thus, the reliability of a parallel system is at least as large as the reliability of the most
reliable component. A parallel system is one example of a system with redundancy to improve
the reliability of a system.

Another kind ofredundancy is stand by redifndancy.Consider a system with n components

which are capable of doing the same function. The first component starts operating at time zero,
while all other components stand by idle.As soon as the first componentfails,the second becomes
operative. As soon as the second component fails, the third becomes operative and so on. The
system fails when the last(nth)component fails. There is no provision of repair or replacement.
Such a system is called a stand by system with n-1 stand by redundancies.
Let Y be the life of the stand by system with n components,then Y = Xi + X2+ .... + Xn.
It can be shown that the pdffy of Y is given by

^(y)= J J •••• Jfs(xi, X2,.... Xn-l. y-xi-X2-- -Xn-l)dxi....dxn-l

6.27
 where the integration is taken over the region

xi>0, +X2+ .... +AT/i-i <v, y>0. (6.9-6)

The cdf FvCy)of Y is given by

Fy(y)= J J -Jfs(xi, X2, Xn) dxi dX2 .... dxn,

where the integration is taken over the region

XI > 0,X2 > 0,...., Xn > 0, XI + X2 + .... + Xn < y, y > 0. (6.9-7)

The reliability of the stand by system will be

R.(.)=.-Fv(.),

where Fy (t) is defined in (6.9-7).

• ei..e eacK Having

For subsequent computations, each of these subsystems are ide ff^H computed,
reliability already computed. One then computes the reliabilf " ^ ^°"iponent with its
which have either a parallel or a series configuration consid^ !
components. The process is continued until the reliabili'tvnfth/"uV
give an example. ^ subsystemsWe
whole system is computed. as
Example 63: Consider the system shown in Figure 6 8 Th
mUabilUies and .he numbers ouKide the boxes am eompolT?".!
con.ponentsaremu«any,„dependen,,f,nd,hemhabni,y„f7hT"J,te^ 'ha' th"
1 l0.98

^'gure 6.8.

6.28
 Solution: The reliability of the parallel subsystem Si consisting of the components 2,3 and
4 is:

/?(Si) = 1-(l-.75)(l-.80)^ = 0.99.

The reliability of the series subsystem S2 consisting of the components 7 and 8 is:
R(S2)= .95 X .95 = .9025

The reliability of the parallel subsystem S3 consisting of S2, and component 9 is:
R(S3)= .99025.

The reliability of the series subsystem S4 consisting of S3 and components 5 and 6 is:
R(S4)= .95 X .92 X .99025
= .8654785.

The reliability of the series subsystem S5 consisting of Si and the component 1 is:
R(S5)= .99 X .98 = 0.9702.

The reliability of the system = 1 -(1 - .9702)(1 - .8654785)=.9959912.

For further details in connection with the system reliability one may consult the book by
Sivazlian et al(1975)and the references given there.

6 10. OPTIMIZING THE RELIABHvITY IN A PARALLEL SYSTEM

The need for a parallel system arises essentially when the system depends heavily on one
critical component. In such a situation, it would be worthwhile to install more than one(say n)
of these critical components in a parallel system, so that the whole system can function more
efficiently However,the total permissible cost would definitely put a restriction on the number
n to be chosen. The problem will be to choose n keeping the total cost within the limit(C), so
that the maximum reliability for the system is obtained.
Suppose we want the system to work upto time T. Let R(Ci), R(C2),....,R(Cn) be
reliabilities of the n - components, where C,C2,....C„ are the costs of components l,2,...,n. The
reliability R(n)of the system with n-components is given by
n

R(n)=l- n (l-R(Ci)), (6.10-1)

i=l

where we have assumed independence.

6.29
 Assume that the reliability of a component is an increasing function of the cost. Assume
further that the cost of this component varies from m to M(m < M). Now Ci,C2,....,Cn are to be
so chosen that C1 + C2+ ■■■■ + Cn < C. A simple method would be to choose Ci=C'>=....Cn=^
n

This means that the components are of the same brand.

C
Thus, we require m < — < M or equivalently —<n<~
n M m
'

Therefore choose n such that

(i) R(n)=l-(1-R(^) )" (6.10-2)

is maximum and

C C
(ii) ^<n<-.
M m (6.10-3)

6.30
 PROBLEM SET VI

VI.1. The life-time distribution of a device is exponential with parameter X . Given that the
device has survived upto time to, find the conditional pdf of the remaining life-time of
the device, and hence show that the remaining life of the device is also exponentially
distributed with parameter X.Can we say that the device has no memory or has no ageing
effect or is as good as new at any instant of its life ?

VI.2. Prove the result (6.4-4). Simplify the result when r is a positive integer.
VI.3. Prove the results stated in equations (6.4-5)and (6.4-8).

VI.4. Assume that on an average, two random variables X and Y are related by

Y = a-KpX

Find the least squares estimates of a and p based upon n pairs of observations (xi, yj)
i=l,2,..., n.

VI.5. Prove Theorems 6.4 and 6.5 stated in Section 6.6.

VI.6. Estimate the parameters Tj and p of the Weibull distribution with a = 0 using the
maximum likelihood method. Consider Type I and Type U censoring separately.
VI.7. Let Y be the life of an independent series system with n- components. Find the pdf and
the cdf of Y. Also prove that the hazard function of the system is the sum of the hazard
functions of its components.

VI.8. Consider an n-component independent series system. Given that these components have
constant failure rates Xi, X2, ....,Xn respectively.Find the reliability ofthe system. Hence
prove that the failure rate of the system is also a constant and is equal
to X1 + X2 +....+ X„. What is the life-time distribution of the system ? Also express the
mean life of the system (fty) in terms of the mean life - lengths p.i, 1x2, |li„ of its
components.

Vl.9. Let Y denote the life of an independent parallel system with n-components.Find the pdf
and the cdf of Y.Hence or otherwise prove that

exp(-'
J h(u)du)= 1 -"
n(1 -exp Jf hi(u)du)) where h(t) is the hazard function of the
o ®

system and hi(t) is the hazard function of the i-th component, i = 1, 2, n.

6.31
VI.10. Consider a system consisting of n components arranged in parallel. Assume that the
components function independently and have a constant failure rate X.Find the reliability
of the system at time t. Hence determine the pdf of the failure-time distribution of the
system. Express the mean life |ij of the system in terms of the mean life p.= — of each
A.
component.

Answer: p.(I+^+j+.••• +-) = P.?-

Note that with n components in the parallel system, the mean life achieved is not equal
to n times the mean life of each component.

VI.11. 100 components were put on life-test. The test was terminated as soon as th
component failed. The life-lengths of those components which failed were as follows
8, 16.1, 24.3, 32.55, 40.9, 49.3, 57.8, 66.4, 75.1, 83.9, 92.85. Find th
and guess which distribution fits the data. Estimate the parameters ^ hazard rate
VI.12. 100 components were put on life-test. The test was terminated as
failed, the failure times of these 7 components were 2 3 3Y^as soon as 7 components
a suitable transformation for F(t) and also for t, check whethe
tentatively that the Weibull distribution with a=0 fits the data^^ P^'oper to assume
parameters p and n using the graphical method and the least^square^^ estimate the
Also applyvariable
the independent the logarithmic
t, plot thetransformation
correspondingtopoints
the hazard
and' as well as to
able to assume that the model for the given data is Weibull dl"?-? reason-
the parameters from your graph. ^distribution or not. Estimate
VI.13. Find the reliability of the system connected as below
reliabilities of the 6 componenet in the systetn. Assume that^li
' are the
tndependently. that the components fu„e,|o^

HHIh

HXH
Figure 6,9

6.32
VI.14. Assume that the failure-time distribution of adevice is normal with mean 500and standard
deviation 50. Use tables of normal distribution and draw the graphs of R(t) and Z(t). Is
the hazard function increasing or decreasing ?

VI.15. Prove the result stated in equation (6.7-4).

VI.16. Prove that the reliability of an n-component stand by system is higher than the reliability
of an n-component parallel system. Assume that the components are mutually inde
pendent.

VI 17 Find the reliability of the system defined by the following configuration, given that the
components function independently and Ri, 1=1,2,3,4 are the reliabilities of the compo
nents 1,2,3,4 respectively.

Answer:[l-(l-/?i)(I~^2)][l-(l-'?3)(1-^4)]-

Figure 6.10

\7T 1o 6
VI.18. ^ types ofo components are available
,.,;iohiP with
wiin orices
pnv. and reliabilities as shown below:
3 4 5 6
Type 1 2
300 400 600 1200
Cost per 200 240
component
(in rupees)
0.3 0.5 0.6 .8
Reliability 0.2 -25
Find (he number of components and their type, whtch should be set up in a parallel
configutation so that the teliability of the system ts max.mum and the total cost does no,
exceed Rs 1200. All the components in the conf.gurat.on should be of the same type.

6.33
 CHAPTER 7
QUEUEtNG SYSTEM

7.1 Introduction

Queue is a common phenomenon. A queue or a waiting line is formed when the service
facility is not able to cope with the number of customers desiring service at that point of time.
Intuitively it appears that the average capacity ofservice facility should be more than the average
number of arrivals at the service station, otherwise the situation will become explosive as in that
case, ultimately an infinite queue will be formed. But,even if the average service capacity, per
unit of time, is more than the arrival rate, the queues are formed due to variations in the arrivals
and due to variable service times for individual customers and as a result at some points oftime,
the current demand for a service exceeds the current capacity to provide that service. The
management of a service station is often faced with the problem of deciding the proper amount
of service capacity. However,since it is often impossible to accurately predict when customers
will arrive to get service and/or how much time will be required to provide service to individual
customers, these decisions are often difficult ones. To avoid waiting one has to increase the
service facility. This will lead to an increase in the service cost. On the other hand,providing less
service facility would decrease the service cost but would cause a long waiting line and this will
result in loss of time of customers. Excessive waiting also is costly, in some sense. The cost of
waiting may be a social cost, the cost of lost customers, the cost of idle employees,the cost of
lost production etc. Therefore, the ultimate objective is to achieve a balance between the cost of
service and the cost of waiting. In other words, the goal is to minimize the expected value of the
total cost per unit of time, which equals the service cost per unit of time plus the cost associated
with waiting per unit oftime. Queueing theory provides answers to various questions such as the
Average waiting time per customer, the mean number of customers in the system and thus helps
in making decisions about appropriate service facility,so that the expected value ofthe total cost
per unit of time is minimum.

Queueing theory discusses a large number of mathematical models to describe different

Waiting line situations. Mathematical results for some of the characteristics of these models are
available. This chapter deals with some of the elementary models. For further details the reader
is referred to "Queueing Systems, Vol. I and II by Kleinrock L., John Wiley (1975)".
7.2 FUNDAMENTALS OF A QUEUEING SYSTEM

7.2.1 WHAT IS A QUEUEING SYSTEM ?

A queueing system can be explained as follows."Customers" needing service arc generated

over time
service from a"population
according ofprospective
to some pattern. On arrivalcustomers".
a customer The customers
is given thusifcenerated
the service arrive
the service for
facility
Choi.3',I ""'"f T'"
TheculZruri^l"! "k T""'''' li^ciphne" or "queue discrpline".
customer leaves,heservicrXlT^eVrrislrsltltFr^^

a^euejng system
1
Population of Arriving 1
Entered
prospective
Customers] customers
Service
fucchanism Served
customers
1
c c*c
Queue
Customers I customers
1 in service
I

Figure 7.1: 7/ie5Q5,. •

122BASIC ELEMENTS OP a
Each queueing system has its n
sy.emshave.hefo„owmg^i„,^«" unique of characteristics ho
(a) Population nil queuetng
requinng service are genpr«r / This is an

The size IS the total niimk ofthf» ^nuiebeeor« . .

time or the other ThTs?'' P^^^Pective ^ ^'P^^^tion", whi^
which is so large that the
the^a""-^^
amval rate (th.or inf ^^ich
1" actual ^ at some
^ith Which - finite population,
nstorners are generated by
7.2
 the population) is unaffected by the number* of customers in the queueing system, is
assumed to be infinite, since the infinite case is far easier to handle. However,if the rate of
arrival of the customers to the queueing system is affected by the number of customers in
the queueing system,the population should be assumed as finite. As an example of a finite
population, assume that there are 10 production machines. Whenever a machine goes out
of order, it needs repairs. If all the 10 machines are in repair- shop,the arrival rate reduces
to zero. Thus the population, in this case, is obviously finite.
(b) Arrival pattern or the probability distribution of inter- arrival times.
The statistical pattern by which customers are generated over time must also be specified.
The time between consecutive arrivals of customers is called the "inter-arrival time". In
general, it is seen that different inter-arrival times are not the same and in this case
"inter-arrival time" is a random variable. It will be assumed that inter-arrival times are
independent random variables, having a certain probability distribution. The probability
distribution of the inter-arrival time may be approximated by collecting data for a large
number of arrivals of customers. However, the mean arrival rate may remain constant
overtime,then it will be denoted by X.The mean time between arrivals will be reciprocal
ofX.For example,if the mean arrival rate X=5 per minute,the mean time between arrival
is 1/5 minute. Suppose f(t) is the pdf of the inter- arrival time T. Then, the mean time
between arrivals is
oo

1_ f(t) dt and the mean arrival rate A,= 1/J tfit) dt.
A common assumption about the arrival pattem is that arrivals occur in a Poisson process
with a mean rate X,that is, the number of customers that arrive in any interval of length t
has a Poisson distribution with parameter X t. The above assumption is equivalent to the
assumption that the inter-arrival times are independent exponential variates with the same
parameter X.(See Theorem 1.25, Chapter 1).
fc) Queue- A queue is characterized by the maximum permissible number of customers that
it can contain A queue is called infinite or finite if this number is infinite or finite. A finite
queue wUl be specified by specifying the maximum number ofcustomers thatthe queueing
system can hold. This number will be denoted by m .In this case, when the system has m
customers then an arrived customer at this instant will not enter the system and is lost as a
customer.

The number of customers in the queueing system

= The number of customers in the queue + The number of customers under service.

7.3
(d) Queue discipline or service disdpUne. Tlie method of selection of customers from the
queue for service is called queue discipline. Usually, the customers, are serviced on the
fost-come-first served(FCFS)basis. This will be usually assumed unless stated otherwise.
How-ever,the random selection ofcustomers for service(SIRO i.e. service in the random
orier)^ another tetptine Sometimes,enstomers are chosen from the qtteue for service
toe «c i" line or the expected service

InthecaseofseveralstrlTsworkll^i^Lalilrara"^"""'^^^^^
idleservicechannel.Ifall the servers are busy he'will stod ° """
for service according to the queue discinlinp i queue and will be .selected
accordmgtothequeuediscSe
Anotherservice mechanism ntay^onsitoft™' . one of the servers,
this case, the customer receives service fm-n facilities(stations) in series. In
series. The customer passes from one service 1 . "f 'hese service facilities in
service h complete as soon as the customer na In » "^fini'o order. The
senes. Here again, each service facility may consist f""®'' facilities of the
thecustomerisgivenservicebyonlyoLse™™ misl^ or more servers in parallel and
assunL'riLlVonVsOTL1a''''r'"''''
pataUel. Usually,there vdll belr An'eteme"',™'''
"umSfT""
service station. The elemeni all the mnii i ^^''vers working in
-^nnism is st::„t
I

Arriving | Oueue — ^
Served
customers* j ^ ^ ^ ^ C c c customers
Served
I customers
I
Served
*^nstomers

Flgnr.7.2: ^ Quoaelng

s servers in paralle

7.4
 A server need not be a single person, it may be a group of people working simulta
neously as a team while giving service to a customer. Further a server may be a machine,
a truck, a bus etc. Customers also need not be persons. They may be cars, machines for
repair, trucks to be unloaded etc. Further, the queue may not be formed physically in front
of a service facility. For example, the people who have booked a call at a telephone
exchange may be sitting at their residence.

(f) Probability distribution of customer service times: The service times for different
customers will be assumed to be independent random variables having a common prob
ability distribution. This distribution can be approximated from actual observations. The
mean service rate of a .server, if constant, will be denoted by |X . Thus p, is the average
number of customers that can be served in a unit of time by a single busy server,
consequently the mean service time of a customer will be l/jx . If the service facility has
several servers, say s, working in parallel, we will assume that each server has the same
mean service rate p. It is quite possible that different servers may have different mean
service rates. However, we will make the simplifying assumption of equal rates of service
of all servers. The most common assumption about the servicetime distribution is expo
nential with parameter p. In section 7.5, we will make this assumption. TTiis is equivalent
to the assumption that the number of customers serviced by a busy server during a time
interval of length T has Poisson distribution with parameter pT.(See Theorem 7.1b). Note
that with this assumption also the mean service time for a customer is 1/p, since the mean
of exponential distribution with parameter p is 1/p. Hence the mean service rate of a busy
server is p.

(g) State of the System: The state of the system at an instant oftime refers to the total number
of customers in the system at that instant, which includes those who are under service and
also those who are in the queue. During the transition, the state of the system will have a
probability distribution, which will be time dependent given the state at time t = 0, but in
the long run, that is, after infinite time has elapsed, the state of the system may have a
probability distribution which is independent of time. This distribution is called the
steady-state probability distribution. The steady-state probabUity distribution gives the
probability that the system has n customers(without referring to time),n =0,1,2, These
probabilities can be used to find the mean number of customers in the system or the mean
waiting time of a customer in the system or in the queue and other such characteristics.
Sometimes n, the state of the system affects the mean rate of arrival of customers and/or
the mean service rate of the overall service facility ofthe system.In such a case,these rates
are denoted by Xn and pn respectively.

7.5
112 TERMINOLOGY AND NOTATIONS

The following standard terminology and notations will be used.

State of the system = The number of customers in the system

= the number of customers in the queue + the number of customers under
service.

Queue-length(or length of waiting line)= the number of customers waiting for servi
= state of the system - number of customers being served
N(t) = number of customers in the system at time t.

N = number of customers in the system without reference to time

n = an observed value of N(t)or N.

Q(t) = number of customers in the queue at time t.

Q = number of customers in the queue without reference to time
q = an observed value of Q(t)or Q.
P„(t) = probability that there are exactly „customers in the sv ,
probabUity distribution of the state of the system). '(""ed transient
= P(N (t)= n), n = 0, 1,2,

U(t) = number of customers under service at time t

U = number of customers under service at any instant(with
s =numberofservers working in parallel(narallHc • to time)
= mean arrival rate(expected number of arrival,.f ^tieueing systen.
state of the system is n. ''"^tomers per n • ^'y^tem.
= mean service rate of the whole service facilitv r
their service complete per unit oftime) when tZ number of
mteofservice of all thebnsy servers(those who '^='""8
When
When Xn is a constant for all n,it will be d ^
ifindependent ofn,(i.e.is a constant)then it will be dT ^ serv"
in the queueing system,then Hn = nji if n < s and n there arr^ ^ server
™ if n > „ ® ^ servers
®'ti parallel

7.6
 In the initial stages, the probability distribution of the state of the system will depend upon
N(0), the number of customers in the system initially and the time t that has elapsed. As has
already been mentioned, the notation Pn (t) will be used to describe this distribution and is called
transient probability distribution. However, after a lapse of a large time, the state of the system
may(under certain conditions) have a probability distribution independent ofthe initial state N(6)
and the time that has elapsed. This probability distribution of the state is called the steady-state
probability distribution. The following notations will be used for the steady state.

Pn = probability that there are n customers in the system at any instant

= P(N = n),n = 0, 1,2

= lim. Pn(t), provided the limit exists.

t-^

L = expected number of customers in the system.

= E(N) = ^nPn
n=0

Lq = expected queue-length = E(Q)

W = mean waiting time of a customer in the system. It is mean of the sum of the times spent
by a customer in queue and under service(this sum is called the time spent by the customer
in the system)

Wq = expected value of the time spent by a customer waiting for service in the queue.
m= the-tnaximum number of customers allowed in the system. When the state of the system
is m,an arriving customer will not be allowed to enter the system and is lost as a customer
for this system.

The following abbreviated notation-called Kendall's notation - will be used to convey

information about the elements ofa queueing system. A system will be expressed in the symbolic
form:

(a/b/c):(d/e/f)

where a, b, c, d, e,f are variable symbols and will be replaced by specific symbols in specific
cases.

a = distribution of inter-arrival time

b = service time distribution

7.7
 ^fl
c = number of servers in parallel

d = queue discipline

e = maximum number of customers allowed in the system

f = size of the source(calling) population of customers i.e. the size of the population of
prospective customers. ^ puianuu ui

If the inter-arrival time (or the service time) distribution i. .v

conveyed by writing M for a (or b). M indicates the M k ' will be
exponential distribution.
a(or b)is replaced by D,toIfindicate
the inter-arrival (or service)
the deterministic ti
naturT (memoryless) propertythen
customers, of
are independent and have a general distribution then a is^^ i inter-arrival times
general distribution then b is replaced by G.Ifthere are ^1. If the service time has a
d is replaced by FCFS or LCFS or SIRO or GD accord"^'"^'' ^ 'The symbol
served basis,or
If maximum last come
number first servedallowed
of customers basis orinintherandom
system0.7 »" first-come
"'^"Pline first
is general,
thts number. In genetal discussion this finite „umL w K a'" ^ replaced by
restncbon on the system-length, it will be indicated bv w v is no such
of mput population is infinite. It the membets in the nZ™"® ~ f= ~ if the size
finite number then f is replaced by this n.imk 7 P°Pnlation of Dro.n,.rvf • o
K.For example,(M/G/10)-(SIRO/2n/sm "^^"^^^1
ui.(biRO/20/50) will represent discussion tk
a queu? customers is a
(i) arrivals are in a Poisson process ^Vstem in which
(ii) the service time distribution is arbitrary
(iii) there are 10 servers in parallel
(iv) the service is in random order
(v) the system cannot accommodatfx^,
finds 20 customers already in thr'^^''^"^°'="stomers thai •
customer forever for this system does not entfx arriving customer
(vi) the population of prospective cnitri^LT ^ktrvice' '
7.2.4 Relationships
of arrival, between
departure and WdiWJ'r
service ^"tembers.
It can be nr
L= XWandLq;=)tWq general conditions
will hold in general. These r^i •
X but not all atrivals join the sy^em hoU in the c
queue length or system length is reached"' in the cas^ occur with a rate
'he maximum allowable
to join the queue or th^

7.8
system as long as the state is at its maximum). However, by redefining A. to include only those
arrivals that join the system, these relationships hold. Thus, if one defines the effective arrival
rate X,then the above relationships take the form

L =\W and Lq = XWq . (7-2.2)

In some models, it may be possible to determine X directly from the parameters of the
problem. For example,suppose that the airival rate is Xn when the state of the system is n, then

x=-^x„p„
11=0

where Pn is the probability that the system (while in the steady state) has n customers.
In queueing models, it is usually easier to determine L or Lq from the steady state
probabilities Pn,for example

L= Y.„Pn,^=Y.(n-s)P„.
n=0 n=s

where s is the number of servers working in parallel at the system.

Further it is easy to prove, using definition,

1 (7.2.5)
W = Wq + -
^ IJ-
To prove(7.2.5), let T,Tq,Ts be the times spent by a customer in the system,in the queue
and under service respectively, then

T = Tq + Ts.

Taking expected values we get

E(T)= E(Tq)+ E(Ts).

or W = Wn + —, where — is the mean service time, i.e.

^ |X 1^

i = f,gm. <'•«>
0

7.9
where g(t) is the pdf of time taken by a server to serve a customer.It is assumed that the service
tkne is a random variable having the same distribution for different customers and for different
servers.

Substituting from (7.2.2) in (7.2.5) we get

X
(7.2.7)

which reduces to

X
L = L,+ P. where p=-,

in the case the mean arrival rate X is uninterrupted.Formulae(7.2.1)or(7 22)(7 25)and(7 27)
or(7.2.8)can be u^d to find dre other three expected values using the value of one of them.'A
directevaluanon ofW and W,may not be simple.In this case,given L(or U)the above general
formulas can be used to determinei W and Wq.
. ™»f»™"''^(7-21)or(7.2.2)areknow„asUttle-sformulas.Theseresultscanbederived
ngorously m a more general set up. For proof, one may refer (i) J D C Little A proof of the

Tl-Iw'm7"2?T m • W SWham Jr.,'ALast Word

onL-XW,(1972),wherethe most general exposition ofthis topic is provided. to pujVlUCU.

The proof,is somewhatbeyond the level ofth * t

TVl ri'rrxzx'F io 1 n t u
appealing argument is as follows Consider 1 a nonrigorous butintuitively
periodToneitherside
denote the steady statesuch thatthe system
probabilities of the svstem^^ ^ ^ay extend
P"'"=the time
there are n customers in the system Thus the f " enotes that fraction of the time T,when
customers can be estimated by " ^^^Pected total time spent in the system by all the

X(TP„)n = Tj^nP„=,LT.
n=0
n=0

However,each customer waits in the

the
timemean
periodnumber of customers
T. Thus, the exne'twhn
^ in the^nsv^te
average for^
w "nits
• of time, a
estimated by Xtw. ^ ^P®nt in the syste system di
y all the customers car

7.10
where g(t)is the pdf of time taken by a server to serve a customer. It is assumed that the service
time is a random variable having the same distribution for different customers and for different
servers.

Substituting from (7.2.2) in (7.2.5) we get

X
(7.2.7)

which reduces to

X
L = Lq + p, where p =
H
(7.2.8)

inthecasethemeanarrivalrateXisuninterrupted.Formulae(7.2 DorH 29^ (1 o 9 7^

or(7.2.8)can be used to find the other three exnecterl vni..»c. . ^ ^
directevaluation of W and Wq may not be simple.In this case^givfn ^1
formulas can be used to determine W and Wq. ' above genera

rigorously to a moi geiira/JeUp fomulas.These results can bederived

q«euetagfor^.ula:L=\w^Opertoto„^R
proof ofL= XW,Operations Research'
15 U09n oilT" "''^'""''d
onL=TheXW^Cl,7X),wherethe.„ostge;era;espo;itio„lf!h^
proof,issomewhatbeyond the level fth"
appealing argument is as follows. Consider a la » nonrigorous but intuitively
^nodToneithersidesuchthatthesystemisemm!—T'
denote the steady state probabilities of thesy2^ "P' ™y 1'®=
LetP„;n=0,1.2,-
tem are n customers in the system. Thus the eLTf a ' °fthe time T,when
customers can be estimated by total time spent in the system by all the
oo

IVPnh = TlnP„^LT
«=«

However,
the mean each
number customer waits in .1, system on an o,
of cuRtrtm
time period Thus, the ex in the ^ ^
estimated by Xtw. spent in the system during
''Stem by all the custoLs canals.
 Thus LT = A. TW, when T is large

or L = A W.

A similar srgument can be given for the formula

Lq = AWq.

If \in denotes the overall service rate of the system, when the state of the system is n, then
the overall mean rate of service of the system, denoted by |i can be defined as:

oo

jl = ^ Pn, jito = 0. (7.2.9).

n=Q

If can be shown,under general conditions, that, in steady state

X= ji. (7.2.10)
A nonrigorous argument is as follows :

Consider a large period of time T.

XT-'^T=L

Dividing by T and taking the limit as T —> «> we get A = |a..

7.3 POISSON QUEUES:

We shall mostly discuss those queueing systems in which the arrivals are in a Poisson
process (or pattern or fashion) with a mean rate A, that is, the number of arrivals of customers
in any interval,[0,t), of length t, has a Poisson distribution with parameter A t, and the time taken
by a server to serve a customer is exponential with parameter Such queues are called Poisson
Queues. Poisson process is defined in Chapter 1. The reader is advised to refresh the relevant
material. Here, we avoid repeating the same but state some of the theorems connected with
Poisson process and the exponential distribution and discuss their implications in the present
context.

The following two theorems 7.1 (a)and 7.1(b)relate Poisson process with the exponential
distribution.

Theorem 7.1(a): If the number of occurrences, Xt, of a certain event in any interval of length t
say [0,t), satisfies the axioms of Poisson process with the mezin occurrence rate A, then

7.11
interoccurrence times are independent exponentially distributed random variables with the same
parameter X.(See theorem 1.19, Chapter 1).

Theorem 7.1(b); If interoccurrence times are independent exponential variates with the same
parameter X, then Xt,the number of occurrences in any interval of length t, say fO,t), will satisfy
the axioms of Poisson process with mean rate of occurrence X. (See theorems 1.21 to 1.25,
Chapter 1).

These Iheorenns imply that if the imerarrival times are independent exponential variates
with the same parameter X,then the number of arrivals in any interval of length t, say |ti, t, +0.
"(called
unit of time I"'i^rr"
the mean rate of arrival). Thus X is the mean number of arrivals per
assuming independence'^of exponential with parameter \X, then,
tively served customers by a busy server r-x h customers, the service times of consecu-
service completion by this server which hv"th^ times for the event of
variates with parameter [x each Hence X assumption, are independent exponential
remains busy throughout an interv^^ft t' completions by a server who
with parameter \u. Thus \i is the mean''^ ^ '^ngth t has Poisson distribution
unit of time by a continuously busv serv a niean number of customers served pet
times of different servers and for diffeZ c,? queueing system if the service
parameter n each, then Xt, the number' '"dependent exponential variates with
during any interval of length t will have P "^"'Pledons by n servers who remain busy
t. This follows
felln withvL parameter p.. Thus,the total uumber1?"" server,hasPoisson
duriiig a time interval of length ■ V ' <=«ldraers served by the n busy servers
^ which has Pni
Thus the mean rate of "^rvice
c. • or tVici distribution with parameter np
-rsareb„sythrougho„t.ep:r"'-^-".nS.heperiodis„,,providedexac..y.
usefulWe list below some of■ th«-'"^P°rtant pronertm .
in deciding
tunes or service times or^of to assur^e^e^^^"^"^^^^ distribution, which wiU ^
I.eorem7.:KT h ^ distribution for inter-arriv^
P[a STsb]> Pia„ < brf"'"'^"''ution with para
^''"^l-'s>0,0<a<b, ^'='^then
 Hence, when the time T(interarrival time or service time) is more likely to be 'small' and
very large values are less frequent, then an exponential model is appropriate. For example,
suppose a doctor attends patients of all kinds. Most of the patients will need doctor's attention
for a short time, while others will need a bit longer time. Only a few will require unduly long
time. In such a case, an exponential .service time may be appropriate. When the service required
for different customers is almost of the same nature, in which the server is required to do the
same sequence of service operations for each customer, then the actual service times for
individual customers would be mostly close to the mean service time and their deviations from
the mean on either side would be small, but large deviations from the mean would be almost
improbable,then exponential distribution for service time would not be suitable.
In the case when the type and the nature of service for different customers varies and the
service is mostly ofshort duration but may be unduly long in some rare cases,then it is reasonable
to assume an exponential distribution for the service time.
Theresultsgiven in thefollowingtheoremareusefulinverifyingwhetherarandom variable
is exponentially distributed or not.

Theorem 7J ; If T has exponential distribution with parameter X.then

P\T>t+ ti ]— _ J fQr all t, ti > 0.
(i)
P[T>t]P[T>t\ ]
P(a<T<a + h) = X for all a >0, h>0.
(ii) iln P(a + h<T<a + 2h) _
Conversely it can be shown that if a continuous random variable T satisfies(i)or(ii) then
T has exponential distribution with parameter X.
The property (i)
ine property w or (ii)
v / can be^ailable,
statisticallyusing
verified (of course
the relative approximately)
frequency if a large
approximation of
number of observations ^ties hold (of course approximately),then one may conjee-
probabUitics'"volveA Ifthese pmpem^^^^^ I ^ >
ture that exponential distribution is one oi i f
further tested using a 'goodness offit test.
. • 1 siH.arinn may example,
Sometimes physica also justify the use
suppose thatoftheexponential
populationdistribution for
of prospective
interarrival time or t e servi service when some event associated with him occurs(such
customers is large. A orobability of the event associated with a customer occurs in
as reakdown of a mac me . .-^ers and is small. In such a case Poisson distribution for
a unit interval is the same or a interval oftime is reasonable and it may be assumed
the number ofamvals of'^"^^onners m n exponential variates.
that the interarrival times are independ

7.13
Theorem 7.4 :(Memoryless or Markovian property of exponential distribution) ; If T has
exponential distribution with parameter X,then
P[T > to+tl IT > to]= P[T > ti], to, ti > 0. Note that the right hand side is independent of to.
The above theorem shows that the exponential distribution has 'no memory' in the
following sense. Suppose T, the time until the occurrence of an event has an exponential
distribution with parameter X.Given that the event has not occurred upto time to, the probability
that the event will not occur in the additional time ti is independent of the elapsed time t and "
equal to the probabiUty that the event will not occur in the initial time ti. For example sup ose
that T,having the exponential distribution with parameter X, is the life-length of a device
giventhatthedevicehasnotfaileduptotimeto,theprobabilitythatitwillnotfailinth
time ti is equal to the probability that the device would not fail during the initial time^idd" "
The above property may be reworded as in the following theorem
Theorem 7.4 (a): Suppose that the interoccurrence times for some
exponential variates with parameter X. Let T denote the interoccurrence^^"^ ^"dependent
certain time to has elapsed after an occurrence and the event has not Suppose that a
LetR(to)= T-to denote the remaining time until the next occurrence this period,
occurred upto time to(reckoned from the instant just after the pre' has not
has the exponential distribution with parameter X. '^V'ous occurrence). R(tQ) ^iso
Proof;P(R(to)< t)= P(T-to ^ 11T > to)= P(T ^ t+to IT > to)
^ P[to<T^t+to] ^ 1 -
P[T> to]

= l-e"^r>0.

Thus R(to) also has the exponential distribution with

occurrence of an event has exponential distribution P^^meter X. If th^ .•
instant the time to the next occurrence is also exno X, then reckon ^
interarrival times of customers to a queueing system"^"^-^^^^^ distributed with n ^
uted wiU. parameter X. ta the time (reeled If
independent of the time that has elapsed since th nnti\ th distrib-
distributed with parameter X.When the service-tinLr""""'
with parameter \i,then the conditional distrihnf;
^"d is al
^'^stomer has exnn ®^P°nentially
is
ti.emL.«,givea.harrheaervteeiat!:^';™°'^--ammg«^^^^^^^
H.Thus any time devoted to an incomplete service is as^o^'' '"Pon^ntiai

7.14
 service which is continuing at time to will be complete within the additional ti is independent of
to and equals the probability that the service would have completed in the initial time ti.

In the case different customers need service of the same kind- consisting of the sarhe
sequence of operations for each customer, then each customer will need a service time almost
equal to the mean service time. In such a case, a prolonged service will mean that it is highly
probable that the remaining service time is small. Thus, the time already devoted in serving a
customer influences the remaining time required to complete the service. In such a case, the
assumption of exponentially distributed service time is not plausible. On the other hand, if the
required service operations differ for different customers and most of them need brief service,
then a prolonged service will not indicate that the service is near completion. For, according to
the situation, it may be a customer who needs longer service. In such a case, the above property
seems to hold and the exponential model for service time may be reasonable.
Theorem IS:If Ti,T2,...,Tn are independent exponential variates with parameters
respectively then min. (Ti,T2,....Tn) is also an exponential variate with parameter

Proof; Let F(t)= P[min.(Ti,T2,. -,Tn)^ t]

= 0ift<0.

=t. l-P[min.(Ti,T2,...,Tn)>t], t>0

= l-P[Ti > t] P[T2 > t].... P[Tn > t] due to the independence of Ti,T2,....,Tn.
_ eZ'^! .... Ti has exponential distribution with parameter
|i;, i — 1>2, ...,n.

_ r^O.

Hence the result.

The above theorem has the following applications to the queueing theory.
Consider a population of customers having n types. Suppose that the interarrival times
Ti,T2,....,Tn for customers oftypes 1,2,...,n are independent exponential variates with parameters
^1. X,2,....,X,„ respectively. Assume that a customer ofany type has arrived.LetThe the time until
the nextarrival ofa customer ofany type reckoned from the instant ofpresent amval.Then,ftom
Theorem 7.5, T = min. (Ti,T2,....Tn) has exponential distribution with parameter
A,=A,i+X2+..A-Xn- Thus the interarrival time ofcustomers for the system as whole is still exponen
tial with parameter X. Using the memoryless property of the exponential distribution, reckoned
from any instant, the time until the next arrival is exponential with parameter X.

7.15
respectively and ti to "
Assumer'>0i.e;T.> tj " Letvariates
Ri = Tiwith
- ti. 1parameters
= 1. 2 n.X,i, X2,••••.^
I
=0ifanyri<0

^tis Ri, Rj^ ^

^tA2,..A„ respectively. ^ tndependent exponentialy distributed rvs. with parameters
Let ^"sed as folio
|smeasured from service times taken hv some instant T, m servers are busy-
® serving their restv?-^^^® service started T to serve their customers. Each Ti
Ri > 0for eachT?f Prior to tht ^P^"^ by these servers
^ A,/ "Ri, R2, ...^ ®ot exponential random variables such tha

Toanni u instant T " ^ "k i-th seiTier to serve the respedi'"

service time

thM fte ir """" P^nmeteTrs n servers are busy at so

these custom ' ®^Ponentiaii 'octant. Dug» . P'oting the service of the custo
^heservicetim^^"°*^*°thepres ^^'^^ributed with na ^'^®"^°'"y'oss property of exponent!^
'>^®rion.IS!'m®'"''®PondentT'"'^^''^^'llnotaff The times devoted in serving
Parameter" n 'I""" ri^^'"®ckoned froiTth*^^ distribution ofTi's. We assume that

For sm • of bu^y ® ^^rvice station at any instant wh®"

intervals of . the mean service rate ofa sing
■^•'^"havetK

°"=n"e„cn „f ^ » and for '°|'"' jP""<'nnt exponential va«"®'

"'"'in the;
"""itervali)

7.1s
 Let Ti, T2, Tn be independent exponential variates with parameters X,i, X2, Xn
respectively and ti, t2, tn be positive real numbers. Let Ri = Ti - tj, i = 1, 2, n.
Assume Ri > 0 i.e. Ti > ti

P[/?l <n,/?2<r2...., >0,/?2>0,...,/?„>0]

=0 if any n <0

= (1 - (1 -

p—-

The previous result can be used as follows. Suppose at some m

Let Ti,T2. ..., Tn,be the service times taken by theL servers trj 1
IS measured from the instantthe service started Let ti t2 t he th r Each Ti
in serving their respective customers prior to the instimt TLet R- ^^ese servers
that Ri > 0for each i. If Ti, T2 Tm are inHpn^nH f ^ ^ - 1,2, m. Note
. -,. ,henRRl. R2,
«n-i p .... R„ a« also indepeadea, expoaealial variatesvariable.such,ha,
with paratpeters
customer reckoaed afresh from ft™stotT. '''' respective
To apply theorem 7.5 to service time,suppose a svstem
exponeatial service time distrihutioa with parameter u Sa P"™"®' haviag
mstot. Ut Ti be the time that the ith server will take ia comrf?° at some
with him.Ti is reckoaed afresh from this iastaat. Dae to the ^^"*1
distnhatioa each Ti is expoaeatially distributed with parametTrT™ expoaeatial
these customers prior to the preseat iastaat will aot affec..1. a- .'a "
ftese™ceti.j.sareiadepeadeat.UtT(reckrer;rs;t'^^^^^^^^^
fteservicetia.sareiadepeadeat.UtTfreck
completioa,thea T= mia.(T,.Ta T„).Heace from theot^m^
With pammeter up. Thus the overall mte of service of thrsT «Poneatial distrihutioa
severs arehusy ,s the prodactofthe aamher ofbusy servers a™tL""'°"" °
'"'"'"''"■"^'"aervicerateofasiagle
For small iatervals of da., we have the folft^g _
Theorem 7.« (a) ilfftehmroccarreace times f "P^-^-'ral distrihutioa.
wift fte same p^ameter tx ftea for aay
(OPCNooccumeaceoftheeveatiafteiatervalC

7.16
 = 1-a Af + o (At)

(ii) P(More than one occurrence of the event in the interval I)

= o(A t),

(iii) P(Exactly one occurrence of the event in the interval I)

= a A t + o(A t),

where I =(to, to + A t], to is the time that has elapsed since the previous occurrence.
Proof:(i)Let T be the time that elapses between the previous occurrence to the next occurrence
of the event.

P(No occurrence in I)

= P(T>to + AtlT>to)

= P(T >A t)= ^

(ii) Let T be as defmed above and T, be the time that elapses between the first occurrence
and the second occurrence.

P(more than one occurrence in I)

= PiT+Ti<to + At\T>to)

<PiT<to + At,T\ <At\T>to)

= P[T<to + At\T>to] P[Ti ^ Af], since T and Ti are independent random variables.
= P[T<At]P[Ti <At]

= (l-e-«^')
= oiAt)

(iii) follows from (i) and (ii)-

Quite often,the arrival rate and/or the service rate are aff^ted by the number ofcustomers,
u.In the system, and are denoted by and (ta respectively. In such a situatton,the following
modification of theorem 7.6(a)is useful.

7.17
 Theorem 7.6 (b) ; If the interoccurrence times Ti T'? T r.f
exponential variales with parameters a, ar a Jr'"!"",'
length At, =K'sai,a2 a„ respect,vely, then in an interval of small
(i) P[No occurrence]= l-a/j:At+o(At)
(ii) P[More than one occurrence]= o(At)
(ill) P[Exactly one occurrence]= a/^A/+ o(At)

t^cnr:::: "■= «-.)», occn.xenee and before the Kth

wiU Ino^XtteriSte
and S omitted. • ^n^Proof is similar to that of theorem 7.6(a)
Remark 1: The above theorem can be used in Pniccrx
can bedefined to be an arrival or a service completion Vur^Tedi^^ following manner. An event
n customers in the system. Let Ta be the time until the nex^^ has occurred leaving
with parameter X,n(say). Suppose the system has exponential variate
independent exponentially dish-lbuted service times tT m onh""^ """"8
m = s if „ ^ s. Ut T,,T2 T„ be their service to s rlT h ? ™ " -f "<s and
Assuming that the service times for these busy servers instant.
parameters Pi.Pa p„ respectively. Assume, further^I" "i®
tunes. Due to the tnemoiyless propetty of exponential distributto'tlT
these customers prtor to the present instant will „o, influenfe TT T" ^n™ng
independent exponenUal variates with the parameters p. p, n i' T„ am
next occutrence of the event (arrival or departure). ' ^ 'i-n time untU the
Then

T = min(TA.Ti,T2,....,Tm)

......

system initially.

7.18
 (i) P(No arrival and no departure = l-(X,n + Hn) At+ o (At)

(ii) P(more than one occurrence of the event)= o(At)

(ill) P(Exactly one arrival and no departure)= X/i At+ o(At)

(iv)P(Exactly one departure and no arrival) = |ln At+ o(At),

where |a./, = Pi + P2+ •••• + Pnii interarrival times and service times satisfy the above-mentioned
conditions.

(i)and (ii)follow from (i)and (ii) of theorem 7.6(b).

Proof of(iii):P(ExactIy one arrival and no departure)
= P(Exactly one arrival)P(no departure), due to the independence of arrivals with depar
tures.

=(X/, At+ o(At)| At+ o(At)), using(i) and (ii) of theorem 7.6(b)to arrival and
departure separately.

= XnAt+ o (At).

Proof of(iv)is similar.

In case the arrivals to queueing system are in a Poisson process with a mean rate X, then
Xn = X. If the service times for different servers are independent exponential variates with the
same parameter |Li, then, in the above discussion, |J.n = nlx, if n < s and = 5|x, if n>s, where
n is the number of customers in the system at the beginning of the small interval and s is the
number of servers working in parallel.
Remark 2: Due to the properties given in theorem 7.4,7.4(a), 7.5, 7.6(a) and 7.6(b), Poisson
queues are easy to analyze.The reason is that the time remaining until the completion ofa service
is independent of the time for which service has already been in progress and the remaining
service time still has an exponential distribution. Further, the probability that a service will be
complete during an interval of small length At is proportional to At and is independent of the
time the service has been in progress previously. Further, if the arrivals are in a Poisson process,
the probability of an arrival in an interval ofsmall length At is agam approximately proportional
to At. These approximations make for much simplification in future.

7.19
 In the next section wedi^mnooo
is Mtmwhal general and includes aU the ® ""'h Process" which
""" •'V "icorem '=®"- The axioms of this

"""■»™A»»«xT«r«ow
""'5 axioms:
Axiom
^ ^I • Givpin M^Tr\ ^
OivenN(T)=n ,i.e. given thittr,.
conditional prohabili^ distributioTo" at time T, the
.he next h,„h is exp„„e„.„ ^ZXlriVT ^
Axiom 2:
Given N(T) = n tho j- • « v U, 1,2, ).

Axiom 3 Only one birth or death (not bnth^

small length AT twn ^ at a time fhob • •
. .
0" interval, of small lenXn ^ I.
-e e":;"::::! 111

^ ®'"''""''*»'hsoccurindepe„den,|yf„ •
Note:A-bi«h"„,eansa„..e„„yi„,„ Population size „.

' —"V «t uie instant T, when th

We shall derive below the probah r
the probabilitv
^ systemrateis and
nn.
death model . First we Her! ♦ P'^°hability distribution of ih
the derivations lat^r. elementary results from the^^^^ hirth and
the axioms Which will help in
Let AT denote a small increment in the time T
NC^Tnl wT''
7 p~^ntj. using axi''''"""''"™'°*'"""'™™'.ccl<onedfromth
oo

j^ne
z\X„ om 1
using avinm 1
' T
"1 the instant "L
AT

= e~^" ~1 1
^^nAT+o{AT).

7.20
 (ii) P[ Two or more births in the interval(T,T + AT]I N(T)= n]
= o(AT), due to axiom 3.

(iii) P[Exactly one birth in the interval(T, T + AT] I N(T)= n]

= 1 -[1 - X/, AT + o(A7)+ o(A7)], using (i) and (ii)
= "Kn AT+ o(A7)
(iv) P[Exactly one death in one a interval(T,T + AT] I N(T)= n)=|in AT+ o(A7).
The proof is similar to that of(iii).
(v) P[No birth and no death in the interval(T,T + AT] 1 N(T)= n]
= 1 -AT(^« +|in)+ o(A7)

This follows from the fact that in a small interval(T,T+ AT] we have the following three
mutually exclusive and exhaustive events :

1. Exactly one birth and no death.

2. Exactly one death and no birth.
3. No birth and no death.

These events will be denoted by A,B and C. Thus (iii),(iv) and (v)can be written as:

P(AIN(T)= n)= Xn AT+o(AT)

P(B1N(T)= n)= AT+ o(AT)

P(CIN(T)= n)= l-AT(kn + P«)+ o(AT).

Let Pn(T)denote the probability that there are n units in the system at time T,
i.e.Pn(T)= P[N(T)= n].

Now,Pn(T+AT)= P(N(T)= n and C or N(T)= n+1 and B or N(T)= n-1 and A)+ o(AT)
= P(C I(N(T)= n)P(N(T)= n)+ P(B I N(T)= n+1)P(N(T)= n + 1)
+P(A I N(T)= n -1)P(N(T)= n -1)+o(AT)

=[ 1- AT(Xn + M ]Pn(T)+ Pn+1 (T)|ln+1 AT+Pn-i(T)X,„-i AT + o(AT)

Taking Pn(T) to the left hand side, dividing by AT and taking the limit as AT-^ 0, the
following differential difference equation is obtained :
Pn(T)=-(Xn + Jlrt) Pn(T)+ ftn+l Pn+l (T)+ A«-l Pn-\ (T). (7.4-1)
For n = 0, Pn-l(T)= 0, and |i<? = 0,hence we get

7.21
 Po\T)=-XoPoiT)+\i\Pi{T) (7.4-2)
If at time zero, the system has 1 units, the initial conditions are

7';i(0)=0 for n.'^i. ^74.3^

Further since Pn(T), n = 0,1,2,.... is the probability distribution of the state n at time T, we
00

must have ^Pn{T)= 1. Pn{T)10 for all n and T.

n=0

The question of existence and of uniqueness of solutions of(7.4.1)to(7 44)•

The conditions of the existence and uniqueness of solutions of this system hav b
studied in the works of Feller, Renter, McGregor and Karlin. It has been provL th V
(7.4.1) to"(7.4.4) has a unique solution for all T if the series ^ ® system
" k
rr l^'" -

jt=l'
(7.4.5)
If, in addition, the series

00 ,

V> An '•■•-I •IS convergent,

then, for all k, the limits

' Pk = litn. Pk(T) exist,

T-^ (7.4-7)

and are independent of the initial condition (7.4.3). The transient solutions to h'
equations are, in general, extremely difficult to obtain. However, in some '
solutions are available. We shall only discuss the derivation of the stead^'^smt'^^^^^'
Accepting the existence of the limit (7.4.7) we may then set lim P
T—>00
Urn. Pk(T) = Pk in equations (7.4-1), (7.4-2) and (7.4-4), and obtain
T*—>00

-(Kn + \^n) fn + ^i-l Pn-\ + M-n+l Pn+1 =0, n > 1.

(7.4-8)
■ —koPo + |J.rPi = 0.
(7.4-9)
Ip« =1
n=0
(7.4-10)

7.22
 Equations (7.4-9) and (7.4-8) give

Pi=^Pc.
|I]
P2= —/>»■
|I1|J.2 m|J.2M.3

From the pattern it appears that

(7.4-11).
Pn — CnPoi

where Cn = , n= 1,2, .... Co= 1. (7.4-12)

111142.

It can be shown using mathematical induction that (7.4.11) is the proper formula. Further,
substituting from (7.4.11) is the proper formula. Further, substituUng from (7.4.11) in (7.4.10)
we get

Sc„ = 1, where we adopt the convention that Co = 1.

V

Hence we obtain

-1 oo
^ oo ^

Po = SC,. provided that the series ^ Cn is convergent. Thus, the conver-

/I=0

gence off .u • ^ series is a necessary

this necesstu^ condition for the steady state. Note that this condition is
the same as (7.4.6).

From equations (7.4.11) and (7.4.12).. follows Iha.

(7.4-ia)
P^i^-^Pn.n = 0,\X
|4/»+l

Having obtained. the

u steady-state
..oHv «:tate proua
nrobabilities Pn, the following characteristics can be
obtained.

L = Mean number of units (customers) in the system

(7.4-14)
OO

= JnPn
n=0

Let Lq = Mean number of customers m the queue.

7.23
 Thus,Lq — {n s)Pn, (7 4-15)
n=i

where we have assumed that the system has s parallel service- channels(or servers)
Further, the mean effective arrival(birth) rate X can be defined as
oo

^= y Wn.

(afterThemeandeparture(death)rate,thatis,themeannumberofcustom«r,u,
service completion) per unit of time or the mean service rate of th ■ u system
or3can be defined as(noting that |i.o =0) ^ system, denoted by |i.
oo

\l= d = ^[InPn-
n=\ (7-4-17).
It can be easily verified that the birth and death moH<^i »,i, •
X = d.
del. when m steady state, satisfies
The proof follows immediately from the definitions (7 4 na
(7.4.11)and(7.4.12). ^'-^.16), (7.4.17) and the results
The mean waiting time of a customer in the system, W,can be defined
w=k
^ (7.4-19)
The meaa waidng time of a cualomer in the queue, W„can be similarly defined as
Wn =k^
^' (7.4-20)

We assume that the system has several(may even be'f ■ " '
tsinpatallelandtheservicet^iuaeofacustomerisexponentiallylrta^^^^^^
the same for all servers). Ut B denote the number of busy Wwhich
"t any instant. Note that B
7.24
is a random variable. Hence B]!is the instantaneous service rate ofthe system.Thus E(B|li)equals
the mean service rate of the system. Hence from (7.4.17) and (7.4.18) we get
E(B|I)= d = X

X
or E(B) =-. (7.4-21)
M-

Further the number of busy servers at any instant equals the number of customers under
service at that instant, i.e. B = U where U denotes the number ofcustomers under service. Hence
it follows that the mean number of customers under service is given by

E(U)=-. (7.4-22)

Also N = Q + U,which,on taking expected values yields the result

L = Ln +-. (7.4-23)

Dividing by X on either side and using the Little's formula we get

W = Wq + jJ^. (7.4-24)
The last result can be derived in more general setup as follows.
T-T 4- T where T Tn and Ts are the times spent by a randomly chosen customer in the
system,;tSequLeandunde?servicerespectively.Takingtheexpectedvalueoneithersideone
gets

W = W +- , where-
p.' M-
is the mean time taken by a server to serve a customer, whatever
. . j. .. it ic assumed that different servers have the same mean service
be the service-time distribution-it is assuui«=
time.
If the system has s servers in parallel, m pproportion
n^irillel the f of the time a server is busy

_ ^(^) _ A which is also called the utilization factor or traffic intensity and the
s sii' ^
proportion of the time a server is idle - 1 (7.4-26)

7.25
7.5 SPECIAL QUEUEING MODELS(POISSON QUEUES).
We now derive certain special cases of the birth and death model. Due to Remark I made
after Theorem 7.6(b)Poisson Queues satisfy the axioms of birth and death model.
7.5.1 (MIMII):(FCFSloo |oo) : Single-server (s=l) model with PniQQf^n •
service.The service discipline is assumed to be first-come-first-served FuT"^ 1" exponential
rate and the mean service rate are assumed to be constants X and n respectively.tIusxTiT
all n -0,1,2,.... and = fi, for n = 1,2,...; = 0. The transient-state equations are :
Pn\T)= XPn-l{T)-(^+ll)PniT)+\LPn+\iT),n >[
(7.5-1)
and Po(T)=-XPoiT)+ \iPi(T),
(7.5-2)
which can also be derived independently (i.e. without using the birth and H. u .
this as an exercise (Problem VII.1). model). We leave
It is possible to solve these equations to obtain PnlTl whirh rr- u
distribution.(See forexample- Queueing systems-volume T by Uorrd Kle'moJ
From equations(7.4.5)and (7.4.6), the system will achieve steady-state ifi ^
auecessaryandsufr.cientconditionforthesteady.state.Thesteady-stateequatiol
^Fn-l-(X+ft)F„+ pP„„=0, „=1,2,... and X F<,= pp,,
^^ are ;

(7.5-3)

Also Cji = 'aT — p , n - 1,2,.., where p = —.

J ^ (7.5-4)
Po-l-p, if p<l (o/-X<p); P„= p«(i_p)^ n=l,2,.
(7.5-5)
It is easy to deduce that

L =E(N)= V(p-X), V(A0 = X|i/(p.-X)2.

(7.5-6)

(7.5.7)
The proportion of the time the server is idle
= the probability that the server is idle.
= Po = 1 - p .
(7.5-8)

7.26
 The fraction of the time the server is busy

= the probability that the server is busy

= 1 - Po = p = —.
P-
(7.5-9)

Note:Owing to above result, p is called the utilization factor.

W = The expected waiting time for a customer in the system

L =L^i
X. A. A. |i-A- (7-5-10)
V y

The mean waiting time of a customer in the queue,

1 X (7.5-11)

The pdfof Y,the time a customer spends in the system may also be easily derived.Consider
a randomly chosen customer. Let Y be the time spent by him in the system, and H be the
oo

cumulative distribution function of Y. H(y)= P[y^y] = yv = n], where N is the

n=o

number of customers in the system just when he arrives not including himself.
First we derive the conditional distribution of Y given that there are n customers in the
system at the time when a customer arrives. Hence Y-T + Ti +T2 + ...-t- Tn, where T is the
service time for this customer, and Ti,T2....,Tn are the service times for the n customers ahead
of him. Now, T,Ti,T2,...,Tn are independent exponentially distributed random variables with
parameter |i. Hence, the conditional distribution of Y, given that there are n customers in the
system, when this customer arrives, is gamma with parameters(n+1) and ^i. Hence
H(y)= 0, y<o

oo

=^P(N=n)P(Y<y\ N=n), y^o

n=o

=S<i-p)p"f o
y^o.
n=o

121
 Differentiating with respect to y, the pdf of Y is given by

h(y)= S((1-P)P"1 «^.y>0.

/I=0

= 0, for y < o

or h(y)=|l(l-p) y>0. (7.5-12)

= 0,elsewhere.

Thus Y has an exponential distribution with parameter |J.(l-p). Hence, the expected
waiting time of a customer in the system is given by

W= ^ ^
p(l-p) \i-X'

This verifies the Little's formula.

Example 7.1: A.a cycle repair shop,on an average a customer arrives every five minnms,H
on an average,the service time is 4 minutes per customer.Suppose that th,a
the service time are exponentially distributed. Discuss the differpm u
queueing system,assuming that there is only one server. ^ ^racteristics of this
Solution (1):
Average
.
number
,
of arrivals per minute = =^i = 20
Average number of customers served per minute =|X =i= 25
(ii) The fraction of the time the server is busy.

P — ~ 25 ~ ~ percent of the time.

(iii) Po=l-p = l--=.20

It

^l = pPo =.&c.2=.16.

^2= p Pi =.80x16 =.128.

/■3 = pP2=.8x.l28 = ,l024, and so on.

7.28
 0.20 is the probability that a customer will get service immediately,0.16 is the probability
that he will have to stand in the queue alone, 0.128 is the probability that he will be the second
in the queue, and so on.

(iv) L = E(n)= Expected number of the customers in the system

X .20
- = 4.
li-X .25 -.20
I '

(v) The average length of th^ queue

La= —^ = .90;c4 = 3.2.

(vi) The mean time a customer ispends in the system

M/ 1—= J—- = 20 minutes.
|Li—A. .25^.20

(vii) The average time a customer spends in the queue

Wq =(20-4) minutes = 16 minutes.
We observe that the utilization factor is quite high and as a result, the average waiting time,
W,is quite high.In order to reduce the average waiting time,the shop should think ofemploying
a new 5C1
server.
vci.

cfrtrp the customers arrive on an average of 1 per minute. There

are two clerks A ana ^ customers per minute.. Assume Poisson input and
per minute and cler . customer who has to wait in the system loses Rs.6.00
exponential service.It is estima ^ ^ ^ ^
per hour as the cost of lost ^ jq hour day and that the cooperative store is owned
to be paid Rs. 2.25 per ^ ^are of their lost time in waiting), which of the clerks
by the customers(so it will naturally lai.
should be appointed?
S.I„«o„ = Forclerk A : 1

L = E(number ofcustomers in the system at any instant)

^ =1.
, ivin + 4x10 = Rs. 100.00.
Average daily cost — 6xlx

7.29
 For clerk B :|X = 1.75 per minute,L = E(n)= 4/3.
4
Average daily cost =- x 6 x 10 + 2.50 x 10 = 105.00

Hence the clerk A should be hired.

Example 73:A firm has several machines and wants to install its own service facilitv f
repair of its machines. The average breakdown rate of the machines is 3 per da A
the interarrival times are independent exponential variates. The repair time
distribution, the loss incurred due to the lost time of an inoperative machine is R
There are two repair facilities available. Facility A has an installation cost of R.on
facility B costs Rs. 40,000. With facility A, the total labour cost is Rs 5 nnn "
J,uUU per year and with
facUity B the total labour cost is Rs. 8,000 per year. Facilitv A can ren-,;. ^ 1
J an repair 4- machines per day
and the facility B can repair 5 machines per day. Both facilities havo n v.f c.
facility should be installed ? e of 4 years. Which
Solution:We shall compare the total annual cost of the two facilities *
FacUity A:Annual cost of capital = Rs. 5,000.
Annual labour cost = Rs. 5,000.

Expected number of customers in the system

3 .
a1_2
2

The daily cost of lost time = Rs. 80.00 per day

Annual cost of lost machine time = 365x80 = Rs. 29,200.
Total annual cost for facility A = Rs.39,200.

FacUity B:Annual cost of capital = Rs. 10,000.

Annual labour cost = Rs. 8,000.
Expected number of customers in the system

|x-X 5-3 2"

The daily cost of lost time = Rs.40 x - = Rs. 60.00

7.30
 Annual cost of lost machine-time = 365x60 = Rs. 21,900.
Total annual cost for facility B = Rs. 39,900.
Hence, facility A should be preferred.

7,5.2 (MIMIl):(FCFSImloo): POISSON INPUT,EXPONENTIAL SERVICE TIME,

SINGLE SERVER, FINITE QUEUE, THE POPULATION OF PROSPECTIVE
CUSTOMERS IS INFINITE.

At most m customers are allowed in the system (i.e. at most m-1 customers are allowed in
the queue). When there are m customers in the .system, an arriving customers is not allowed to
join the system and is lost as a customer(probably goes elsewhere for service).

Thus Xo = h=--= = A. and =0 for n > m,and the service rate is|i. In this case,
equations(7.4.5) and (7.4.6)are satisfied for all values of X> 0 and |i > 0. Hence the system will
attain steady state. From (7.4.12) it follows that

Cm+i = Cm+2 =0,and Cn = p", n = 1,2,..., m; p =^.Hence from(7.4.11),the steady

M"

state probability distribution is given by

Pn = p"Pp, n=0, 1,2 m;wherePo =(l-py(l-p'"^'). P^^l-

X
Thus,Pn = p''(l-p)/(l-p''''"). n =0,l,2,...,m; p =-.
= 0,for n = m+1, m+2,.... (7.5-13)

If A,= p, (or p= 1), it can be easily seen that Cn = 1 for n = 1, 2, ..., m, hence
Pn =-^, n = 0, 1, 2,...,m.
m-t-l

= 0,forn = m+l,m+2,... (7.5-14)

L = expected number of customers in the system

1-p

1 if
= ^m, -r 1A,= |X.
M (7.5-15)

Lq = expected queue length

7.31
 m m m

=X =X ~X ^~ ~ (7.5-16)
n=l n=l Ai=l

Also,Lq =L -(Pi + P2 +...+ Pm),since 1 - Po = Pi +P2+ ... + pm-

= L - p (Po + Pi + ... + Pm-l), since Pr = pPr-i, r = 1,2, ..., m.
Thus,Lq = L - p(1 - Pm), (7.5-17(a))
since Po + Pi + ... + Pm-l = 1 - Pm.

When X =|X (i.e. p = 1)

w(m-l)
= (7.5-17(b)

The mean effective rate of arrival in the system

00 m-1

X =X(1-Pm), (7.5-18)
n=c? n=o

since Ao = Xi = ... = Xm-i = X; Xn =0for n'>m.

Equation (7.5-17) verifies the equation ;

L = Lq + X for this model(See equation(7.4-23))

M'

Proportion of time the server is busy = — = p(l-p^)

The mean waiting time of a customer in the system:

W-k- ^ mp'" ■■
X(l-Pm) IX .1-P , X?t|j..
d-p'")
m-fl
•. if X =|x.
2X

(7.5-19)

7.32
 The mean waiting time of a customer in the queue :

(7.5-20)

which verifies (7.4.24).

The pdf of Y,the time spent in the system by a customer may also be derived by elementary
methods. However, in this case, we have to consider a customer who really enters the system.
Let G(y) be the conditional cdf of Y,given that the corresponding customer enters the system.
Let A denote the event that'The customer enters the system' and An denote the event that'There
3re n customers ahead of the entering customer.

Thus, G(y)= P(Y< y I A), y > 0

= P(Y < y and A)/P(A)

m-\

= 2 P{A.nr\(L^ the fact that'A occurs' iff n < m - 1.

n=o

m-1

= 2;P(A«)P(T^3'IAi)/^(^)
n=o

The event Y<y I A„ is equivalent to the events =T + T|+ T2+...+T„Sy, where

Ti. i = 1,2 n are the service times of the n customets ahead of the entering customer and T is
ine customer. According the assumptions made, S has a Gamma
the service time of the entering

distribution with parameters(n+1)and fi.

m-1
/P{A). (7.5.21)
Hence G(y)= VP
n=o

Hence,the pdf of Y is given by

"m-1
|4(|-ty) -ny /(\-Pm),y>^ (7.5-22)
8(y)=
Ln
n=o

= 0,elsewhere, where we have used the fact that P(A) 1 - Pm.

7.33
The mean waiting time of a customer in the system
oo

W = E(Y) =

m-1

= ~ Z (n+^)Pn/(\-P,n)

m-1

_ 1 Y ("+ i)Pn+\

Hi-Pm) T ^7 523)
This verifies the Little's formula.
The probability distribution ofthe waiting time^ •
be calculated and the formula^= Xw,can be veriner""" may also
An important
the fintte difference
queue cases, ofthe finite
the steady-state queue even
is mached ^ the - r- ■
modelifWith model is that, in
7.53. (MIMIs):(FCFSI ©o
| c»)j MULfTTPl v
AND EXPONENTUL SERVICE TIME, ®®''^™W>ISSON INPUT
Assumptions : The interarrival times are inde
X.The service timeforeachserverisexponentialrviroal"™^^ Parameter
ISaremumaUytndependentamongtheservers as well
|l. s denotes the number ofservers, working asclT ^Average
in parallel ''' service rate
^^rvice times
perserver
Putting ln =lfor all n and =„^ if„<s o ^
we get the steady-state probabilities: ' " the birth and death model
P"
"= 0. l,2,....,s-l

S\s"-' "= s,s+l,....;

^
(These results may also be derived independently) (7.5-24)

7.34
 Using the fact that Pn — h we get
n=o

^ n"' (7.5-25)
P . N- P. , p < •S'-
Po= 1/ ^u
(1 ) 11=0

In order that the system has a steady state probability distribution p <.or X < H.. The
condition is necessary and sufficient.
Probability that all servers are busy
= P [busy period]

= P [n > s]

(7.5-26)
= y^= ^Po{i-^) '•
n=s

Lq = E(queue-length)

,yP>=fip„
^ s<s'"
n=s

P^ (7.5-27)
Po-

E[Number of busy servers]

= E[Number of customers under service]

= '^nPrt+S ^Pn
np=o n==s+\

Po
(^-1)1
n=l
n-s+\

7.35
 ^-1

= p
n-s
,writing n for n-
sW
n=o n=s

= P-
(7.5-28)
L = E(number of customers in the system)
=E(queue.|e„g,h)^ E(„unber of customers under service)
= Lq + p, using (7.5-28).
(7.5-29)
_ P^ o
(7.5-30)
The mean effective arrival rate
oo

=x=
n=o
n^o (7.5-31)

Equalion (7.5.29)and (7.5.31) verify ,he equation

X
^~^ (See equation (7.4.23)).
w =The mean time spent by a customer in the system.
= 4=-=£!—H__ 1
(7.5.-32)
Wq =The mean time spent by a customer in the queue
= ^=^=:£! US
^ ^ Is (iis-xf
(7.5-33)
(7.5.32)and (7.5.33)show that

W = Wq + i-.
P
(7.5-34)

' ■" fte queue of a customer who has^Je""

7.36
 Let G be the cdf of Yq.

G(Yq)= 0, for yq < 0, (7.5.35)

G(0)= P(Yq<0)= P(Yq =0)

= P(N < s-1),since a customer will not have to stand in the queue iffsome
server is idle.

s-\

=^
Yf-Po.
L/J
(7.5-36)
n=o

G(yq)= P(Yq<yq),yq>0

= P(Yq = 0)+ P(0< Yq<yq)

s-l

= Y^Po+ y p (there are n customers in the system ahead of this customer) x

n=(} n=s

X P(0 < Yq < yql there are n customers in the system ahead of this customer).

Given that there are n customers in the system ahead of this customer(n > s), then

Yq = Ti + T2 + ... + Tn-s+1, where TI, T2,...,Tn-s+l are the times upto the first service
completion, the time between the first and second service completion, ,the time between the
(n-s)th and (n-s+l)th service completion respectively. Note that
Ti = min (ti, t2,...., ts), where tk is the time that elapses(after the(i-l)th service completion)
upto the instant the kth server completes the service of the customer with him, k = 1,2,...,s. Due
to the memoryless property of the exponential distribution, each tk has exponential distribution
with parameter|I and tk's are independent(due to the assumptions made). Thus Ti is exponen
tially distributed with parameter(sp.). Hence Yq has Gamma distribution with parameters(n-s+1)
and (s|Li). Hence
\
s-l „ y N / ..^\n-s

G(yq) + J lin-s) ' ifyq>0. (7.5-37)

n=o n=s 7

Equations (7.5.35),(7.5.36) and (7.5.37) show that Yq is a mixed type random variable, with
probability mass function

7.37
 g(0)=P(Yq =0)= X L;
n=f>

I \ r"rv ^ - "V P v« > 0

g(yq)= G(yq) - 2.^" l^n-s) '^'
n=s

=0,yq<o. (7.5-39)
g(0)represents the point probability,g(yq)represents the pdf.Thus,the mean waiting time in the
queue(for a customer).
oo

Wq =E{Yq)= O.g(O)+\yq 8(yq)dyq.

(sp)^ p ^"+1=^^/..
s forn =
= :s,s+1,
n=s

X'
(7.5-40)
oo

since ^(.n-s+\)Pn+i=Lq.
n=s

This verifies the Little's formula for Wq.

Further the relation

W = Wq + —, holds in general.
M'

W =^
A> P'
using(7.5-40)

= + ("^-5-29).

This verifies the Little's formula for W and L.

7.38
 s-\

g<0)=P(Y,=0)=X^P,„
n=o

g(yq)=o'(y,) =
n=s

=0, yq < 0.
(7.5-39)
g(0)represents the point probability,g(yq)represents the pdf.ThiK tKo
queue(for a customer). ' waiting time in the
oo

Wq =E{Yq)= O.s(0)+1 y,Sfyq\dyq.

(i) P„,=£p„ s, S+1

X'

(7.5-40)
since X(n-j+l)P„+i =L(,.
n=s

This verifies the Little's formula for Wq

Further the relation

W = Wq +^, holds in general.

H'

^= using(7.5-40)

= ^(f^+P)=^. using (7.5-29).

This verifies the Little's formula for W and L

7.38
7^.4 (MIMIs):(FCFSIral ~)= ■^"•'TIPLE-SERVER MODE^
POISSON INPUT AND EXPONENTIAL SERVICE, WITH A FINITE STOR-
AGE SPACE m. m > s

The assumphon. a« .he same as in .he model of Sec.ion 7.5.3 exeep..ha. .he sys.emcanno.
hold mom .han

—tr—- ^ ^
parameters of the birth and death model become
= = = ^« = Oforn>m.
(7.5-41)
|i„ = n|l if and = if « ^
Hence Cn = f".
In
for n = 0, I, 2, s- 1
P"-^ n=s,s+l, ....,m; Cn = 0,forn = m+l,(m+2), .... (7.5-42)
, n-s^
SIS

and Pn = ^
In
Po; n =

- —2— Po; n = S, s+1 aa.

n-s
s\s'
(7.5-43)
= 0, forn = m+l, m+2
m

Using the fact that X ~

n=o

(7.5-44)
s
Po= 1/ 1 +p'

/ (m-s) (m-.y+l)
I j— and 2
If ^=1, Po=-
1 +p-(m-5+l)+ X In
„=i

7.39
 m
s+\
Lq= J^(n-s)Pn =^
n=^+l ~ (\-uf Oi

where [/= -^, ifU^tl. (7.5-45)

s in

Further, L= ^nPn + YpPn.

«=1 n=s+l

^L(n-l) n=s+\ /Z=5+I«

^-1 m-1

- P S''"+i'9+P>JP„. smceP.^,=£p„ for„ = s,s+l

n=o

6n-\ ^

= P iP" + Lq
n=o
V y

- Lq +(1 -Pin)p.
(7.5-46)
" m-I

Further X= X^^«= !«>„, si„ceX.,= X,

n~o n=o

— A,(l—P/^i).
(7.5-47)
From(7.5-46) and (7.5-47), the relation

L = Lq + — is verified.
It (7.5-48)
 The conditional cdf G of Y„ the waiting tinte in the qneue of a cnstonner, who has just
arrtvel given that he enters the s'ystetn can be obtained by combtntng the argnntents g.ven ,n
Sections 7.5.2 and 7.5.3. We obtain :
G(yq 1 A)= 0 for yq < 0,

£
G(olA)=
tt=o

s-\
dt /PiA),yq>0, (7.5-49)
G(yq I A)=
^ /I
n-o

where A is the event fh

thatt 'The arriving customer enters the system'. Hence P(A)= 1 - Pm-
The ar

Hence the probability distribution of Yq is

i-i

8(0,=P(Yq = 0)=l5^^'n/C-''»'-
n=o

m-1 rW<7
__5 c
/(l-Pm), for yq>o
g(yq)= G'iYq\A)-
n—s

=0for yq < 0-
Vna time of a customer in the queue
Hence the mean waiting tim
m-1
oo (n-5+1)

Wc ,=£(Y,I A)=o.s(.o)+jyi
^ __(n+l::£)__, since Pn+l = fP"' for n -s,s + 1, m-1.
=X y (1-Pm)(-^1^)'
fl—s

£(M)Pi
_ 1=^+1 ^ putting "*■
~ 'kiX-Pm) '

7.41
 Lq ^
X(l-Pm) X (7.5-51)
This verifies the Little's formula for Lq and Wq.
Further, using the formula :

W = +^ (7.5-52)
we get

a.5-53)

This verifies the Little's fortnulafor L and W.

7.5^(MIMIs)=(FCFSIKIK)t MACHINE REPAIR MODEL
Suppose that a ftrm has K tttachines and has s ,e .•.
machtnes which breakdown,s S K.Suddosp th in parallel to repair the
exponential distribution with parameter X fV breakdown of a machine has an
service-time of each machine is exponent'T a independently. The
each repairman.The »vice-times~X;« f ^
Given that n machines are in th as well as for machines.
ofsystem).
a machi^"then^T
T is measured fromThe""^'^
^""''bon^ng.'ut 1^ ^
arrival of a ml w
or""dor repair)
breakdown
present instant. Hence ''bme to the repairshop (queueing
T= Min.(Ti,T2,.. Tr) r

)until breakdown of the ith working

Due to the memoryless nro

^={K-n)X. Thus,the time Thus,T is ev exponentially distributed

system is exponentially diet u (arrivan ^ distributed with parameter
Thus,axiom 1 of'Th B^hITh' ^"machines in the
^eath process' is -0,1,..., K; =0 for n > K-

7.42
Expected value of queue-length :

K K

Lq = Y,(^-s)Pn= Y^n-s)Pn, (7.5-57)

/i=i+l

which can not be expressed in a compact and simplifed form.

Expected number of machines in the repairshop:
K

i-S"En = X "f""+ X(n-s)P,.+ sP,,

1=1 n=\ i=s+l
1=4+1

K
- 21(i^l)»-n+l)p«p„+i,^+y
1=1 ^ '^P^"-1'since sPn =(K-n+l)pPn-1.
forn = s+l toK.Puttingn-l = i in both the su mmations
we get
4-1 ^
^£(f){K~i) p'+i Po+y
/=o
)PPi+ La
i=s

= P X(f-0Pi ■<?, "otingthat(K-i)Pi^o

i=o when i = k.

Thus,L = p(/C-L)+L<^.
Further, the mean effective (7.5-58)
rate of arrival :

*'°X^''"=X(K-n)XP„=>,«-n
n=o ^).
(7.5-59)
From (7.5-58) and (7.5-59) iff „
follows that
L = La ++ ^ which verifies the
general result (7.4-23)
Fruther, from (7.5-58),
L = (p/f-hL,)/(l+p)

(7.5-60)

7.44
 - ■• - - ■ •- ■* ■ '"' V'VJ> V

Expected value of queue-length :

K K

Lq = Y,{n-s)Pn = Yj.n-s)Pn,
(7.5-57)
n=s n=s+\

which can no, be expressed in a compact and simplifed form.

Expected number of machines in the repairshop ;
K s K
i = Xn P„ = £ ^ ^y
«=1 n=l n=s+l
«^+l

K
- ^ (n-i) (iir-n+l) p"
Since sPn = (K-n+l)pPn-l,
for n = s+1 to K. Putting n i ••
>'"both the summations, rve get
+ Ln
l=s

= P Xfif-oPi +L
'9' noting that (K - i) P; ^ q
/=o
when i = k.
Thus,L = p(/C-L)+Lg.
Further, the mean effectiv (7.5-58)
^ rate of arrival :

X^Pu = X<^-nRP„.,
n=o
(7.5-59)
From (7.5-58) and (7.5-59),!'t follows that
^ + - which
p' """""verifiesthe
Fruther, from (7.5-58)
g""eral result (7.4.23)
L = (p/^-hL,)/(l+p)

(7.5-60)
 and Lq = L(1 + p)- pAT. (7.5-61)

Distribution of the waiting time of a customer in the queue.

Consider a randomly chosen instant, when an arrival of a customer occurs. Let Yq be the
waiting time in queue of this customer. Let G be the conditional cdf of Yq.

G(t)= P(Yq < tIA), A is the event that'An arrival occurs at a randomly chosen instant'.
= 0, t < 0.

G(o)= P(Yq = olA)

j-l

= ^P{An I A), where An is the event that 'the arriving customer finds n customers
n=o

in the system'.

P{AnnA)

P(An)P{A\An)
~K

Y,PiAi)Pi.A\Ad
i=o

Pn(K-n)XAt
~~K
^Pi(K-i)lAt
i-o

J^{.K-i)Pi
1=0

Thus,G(o)=
/l=t7

Fort>0,G(t)= G(o)+ P(°"^^'''^

7.45
 K-l

= G(o)+ I -4)^(0 <Yq<t\ A;,nA).

n=s

Given AnO A,i.e. given that an arriving customer finds n customers (n > s)in the system
then

Yq = Ti+T2 +....+ Tn-s+i,

where
Ti's areTi,T2,....Tn-s+lexponentially
independent are inter-service-completion timesvariables
distributed random until thiseach
constome
with ^ server.
the conditional probability distribution of Yq given AnO A is ^ Thus,
and(s,). 8™™ parameters <„.s„)
Thus,for t > 0

G(f)=G(o)+y
' ^ (K-L) Jf
' („-,)! dx.
n^s o

Thus the probability function of Yq is

g(o)= P(Yq = o)= G(o),

g<t)=o'(t)=x^^^
^ (K-L) („-,)! .'>0; g(t)=o^
(7.5-64)

Hence, Wq — E{Yq)— O.g(o)+ J tg(t)dt

_ y (AT-n)(«-j+l)
n=s

K-l
_1 V p ,(n-J+1)

Eg Lq
XiK-L) I■

(7.5-65)
7.46
 This verifies the Little's formula for Wq and Lq. Further, we have the general formula ;

W = Wq +-

which, on using (7.5-65), gives

H/=— +-
X{K-L)

_La +{K-L)Q
UK-L)

-, on using (7.5-58).
X{K-Ly (7.5-66)

= k which verifies the Little's formula for W.

A,'

7.5.6 (MlMln): (FCFS1«»1<» ), WHERE N IS THE STATE OF SYSTEM.(MlMloo):

(FCFSloojoo): SELF- SERVICE MODEL.
Arrivals are in the Poisson process with a mean rate X, service times are independent
exponentially distributed random variables each with parameter )i. The number of servers is
infinite. For example a self-service situa-tion, where each arriving customer serves himself, i.e.
if at time T,the number of customers,N(T)= n, then at time T,there are n servers in the system,
hence |li„ = n\i for all n.
IC can be easily seen .ha. condi.ions (7.4.5) and (7.4.6) -'ua.ion ane
aa.isned forallX and Using.he resuLs of.he biilh and dea.h model,.he s.eady s.a.e probabili.y
distribution is :

Pn =-2^p.n-i
L/i
9 '^ D =- since in this case p« ="P. for n = 1, 2
n- i,L, J, ..., H
and A.„=A. for
"= 0,1,2, Using the fact that
oo

= 1, we get Po = ^

((7.5-67)
Thus, = n = 0,l,2,
Ln

That is, the state of system, fvT

N,laoc
ha Poisson distribution with parameter p .

7.47
 Further,N — Q+ U,where N is the number of customers in the system,Q is the number®^
customers in the queue and U is the number of customers under service.

1length Q =0®
at each instant. Hence N customers in the system (at any instant); the que«»'

Lq~Q, L = Y^nPn = p, Wq =0, W =-=^ (7i^8)

The * I .
aU fee time. Whenever the nir°K ^"lean rate X. One server is there in the
positive
^ ong integer)
as n > Kan and
additional
leaves thf»^^ system
in. Thesatisfies
additionaltheserver
condition
worksnpart
> Ktime
(K ^^^yj
exponentially distributed"each
each with parameterwhen
|a. n ^ K. Assume that the service tim
"^e necessary and sufficient p .j- •
for all n ^^
«iistnbution is Pn= p« ^^^ ^^ = 2|i when n > K.The steady-state pr"''®''
= -^p
^n-K'^o,n>}^

Po=:ihP)(^
(2-p_p«:^Y Where P =iA<2n
Pro

r^-or is employed:
(7.5
X'K-h (2-p.,p«c+i ■
^"e mean "
"ffhe
"Umber
L's ''"^fomers in the system, while in steady st^^'
+ ^—(ggjgr^p)(i-p) (7.5'^
(2~P)(2-p-p^+i)

7.48
 Suppose C, is the cost per unit of titne due to the presence ofa custottter.n the system and
C2 be the cost, per unit of time, of the additional server, who ts paid only forthe time he is
employed. We warn to compare this model with the usual single- server model. We assume that
p <1. In the usual single-server case,the mean ofthe number of customers tn the system.
X P
1-p p'
The expected cost per unit of time m the usual(MIMI1) model

ji PYnpcted total cost per unit of time

In the modified (MIMll) model,the expected
= L'C] + C2 P(n > K).

Hence the modified(MIMI1) model is advantageous if and only if

L'Cl + CiPin >K)<LCl
which, on simplification, gives

1 „f
The optimum value of ic
K., which minimizes the expected cost function
(7.5.73)
C(K)= L'C\+C2P(n>fO,
can be obtained by solving the equation .
(7.5-74)
K-{\ p) Q 2-p InP
I ^ r \

forK^Supposexlsther.lnu^^^^^^^^. above equation,then the optimum value Ko of

K, which minimizes C(K)is oo

Ko = X if X is an integer.

Ko =[x]or[x]+ 1, if X is not an mteg

In the latter case, one P optimum value of K. (7.5-75)
and C([x]+1). Whichever gives the sma
7.49
 It can be shown that the optimum value, Ko, of K satisfies the inequalities :

K +2

The above results are valid if K > 1. For values of K = -1 and 0, we have the following
results.

If the additional server is kept all the time, then the modified (MIMIl) with K = -1 is the
same as the two server model. From Section (7.5.3), with s=2, we get
2-p^ L'=-i£-,
2+p' 4-p^' (7.5.78)
Hence the expected cost per unit of time if the additional server is kept all the time:

4p
C(—1)= ^ C\ + Ci
(4-p ) (7.5-79)
If the additional server is called in as soon as n > 0 fi e • u .. i
server is called in whenever the number ofcustomers in the svstem i ° 'Is,the additiona
L'and P(n > 0), it can be shown that the expected cost, per unit of t^meTs'^^'^^'
C(o)=-^
(4-p2)
Ci+^C2.
2+p (7.5-80)
The results have to be calculated independently without using the previous results.
If the additional server is called in whenever the svstem h i
n> 1 or K=l),then from the results ofthe modified(MiMin two customers(that is
per unit of time is : ® K = 1,the expected cost

C(1)=-^Q+^C2.
(4-P) 2+ p
It is easy to see that

C(-1)>C(0)>C(1).
(7.5-82)

7.50
 This shows that there is no point in calling in the additional server(on part-time basis) when
the system is empty or has just one customer. Thus,the optimum value, Ko, of K satisfies Ko^l.
Example 7:Let p = C2=40,Ci = 10. Then the modified(MIMI1)model is advantageous over
(MIMI1)if K > I(using 7.5-72).
Thus, the permi.ssible values of K are 1, 2, 3,4,
Solving equation (7.5.74) by the fixed point iteration, we get
X ~ 1.989 and so [x]= 1.

Thus, Ko, the optimum value of K is either I or 2.

It will be seen below that C(2)< C(1), so that Ko=2. The expected cost per unit of time in
the usual(MIMIl) model

= —2—Ci= Rs. 10.

(1-p)

The expected cost, per unit oftime, in the modifled(MIMI1) model are :
C(-1)=Rs.45.33, using (7.5.79), when the additional server is employed all the time.
C(o)= Rs. 21.33,using(7.5.80), when the additional server is called in wheneverthere is at least
one customer in the system.

C(l)= Rs. 9.33, using(7.5.81), when the additional server is called in whenever the number of
customers in the system is at least two,(n > !)•
Further,C(2)= Rs.8.79 using(7.5-73) with (7.5-70)and(7.5-71),and C(3)= Rs. 8.98.Thus the
optimum value of K,is Ko = 2.
. •inequalities (/.3
Further Ko=2, sat sfies the (-7 5-76) and^
(7.5-77).
'If the additional. server
. is called
whenever the state ofthe system is 3 or mote,then the expected cost wtll be mtntmum.
7SS(M1M12):(FCFS1 ~ 1 ~): HETEROGENEOUS SERVERS
(D The queueing system with Poisson input with a rate X and with two servers having service
times,each exponentially distributed with parameters b, and fc(P,> fc). When both the
servers are idle,then an arriving customer wtll be assigned to the faster server,whose rate
is B, Whenever the faster server becomes idle due to the completton of service of the
customer with him and due to the fact that there is no customer in the queue at the instant

7.51
 of this service-completion,then the customer with the slower server, if any,is transferred
to the faster server.

Thus = X,for n = 0, 1, 2,.... and [i] =Pi,ii„ = pi + P2 for n = 2,3,... .

The necessary and sufficient condition for steady state is Pi + p2.The steady-state
probability distribution can be obtained using the birth and death model.

pi(pi+P2)'^""p,(p,+P2)"-''
TT p _ Pl(Pl+p2-X.) D _ A.
" pidli+fcWz' '"Pi "•
x"
Md Pn= -7 Po, n = 2,3,... .
pi(pi+p2)''~' (7.5-83)
00

^~ jT ('7 5-84)
P1+P2

3
and Lq= ^(n-2)P„=
"=3 Pi(Pi+p2)^(l—^^2" (7.5-85)
P1+P2
It can be easily shown that

L = Lq-f 2(1 - Po)- Pi,

(7.5-86)
I ^(Pi+P2+^)
Pl(PH-P2)+XP2'
(7.5-87)
The probability distribution of Yq,the waiting f •
customer can be easily obtained.Let G(t)be the cdf ofT ^ randomly chosen
Then G(t)= 0,t <0,G(o)= P(Yq = o)= Po + pj
For t > 0, G(t)= P(Yq = o)+ P(0 < Yq < t)
00

= f'+f'l+'ZP(A„)PVKY,inA„l
11=2

7.52
 where An is the event ; 'there are n customers in the system just before the customer
arrives. Thus,for t > 0,(writing S for Yq)
oo

G(t)= Po +P\+ ^P».P{S<t\ An), (7-5-88)

n=2

where S = Ti-fT2+....+Tn-i; Ti,T2,....,Tn-! are interservice completion times until this

customer gets into a service-channel. It is easy to see that Ti's are independent and each
Ti is exponentially distributed with parameter pi-hp2. Hence S has gamma distribution
with parameters(n-1)and Thus,for t > 0
T- D Jf tpi+B2)kPl+P2)l—
G(0 = Po +''l+ X?" r(n-l) «-j(Pi+P2)j (7.5-89)
^ >
77=2 (7

Thus, Yq is a mixed random variable, with probability function g(t), where

p(Yq = 0)= g(0)= Po+Pl

and the pdf g(t)- r(rt-l)

n1=2

= 0 elsewhere . (7.5-90)

Hence the expected waiting time in queue

oo

=(Pl-^p2^'
rt=2

%
n-2

r This verifies
_ ~!3- S- c the
the i-Little's formula. (7.5-91)
'X'

7.53
 The mean service time of a customer can be evaluated as follows. Let S denote the
service time of a randomly chosen arriving customer.

E(S)= P(A|)E(SlAi)+ P(A2)E(SIA2), (7.5-92)

where Ai(A2)is the event that 'the customer gets the faster(slower) server initially at the
time of his entry into the service facility.

On arrival, if the customer finds (i) the system empty, he gets the faster server(ii) exactly
one customer in the system, he gets the slower server(iii) more than one customer in the system,
he joins the queue.The probabilities associated are Po,Pi and I-Pq - Pi respectively. In the case
(iii) at some later time this customer will be the first in the queue. Reckoned from this time, let
Yi and Y2 be the times required respectively by the faster and the slower servers to finish the
services of their respective customers. If Yi < Y2, this customer will get the faster server
otherwise, this customer will get the slower server. Due to the memoryless property of the
exponential distribution, Y1 and Y2 are independent exponentially distributed random variables
with parameters (3i and P2 respectively. Hence

B2 I
and P(A2)= Pi +(1 - Po - Pi)TjT^. Also E(S I Ai)=-L
Pi - (7.5-93)
To compute E(SIA2),letTi and T2be the times required by the faster and th
to finish the services of the customers with them. If Ti > T2 then the serv" f^ servers
complete and S = T2.If Ti< T2,then there are two possibilities. If at the i ^° customer is
server completes the service, there is no customer in the queue then
transferred from the slower server to the faster server, otherwise this " ^"stomer will be
the slower server and the above process repeats. In the former case S with
the time taken by the faster server to complete the service of this custo '^ '^^ere Ti' is
the second case S = Ti + S', where S', is the remaining service timp ^u- ^ transfer. In
i„seanl.n,us, after this

E(SIA2)= PCTi > T2)E(T2lTi > T2)+ P(T| < T2) E(T, t
< l-P..) T, IT, < T2 and transfer
occurred) + P(T| < T2) E(Tl + S'lT, < T2and no transfer occurred).
The conditional CDF of T2 given Ti > T2 is given by

7.54
 P(T2 < tITi > T2)

J J(^]^2)e clt2
_ P{T2 <t,Ti> T2) ^ oj2
^(7-1 > T2) P{T\ > 72)

= p2/ dt2/P{T\ > 72).

O

Thus, the conditional pdf of T2, given Ti > T2:

g(t2lT| > T2)= p2 ^-'2(P'+P2) /p(T, > X2), t2 > 0.

00

Hence E(T2lTi > T2)= J ^2 g{t2 I 7i > T2)dt2

= p2/[(pl+p2)^7(7|>72)].
Similarly E(Ti IT 1 < T2; transfer occurred (or didn't occur))

= pl/[(pl+p2)^7(7i<72)]
Further T\' and S' and independent of the events T] < T2 and transfer occuired (or
did not occur).

E(7i'ITi < T2 and transfer occurred)=^and

E(S'ITi < T2 and no transfer occurred)= E(S IA2).

02 Fi Pi P\ Pi 1
Therefore, E(SIA2)= ——^ « n 2 n \ TiToT-TP +
(P1+P2) (P1+P2) o)(P1+P2) Pi
i\-Po-Pi) Pi , Pi (1-Po-Pi),.,,, ^
{\-Po) '(pl+p2)^ (P1+P2) (1-Po)

Hence E(S IA2)=

(l-Po)p2+plPl (7.5-94)

7.55
 Substituting from (7.5-93) and (7.5-94)in (7.5-92), we get(on simplification)

E(S)= :^+ 2(l-^

Pi Pi+p2 (7.5-94)
Substituting the value of Po from (7.5-83), we get

E(S)= (P i^'Pi+A.)
Pi(Pi+P2)+Xp2 p 5.95)
Hence from(7.5-87)it is easy to see that L = Lq -1- XE(S). (7.5-96)
Further, W = Wn + F/S)-hi , . (P1+P2+X)
^ result
using(7.5-87) we obtain the Little's PKpi^P^u^

(7.5-97)
ai): Ifi"themodel(I)allotherconditionsarPth.
server to the faster one(as mentioned K transfer from the slower,
to the one used in the birth and death mc^el using an argument siniU^

'pim-XAT)(i-smr A„
P,(T*AT}^P^T)n nr-Tj- ^ '"'''^®^'^^+ P|0(7)U7'+i'0l(D'^'
' .,5.3.
which give fce following . _„ >3

/-cm

TK (7.5-99'
Thenecessa^a„d.„„ieie„.eo„dUio„fo,,,^,^,^^^,'
'^S^<Pn-p2.
7.56
 Assuming that the steady-state situation is reached, then with the usual notation ;

-XPoo + ^\ ^10+ 132 Po\ =0.

"kPoo-^^iPw -(X+|3i)Pio = 0.

PiPii-(A- +(32)Poi=0,

-(X+pl+p2)P2+(Pl+p2)P3 + UP\Q + /'OO =0,

—(A,+Pi-l-p2)Pn+(Pl+P2)P;i+l + /i-l n > 3. (7.5-100)

Here Poo, PlO, Poi mean that both servers are idle, the faster server is busy and the slower
server is idle, the faster server is idle and the slower server is busy respectively. Pi i is the same
as P2. Solving equations (7.5.100) we get:

P0\=X^Poo/{i2X+M2)^2]
PlO = A,(^+Pl+P2)Poo/[Pl(2A,+pI-t-P2)]

P2= X^(X+p2)/'oo/[plp2(2X-l-pl+p2)]..
= X[Pl0+P0l]/(Pl+p2).

Using the fact that Poo +(PlO+Poi)+P2+P3+.-.= 1, we get

X(X+^2)(Pl+P2)^ ' (7.5-102)

Poo —
^ P1P2(P1-I-P2-^)(2X,+P 1+p2)
It is easy to show that

L =(Pi-i-P2)^(Pio+Poi)/(Pl+P2-^)^> 0-5.103)
X
Lq- (Pio+Pol)- (7.5.104)
P1+P2-A,
V

^(Pi+P2)(A.+ pi + p2)(A.+ P2) (7.5.105)

and L = Lq + 2(1 - Poo)-(PlO + PoO p^ p2(Pi + p2- X)(2^-h pi + p2) °'

7.57
 The probability distribotioo ofthe waiting time in the queue can be obtained by a nteihod
similar to the one used in (1) and it is easy to see that
(7.5.106)
w,=^.
of
By an argument similar to the one used in (1) it can be shown that the mean service tim
a randomly chosen customer is ;
Bi 1
E(S)=[Poo+P01+(l-Poo - Poi - Pio) —j5-l
P1+P2 pi

./I')?-

+[PlO+(l-Poo - POI - PIO) P1+P2 -;r-

p2
Substituting the values of Poi and Pio, it can be shown that

E(S) = (Pi + P2)(A.+ Pi + p2)(A- + p2) p - ^07)

PlP2(Pl + P2-X)(2A.+ pi+p2)
Using (7.5-105),(7.5-107) and the value of Poo,Pio,Poi it can be shown that
L-Lci= XE{S), (7.5.108)
i. • vdh\c\xshov/s\hat^=^+ E{S)= Wq + E{S)= W.
Thus, we get W =t

which verifies the Little's formula.

Remark 7.1: The results for Pn T T \\7\xt ■ r. ..hang®')
if the service discipline FCFS i's repLedTv "Us of 1"'
probability distribution of the waiting tta- 7 '"l set^f
disciplines. * (queue) will not hold in other ser
7.5.9; A SINGLE SERVER OTTP'TiTi' xiA-*ri
rate,exponentialservice ^
with a constant RATE:
Assume that there is a single server with. ip ll.
' ^'^Ponential service with an average rate R
nriai vanates
interarrival times are independent exponential variatP with
-u variable parameters Xn = JL-

7.58
n is the state of the system.(This may happen when the customers are discouraged to enter the
queue by seeing its length). In this case

'koX\...Xn-\ p" A, n I
Cn — — I > P ~ , n — 0, 1, 2,.... (7.5-110)
Pm2....|i/) In p

Hence the results are the same as in 7.5.6.

A further application of the birth and death model where the service time and interarrival
times are exponential with state- dependent mean service rate and/or mean arrival rate is
illustrated by the following example.

Example 7.4:Patients arrive at an average ofone every five minutes. Assume that the interarrival
times are independentexponential variates.There is one doctor at the medical center.The average
service rate is 2p(l-2~") per minute when there are n patients in the system, p='/4. Find the
characteristics of this model. Assume exponential service.

Solution :

1 1 1

H-l
/
1 2.4.8.... 2'
C/i —
1 3 7 2''-l 5 3.7....(2"-l)
1 ■ 2 ■4-

Pn — Cn Po, n — 1,2,

32 512
Co= 1,C1 =7
^ = 0.8,'-^
C2 = ^
75 = 0.426667, C3 = 2625 = 0.195048

C4 = 0.083220, Cs = 0.034362 C6 = 0.013963, C7 = 0.005629,

(78 = 0.002260, C9 = 0.000906 (7(0 = 0.000363, C|i= 0.000145,

Ci2 = 0.000058, Ci3 = 0.00023, C|4 = 0.000009

C|5 = 0.000004, C|6 = 0.000001 .

^-l
1
Po = = 0.390220,
2.562658
n=o

Pi = 0.312176, P2 = 0.166494, P3 = 0.076112,

7.59
 P4= 0.032474,P5 =0.013409,P6= 0.005449,
P7 = 0.002197,P8= 0.000882,P9 = 0.000354,

PlO = 0.000142,Pi 1 = 0.000057,P12= 0.000023

Pl3 = 0.000009,Pi4 = 0.000004,P15 = 0.000002

P16 = 0.000000.

L =0.312176 + 0.332988 + 0.228336 + 0.129896 + 0.067045 + 0.032694 +

+0.015379+0.007056+0.003186 + 0.001420 + 0.000627 + 0.000276 +

+0.000117+0.000056+0.000030

= 1.131282

Lq = 0.521498, W = 5.65641 minutes,

Wq = 2.60749 jninutes.

7.6 GENERAL DISTRIBUTIONS

So far, we have assumed that hoth iuterarrival titnes and service times have exponential
distribution.

The exponential assumption for interanival times is quite teasonable,since the number of
arrivals ,n the fixed interval may be Poisson when the axioms of a Poisson nrocess are satlsfi«l-
But it may not be true if the artivals are regulated or scheduled.The service time distribution is
mostfrequently not exponennal especially when the servicefor each customer is almost simiinn
However,queueing models with mter-arrival time or sprvif... u . , .j-tri-
bubon are not easy to handle analyticaUy.Some of the aSr"'
DSZor"®"" AND ANY SERVICE TIME"
We assume that there is one server. The servlpnx »• • • He-
pendentrandom variables,having the same distribution customers are xn
has a Poisson distribution with the mean arrival rate
rate XA,ne ^ oftime.
per unit of arrivals
Let T beinthe
afixed in etim®
service
for an individual customer with E(T)= -L
|X
and Vm - „2 .„ he
V ; a . The steady-state condition wui
X
reached if p ^ ^ • The results are *.
M'

7.60
 }?■ , p + Lq,

Wq = ^, W=Wq + ^^.
Note that if is large, L,, L, W, and W, will be large. This shows that for small length of the
queue, not only the service rate be large, but the server should be consistent, i.e. should be
small.

7.62 A queueing mdel with exponential input and constant service time. For single server

the tesults can be obtained from those of Section 7.6.1 by puttmg <J - 0.
Remark 7.2 : Real life queueing problems may be quite cotnplicated. As examples, the
interarri val time or the service time may have genetal disiributions. The service rates for different
servers may U vi ffrarrant Ttit icis auite
be different, quuc dlfflcult
to cnumcrate all the complications.
uim i »• i i Simulation is a
. . r. rvrnhlf^ms which do not possess analytical solutions,
much used technique for queueing problems wnicu f

SOME MORE SOLVED EXAMPLES

I e i,.xe t«/n sales-eirls at the counter. If the service time for each
Example 7.5 : A ® minutes and if the customers arrive in a Poisson fashion at
customer is exponential with mean 4 minuie^, a
the rate of 10 per hour.
1. . r..,ctr.mpr has to wait in the queue for service ?
(a) What is the probability that a customer has to w 4
r fhA idle time for each girl? Also compute other characteristics of
(b) What is the percentage of the idie umc
the system.
, mndpl with Poisson input and exponential service time is
Solution : The multiple server m
applicable with s = 2AA = g1 P®*^ ^xiniite ^a = 44 ^per minute for each girl. (Note that p. is the rate
of service per minute per server).
X 2
P> = 3
-1
2-p _ i
Po = 1 + P + —tt 2+p 2
2(l-rp)

7.61
 /'l=pPo=j.
(a) Probability of having to wait in the queue for service

=/'[n>2]= 5;/>„
11=2

= l-Po-P\

2 3

I
6'

(b) The percentage of idle time for each girl

= 100(Po +|Pl)
=4
Alternatively, the utilization factor

=~
s
=^',
3
therefore
Probability that a girl is idle = 2/3.

(c) Expected number of customers in the queue

= Lg =^2X^(2il-X)-^Po.
X
12'

Expected number of customers in the system

Wq = Expected time in queue^ ^(minute)

7.62
 W =4^ minutes.
Example 7.6:In a railway yard, goods-trains arrive at a rate of 30 trains per day. Assuming that
the interarrivai time follows an exponential distribution and the service time distribution is also
exponential with mean 36 minutes. Calculate

(i) the mean number of trains in the yard.

(ii) the probability that the number of goods-trains at the yard exceeds 9.
Assuming that the yard can admit only 9 trains, calculate
(iii) the probability that the yard is empty.
(iv) the mean number of goods-trains at the yard.
1 1 • .. ^-1
Solution • ^=^ P®*" minute, P-
A.
/j) = = 3 is the mean number of trains in the yard.
p.- A,

(ii)
V /
n=10 «=10

(iii) Po =-^—7?I
1-p'"
=0-265 approximately.

(iv) ^=7^-^=
Example 7.7:A parking lot has 5 parking spaces of cars. Cars arrive,for parking at the lot, in
a Poisson process at the rate of 8 cars per hour. The parking time of a car is exponentially
distributed with a mean of 30 minutes. When all the 5 parking spaces are occupied, then any car
that arrives goes elsewhere for parking.
(a) Whatfraction ofcars,are lost as customers to this parking lot,i.e. go elsewhere for parking?
(b) What is the per hour effective rate of service of the parking lot ?
(c) Find the mean number of cars pariced at the lot.

7.63
(d) The caK that park at the l<« pay a fixed charge of Rs,2 per car(irrespective of the parking
time of the car) plus tnpee one per hour per ear for the parking time. What is the L hour
expected revenue of the service-station.

Solution:(MIMI5):(FCFS15H model is applicable or the birth and death model can be used
We use the second alternative. The student Is advised to use the first alternative.
A,= 8 cars/hour, |i = 2 cars/hour.

C2=|x8=f.C4=-^ C,4. S^32

8" 3 ~ 3'

C5=ilc4=^ =
\15 3 • 10 15 •

-1

15
Po = 1+ X 15
/=1 15+60+120+160+160+-128 643
(a) Fraction ofcustomers lost

128
= P5 = C5Po =
643"

(b) Per hour effective rate of service

128
= li=Ar= >.(l-P5)=8fl "643 = 6.407465.

(c) Mean number of cars at the parking lot:

5

L= 2^nP« = 3.208.
n=l

(d) The mean per hour revenue of the parking lot

= Re IxL+Rs 2x jl
= Rs(3.208+ 12.815)
= Rs. 16.02.

7.64
Example 7.8: Customers arrive at a service-station in a Poisson process at a rate X per unit of
time. The service-station has to choose one of the following two alternatives :(i)To employ two
servers to work in parallel each with a service rate p..(ii)To employ a single server with a service
rate 2\x.

Assume that the service-time distribution in each case is exponential. Assume,further, that
the operating costs (including wages etc.) of the two arrangements mentioned in (i) and (ii) are
the same. Considering only the expected costs (per unit of time) of the lost time of customers in
the system, which alternative should be chosen ? Assume that X < 2p.
Solution :In the first arrangement,from model (7.5.3) with s = 2

o
Po=
2p-X .. 4pXTo-
and L = —^
211+x 4vr -r

In the second arrangement, the mean number of customers in the system is given by
X
Li =
2ii-X

_ A.(2p - X) ^
A\l?-X^ 2p+ >.
. . X .
This shows that, maintaining the same traffic intensity, — ,a single server queue results
in a smaller expected system length than a two server system.
Example 7.9: A factory, having a large number of machines, has its own repair-shop for the
repair of its machines, when a breakdown of a machine occurs. Assume that machine arrive at
the repair-shop in a Poisson process with a rate ^ ^ machines per minute.The repair-shop has
's' repairmen working in parallel. The time taken by a repairman to repair a machine is
exponentially distributed with mean 1 minute. The loss to the factory due to an inoperative
machine (while the machine is waiting to be repaired or is under repair) is Rupees 10 per hour
per machine, while a repairman is paid Rs.4 per hour (irrespective of the fact that he is busy or
idle). Determine's' so that the expected total cost per hour is minimum.

Solution : p =- =|. Let <I)(s) denote the expected value of the total cost per hour, when s
Ii 5
repairmen are hired,^(s)= 4s + 10 Ls, where Ls is the mean number of inoperative machines at
the repair-shop.

7.65
 For s = 1,Li = 4,0(1)= Rs. 44.

( For s = 2,Po =|,L2=.952, a)(2)= Rs. 17.52

For s = 3, Po = .4471544, L = .8189209,

^>(3)= 20.19. Hence s = 2 is the optimum value of s.

For s > 3, Ls > p = .8, hence <D(s) > 12 + 8 = 20. Hence the result.

7.7 TANDEM QUEUES:

In many queueing problems, service is made up of several phases and is rendered by

facdu.es .n senes. Such queues are called .andem queues. We will consider a simple model of
(I two servers m series. Customers arrive in a Poisson Droce« u/ith o . ^ . .. u
firs,and .he second servers in dra.order on a firs.JTr'T T a
.0 buildup in from of bofh .he servers. AssumelX;!;;^!^^
of two phases,each having exponential distribution and bein. . ° "^tstomers be made up
p, and w mspectively. We assume independence ofItlr^alltr
LetPn 1.n2(t)denote the probability that there are ni and n.
first server and the second server respectively at time t U * ^"^^^mers in the systems of the
in the birth and death model, we have; ^ reasoning similar to the one used
Po,o(t+ At)=PoMO(l-Ut)+ Po,i(r)(|i2AO + o(At)
Pnt.o(t+At)=Pn,fi(0O-^At)(l-^lAt)+P„, lorAfOiAA r.
(c
Pu,„,(r+Ar)= Pcu,2«Xl-XAr)(l-p2A<)+ PosuvUrXpjArUP, ,„
VM-2ar)+p, (r)(|j,iAf)+o(A0,«2 >
Pni,n2(t+At)='P«i,n2(OU-^0(l-|XlAO(l-M2AA + p
+ ^ni.n2+l(0M.2Ar + P,j+j ifAr.. AN
""l('>(>"'^'> +o(Af).r.,,„2>0. (7.71)
The above equations give

P'o,M) o,o{t)+|j.2 Po,i(0,

,(r)=-(UnO P„,.,(r)+
"1 >0
P'oMt)- (^+^^2)Po,n2(0+ ^2Po.n2+l(0 + Mip, •
n2>o.

7.66
 P'n\jn{t)=-(X,+|J.I+1I2)/'«i^2(0+^^"1-1.'>2(0 + M-2/'ni,«2+l(0 +
rti>0, ;i2>0. (7.7.2)
Assume that the system achieves steady-state. The steady-state equations are .
APo,0 = M-2/'o,i.

(U|Ii)P,„,o= + 1^2 PnuV, ni > 0

(X+|l2)Po,/i2 = V^2Po,n2+\ + m /'l."2-1; «2 > 0.

(X + M-i -l-^l2)/'nI,/l2 = ^^''l-l."2+ ^^•^«l+l.«2-l +f^2P/ii.H2+i;«I.n2>0. (7.7.3)
It can be shown* that

"I "2 X X
Pnun2= P P Po,o ,, where pi ="- P2"

oo oo

2S P«,,n2=I. gives S S
„2=0/i|=0 «2=0ni=0

Hence Poo =(1-PI)(1-P2)-

The necessary and sufficient conditions for steady-state are pi < 1 and P2 < 1. If Ni
and N2 are the number of customers in the first and the second systems respectively, then
oo oo

P{N\ = ni)= P«i,rt2= X P"' =(l-pl)p'l''. ni =0' 1'2.- (7.7.6)

n2=0 /i2=0

P{N2=n2)=(l-p2)p2^"2= 0, 1, 2 (7.7.7)

* Jackson, R.R.P.(1954, 1956). 'Queueing Systems with Phase Type Service'. Operations
Research, Quart. 5,109-120. J.Roy. Stat. Soc. B18(l), 129-132.

7.67
 Li = E(Ni)= Mean number of customers in the first system

= -^, L9,= p?/(l-.pi), (7.7.8)

1-pl

L2= E(N2)= Mean number of customers in the second system

(7.7.9)
- —,
1-P2
& Lq2=~^
1-P2'

where Ljq\.,Lq2 flre respectively the mean queue-lengths in the first and the second systems.
Equations (7.7.4), (7.7.5),(7.7.6) and (7.7.7) show that, in steady-state, Ni and N2 are inde
pendent random variables. It has been shown by Burke (1956)* that the output process of an-
(MIMIl)queue with an arrival rate X and with no restriction on system-length is again a Poisson
process with parameter X . This implies that the input to the second system (with the second
(I server)is also in Poisson process with rate X . Hence the mean waiting times in the system Wi,
I = l,2,(in the queue Wq^, 1 =1,2)for the two systems are given by the Little's formula,that is
Li
IVi=Y, (7.7.10)

W2=Y.(^92=^)' (7.7.11)

= , W2^Wtf2+~. (7.7.12)
pi p.2

The mean number of customers in the whole system

(c
(7.7.13)
1-pl 1-P2

and the mean number of customers in both the queues(combined)

(7.7.14)

The mean waiting time of a customer in the whole system

^~X' (7.7.15)

» Burke,P.I.(1956). of a Que„ei„gs ystera.OperauonsResearch4,699-704-

^

7.68
and the mean waiting time of a customer in both the queues(combined).
(7.7.16)
Wn-^
X'

(7.7.17)
Hence W = Wq + — + •

Using Burke's result mentioned above,it follows that ifthere are s servers(s > 1)employed
in series in a tandem queue, see Figure 7.3 with independent service times each exponentially
distributed with parameters respectively,then the steady-state probability distribu
tion of the state vector(Ni,N2>- ">Ns) is given by
P[Ni=ni,N2=n2v-,Ns=ns]= P ni,n2,....,ns
(7.7.18)
^ X
= n(i-pop?'. p'=r:'
i=\

where Ni is the number ofcustomers in the system with the i-th server.Further in the steady-state
the system with i-th server can be treated independently of other systems as an(MIMIl)queue
having a Poisson input with mean rate X and exponentially distributed service time with
parameter p/.

customer

enters the
system
Server Queue Server
Queue Server Queue ^Customer
2 s
1 leaver the
system

Figure 7.3:A queueing system with s single - server service station arranged in series

7.69
 PROBLEM SET VII

VII.1 Without using the birth and death model(Section 7.4)derive the transient state and hence
the steady-state probability distribution of the queueing model(MIMIl):(FCFSI«> |oo ).
Vn.2 For all the models of Section 7.5 (7.5.1 to 7.5.6), show that

W=Wq +-

where|l is the rate of service of a server.

Vn.3 A telephone exchange has two long distance operators. During the peak hours, lone
distance calls arrive in a Poisson process at the mean rate of 15 per hour. The length of
service on these calls is approximately exponentially distributed with mean 5 minutes
(a) What is the probability that a subscriber will have to wait for his long distance call
during peak hours? "
(b) What is the mean waiting time in the queue?

Answer:0.48 and 3.2 minutes approximately.

Vn.4 Find the percentage of the idle time of a server in(MIMIs):(FCFSloo joo) j
Answer: 100(1 -^).
s-l

Hint; Proportion of idle time of a server ="^(5-n)P„.

n=o

Vn.5 At a service-station customers arrive in a Poisson process at the rate

service time of a customer has an exponential distribution with mean 6
has to be paid Rs 4.00 per hour,and the cost incurred and born by th ^
to the presence of a customer in the system is Rs. 10 per hour per
n customer.
^ station due
(i) What is the minimum number of servers needed to avoid an i f ■
order that the system achieves steady - state situation. queue,that is, in
(ii) What is the optimum number of servers to minimize the mean cost h

7.70
 (iii) If the service station charges Rs. 20 from each served customer (irrespective of the
time devoted in serving him) what is the optimum number ofservers to maximize the
per hour net revenue of the service station?
Answer : 2,3 servers are optimum, 3 servers are optimum.
Vn.6 A TV repairman finds that the time spent on his jobs has an exponential distribution with
mean 30 minutes. If he repairs sets in the order in which they come in and if the arrival
of sets is approximately Poisson with an average rate of 10 per 8 hours day, find the
repairman's expected idle time each day? What is the expected line-length ?

Answer: 3 hours; 1^.

Vn.7 A shipping company has a single unloading berth with ships arriving in a Poisson process
at an average rate of3 per day.The unloading time distribution for a ship with n unloading
crews is exponential with mean l/(2n) days. The company has a large labour supply
without regular hours and to avoid long waiting lines, the company has a policy of using
as many unloading crews as there are ships in the system. Under these conditions find ;
(i)the average number of unloading crews at any time.
(ii) the probability that more than 4 crews will be needed.
Answer: 1.5 crews,0.019.

HINT:(It is a self-service model).

Vn.8 A bank has two tellers working on savings acconnts.The first teller handles withdrawals
only The second teller handles deposits only. It has been found that the service time
distributions for both deposits and withdtawals are exponential with mean service time 3
minutes per customer.Depositors ate found to amve tn a Potsson pt^ess throughout the
day with mean arrival rate 16 per hour. Withdmwers also arrive in a Poisson process with
mean arrival rate 14 per hour. What would be the effect on the average waiting time in
the system for depositors and withdrawers if each teller could handle both withdrawals
and deposits? What would be the effect ifthis could only be accomplished by mcreasing
the mean service time to 3.5 minutes?
Answers: 15 minutes for depositors, lOminutes for withdrawers,6.86 minutes and 14.93
minutes.

(Expected waiting times in the system).

Vn.9 Problems arrive at a computing center in a Poisson process at an average rate of 1 per
day.The rules ofthe computing centre are that any man watbng to get his problem solved
7.71
 must aid the man whose problem is being solved. If the time to solve a problem with one
man has an exponential distribution with mean time 1/3 day and if the average solving
time is inversely proportional to the number of people working on the problem (that is,
l/(3n) days,,f n people are working on the problem), approximate the expected time in
the centre for a person entering the line.

Answer:8 hours.
V
HINT: Self-service model is applicable.(Why?).

rnrdZrraPoisrdrh':^^ which needtepatrs

worki'nparalLrrt^licetoeT
mte of 20 machines per day. Assume that a day ™8houTdmro'n""''
V]

(a) on an average, how many hours of the day,all the three repairmen are busy7
oo

HINT:P(N>3)= y p_ =i25 a
Z- « 178- Answer: 5.62 hours
n=3

(b) What is the probability that all the three rpn •

(at any instant)? epairmen are idle? Two are idle? One is idle
VI

(OWhatisexpeetedproportionofidletimeforarepairman,
(a) What.sthepmhahilitythatamachinehastowaitforservice,
(e) What IS the expected queue length^

vu

vn.ll Two typists have identical

at random in a Poisson faei,-
.
vP'ng letters for nn rvff -.re
the time taken by any of theT ^'^ouvfovlTu ^Le
mean time of 15 minutes ^ '■yP'st separately.
a letter hn exponential Suppwith
distribution
(a) Assuming that each typist does h-
aletterl»forei.is,akenf„rtypi„g:7;j<;;;<.whati^
Answer:,45minutes,U4r. ,■aie time'''"^"-"°fiaie.imeforeachtypi^'
of each typist is 15 minutes in one hou')
7.72
 (b) Suppose that the letters of the two typists are 'pooled'. That is, letters are sent to the
two together and are done by whoever is free, in the order of arrival. What is the
expected waiting time in the queue for a letter in this case? What is the expected
proportion of idle-time for each typist? Comment on the results in (a)and (b).

Answer : 19.29 minutes, 1/4 (i.e. 15 minutes is the mean idle time of a typist is an
hour)

(c) Suppose there is a cost of letters waiting in the system, which is Rs. 10 per letter per
hour. Compare the two systems with respect to the waiting cost.

Answer: The mean waiting cost per hour in the "unpooled" case = Rs. 60 and in the
"pooled system" it is Rs. 34.29.

VII.12 Ships arrive at a refinery at the rate of 5 per week. The refinery has one unloading berth
with an average service rate of 10 ships per week. Assume Poisson input and exponential
service.

(a) What is the mean number of ships at the refinery?

(b) What is the mean of the time spent by a ship at the refinery?
Vn.13 In problem 12,the company has a second unloading berth with a weekly rent ofRs.7,000.
The service time for this berth would also be exponential with the same rate as its own
berth.For each lost week of a ship while at the refinery the company loses rupess 18,000.

(a) What will be the average number of ships at the refinery after the new arrangement?
(b) What will be the average time spent by a ship at the refinery?
(c) Is the arrangement profitable for the company?
Vn.l4 A factory has 4 machines. The time until break-down of a machine is exponential with
mean l Ohrs.The time to repair a machine has exponential distribution vyith mean 5 hours.
A repairman costs Rs. 15 per hour(He has to be paid whether busy or idle). The cost of
lost time of an inoperative machine(a machine which is either waiting to be repaired or
is being repaired)is Rs. 30 per hour per machine. Should the factory hire one repairman
or two repairmen? Justify.

vn 15 Trucks arrive at a service station in a Poisson process at a mean rate of 10 per hour. The
service station has two servers in parallel, each with a mean service rate of 10 trucks per
hour.Service times are exponentially distributed.There is space for only two trucks being
served and for two in waiting. If all spaces are filled up, the trucks will go to another
service station.

7.73
 (a) (i) What is the expected number of trucks in the system?

(ii) What fraction of customers are lost?

(iii) What is the per hour effective rate of service of the service station?

(iv) What is the proportion of idle time per server?

(b) Answer the same questions as in (i),(ii),(iii) and (iv) above if 3 spaces are provided
for waiting.

(c) If the provision of the 3rd waiting space co.sts a rental of rupees 5.00 per hour and the
revenue from the service of a truck is rupees 10.00, will the provision of a 3rd waiting
space be profitable for the service station?

Vn.l6 A company owns 60 machines which are automatic and need the attention of an operator
only when a breakdown occurs. A machine has meantime between breakdowns of2hours.
The operator can repair a machine at a mean service rate of 3 machines per hour. Service
times are exponentially distributed. The running time of a machine (the time until a
breakdown)is exponentially distributed.

(i) If 3 machines are assigned to an operator as a repairman

(a) Find the probability that the repairman is idle.
(b) Find also the mean number of niacnines
machinpc under repair or waiting for repair.
(ii) Answer(a) and(b)above if4 machines are assigned to the operator.
(iii) Suppose all the machines of the Commnv nr.. • t
machines to one operator, what is the ner h separately to 20 operators,
costs rupees 2.00 per hour and the
the machine
machine down time cost isCompany if theper
rupees 10.00 operate
hour?
(iv) Answer the same question as in (iii^ if i s ^
and 4 machines are assigned to each operator employed by the Company
(v) Which of the two arrangements /-x and (iv) is better for the Company?
ments stated m (i„)
(VI) Determine the optimum number of machines to h. •
. assigned to an operator.
Vn.l7 At a service-station customers arrive in a Po" .
hour. There are two servers workina: f Process at the rate of 20 customers po^
each serve, serve a cusro.,.;!; ' '"
is, - I offservice
the rate • ofeach server^Ponentially
is 8 . distributed with mean 7- 2 minutes(that
s omers per hour).If the number of customer®

7.74
 at the service-station is 5,an arriving customer is not allowed to enter the service-station
and is lost as a customer.

(a) Find the steady-state probabilities for this system.

(b) What proportion of customers are lost?
(c) Find X, the overall effective rate of arrival to the service-station.
(d) Find the mean number of customers served per hour.
(e) Find L, Lq, W and Wq.

(0 On completion of service a customer pays Rs. 30(irrespective of the time devoted in

serving him) and the cost to the service- station due to the presence of a customer in
the system is Rs. 15 per hour per customer and a server is paid Rs. 50 per hour
(irrespective of the fact that he is busy or idle),find the expected profit per hour of the
service-station.

Vii.18 Suppose that two repairmen working in parallel have the sole responsible of keeping 5
machines running. Assume that the time until breakdown of a machine is exponentially
distributed with mean 1 hour. The time taken by a repairman to repair a machine is also
exponentially distributed with mean 15 minutes.
(a) Find Lq(L),the mean number of machines waiting to be repaired(that are out oforder).
(b) What is the overall arrival rate of machines to the repair- shop?
VII.19 A university computing center has two computers ofequivalent capacity.Computingjobs
arriving at the center have exponentially distributed service time with mean 3 minutes
perjob. Thejobs are oftwo types,the university jobs and externaljobs.The are found to
arrive in Poisson processes with rates 18 and 15 per hour respectively. Which of the
following two alternatives should the center choose? Why?
(a) Using one computer for university jobs and the other for externaljobs.
(b) To pool the jobs and consider the system as a two-server system.
Vn.20 A factory has 4 machines. The time until breakdown of a machine is exponentially
distributed with mean 10 hours.The time to repair a machine has exponential distribution
with mean 5 hours. A repairman costs Rs. 15 per hour. He has to be paid whether busy
or idle. The cost of lost time of a machine when inoperative is Rs. 30 per hour. Should
the company employ one or two repairmen? Justify.

7.75
Vn.21 In a parking lot, there are 4 parking spaces only. Cars arrive in a Poisson process with a
mean rate of 10 cars per hour.The parking time of a car is exponentially distributed with
mean 12 minutes. When all the 4 spaces are occupied,an arriving car goes elsewhere for
parking. What is the probability that a car that arrives at the lot may have to be sent back
because there is no parking space?

Answer ; P4=

Vn.22 Trucks amve at a loading dock in a Poisson process with a mean rate of 8 trucks per day-
Each truck is loaded by a team of 3 men on FCFS basis. Loading time of a truck follo^vs
exponenUaUistribution with a mean rate of5 trucks per day.The cost of waiting per truck
T t in order to minimize the expected total
should be employed 75cVst
per per
day.day?
How many teams
Answer;3 teams.

Witt,two teams E(To.al cost/day)S Rs.327.78 and

With three teams E(Total cost/day)= 30l.51

VII.23Act„aayfors.4,ECro,a.cost/day).40p.75.4
In a single-server queueine = Rs.364.
arrivals tend to get discouraged whp Poisson input and exponential service-tim
. Specmcally assume that X - 2 are present in the sys®
Rn = 3.

(i) Find the steady-state probablli,y.di„.. ,,

(ii) FindLandW. °f'he system.
hint:Refer to article 7.5 9 or lu k-
^'^"^^b.rthanddeathmodel.
Answer: p„= 1 M V3
In 3 ,n>0.

L-2/3, W =|(i_^~2/3.
gVi-e'-)

Vn.24 InIt ISandesired

officetoletters
"XV.11C15 come for tvn*
appoint fottvn- ■
comea tvni^t ^Poisson 1
ZSvy-They
Trademand salaries of ® ^"1C
"«"'«• wUh meansfor12,15
.he post.The^^\0,f
'8,6 and 4 per hour respectively.Fo'»*

7.76
 letter, there is a loss of Rs. 3 per hour per letter.(Assume also that the typing time is also
included in the delay time of a letter). Which of the typists should be appointed? Justify.

Answer : Let E[TC]( )be the mean total cost per hour. E[TC](A)= Rs. 10,
E[TC](B)= Rs. 9, E[TC](C)= Rs. 10.
Vn.25 In a car repair-shop with only one berth to repair the cars,cars arrivefor repair in aPoisson
process at an average rate of4 cars per day. The manager decides not to accept any car
for repair if he has already 3 cars in the shop including the one he is repairing. He is able
to repair at an average rate of 8 cars per day. Assume that the repair-time of a car has
exponential distribution.

(i) What fraction of customers are lost?

(ii) What is the mean number of cars repaired per day?
1 - 56
Answer :jj, •

Vn.26 A textile factory owns a large number of identical machines. Whenever a machine has a
breakdown, it is sent to the firm's repair-shop. Assume that machines arrive at the
repair-shop in a Poisson process with an average rate of 50 machines per day(a day = 8
hours). The repairshop has now 3 repairmen, who work in parallel. Each repairman has
a mean service rate of 25 machines per day. Assume that the repair-time of a machine
has exponential distribution.
(a) Find the mean number of hours a server is busy during an 8-hour-day.
(b)Find the probabilities that all the 3 servers are idle, two are idle or one is idle at any
instant.

(c) What is the probability that a machine has to wait to be repaired?

Now suppose that the cost of lost production time of a machine is estimated at Rs.200
ner machine per day and the total operating cost(including wages)of each server is Rs.
100 per server per day. Will the addition of a 4th server similar to those in the operation
be advantageous to the factory? Justify your answer by computing the expected costs per
day in the two cases.

Vn.27 In a manufacturing centre, mechanics amve at a tool crib at the tne^ of 0.80 per
minute accoiriing to a Poisson process. Hie crib rs serviced by r clerks. The time taken
by a clerk to serve a mechanic has an exponenUal distnbution with mean one minute.If
all clerks are busy, then an arriving mechanic waits in the queue and is subsequently
served by a clerk as soon as he is free. The mechanics are paid by the centre at the rate
of Rs 10 GO per hour per mechanic, while a clerk at the crib is paid at the rate ofRs.4.00
7.77
 per hour. Determine r so as to minimize the expected total cost per hour,consisting of the
lost time of mechanics while waiting at the crib or while being serviced at the crib and
the payment made to the clerks.
Vn.28 The central library has a waiting list for each book in its collection of popular new books.
The policy is to limit the length ofeach book's waiting list because many people will lose
interest in obtaining a book after waiting several weeks for it. Consider a book having a
request rate of 10 requests per week. There is only one copy of the book. A borrower
keeps the book, on an average,for one week. The library wants to limit the length of the
waiting list of the book so that the average waiting time of a person who is on'the list is
no more than 3 weeks. Show that they should have 3 spaces for the waitino list Show
this by evaluating waiting time for 3 waiting spaces and 4 spaces on the list If the librarv
keeps three spaces on the waiting list, find the probability that a request fnr fh. r, u ..
be rejected. Find the fraction of the time the book is not in use
Vn.29 Men arrive at a barber-shop in a Poisson process at a mean rate of 1
taken for a hair-cut is exponentially distributed with a mean of 1S
staffed by two barbers who are paid Rs.2 per hour per barber
When both barbers are busy but no customers are waitin week.
customers
customer isarriving
waiting,atthen
the shop do notenter
three-eights because
of the theydowish
arrivals not to'
^ °"^-fourth of one
When the
are only two chairs in which customers may wait, there
waiting for hair-cuts. The shop charges Rs.2 for a haircut
(i) Find the steady-state probabilities of the system.
(ii) Find the mean effective rate of arrival of customerc u
^ eraer ,he shop.
(iii) Find the average weekly profit of the shop.

Answer: = Pl=^. P2=^, P3=-^. P^^X 7^

weekly profit is Rs. 432. Average

Vn.30 We are designing a single-server queueing system with

server's rate li is a decision-variable that must be specified i ^Pace The
cose per unit of time having a server's rate p is Cp,eve„ whi,! operating
constant. The other type of cost incurred by the system " ^
custotiters in the system; this cost per unit of time is t:^, "umber of
system,Cw is a constant.There is a trade offbetween the " in the
more but reduces the waiting cost. The arrival rate X i, ^ ^""er costs
.hat arrivals are m a Potsson process and service time is exp„r„7^"""Tol Assume
'ally distributed.
7.78
 (a) Give an expression for the expected total cost per unit of time as a function of)a and
X and the cost parameters Cs and Cw-

(b) Find the formula for p.*, the optimum service rate. If A,= 10, Cs = 20 and Cw = 200,
what p is the best? What cost per unit of time does it give?

(c) If the service-rate is so chosen that the server is idle exactly half the time, what is the
mean waiting time of a customer in the queue?

X
Answer ;(a) Expected total cost per unit of time = Cjp H Cw
|J. — A

(b) p.* = X+V^XCwTTcir, p* = 20,600(cost per unit of time)

VII.31 A repairman is to be hired to repair machines that breakdown at an average rate of 3 per
hour. Assume that breakdowns occur in a Poisson process. Non-productive time of a
machine (the time during which the machine is either under repair or waiting to be
i-epaired)costs the company Rs.5 per hour per machine. The company has to choose one
of the two repairmen : One slow but cheap, the other fast but expensive. The slow but
cheap repairman is to be paid Rs. 3 per hour, in return he will service broken-down
machines at an average rate of4 machines per hour. The fast but expensive repairman is
to be paid Rs.5 per hour, and will repair machines at an average rate of6 machines per
hour. Assume that service times are exponentially distributed, which repairman should
be hired? Why?

VII.32 A firm owns a large number of machines. Whenever a machine breaks down it is sent to
the repairshop of the firm for repair. Assume that machines arrive at the repairshop in a
Poisson process at the rate of5 machines per hour.The time taken by a repairman to repair
a machine is exponentially distributed with a mean time of 15 minutes, i.e. the service
rate is 4 machines per hour per server. Given that the firm loses a profit of Rs.50 per hour
per machine out of order. A repairman is paid Rs. 20 per hour. Assume that all the
repairmen have the same service time distribution. Find the optimum number of repair
men to be hired to work in parallel so that the expected total cost per hour is minimum
NOTE:Total cost per hour = per hour payment made to all the repairmen + per hour loss
of profit due to unproductive machines.

Vn.33 A factory owns a large number of machines. When a machine breaks down, it is sent to
the repair-shop of the factory. Assume that machines arrive at the repairshop in a Poisson
process at the rate of 1 machine per hour. There are two repairmen A and B and one of

7.79
 them is to be hired by the Company. The time taken by A(B) to repair a machine is
exponentially distributed with mean 30 minutes(40 minutes). The salaries of A and B are
Rs.20 and Rs. 12 per hour respectively. The cost of lost production time of a machine is
Rs. 10.00 per machine per hour. Which repairman should be hired? Why?
Answer : Mean costs per hour for A and B are Rs. 30 and Rs.32 respectively. A should
be hired.

Vn.34 In an (MIMIl):(FCFSjoo |oo)queue, X,=4 / hour, [i = 6/hour, the maintenance of the

service-station costs Rs. 100 per hour and the service charges from a customer is Rs.30-
What is the expected profit per hour of the service-station?
Answer: Rs. 20.00

Vn.35 In an(MIMIs);(FCFSjoo|oo)queue,>.= 10 per hour, = 15 per hour. A server is paid

Rs. 10 per hour- The cost of lost production time of a customer is Rs. 12 per hour per
XtlTiy '
service-station per hour? the expected total cost ofthe
Vn.36 In an(MIMIl):(FCFSloo loo ^ miPiif. l _ o c . hmif
sprvirpraf
service ii if W < 2 hours.
rate |i, P^r Hour. Find the Condition on the pet h
Answer:|i> 3.

Vn.37 A bank has 4 tellers working nn o • i nti

withdrawals and the other two tellers handfV''''°""^'
orawithdrawalisexponentially distributed^
(withdrawers) arrive in a Poisson nr ^ minutes percustomer.Depos
P ocess with a mean rate of 30(24) per hour.
(a) What..he.ean
-
(b) What would be the effect on the -r the
withdrawers and the depositor-: number of customers in the system if
station with the 4 tellers who ^ P°°i®d together and arrive in a single servi''
withdrawals? parallel and handle both deposits an
(c) The cost of waiting time in the svsten, f hi
arrangement will have smaller pvo!. ^ customer is Rs. 10 per hour, wm
Vn 38 A t 1.- 1 u waiting fhe system?
vn.38 Poisson
At a parking lot, there
process are a large
at a mean rate ofnumb
25^"^ spaces. Cars arrive at the loti'
exponentially distributed with mean 12 time of a car

7.80
(a) Find the mean number of parked cars at the lot at any instant.

Answer : Mean number of cars at the lot = p = 5.

(b) On an average, how many cars get the parking facility per hour?

Answer : A = p = 25

(c) Each car receiving the parking facility has to pay Re. I (irrespective of its parking
time)plus Re. I per hour for the parking time. What is the per hour expected revenue
of the parking lot?

Answer: Rs. 30.00

7.81
 Chapter 8
INVENTORY SYSTEMS

8.1 Introduction

Inventory management(or inventory control) is the most important activity in any success
ful organisation of a complex system involving inflow, storage and outflow of physical goods.
Goods,items or products etc.(hence - forth called items)are needed for meeting the custormers'
demand or as raw-materials for producing finished goods. These needed items are procured
through a purchase or production. The procurement generates inflow of items into the inventory
system. The outflow of items from the system is created by filling custormers' demand (i.e.
through sales)or using the items as raw-material for production. The difference between the rate
of inflow and the rate of outflow generates an inventory of items. In general, it is impossible or
even uneconomical to balance the inflow and the outflow of items at each point of time. For
example,to satisfy the daily demand ofcustomers for a certain item,a shopkeeper may purchase
the items every day. But this may increase the cost of purchase, since there is a fixed cost
associated with every procurement, which is independent of the number of items purchased in
an order. (This cost is called the setup cost). Sometimes the demand of an item is uncertain and
is a random variable. In such a case, if the inventory is too small it may fall short of the demand
and thus may lead to loss of sales or loss of goodwill etc. Such a loss is accounted through a
shortage cost. To reduce the setup cost or the shortage cost the procurements are made less
frequently, where in each procurement more quantity of the items are purchased or produced.
For example,the shopkeeper may purchase the items on weekly basis or monthly basis etc. Thus,
the items purchased for meeting the future demand builds up inventory. However, too large an
inventory will increase another cost, associated with the storage ofthe inventory and the interest
of the money tied up etc. (This cost is called the holding cost).
The scientific analysis of the inventory system is to study the inter-relationship between
inflow, storage and outflow and to identify the economic control methods for operating the
system'. Invariably,the problem ofinventory management is toframe the rules to decide(i)When
to order and procure the items needed (ii) How much to be procured in one order. The aim of
these decisions will be to minimize the total cost(which includes all the above-mentioned costs)
per unit of time.
82 BASIC COMPONENTS OF AN INVENTORY SYSTEM:

Before developing the decision models, we discuss the basic elements of an inventory
system:

1. Costs:

As indicated above, the total cost has usually the following three components:
(i) Procurement cost

(ii) Holding cost

(iii) Shortage cost(penalty cost)

Below we briefly explain these costs.

niade either through purchttse or througb

e assoctate cost is called as such. This cost has two cotitponetits.:
(a)
orieLouaatll;'' order and receiving the
units ordered aL'prculTtalrr^Tu" °
processing an order, placing an order"the " oomprise of the coa^
getting the ordered quantity I"o t' height charges incurred^
items are procured throueh nrrvt .■ "epectton and testing etc. In case,
initiate a fLh prodSntdT' ^rr
Of units produced in the production rurTh^'' mdependent of the numbe
• This cost will be denoted by K.
(b) Purchase or production cost* Thic 1
purchase or production
or produced. It accountscostforthethesetcn<u ^ component excludes
^ ^"nction from theordere
of the quantity tota
the ftxed component (set-up cost). W°e IT
to the quantity procured. The n assume that this cost is proportion
will be denoted by Co. Thus the oost expressed in Rup®^
units are purchased/produced. ^"""^"^^^^Production cost will be Co Q, if ^
This cost may be reduced if large m.rr^u
if production is run for a longer tim (because of discounts) o
cost per order (production run) = K ! ^ procuretnei
+ i-ot^. (8.2.1)
if Q units are purchased/produced in
purchase or production cost per unit °''^®''^Production run and Co is

8.2
(ii) Holding Cost: This is the cost associated with holding stock of items in inventory
over time. This cost component includes (i) insurance for the safety of inventory (ii)
the cost of capital invested in stocking the items (iii) cost of storage(iv) the deprecia
tion cost of items stored (v)taxes.

By its very nature, we will assume that this cost varies directly with the level of
inventory and the length of time the items are held in stock. In what follows we will
denote the unit holding cost by Ci. i.e.

Ci = holding co.st in Rupees per unit of item per unit of time.

For example,iflo units are stocked for to units of time,then the corresponding holding
cost for the period of length to = k,to Ci. In ca,se, the inventory level varies over time,
let I (t) denote the inventory level at time t. Let I(t) be continuous on the interval
a < t < b. We divide the interval [a,b) into n equal subintervals of length

Af by break points to = a, ti, t2, tn = b.

n

The holding cost for the the time period [a, b)

n

= ^ /(T|/) A tC\ where r\i e til

(=1

Hence, the holding cost for the time period [a, b]

= lint. ^ /(Ti,)AtCi

(8.2-2)
= Ci J I(t) dt.

In particular,suppose the time period is[0,b] and the inventory builds up at a constant
rate over this period with 1(0)= 0,and 1(b)= Imax.
^ A (a positive constant).
'dt

or I(t)= At + B, where B is a constant.

Here B = 0,since 1(0)= 0.

8.3
 Further 1(b)= I max => Ab = I max -> A - ^/max-

Hence,the holding cost for the time period [0,b].

^ (8-2-3)
= Cl j Atdt = ^C\b^ A = 2^max b Ci.
O

(iii) Shortage or penalty cost(cost of back orders):

Sometimes it may be economical and feasible to postpone the procurement of goods
to a later time,even when there are no stocks. The shortage cost or penalty cost is the
cost incurred when demand occurs and the system is out of stock. This cost depends
upon the structure of the model. Two cases may occur in the case of shortage.
One such case occurs when (i)the excess of demand over available inventory is
met by a priority shipment or(ii) is not met at all. In(i)the penalty cost can be viewed
as the difference between the cost of priority shipment and the cost of routine delivery.
In (ii) the unsatisfied demand is lost, the penalty cost can be viewed as the loss in
revenue. The situations (i) and (ii) are known as 'no backlogging of unsatisfied
demand'. The second case occurs when the unfilled demand reaches a desired level
and then the procurement of items starts. The unfilled demand is fulfilled either at
once(when the replenishmentrate is infinite-that is,the delivery ofitems is immediate)
or continuously(when the delivery is continuous). This case is known as 'backlog
ging' of unsatisfied demand,or back-ordering. The amountof unfilled demand(which
is to be filled at a later time when the stocks are next available) at an instant t is called
back order at time t and is denoted by B(t). The arrangement is called back-ordering
or backlogging. In this case, the penalty cost may include (i) loss of customers'
goodwill (ii) the subsequent reluctance of customers to do business (iii) the cost of
delayed revenue(iv) any concession given to customers(v)the cost of extra record
keeping.
If back-ordering is not allowed and when the shortage occurs the unfilled demand
is lost, the penalty cost is proportional to the shortage quantity(it definitely includes
the lost revenue). If hack-ordering is allowed, the shortage cost is a function of
shortage and the time of delay. We will^sun« that the shortage cost Is proporUonal
to
costthewill
quantity hack-ordered
be denoted and the length of time of hackorder. The unit hackorder
by C2. Thus
O = the cost(in Rs.) per unit of hack-order per unit of time. Ut B(t) he the
level of back-order at time t. The total hackordering cost associated with the time -
intervaUa-blwiUbe

8.4
 C2 J B{t)dt. (8.2.4)

In particular, suppose that backorders build up at a constant rate D (this occurs when
the items are demanded at a constant rate D and the system is out of stock) during a
period of length T, B(0)= 0 and B (T)= B,then we have:

dB{t)
-D, which gives B(t)= Dt and B - DT.
dt

Hence the backorder cost for the period [0,T]

= C2\Dtdt=^BC2T.
0 (8.2.5)

Salvage value or salvage cost: The salvage value of an item is the value of a left over item at
le termination of the inventory period. If the inventory policy is carried on for an indefinite
number of periods and the items do not become obsolete then there are no leftover items. The
items left over at the end of a period become the initial inventory for the next period. However,
if the policy is to be carried out for only one period, the salvage value represents the disposal
value of an item. The negative of the salvage value is called the salvage cost. If there is a cost
associated with the disposal of an item which is left over at the end of the single period, the
salvage cost muy he positive.

3 Demand: The demand ofan item may be deterministic orprobabilistic. In the deterministic
it is assumed that the quantities needed over subsequent periods of time are known with
^^^taintv The known demands over different periods of equal length may be constant or the
rlc miv vary from period to period but are known.In the former case,the demand is called
str while fn .he latter case it is called a dynamic demand.
When the nd over a certain itperiod
distribution, of time
is called is not known
probabilistic withWhen
demand. certainty but can be
the probability
described by a proo ^ periods of time remain the same from one period to another,
distributions of demand ov stationery. However, if the probability distributions of
then the probabilistic deman^
non-stationery. .
• d of time may be satisfied instantaneously at the beginning
The demand for a given perio effect of instantaneous and uniform demands
should reflect direciiy

8.5
 Further 1(b)= I max => Ab = I max -> A -^/max-

Hence,the holding cost for the time period [0,b].

^ 1 2 1 (8-2-3)
= Cl j At dt = ';^Ci b A — ^ fmax b C\.
o

(iii) Shortage or penalty cost(cost of back orders):

Sometimes it may be economical and feasible to postpone the procurement of o d
to a later time,even when there are no stocks. The shortage cost or penalty cost is^the
cost incurred when demand occurs and the system is out of stock. This cost d ^
upon the structure of the model. Two cases may occur in the case of shortage^^^"
One such case occurs when (i)the excess of demand over available "
met by a priority shipment or(ii) is not met at all. In(i)the penalty cost
as the difference between the cost of priority shipment and the cost ofr " ^ ^'s^ed
In (ii) the unsatisfied demand is lost, the penalty cost can be viewed"
revenue. The situations (i) and (ii) are known as 'no backloggin "f
demand'. The second case occurs when the unfilled demand reaches
and then the procurement of items starts. The unfilled demand is fulfn
once(when the replenishmentrate is infinite-that is,the delivery ofite •
or continuously (when the delivery is continuous). This case is knT^ ^^^nediate)
ging' ofunsatisfied demand,or back-ordering. The amountof unfilledd"
is to be filled at a later time when the stocks are next available) at a ' (which
back order at time t and is denoted by B(t). The arrangement is caUe^if"^ ^
or backlogging. In this case, the penalty cost may include (i) Iqs
goodwill (ii) the subsequent reluctance of customers to do business^-
delayed revenue (iv) any concession given to customers(v)the
keeping of extra record

If back-ordering is not allowed and when the shortage occurs the

is lost, the penalty cost is proportional to the shortage quantity (it j demand
the lost revenue). If back-ordering is allowed, the shortage cost deludes
shortage and the time of delay. We will assume that the shortage cosr ^ of
m the Quantity back-ordered and the length of time of backorder Th ^''oportional
cost rfl be denoted by C2. Thus ' ""tt backorder
C2- the cost(in Rs.) per unit of back-order per unit of time r
level of back.order at time t. The total baekordering cost associated wlthT""me-
intervaUa,blwiilbe ^

8.4
 r , (8.2.4)
CijBCOdt.
a

cA thit hickorders build up at a constant rate D (this occurs when

Smsare demanded a. a constant rate D and the system is out of stock)during a
period of length T,B(0)=0and B(T)= B,then we have:
which gives B(t)= Dt and B = DT.
dt

Hence the backorder cost for the period [0,T]

T j
= C2\Dtdt=2 (8.2.5)
0

1 on'it- The salvage value of an item is the value of a left over item at
2.Salvage ' riod. If the inventory policy is carried on for an indefinite
the termination of items. The
it^m^llffovrr at the end ofa period become the Initialinvetttory for the next period However
fZ no to is to be carried out for only one period, the salvage value represents the dtsposal
I n.of an item The negative of the salvage value is called the salvage cost. If there is a cost
ILciated with the disposal of an item which is left over at the end of the single period, the
salvage cost may be positive.
^ Demand- Hie demand of an item may be deterministic or probabilistic. In the deterministic
t assumed that the quantities needed over subsequent periods of time are known with
The known demands over different periods of equal length may be constant or the
r ds may vary from period to period but are known.In the former case,the demand is called
smtic'^while in the latter case it is called a dynamic demand.
Whpn the demand over a certain period of time is not known with certainty but can be
. u TL
described by ^a Porobability distribution,
j it isof
called probabilistic
time remain demand.
the same When
from one the probability
period to another,
distnbutions o stationery. However,if the probability distributions of

non-stationery.
.,„;v,.nneriod of time may be satisfied instantaneously at the beginning
The deman or g instantaneous and uniform demands
ofthe penod or uniformly during ma v inventorv
should reflect directly on the total cost o e

8.5
4.Ordering Cycle: This is the time period between the receipts of two successive orders(in case
when the procurement is done through purchases i.e. in purchase models) or two successive
starting of production runs (in the production models).

5.Review Policy: Inventory systems may be broadly classified as continuous review systems or
periodic review .systems. In continuous review sy.stems. the sy.stem is monitored continuously
overtime. In periodic review systems,the system is monitored at discrete,equally spaced instants
or time. In both the policies, the aim would be to keep the inventory at a desired level
6. Lead time: When an order is placed, it may be delivered instantaneously or it may require
some time before delivery starts. The time between the placement of an order and its receipt is
called delivery lag or lead time. In the production model, the lead time is the production time of
an Item. Lead time may be deterministic or probabilistic.
7. Stock Replenishment; An invenlory .system may operate with deiivery ia»s the actual
repicnishment of stock may occur instantaneousiy or iiniformiy. Instantaneous lepienishment
occurs when the stock ,s purchased from outside sources. In this case the delivery rate is'sa.d to
mgrnisatt - Produced locally within the
8. Time Horizon: The time horizon defines the total period over which the inventory level will
be controlled. Time horizon may be finite or infinite.

mtTt^rintX^mtSeT^S^^^^ 7^ o- The
Items. For example, the items may compete for limited stotage space or L!t7dr,al LpW."'
The above components are the basic elements fnr or.,vi r
most important component is demand since the analysis of in ventLv Drohr^"h
nature of the demand of the item. depends upon the
In this chapter, we will be studying only certain basic inventory models both H r • • p-
and probabilistic. If one is interested in an extensive study of inventorv m H
•Johnson L.A. and Montogomcry D.C.(1974)'. In the followln» sections wA 'II h"
first the Deterministic models(Economlc-lo.-size models, and laL the Prorabm'sfic modefs'."®
We will be using the words production and/or purchase wirhn..h r
company is producing the items for the inventory, the word nroH r"
company is purchasing the items from an outside source the word ^ill be used. If the
interchanging the words production and purchase the model would nlthTff n
understood the basic characteristics,(The word production rate will be rtil Th rr'"'"""
.f production is replaced by purchase). When nothing is mentioned abom!at """
assumed that the lead time is zero. nbout lead time it should be
8.3 Deterministic inventory models

Model 1: Single-item,static demand,Production Model with no back ordering allowed.

(Finite and constant delivery rate during the production run).

The following assumptions are made in this model.

1 Demand rate (or usage rate) in units per unit of tim.e is a constant D.

2. The stock arrives (or is produced) at a constant rate A until complete order is received.
Thus A is the number of units of item produced (or delivered) per unit of time.
3. The arrival rate (production rate), A is greater than the usage rate (sale rate), D to avoid
unfilled demands, i.e. A>D.

4. No shortages are allowed.

5. The lead time is zero.

6. Replenishment of stock is accomplished using the (s, S) policy, that is, whenever the
inventory level reaches s, a quantity is ordered, so that the inventory reaches a maximum
level S at some later time, when the complete order is received. It is obvious that s > 0,
since no shortages are allowed.

7. The time horizon is infinite.

The following notations will be used.

S = Maximum inventory level.(See Figure 8.1).
Q = Order quantity. The number of units arrived (or produced) per order (production)
cycle.

ti = The period of time during which arrivals(production)continues until complete order

is received. The inventory builds up, with a rate of A-D,from the minimum level s to
the maximum level S.

t2 = The time period, following the period of length ti, during which arrivals(or produc
tion)stops and usage continues with a rate D. Thus,the inventory continues to deplete
from S to s.

At the end of the period t2, a reorder(or a new production run)is to be made.

8.7
 time (t)

Figure 8.1

to = The length of one order cycle

= ti +12.

Note: During the period ti both delivery and usage take place simultaneously and during the
period of time t2 only usage takes place.
Q = Ati = Dto, (8.3.1)
D, (8.3.2)
S = s +(A-D)ti = s +0(1- ^),and S-Dt2= s.
Note that S-s < Q. (8.3.3)
The following costs are relevant;

Co = Manufacturing(purchase)cost per unit

K = Set up cost(ordering cost) per order(production)cycle.

Ci = Hdding cost per unit per unit of time.

Using(8.2.2),the inventory holding cost

ti to
(8.3.4)
= Ci

During the interval [0,ti],I(t)= s+(A-D)t.

8.8
 During the period [ti, to], I(t)-S - D(t-ti).
Hence,from (8.3.4), the inventory holding cost for one cycle.
1 D (8-3-5)
=[Cis + 2 Ci 2(1 -

The result(8.3.5) can also be obtained by the following argument:

The average inventory level for the order cycle

=I(s + S)=I[s+s+Q(1 -f)] "Sing (8.3.2).

Hence the holding cost for the order cycle

=[s + 2 Q('" ■
Total cost of an order cycle is a function of s and Q,denoted by TC(Q,s). is given by
(8.3.6)
TC(Q,s)= K + Co Q+sCi to + 2^1 toQ{^ ^)•
The objective is to minimize the total cost per unit of time,denoted by TCU(Q,s). Thus
, TaQ,s)
TCU (Q,s)= ——

^ fi^Co^+sCx+\cx 2(l-f).
to
to

UsingQ =Dto or to.a

=^ (See 8.3.1), we get
(8.3.7)
K^^iciQ(\-~)
TCU(Q,s)= CoD +-^+ 2^i V ^ +sCi, where s>0.

From (8.3.7)it is obvious tha or,r a ggiven Q,,TCU(Q,s)is^ minii

. .f n TCU(O,s)is minimum if s = s* =0. Takin®

s = O in (8.3.7), we get the minimum value of TCU(Q,s), for a given Q.

value

by TCU(Q). Thus
(8.3.8)
TCU(Q)= CoD +^+ 2^1

8.9
 The value of Q, which minimizes TCU (Q),denoted by Q*, is given by solving.

d\TCU(6)1 ^ Q
dQ

(8.3.9)
Hence, Q* WY 2KD

'd^TCU{Q)\
It can be easily seen that > 0. Q* is also called the Economic order
dQ.' Q = Q-^
quantity (or economic lot size) and is also denoted by EOQ.
Since to = Q/D, hence the optimum order cycle(OOC)

to = Q*/D =

DC^{\-j) (8.3.10)
J
The minimum value of TCU (Q,s) is given by

TCU(Q*,s*)= CoD + ^j^2A:D(l-^)Ci' (8.3.11)

S*,the optimum value of S is given by

S.= Q.(1-?)
A
= C\
(8.3.12)

Example 8.1: An item costs 200 Rupees and it can be nrofiiiopH Of . a

it is sold at a rate of 30 per month. The holding cost is Rs 20 ^ °
cos,is RS. 1000. F.„d EOQ and.he optimum order cycte aIo
^runT""""'° '"W- Cl = Rs.2a/„„i,™on,h,C„= Rs.2W
EOQ = V'2(1000)30) = 65.465 = 66 units.

optimu'" order cycle = 4 2 X (lOOOTI - 2.2 months.

3Cbt20(l-^\
lOO-*

8.10
 TCU(EOQ)= CoD + ^2DK(I -j)C\
=(200)(30)+ a/2(30)(1000)(I-~)20
= Rs. 6916.52 per month.

Effect of Lead Time

Now suppose that a ftttite lead titue I elapses frotti the trtotrietn an order is placed to the
mometit an order is received. Other assumptions are the same as in Model 1. TOen, under the
(s,S) policy, an order will be placed when the inventory reaches the level s, called the reorder
level. The optimal reorder level s* is given by
(8.3.13)
s* = D/.

tince if a reotder is placed when the inventory level is DA then the stock Dl will take cate
of the demand during the lead time 1 and the new stock arrives as soon as the stock reaches the
zero level. Other results are the same as in Model I.
Remark 8.1:. u system
As the f.rT, 'tjtnhilizes'
stabilizes the
u lead lime I, for the sake of analysis, may always be
1 length
taken less than the cycle 1 rrfh fe.
/' The following
merono „example illustrates this.
. .. J fnr a commodity is approximately 100 units. The item is
Example 8.2 : The dai y e production run. the production rate is 200 units
produced locally. The set up co j j^^y is 4 paise.Ifthe lead time is 12days,determine
per day.The daily holding cost per unit inventory f
the economic lot size and the reorder pom
From the formula (8.3.9),the economic lot size
nmr = 1000 units.

Ci(I-t)
A

The optimum cycle length to*_n*/D=

=Q 100 = 10 days.
reordering occurs when the level of inventory is sufficient
Since the leadtime is 12 ^ ^^en a reorder is placed, there is already one
to satisfy the demand for (12-10) ^^^^'^^.gjJgj^^t^ vvhich will be received after 2days.Hence
outstanding order(placed 10days e o jjiventory is s* = 200 units,
an order should be placed when tee

8.11
Model n: Single-item, static demand, purchase model with no back-ordering allowed
(Infinite delivery rate with no shortages allowed).
In this model it is assumed that the entire lot is delivered at one time.This model is a special
case of Model I with the delivery rate A = o°. The model uses (s, S) policy. We have seen in
Model I that s = 0.The model is described in Figure 8.2.

time(t)

Figure 8.2

Substituting A = o® in (8.3.8),(8.3.9),(8.3.10),(8.3.11) and (8.3.12), we get:

KD 1
TCU(Q)= CoD +^+ 2Cia (8.3.14)

EOQ = Q*= ^2KD/Ci .,

(8.3.15)

Optimum order cycle — to — ^2K/(DC\), (8.3.16)

TCU(EOQ)= CoD + <2C\DK (8.3.17)

S* = Q* = y2KD/C\ .
(8.3.18)
The equation (8.3.15) is often referred to as Wilson Formula.
Example 8.3: Use the same values of D,K,Co,Ci ofExample 8.1 and assume infinitp
rate. Calculate EOQ,Optimum Order Cycle(OOC)and TCU(EOQ).
_ = 54 77 units.
EOQ

OOC =
VS® = 1.826 months
^ 30jc20

8.12
 TCU(EOQ)= 200 X 30 + V2 a:20 x 30 x 1000

= 6000 + V1200000

= 7095.45 Rupees/month.

Remark 8.2: If we are thinking in terms of purchase model, the distinction between Model I
and Model IT is the change in purchase policy. While in Model I deliveries are obtained at
continuous instalments, in Model II the delivery is obtained as a single lot. If we compare
TCU(EOQ)ofExamples 8.1 and 8.3 we observe that TCU(EOQ)for Example 8.1 is smaller than
that for Example 8.3. In fact, adopting a policy of Example 8.1 we may have saving to the tune
of Rupees(7095.45 - 6916.52)= Rupees 178.93 per month.
The assumptions of the models I and II are usually not satisfied in real situations because
demand is probabilistic. A crude procedure is used by practioners, which uses the simplicity
of the economic lot size models but also takes into account the probabilistic demand. The idea
is simple. A constant buffer stock on the inventory level throughout the entire planning horizon
is superimposed. The size of the buffer stock is determined such that the probability of running
out of stock during lead time / does not exceed a prespecified value. Suppose f(x)is the density
function of demand during the lead time. Further suppose that the probability of running out of
stock during the lead-time I must not exceed a. Then the buffer size B is given by
P(x>B + /p) ^ a (8.3.19)
where IP is the mean consumption during the lead time I.
Example 8.4:Suppose that the daily demand for a commodity is normal with a mean p = 100
units and standard deviation a = 10. Everytime an order is placed, a fixed cost of Rs. 100 is
incurred. The daUy holding cost per unit inventory is 2 paise. If the lead-time is 12 days,
determine the EOQ and reorder point, Determine the size of the buffer stock such that the
probability of running out of stock during lead time is at most 0.05.
V2x 100x100
„. r?rkr» ypyrn/rt = = 1000 units.
Solution: EOQ-V2aD/ci qI

Here D is approximated by the expected demand per unit of time.

The optimum order cycle = * -^0^3
p ~ 1A rfoxrQ
^•

The effective lead-time =(12-10)days = 2 days.

The reorder point = 2 x 100 = 200 units.

8.13
 The demand Dl for the lead - time (2 days) is normal with mean 200 units and
variance = V(Di)+ V(D2)= 100 + 100 = 200 square units. Thus the standard deviation of
the demand Dl is V200 = 14.14units. The buffer size is then given by
P(Dl^200+ B)< a

Dl-200 ^ B
or < .05
14.4 14.4

8
or > 1.645
14.4

or B> 1.645 X 14.4= 23.7.

Thus, order for 1000 units, whenever the stock is at the level 223.7 units.
The above arrangement need not be optimal.

Model ni: Single item, static demand, production model with back ordering (Constant
delivery rate A and a constant usage rate D): A>D.
The assumptions in this model are the same as in Model I except that back orders ate
allowed. B = maximum shortage(back orders)allowed(a level at which the production run will
be started). The replenishment of stock is accomplished using (s, S) policy, with s = - B. We
assume that the lead time is zero. The model is described in Figure 8 3
During time ti,the production is continuing, with a rate A.The unfilled orders(back orders)
are filled at the rate(A-D)after meeting the demand arising at a rate D.Thus
B
(A-D)ti=Borti=—. (8.3.20)

timc(l)

Figure 8.3

8.14
 During the period t2, the production is still continuing,the demand is met at the rate D and
so the inventory builds up at a rate(A-D). Let S denote the maximum inventory level. Thus
5
S =(A-D)t2 or (8.3.21)

When the inventory reaches the level S,the production run stops. During the period t3, the
built up inventory meets the demand. Thus,
Dt3 = S or t3 = S/D. (8.3.22)
During the period U,the back orders pile up to a maximum level B.Thus
B = Dt4 or U = B/D.

The period of one order cycle

to = ti +12 + t3 + U- (8.3.24)
If Q is quantity ordered (or produced) in one order(production run), then
Q = Dto.

Further,the production rate is A and the production continues for time ti +12. Hence
Q = A(t,-^t2).

From equations(8.3.20) and (8.3.21) we get

B + S =(A-D)(ti+t2). (8.3.27)
From equation (8.3.26) and (8.3.27) we get
S =(A-D)Q/A-B =(1-;4 )Q-B.

Using(8.2.2), the inventory holding cost for one order cycle

= Ci I Kt)dt

= Ci J j t-i
t2

8.15
P = jS(t2 + t3)Cl

iQO^hBf
Ci, using (8.3.21),(8.3.22) and (8.3.28).

The total production cost for one production run

= K + CoQ,where K is the set up cost and Co is the per unit production (or purchase)
cost.

Using (8.2.4), the back-order cost for one cycle

= jB(ti+t4)C2. where C2 is the back ordering cost per unit of back-order per unit
of time.

jfCi
using (8.3.20) and (8.3.23).
2D{\-j)

Thus, the total cost for one order cycle is given by

TC(Q,B)= the procurement cost + the holding cost + the back-order cost
lfi(l-f)-Bf 2
or, TC(Q,B)= K+CoQ+Ci — • -
2D(l-f) 2D(1-^)•
The total cost per unit of time, denoted by TCU(Q,B)is given by
TCU(Q,B)= TC(Q,B)/to.

Using(8.3.25) we get

' KD 2
' TCU(Q,B)=CoD +-^ + n + —. (8.3.29)
2(2(1-^) 2Q(1-^)

8.16
 For a given Q,TCU(Q,B) is minimum, if B satisfies the condition
d rCU{Q,B) ^ j[B(Ci+C2)]/fQ(l -Cl =0, (8.3.30)
dB

which gives

(8.3.31)
B= ^-Ci.
C|+ C2

From (8.3.30), > 0. Thus,the value of B given by(8.3.31) minimizes TCU(Q,B)

dlf"
for a prespecified Q. We denote this minimum value by TCU(Q).SubsUtuting the value of B
from (8.3.31) in (8.3.29) we get

TCU(Q)= CoD + KD/Q + 2(l-;^)/(^l+^2)•

Further, TCU(Q) will be minimum if
(8 3 33)
dTCUjQ) ^ ^2(1-f)/(Ci+C2)- KD/Q^=0.
which gives

2KD(Ci+C2)
Q = Q* = = £"<52 ■ (8.3.34)
CiC2(l-f)
\

cP'TCU Q fience the value of Q given by (8.3.34) minimizes

From (8.3.33), we see that •

TCU(Q).

Substituting
TCU(Q,B). Thus,the value ofr(imnimum)
theoptimum n from f8.334) in (8.3.32), we get the minimum value of
^ per unit of time.

42a:dCiC2(i-j) (8.3.35)
TCU(Q*,B*)= CoD + ^ C1+C2

8.17
M The economic back order quantity can be obtained from (8.3.31) and i.s given by
(Ii
EBO = B* = Q*{\-j)Ci/(Ci + C2). (8.3.36)

ca

'2KDC\(\-^)
M
=v C2(Cl+C2)
, using (8.3.34).
(8.3.37)
V

The optimum order cycle(OOC)is given by

OOC = t*o = Q*/D = V 2K{Ci+C2)

DC\C2(\-D/A) (8.3.38)
J

The optimum values of s and S of the(s, S)policy are given by

s*= - B*, where B* is given by (8.3.37), (8.3.39)
and S* =(1 - D/A)Q*- B*,using(8.3.28). (8.3.40)
Thus

Si S* = Q*(l-f)C2/(Ci+C2). (8.3.41)

= V 2KD{\-D/A')C2.
Ci(Ci+C2) (8.3.42)
Ett«t ofLead Ttae:If d,e lead time is I then the optimum teotder point
S* =- B* + D/,
(8.3.43)
so that when the stock starts arriving after the time I the back d
assume the optimum le^®'
Remarks 83; Model m is the most general. Models I a d TT
Suppose no back orders are allowed, we put C?- <» special cases of model
E get from (8.3.37)
TS B* =0 and from (8.3.34)

)* = Urn. V 2^D(1+Ci/C2) = A ~2XD'

Q(l-f)

8.18
 Other results can be similarly obtained. Compare with model I. Results of model 11 can be
obtained by letting A —> and
Further, suppose that back ordering is allowed but the delivery is instantaneous, then the
corresponding results can be obtained from those of the present model by taking A -> oo . See
model rV.

Example 8.S: Calculate EOQ, EBO, TCU(Q«, B-), tj for the sartK data as given in Example
8.1 with the addition that back ordering is allowed withacostC2= Rs. iOOperunitofback
order per month.
2x 1000.x 30(2(>flOU)
= 71.71 units.

ClC2(l-^) 20X lOO(l^)

20(l-S)(71''i)
EBO = Q« <1 -J)ClACl + C2) = i2o = 8.4 units.
TCU(Q*,B*)= Rs.6836.66 per month.
It can be seen that due to the policy of back-ordering there is a saving of
_ 5336.66) = Rs. 79.86/month. See Example 8.1 for minimum TCU
Rs.(o"
without back-ordering.
o. . Ctatic demand inventory model with infinite delivery rate
Motlel IV: and back ordering is aUowed:

.. mndel III where A The results are obtained by letting

This model is a 3 35,.(8.3.36),(8.3.37),(8.3.38),(8.3.39),(8.3.40),
A ^00 in (8.3.29),(8.3.32), v
(8.3.41) and (8.3.42).
Thus, we get
(8.3.44)
TCU(Q,B)= CoU +

^^iciC2G/(Cl+C2). (8.3.45)
TCU(Q)= CoD+ q^2
(8.3.46)
./f2®5±®T.
q*?:EOQ= ^ C1C2 ^

8.19
 Model V :Single item,static demand,deterministic inventory model with price discount.

In all the deterministic models (Model I to Model IV) we have assumed that Co, the per
unit purchase (production) cost is independent of the quantity ordered. We now,assume that if
the quantity ordered (or produced)is large, there is a price discount. Specifically, we assume that
the per unit purchase or production cost Co is a decreasing function of Q. We denote it by Co(Q).
We further assume that

Co(Q)= Co(j) if Nj-1 < Q < Nj,j= 1,2,..., m,

where Cod)> Co(2)> Co(3) > .... > Co(m-l) > Co(m). See Figure 8.5. No is the minimum Q
and Nm is the maximum Q that can be ordered.(No may be taken as zero and Nm may be taken
as oo ). All the previous four models(Model I to Model IV)can be modified for the above-men
tioned discounted price structure.

Cod)
C„(2)
Co(3)

Co Cm)

Q
I
'm
N2 N3
No

Figure 8,5

A-r H for priceordering

Model III ts modirie discount.isInallowed.
this model we have
The total costuniform delivery
per unit of time israte
givenA
and a uniform usage rate an
by(See equation (8.3.29)).
tcu(Q.b)=c„(Q)d.f4^ .I (8.3.54)

8.21
 where Co(Q)D is a nonincreasing step function. For a specified Q, TCU(Q, B) will be
niim if
minimum

d{TCU) _ g(Ci + C2) ^

n C\ - 0,
e(i^)
or B = e(I-^)Ci/(Ci+C2).

Notethat^i^>0
Thus,fora given Q,the minimum ofTCU(Q,B),denoted by TCU(Q),is given by
TCU((5)= C„(Q)D + KD/Q.tic,C2Q(l- £)/(c,,,C2)
= C"«)D-f 4ciCaQ(.-f),(c,.C2),
%l^Q<Nj; jsi,2 (8.3.56)
The graph ofTCU(Q)is shown in Figum 8.6.
Equation(8.3.55)can be written as:
TCU(Q)= Co(Q)D + f(Q),
(8.3.57)
where f((3)=^4c,C2e(l-£y(c,^C2)
rccB^ 5c,c2(i^)/(c,+c2)-if0/e2
f(Q)=0 for Q= = a/2^£>(CH:^r
ClC2(I-e) (8.3.58)
A

For Q < Q^°),f'(Q)<0 and Q > q(o)^ f(q^ ^^

for QCo(Q)D is a non-increasing
< q(°). Hence from (8.3.57)step functionthat
it follows forTCUfnT
all O hp ^ d^^'^asing function ofrOy-
range[No,Q^°^]. Hence the minimum value of TCTTro^ ^'^^^'^asing function of Q o"' ®
Q on the interval[No,Q^°)]occurs at Q

8.22
On the interval[Q^°\ NmJ,Co(Q)D is a decreasing function ofQ,butf(Q)is an increasing function
of Q.Hence the minimum value ofTCU(Q)lies at some point ofthe interval[Q^°\Nm].Suppose
Np-i, < < Np for some p. On the interval(Np-1, N(p)], TCU(Q)= Co(p)D + f(Q).
Since Co(p)D is a constant on this interval and f(Q) is minimum on this interval at Q^°\
hence the minimum of TCU(Q)on this interval occurs at Q^°\ Consider any interval [Nj, Nj+i),
j^P-

On this interval TCU(Q)= CoO + 1)D + f(Q)-

Since CoG+OD is constant on this interval, while f(Q) is an increasing function on this
interval, since Q > Nj > Np >

Hence the minimum value of TCU(Q)on this interval occurs at the left end Nj ifj> p. Let
Q* denote the overall minimum of TCU(Q)for the whole range[No, Nm]of Q.Then Q* is one
of Np,Np+i,.... Nm-l, whichever gives the smallest value of TCU(Q)is Q*. Thus, one has
to check the values ofTCU(Q)at and at all the left ends of the intervals on the right of
Whichever gives the smallest value of TCU(Q)is Q*,the economic order quantity(EOQ). For
computational purposes

TCU(Q^°^)= Co(p)D + f(Q^°b (8.3.59)

TCU(Nj)= CoG+l)D + f(Nj),j= p, P+I. ••••. (8.3.60)
Having obtained Q*,the corresponding economic back order is
EB0 = B* = Q*(1-^)Cl/(Cl+C2) ^
and 00C =(; = Q'/D.

To appreciate the graph of TCU(Q), we define, what we call,the extended cost functions
TCUj(Q)= CoO)D + DK/Q +i CtCaSd-f)/(Cl+C2)
forall value ofQij= 1,2 ">■ (8-3.63)
Thus TCU(Q) = TCUj(Q),Nj.l<Q<Nj.j= 1.2,,., m. (8.3.64)

8.23
The graphs of TCU(Q)and TCUj(Q)are drawn in figure 8.6.

S^<
y-TCU(Q)

'TCU(Q)

.VP^^
X'TCUCQ) __ ^

y=TCU{Q) ____

y-TCU(Q)

"" "' vT^nlrii;^ Q

The dark-shaded pieces represent the graph of y =

tcu(Q).
Figure 8.6

8.24
Remark 8.6: The modifications of Models I, II and IV for price discount can be achieved as
special cases of the above modification.
(i) Modification of Model I:
(8.3.65)

Q'
c,(i-f)
TCU(Q)= Coa)D +|cie(1-f)+
(8.3.66)
ifNj-1 <Q<Nj,j= 1,2,
(8.3.67)
to = Q*/D,

where Q* is obtained in a similar manner.

(ii) Modification of Mode!n:
(8.3.68)
= -llKD/Cx

1
TCU(Q)= CoOD + 2^
(8.3.69)
if Nj-i < Q < Nj,j= 1.2, rfi-

t*o, Q* are obtained similarly.

(8.3.70)
(iii) Modification of Model IV:

2KD{C\+Ci)
)(o) =V cici

TCU(Q)= Co(j)D +^C\C2 Q/(Cl + C2)+ KD/Q

(8.3.71)
ifNj-i<Q<Nj,j= l,2,....,m•
(8.3.72)
B*=ClQ*/(Cl + C2).

to, Q* are obtained similarly.

8.25
Remark 8.7:The case when Co(Q)is an increasing function of Q,specifically

Co(Q)= Co(l),No<Q<Ni

= Co(2),Ni<Q<N2

= Co(j),Nj-i<Q<Nj; j = 2, 3, m.

where Co(l)< Co(2)< .... < Co(m-l)< Co(m),can be similarly dealt with.

In this TCU(Q)will be minimum at one of the points Q^°\ Np-i, Np.2,...., Ni, whichever
gives the smallest value ofTCU(Q).Thus,Q*(EOQ)will occur either at Q(o),or at the right ends
of the intervals which lie to the left of p are defined as above.For further details, refer
to Introduction to Optimization; Operations Research, by J.C. Pant, page 535, and Exercise 5
page 537.

Example 8.6 ;The demand of a commodity is 100 units per day and the production rate is 200
units per day. The set up cost is Rs.500 per production run. The cost of holding inventory is Rs-
1.25 per unit/day.No shortages are allowed.The per unit production cost(in rupees)is as follows:
Co = 5.00 ifQ< 100

= 4.50 if 100<Q<200

= 4.00 if200<Q<500

= 3.50 if500<Q< 1000

= 3.00 ifQ> 1000,

where Q is the quantity produced in one run. Sketch the graph of TCU(Q)in different intervals,
stated above. Determine EOQ.
Refer to Remark 8.6(i), we get
Y2x5UUx lUU) ^
0(0)=#^
4^ 200^
V ^

= 400, which belongs to the interval[200,500).

Let Ii =[0, 100),l2 =[100,200),I3 =[200,500),I4 =[500,1000),I5 =[looo,00),and
qI = 400,QI= 500, Qs = 1000.
8.26
TCU(Q)= Co(j)D + \l'2. CiQ(l - D/A)+ KD/Q, Qelj, j- 1, 2, 5.
500;c 100
TCU(23)= 4 X 100 + 1/2 X 5/4 X 400(1 - 1/2)+

= 400+ 125 + 125 = 650.

500x100
TCUCel)= 3.50 X 100 + 1/2 x 5/4 x 500(1 - 1/2)+

= 350+ 156.25+ 100

= 606.25

500x 100
TCU((25)= 3x 100 + 5/8 X 1000(1/2)+ jqqq

= 300 + 312.50 + 50

= 662.50

Q*,the optimum order quantity(EOQ)is

Q% =500 units.
Remark 8•7• All the models described abovecan
are be
single item models
analysed treatingwith
eachstatic
itemdemand. While
independently.
r rhorwould no. be valid. This is because.he holding cos.(like cos. of space
? other costs of one may be closely related to oUicr items. While we would no. be
trpo'ible complications we will give one model(See Model VI) where the only
consttaln. is the total storage limitation.
Model VII Multiple Men.static and deterministic demand inventory model with storage
limitation.

Assume that the inventory system consists of n items competing for a limited space. The
following notations will be used.
mi = storage area requited per unit for the Wh item.
M = Maximum storage area available for n items.
Qi = Order quantity of the i-th item.
Di = Demand rate per unit time for the i-th item.

8.27
Ki = Set up cost for the i-th item.

Coi = Per unit purchase cost for the i-th time.

Cii = Holding cost per unit of item, per unit of time corresponding to i-th item.

Let us assume that there is instantaneous delivery(A = oo ), no quantity discount and no

shortages allowed. The inventory costs associated with each item is essentially the same as in the
single item model(Model II).
Thus, the problem is one of minimizing
n

TCUCQi,Q2, Qn)= X +|ci,Qi -t- KiDi/Qi)

/=1

subject to the constraints

^miQi<M, Qi>0 for alii.

/=1

The existence of the minimum can be proved as follows :

Let gCQl, Q2, Qn) = jcUiQuQi,...,Qn)

n

= ^/[^(CoPi+^CiiQti-Kpi/Qi)]^
f=l

Qi > 0 for all i.

It is easy to see that limit of gas one or more ofQA-^O is zero. Hence ^
'"-c, we define

g(Ql Q2. ••••' Qn)~ ^ whenever one or more Qi's are zero.
The function g is continuous on the closed and bounded
n

.QiS0,i=1.2 n,
seti_
i=i

8.28
 Hence g has a maximum value on this set and also has a minimum value 0 when one or
n

more Qi's are zero. Thus g has a maximum value on the set Qi > 0 and ^miQi < M. Hence
/•=l

TCU(Qi, Q2, ••••, Qn) has a minimum value on the set Qi > 0, i = 1,2 n and

^miQi < M.
i=\

The general solution ofthis problem can be obtained by the method ofLagrange multiplier.
But first we must check whether the constraint is active or not. The minimum value of TCU
n

without the constraint^mi Qi < M occurs at the point , )

i=\

where

If this solution satisfies the constraint i.e. ^m/ Qr < M, then the constraint is said to be
1=1

inactive and this solution is the required solution.

If the above solation does not satisfy the constraint, i.e. if J"i d"'> M
r=l
(1)
•jto be artive
constraint is said active and new optimal values
^ of Qi's have to be calculated. In this case,

m solution will satisfy the equation ^rm Qi= M. For suppose that the optimum
n

solution(01,
* * n') is in the interior i.e. ^ ^ differentiable
♦ ■ 10 n should satisfy the equations
fnncticnofa',.C-
3TCU ^ 0^ 1 = 1,2 n-
30/

8.29
 This implies that q1 = for i = 1,2, n or ^nti < M, which contradicts (1).
/=l

Thus the optimum solution will lie on the hyperplane^/«/ Qi= M if the constraint is active.
(=1

The problem now reduces to minimizing TCU subject to the inequations Qi > 0, i=l,2,...,n
n

and the equality ^miQi= M.

i=l

This is done by the method of Lagrange multiplier.

Let L(A,Qi,Q2v—.Qn)= TCU(Qi,Q2,...,Qn) - M) where X, < 0 is the La-

i=l

grange Multiplier. The optimum values of Qi and X,can be obtained by solving the equations

lk^.icu-K,D,Ql-X,n,-0. i=,,2
n

^^-•£miQi+ M =0.
oK
(8.3.74)
/=1

Equation (8.3.74) implies that the optimum values Q* must satisfy the storage constraint
as an equality. From equation (8.3.73) we obtain

Qt = ^2KiDi/(C\i-2X* mi) ; i = 1,2,..., n. ' (8-3.75)

where iX,* <0 is so chosen that Q* should satisfy equation (8.3.74). The value of X.* is normally
estimated by systematic trial and error method(See example 8.7). For X.* = 0,Q* =
i-1,2,.....n.

Remark 8.8:Obviously X,<0. Since if 0 < X* <^ for each i, then from (8.3.75) it follows
n n

that gi ^ for each i. Hence 2], mj Q* > ^m/ > M.

i=l j=l

8.30
 Thus Q* cannot satisfy the constraint if X" > 0.
Example 8.7:Consider the inventory problem with three items, where Ki,Cn,Di and mi are as
given below :

Ki Cii Di mi
mi
Item (i)
Rs. 100 Rs. 5 3 1 ft.'2
1
2 Rs. 75 Rs.3 5 I ft.'2
Rs.2 2 2 ft'
"3 Rs. 50

Assume .ha..he <ou.l s.omge ama m =40'

ft The unresericKd op.imam solmion is given by
ei"' = -TlKiDi/Cu'. i = 1.2.3. Thus#= lo w.
15.81, 2?'-10.00. X™2i'"-10.«4 15.81^20=46.76.
j=l

.• foH Thp constraint is active. The optimum solution satisfying

The constraint is not satisfied. The constra
the constraint(as an equality) is given by t e

^mi(2/ -40-0.
<•=1

The following table can be constructed

02 03 X miQi-M
X* Ql
15.81 10.00 6.76
10.95
0 9.53 5.46
15.55
10.85
-0.05 9.13 4.31
15.31
10.74
-0.10 8.77 3.26
15.08
10.64
-0.15 8.45 2.29
15.85
10.54
-0.20 14.64 8.16 1.40
10.44
-0.25 14.43 7.91 0.60
10.35
-0.30 14.24 7.67 -0.16
10.26
-0.35 7.72 0.00
14.28
10.28
-0.34

8.31
 Thus the optimum
y solution is Qi = IQOg ^2-
n-;- 14.28,
tA-ya (^3 = 7.72. ,hor M = 40 ft2., the
.
storage
® constraint is satisfied as an equaiitv I or A.=-t)
' MiiyiurA- ai.^ note
t'.44. Also . that
. the
. con.strant is .inactive
•
if M >46.76.

probability distribution of the demand Inca.se it is nolkno" T ^^

the best fitting distribution based on sample data. '•'"'P'"'-'""''
8.4 ProbabHislic Models(Single item,Single period Models)
The single period inventory models occur wliPn -m a
demand of a specific period of time. Items which bem T '1 °"'y
and may not be reordered are dealt with in sincrlp ^ certain period of time
models
The is thataproductmustbeproducedorpurchaserforu"'°''^''i
following could be certain typical situations which cTnTmorM°r''"®''''T''''"°d
mventory models. Inventory of seasonal goods such as win., ^ "''"Slt:
•Rakhi', perishable items such as eggs, vegetables,sweets shortiived"!®'
chnsmas trees etc. '
' items such as newspapers,

this section,
as.instantaneous two singledemand
or uniform periodthroughout
models willthbe discussed
ro iinrlfa
under adifferent
pf conditions suchu
assumed
on thatofstock
the basis replenishment
minimization occurs instantaneoL'irTf'
of expected inventory Ti^ without .setlevel
'"^®"tory up iscost. It is
derived
(Seftip + purchasing or production), holding and 580°^^^ include the ordering cost
abilistic the per unit purcha.se or production'cncf th ^ Because the demand is prob-
cost function. plays an effective role in the

Instantaneous Demand,short period Models

In these models(Model VII and Model VIIII itic
whole period) is generated instantaneously at the beeinn'^^^^T^u that the total demand (for the
IS filled at the beginning of the period through instanta ° demand
procurement is made before the demand is generated and"^°T '^^^'^"'^hment. We assume that
it is assumed there is no holding cost during the period t Possible. Further,
holding cost for the ending inventory. period is short) but there is a
The following notations will be used:
X = The demand for the item for the whole period X is a rand.
f(x)andcdfF(x). ^^ variable with pdf(of ppf)

8.32
K= Set up cost, which is a constant. It occurs only when an order is placed and a procurement
of stock is achieved and is independent of the number of items purchased.
K =0 when no order is placed.

Co = The per unit purchase or production cost.

Ci = Holding cost per unit of ending inventory. It is calculated over the items left over at the
end of the period.

Ct = Stock out or shortage or penalty cost per unit out of stock.

Q = Quantity ordered and received instantaneously just before the period for the whole period.
No further procurement is possible.
I= Inventory (number of units)on hand at the beginning of the period before the order is
placed.

R = Q+ I = Desired inventory level to meet the demand for the whole period.
Model VII: No set up cost i.e. K = 0.
First we consider the case when X is a continuous random variable. The problem is to find
the best le(el R which minimizes the expecteii total cost for the whole period. The total cost for
the whole period is denoted by TC(R)is random variable gtvet, by
TC(R)= CoQ + Ci(R-X) ifX<R
= C„Q + C2(X-R) ifXaR. (8.4.1)
Hence,
(8.4.2)
^ f
E(TC(R)) = CoQ + Clj (R-x)f(x)dx + C2j (x-R)f(x)dx
o

= Cost of puichasitig Q items + Expected holding cost+ Expected

stock out cost.

For later reference, we shall denote the expression

^ J /-o f (X-R)f(x)dx by G(R).
Ci f (R-x)f(x)dx
J
+ C2j (xk; ^ ;
P

E(TC(R))= Co(R-I)+ G(R).

Thus

8.33
 The value for R, which minimizes E(TC(R))is obtained by solving =0
^ dR
We denote this value of R by R*.

Hence R* is given by

R* oo

Co + Cij f(x)dx-C2j f(x)dx =0

R*

orF(R*)= (8.4.3)
C2+ C1

is — G However «
purchase/production cost per unit,there is no Fpoint in purchaL"o"'1^ "°d 'h"" '
'H 111 purcnasing or producing such an item.

Further, it can be shown that ^ EiTQR))

^ ^2 i + C2)f(R), which is > 0,even if Ci < 0.
Clean be
smaller thennegative
Co andinhence
casesmaller
the ending
thaninventory
C2.Thus,can
the be soldofntri.oi
graph EfTCrpfv^"''^' lu,
all R. Thus,E(TC(R))is minimum at R = R*.Hence concave upwards for
R*=r^ C2-C0)
C2+ C\

Remark 8.10: (i) (8.4.3) gives the probability of no stock out r k ,1

inventory is at the optimum level. (.shortage) when the desired

P(X>R»)=I-F(R*)=l-S_Co _
C2+ C, C2+cr (8.4.4)
ge When
is the probability of at least one shortage when the
thn tnvemory is at the optitnum level R*-

(iii) If the demand X is discrete, specifically, if P(X=n^ - f

optimum inventory level R* = N if E(TC(N)^ < FcTr-^T^"^'"~ ®'^'2.3 then the
^ E,ui-(N-1)) (8.4.5)
and E(TC(N + 1))> E(TC(N)).
(8.4.6)

8.34
 Taking (8.4.5) we get

yv-i

Co(N -1)+ Ci X(N-iW)+ C2 X

i=zo i=N'h[

N-2

< CoiN-\-I)+ Ci X + C2 X(f-A^+lMO •

i=o i=N

N-] ~

or Co + Ci < Ci Xy(0.
i=o i=N

or Co + CiF(N-l) < C2(1-F(N-I))

. Ci-Co

C'2. ^
Similarly,(8.4.6) gives F(N)> ^ •

Thus, the optimum value R* of R(which minimizes E(TC(R)))is the smallest integer for
which

C2-C0 (8-4.7)

Thus,the optimal Inventory(ordering)policy is: IfI<R«,then orderforQ» =R.-1

otherwise no order is to be placed.
Model Vin: The Setup cost K #0.
This model is,in every respect,like model VII exceptthat in this case K> 0.The total cost
(for the whole period)denoted by TCk(R)it given by
TCK(R)= K + CoQ + C,(R-X)ifX<R
= K + CoQ + C2(X-R)i^ X^R- (8.4,8j
It is easy to see that
E(TCk(R))= + E(TC(R))- (8.4.9)

8.35
 Since K is a constant,

dE{TCK{R)) ^ dE{TCiR)) ^ ^ ^ (8.4.10)

clR dl<

/EiTCKiR)) _ d-E(JCm (8.4.11)

=(Ci +C2)f(R)>0.
dR' dR'

E(TCk(R)) and E(TC(R)) are convex functions of R and so the graphs will be concave
upwards. The graph of the former is K units above the graph of the latter. E(TCk(R)) is also
minimum when R = R*. The graphs are shown in Figure 8.7.

Figures.?

LetE(TCK(R*))= yo- Let A be the value of R, where the line y = y^ meets the graph of
y = E(TC(R))- Consider the case when the initial inventory I = I2, where I2 < A. If no order is
placed, then K = 0,Q = 0'R = ^2- Hence the total expected cost is the value of E(TC(R)) at
R = I2 that is yi- If otder ts placed for R '- -12 units to bring the inventory at R* level, then the
total
Dlace expected
an order.cost
Now,isconsider
equal to E(TCK(R*))
the case when=the
Vo-initial
Note that yo < y2.
inventory Ii Hence it is advantageous
satisfiesA <1, <R*. Ifnoto
order is placed, then K = 0, Q = 0, R =Il, Fience the expected value of total cost = E(TC(Ii))=
V, Tf.n order is placed for R*-Il units to bring the inventory at the optimum level R*,then the
expected value of total cost = E(TCk(R*))- yo- It is easy to see that yi<yo. Hence it is

8.36
advantageous not to place an order. If I > R*, it is obvious that it is advantageous not to place an
I order. Further, if the initial inventory I = A,then it can be easily seen that placing an order for
R*-A units or not placing an order are equivalent and give equal expected total cost.

Thus, the optimum ordering policy is :

If the initial inventory I < A, place an order for R*-I units.

If I > A,do not place an order.

If I = A,order may or may not be placed.

Remark 8.11:The point A is called the order point. A may also be called the point of indifference.
The point A can be obtained (using the above discussion) by solving the equation:
E(TCk(R*))= E(TC(A)),

where E(TC(A)) is the expected total cost when I = A,Q = 0,and K = 0,so that R =A.
E(TC(A))= G(A), where G(R) was defined earlier.

E(TCk(R*))is the expected total cost when I = A, Q = R* - A,R = R*,K > 0, hence
E(TCk(R*))= K + Co(R* - A)+ G(R=i=).

Hence A satisfies the equation :

G(A)= K + Co(R* - A)+ G(R*) (8.4.12)

/I

or Ci I iA-x)f(x)cbc + C2jix-A)f{x)clx
R*

= K + Co(R* - A)+Ci j (R*- x)f(x)dx + C2j (x - R*)f(x) dx, (8.4.13)

0 R*

which is the required formula to determine the order point A.

Remark 8 12: The optimal ordering policy can be interpreted as an (s,S)policy, with s = A and
S = R*,siiice if the initial inventory I < s, place an order for S -1 units to raise the inventory t®
the level S.If I > s, do not place an order.

8.37
Remark 8.13: Cost Evaluation:

(i) Holding Cost: Ci, the holding cost per unit of ending inventory can be interpreted more
generally as the inventory holding cost, plus a spoilage cost plus the cost of removing the
item from inventory at the end of the period minus any revenue received if the item is sold
on disposal value (also called the salvage value). Thus if the item is disposed off at the rate
of V per unit and the cost of holding the ending inventory is h per unit,thus Ci = h - v. Thus.
Ci could be negative in case h < v. Sometimes, the ending inventory may be carried to the
next period with a carrying cost, say h per unit, then Ci =h.The ending inventory becomes
the initial inventory for the next period.

(ii) Shortage(Penalty) Cost:If the demand exceeds the supply available, then the unit cost of
unsatisfied demand must be interpreted at least equal to the per unit lost revenue and notjust
the lost profit per unit. This will be clear if we consider the profit (instead of cost) in the
above model. Let T denote the profit for the period, and s denote the per unit selling pn^e-
Assume that other costs associated with shortage,such as cost of ill- will of customers etc..
be g per unit of unfilled demand.

Then,

T = sX - Co(R -I)- Ci(R - X)- K, if X < R

= sR - Co(R -1)- K - g(X - R), if X > R,
where Co,C,,I, R,X have the same meaning as before.
Thus,the expected profit for the period is;

R R oo

The expected profit will be maximum, if .. . .

dR ~ 'wtiich gives

(5+g)+ Ci (8.4.1^)
Further, it is easy to see that

^® =-(Ci+g+^)/(R)<0.
dR^

8.38
 Thus, E(T)is maximum for the value of R given by (8.4.14). Thus, the optimum value R*
of R,which minimizes the total expected cost,also maximizes the expected profit and the shortage
cost C2 = s + g. Thus, the per unit selling price can be taken as the per unit penalty cost or the
lost revenue due to a loss of prospective sale can be interpreted as the cost of shortage, if no other
costs are associated with shortage. Of course, if there are additional costs associated with
unsatisfied demand (for example, loss of goodwill) they can added to the lost revenue.
A second explanation of interpreting the cost of unfilled demand as lost revenue is as
follows. Suppose that the unfilled demand X-R (if X > R)is to be met by purchasing the item
on the spot from the market(such a situation arises naturally when the firm has made a contract
to satisfy the total demand of a customer), then the cost of purchasing these items is equal to
(X-R)s, where s is the per unit selling price prevalent in the market. If, further, there are other
costs associated with this exceptional purchase, such as freight charges, inspection charges etc.,
then the purchasing cost could be(X-R)(s +g), where g is the per unit additional cost. Even if,
no such purchase is made, we could assume hypothetically that(X - R)items are purchased at
the selling price and sold at the same rate, then the cost(X-R).s of this hypothetical purchase
should be included in the cost model but the corresponding revenue received(in the hypothetical
sale) should not be considered, since the model is a cost model and the revenue of any kind is
not included in the model. However, in this case, no purchases are actually made to meet the
unstasified demand,there may be other additional costs associated with the shortage(which are
referred to above),these additional costs should also be added to the lost revenue to find the total
shortages cost. Thus C2 = s+g, where s is the selling price and g is per unit additional costs
associated with shortage. Suppose we decide to include the hypothetical revenue in the model,
then we should include the total revenue received during the period.In that case, the cost minus
revenue for the period, denoted by Y(R)is given by
Y(R)= K -I- Co(R -1)+ Ci(R - X)- sX, X < R
= K + Co(R -1)+(s + g)(X - R)- sX, X > R.

rNnte- The last term (sX) in both the above equations is the revenue received, and the term
fT yX-R) is cost of hypothetical purchase of(X-R) units, which are short, s is the per unit
purchase cost and g is the per unit other additional costs).
Hence the expected value of Y(R)is given by
00 00

E(Y(R))= K^G,(R-1)+ C, J <R-X)f(x)dx +(x J(x-

8.39
 Thus E(Y(R))is minimum if^E(Y(R))= 0, which gives

(^+g)+Ci' (8.4.15)
which shows that the per unit penalty cost C2= s+g.

Illustrations(i): Christmas trees cost Rs. 2.00 per tree and the selling price of tree is Rs.4.00.
The trees left unsold are burned at a cost of 20 paise per tree. If a sale is lost due to shortage,
there is no additional cost besides the lost revenue. In this case, Co = Rs. 2.00,
Ci = Rs.0.20, C2= Rs. 4.00.

(ii) A publisher prints a book X in May, June and July with a cost of Rs.50.00 each copy and
sells it for Rs.70.00 per copy.If the book is not sold during that year, it will cost Rs. 10.00
to keep the copy until next year. If there is a shortage of books in year, the publisher loses
sales and also a goodwill costing Rs. 10.00 per book. Here Co = 50.00 , C|= Rs. 10.00,
C2= Rs. 80.00.

(iii)Suppose that, in a single period inventory model, the leftover items are sold at a
concessional rate of Rs.5.00 per item, with a handling cost of Rs. 1.00 per item. In this case
Ci = 1-5 = - Rs.4.00 per item. Thus the holding cost is negative.
Example 8.3: The campus store specially purchases fire-crackers for Diwali for sales Assume
that each fire-cracker costs Rs 2.00 and sells for Rs 5.00.If a sale is lost, there is no additional
cost besides the lost revenue. For the sake of safety,the store has policy of burning the left-over
crackers at a cost of 10 paise per cracker. The demand is equally likely to be any value between
200 and 500 items. What is the optimum level of purchases to be made?
Co = 2, Ci = .10, C2= 5.

The optimum inventory level N is the smallest integer for which

C2-C0 3 _ 10 ~

The cdf of demand is;

N-199
F(x)= . N<x<N+U N = 200,201 499

=0for X < 200

= 1 for X > 500.

8.40
 F(376)=|^=.58804.
F(377)=|^=.59136.
Thus R* = 377

If we assume that demand is a continuous random variable unformly distributed on (200,

500), then R* is given by:

y?*-200 /?* 2 JO
FCR-*")- _ 200 ~ 300 3 17
inus,

_ 376.47. Thus the purchase of 377 fire - crackers is optimum.

Example 8.9: A ready - made garment shop in a small town makes winter cc^^d sells them
daring the winter months. Each coat costs Rs.200 to make and sells for Rs.500.If a coat is not
sold,ft is estimated that it will cost Rs.50 to keep it nntil Ass"™ that there wete
lOcoats left in the last year. Previons data snggests that the dtstrtbntton of demand wtll be as
follows :

Demand : 10 20 30 50 100
Probability: .1 .2 .3 .3 I
What is the optimal nnmber of coats made by the shop this year? Assume that the setup
cost is zero.

Co = 200, Ci=50, C2= 500, I= 10, K = 0.

Co-Co 500- 200 _ 300^ A =.545.
Ca + Ci'looTio" 550 11
The cdf of demand is given by
F(x)=0, X < 10
= .l, 10<x<20
= .3, 20^ X < 30
=.6,30<x<50
= .9, 50 < X < 100
= 1,for x^ 100.

8.41
 The optimal inventory level R* is the smallest integer such that
F(R*)> .545.

Thus, R* = 30. Hence Q* = R* -1 = 30. lo = 20

Optimal number of coats to be made is 20.

variable, uniformly distribmed onT2W^ ''"f continuousrandom

cost is Rs.2 per unit. The holdina cost of J " inventory of 250. The purchase
per unit out of stock is Rs
Ks.3j. The
1 he cost
cost of f an'"^®ntory
of placing is Re. 1 per unit. The stock out cost
order is Rs.50.
Should
m order the purchases
to minimize be made?total
the expected Howcost"?
manviinitQh»
A • u i^^he purchase is to be made,
given,for
order determine
minimumtheexpected
minimumtotal
initial inventory levTT
cost. ^ inventory
■'^qnired (250)
to prevent anyisfresh
not
Solution: Suppose no purchases are made for I = 250
With C^ = 2. Ci = l, C2 = 3, R = 250, Q = o,wege,

E(TC(250),=^0-.,^,37<.-250,A
200 250 300

(250^ 250 3 500

300 [2(^-250)2]I
250

= f+ 312.50 = 316.67 (in nipees).

IS R* If the order is placed, the expected total cost wili
where ^1" i,ne mmimum
. if the inventory level

fcr*) = ————1 ?,__L

C2 + C1 3+l~4

R* - 200 1
or
300 ~4

or R* = 215 units.

Thus, if the initial inventory is 250 as given and if th

ordered. The expected total cost if the order is FolacpH
at^cu in +u
this-^ case willplaced,
be 25 units should be

8.42
E(TCk(R=^))= 50 (i.e. cost of placing an order)+ 2 x 25 (i.e. cost of quantity ordered)
275 500 ^
+ J(275-x)^+ 3 J(j:-275)^
200

75 a: 75 3 ,225 x 225_^
= 100 +'^''300^ 2
= Rs. 362.50.

Hence,if the initial inventory is at 250,no order should be placed.

To find the order point A
Suppose A ^ 200.
,„= A.Q =0.R = A.K =0,weget
500
. dx
dx_ J.. _3 f(x- A)dx
E(TC(A))= J ('4 -
~ ^) 300
300 30
300 J /\
200

600

IfI = A,Q =275-A.R

cc A r* = R
R = 275,then ^
\ ^ +3 f —— dx
n or775-A)+f(275-^)300"'^J
E(TCk(R*))= 5® + ^^ 200
300

i725 _2A.
2
Thus,the equation de.ermtai.tg A.s
E(TC(A))= ®^k(''"
,c2,iI^-2A
oj. _L(a-200)2+200^
J--(500'A) - 2
600^

8.43
 or A - 400A + 40000+ 3A^ - 3000A + 750000 = - 1200A + 517500
or 4A^ - 2200A + 272500 =0
or 2200±^4840000-4360000
8

-275 - 50 Vs", the positive sign is obviously not admissible(Why?)

= 188.40 units.

This contradicts the assumption A > 200.

Thus we have to rework the problem whh .he assump.ion .ha. A S 200.
For A S200,1 = A, Q =0, R = A(when no order is placed)
500

E(TC(A))=3 J(,-a)4=,050-3A
206

275

E(TCK(R.» =50r-2(275-A)+f(275 & T dx

275

= 1225
2
2 "

Hence E(TC(A))= E(TCk(R*))gives A = 187.50.

Thus,if the initial inventory I < 187.50 then place an order for 97s t •
inventory I > 187.50, then do not place an order "" initial
Unirorm Demaml,Single Penod ProhablWc InvenRn,Model,Se.„p Cos.is Zero
Model K: In ftis model, .he demand, .hough probabilis.ic
instantaneously
the at the
cost ofholding beginning
inventory ofthe
during theperiod)
periodduring
and alsothethe^"°
peri d unformly (rather
holding cost than
includes
To compute the costs we have to consider two possibilities^- X ending inventory,
holding and the average shortage inventory in these two cases are^ and X > R. The average
In the case, X ^ R,the average holding inventory for the u/h/wi 1 i
and the average shortage inventory is zero.
period =l(R+R.X)=R.iX,
^

8.44
 X

>
c

time(t)

Figure

In the case X>R, the average holding inventory, = since

2 (to ^l) 2 X
2
R X-R —.Further the average shortage inventory
/
=:^(X-R)
^
—^
to+ti 2 X
to t\ to+t\

I timc(t)

Figure 8.8(b)

Hence,Che expected total cost for the period is given by

8.45
 R ^ oo
E(TC(R))= Co(R -1)+ Ci[J(R-^x)f{x)dx +j^Ax)clx]+ Cij^^J[x)dx, (8.4.16)
0 R ^
where Co, Ci, C2 are as defined in Model VII.

The E(TC(R)) will be minimum if R = R*, where R* satisfies the equation :

R* 0° 00 00

Co + C,(jj{x)dx + R.\f{x) + C2(R* Jylx)^ -\fi,x)<lx =0

o Rt'

00

or F(R»)+ R»fy(A:)^=S^. ,84 ,7)

R*

Further, ^ E{JC{R))
dR^
^ ^ j ^^^
Hence the value R* minimizes E(TC(R)).

Example 8.11:Suwose that the demand ofa product in a single pericd is uniformly distributed
on the interval (0,10) and the demand occurs uniformly during the period. The shortages cost is
Rs 9.00 per unit, the holding cost is Re. I per unit. The purchase cost is Rs 200 ner unit Find
the optimal order quantity.
From (8.4.17), the optimal order quantity R* is given by
10

R*

Ojlj n jja

or ^+-^(/nIO-ln/?*) = 0.7
or /?*(1+/nlO —In/?*)= 7

7 7
or R* =
l+lnlO-lnR* 1 ,, ,10 ■

Using the fixed point iteration

8.46
 With/?o = 7, /?1=5.1596737, i?2= 4.2125236, /?3= 3.754311, /?4 = 3.5359245

;?5 = 3.4320281, Re = 33825619, 7?? = 3.3590058, /?8 = 3.3477765

7?9 = 3.3424236, 7?io= 3.3398717, 7?ii = 3.3386655. ThusR* = 3.34.

Model X:A Continuous Review Probabilistic Inventory Model:

In this probabilistic model, the stock is reviewed continuously and an order of size Q is
placed every time the stock level reaches a certain reorder point s. The objective is to find the
optimum values of s and Q which minimize the total expected inventory costs per unit of time.
We assume that one year represents a unit of time.

Lead tme
Lead time
_L Lead time

Cycle 3
Cycle 1

Figure 8.9

The inventory fluctuations

1 he inventory . ,arefshown
orders.inThe
Figure 8.9. A assumptions
following cycle is defined to be the time period
ar^made.
between two consecutive am

(i) Lead time t beween <he placement of an order and its receipt is a rahdom variable, with
pdfh(t),t>0. . ^
(ii) Unfilled demand during lead time is bac •
(iii) Thedistributionofdemandduringleadtimeisindependentofthetime.
(iv)

8.47
 There is no more than one outstanding order at a time.
Let g(xlt)= Conditional pdf of demand X,given that the lead time is t, x > 0.
f(x)= pdf of demand X during lead time
oo

=J I t)h{t)dt
O

Q = amount ordered per cycle.

D = expected totah demand per year
Ci = holding cost per unit peryear
C2 = Shortage cost per unit per year.
The total annual cost in this moHpi *
cost and the average shortage cost. setup cost, the expected holding
The average setup cost

§is fteapproxtaate number Of orders

The expected holding cost is has h
approximated
.nvetttoty levelasatthethemean oftheexpec,ed
beginning ofaTy^ °"tI "^=^8=»'"ventory
"•« end oflevel
a cycteperandcycle,
the expe''^
eTr'nf
level ts QfECs-X). Hence,the average Ofa'ctle!f™ '"-"'O'V
in'tto^ levelthe
^eeived). a theexpected
endofiaveal""
aoye^«
0+ F( Y\
7= ^±^(£.11^11^-X) '^ycle(and hence per unit of time)-
2 -

= s-E(X)+1/2q.
Note: Here we have assumed that s-E<'V^ •
)'s positive always
Let She the shortage quantity per eye,e. Then "
S = OifX^s

= X-s if X>s.

8.48
 Hence the expected shortage quantity per cycle.
oo

E(S)= I(x -s)f{x)cbc.

S

There are approximately D/Q cycles per year, hence the expected annual shortage is then
equal to ^E(S).
The total annual cost of the system is thus given by

TAC(s,Q)=^+ Ci(^ Q+s-E{X))+ C2

The shortage cost^ E(S)C2 is taken proportional to the shortage quantity only without
taking the shortage time into account. This is done as a simplifying assumption.
The optimal values s* and Q* are given by
dTAC C2D EjS)

Si ^

From the first equation we get

_ -^j2D(K+C2EiS)r (8.4.18)
and,from the second equation,we get
Q* Ci (8.4.19)
F(s*)= 1--;^'
00

where E(S)= J(^" • (8-4.20)

8.12:Find Ihe optimal values ofs and Q in the conlinuons review probabilistic demand
model Assume that the demand during lead time is normally distnbuted with mean 100 units

8.49
and a standard deviation of 30 units. The expected demand for one year is 1800 units. Assume
that K = Rs. 10,Ci =60 paise per unit per year, C2= Rs. 5 per unit per year.

p/oN _ f (x-s) -lr.r'0Qs2

dx

30 1.^-100.2
30 +(100-.)(1_<I>(£:^00^)
F(s) cdf of demand during lead time = O i52\
30
Let s —> 00 then E(S) 0. Hence,from (8.4.18)

=244.9.

Hence from (8.4.19), we get.

♦ N
^1-100
= 1 _ 244.9X .60
30
1800x5 - -98367
or j1 - 164.io. Hence E(S)= 1.2122 -
1.0484 .163814. Hence(8.4.18)gives
Q2 =v 2xl800(10f5r 163814)
= 254.78.

^2- 100^ = 1 _ 254.78 X .60

30
1800x5 --9830

or. -^3-
^-100 ^
= 2.12

or 52=163.6

Thus,s* = 164 and Q*= 255.

8.50
 The corresponding(minimum)total annual cost

= TAC{s*,Q*) =^+ Ci(^Q +s- E{X)^ + C2

(DE{S)^
Q

= 70.59+ 114.90 + 5.78= 191.27.

Remark 8.14:(Multiperiod Models): A logical extension of single period models is to have a

periodic review over several periods during the planning horizon. In the Example 8.5 if the
winter months were three months, then a review can be made at the end of every month and
decide the optimal order quantity. For this horizon of three months periods, the periodic review
policy of using the one period optimal policy thrice is not generally the optimal policy. Optimal
solutions of multiperiod inventory problems are obtained through dynamic programming meth
ods. We will not be discussing these in this book. Interested readers may refer to L.A. Johnson
and D.C.Montgomery (1974).

8.51
 PROBLEM SET VIII

Vni.l The demand of a product is 500 units per week and the delivery rate is 1,000 units er
week. If the purchase price is Rs.50 per unit, the ordering cost is Rs. 100 per order
holding cost is Re. 1.00 per unit per week,calculate Q*,TCU(Q*)and the optimum order
cycle, assuming that no shortage is allowed.

Answer: Q*= 447 units,TCU(Q*)= Rs. 25,223.60, OOC = tl = 6.258 days

Vm.2 Do Problem VIII.1 with the modification that the delivery is instantaneous.
Answer: EOQ = 316 units,TCU(EOQ)= Rs.25,316.23, t*o = 4.427 days.
VIII.3 In problem Vra.l assume that shortages are allowed with backorders at a cost of R.o
unit per week.Find B*,Q*,TCU(Q*,B*)and the optimum order cycle.
Answer:EOQ = 548 units, EBO = 91 units, TCU(Q*,B*)= Rs i so -7
1-^ ' ^ 1 ^2.75,
OOC = to* = 1^^ weeks.

Vni.4 An automobile firm requires 1000 bolts of a particular type ever .1

estimated to be Rs.2 per hundred bolts per day and holding cost is R T
per day. The firm can either manufacture the bolts or purchase th^ "^""dred bolts
source. The set up cost is Rs.500for manufacturing and Rs 50f an outside
cost per 100 bolts is Rs. 20 if purchased and Rs. IQ if manuf^"*^^'^^^^"^
manufacturing rate is 6000 bolts per day,the delivery is instataneous
from the source. What should be the policy of the firm: to mannf^acture
I or to purchase?
Purchases
Answer: For purchase, Q* = 38.7 units, TCU(Q*,B*)= Rs. 225 80 h.
days. '"OC = ro = 3.87
For manufacturing: TCU(Q*,B*)= Rs. 174.53.

It is profitable to manufacture.

Vni 5 Assume that, in a single period probabilistic inventory model where the de
instantaneously at the beginning of the period and filled instantaneouslv n,™?
item is N(20,25). Given I= 10,Co =60,C,= 10,C2= 115,R = o l
ordering policy. • opti„„„
Answer:Place an order for R* -1 = 19.245 -10 = 9.245 units.

8.52
VIII.6 In Problem VIII. 5, what value of the desired inventory level R will assume with at least
95 percent confidence that no shortage will occur?(Hint: We want P(D < R)= 0.95).

Answer: R = 28.225.

Vni.7 Do problem VIII.5 with the only change that the demand is uniform in (15,25).

Answer: R* = 19.4. Place an order for 19.4 -10 = 9.4 units.

Vni.8 Do problem VIII.5 with the only change that K = 100.

Answer: R* = 19.245; if no order is placed, then expected total cost = Rs. 1134.53
and if an order is placed for 9.245 units, then the expected total cost
= Rs. 947.18. It is advantageous to place an order. For the general ordering
policy A = 14.448.

VIII.9 Do Problem VIII.l with the assumption that there is price discount in the following
pattern.

50 ifQ< 100

45 if 100 < Q < 200

Per unit cost = 40 if 200^ Q < 500

38 if 500 < Q<1000

35 if 1000 <Q.

Answer: = 447 units. TCU(447) = Rs. 20,223.60, TCU(500) = Rs. 19,225,

TCU(IOOO)= Rs. 17,800. EOQ = 1000 units.

Vni.lO The demand of an item is 225 units per day and the rate of productions 450 units per
day.The costofholding inventory is Rs.1/2 peritem per day.The back ordering is allowed
at the cost ofRs. 1/2 per item per day. The cost of starting a production run is Rs. 100 per
run.

The production cost per item is as follows:

Rs.2=00ifQ<200
Rs. l=75if200<Q<500
Rs. l=50if500<Q< 1000
Rs. 1=25 if 1000<Q< 1500
Rs. l=20ifQ> 1500.

8.53
 CHAPTER 9
Simulation

9.1 Introduction

Simulation is probably the mostimportanttechnique used in analysing a number ofcomplex

systems in estimating their characteristics. This technique is used when the analytic methods of
analysing a complex system are not known. Whenever mathematical methods for getting the
characteristics of a complex system do not exist, simulation method enables one to obtain
approximate values of these characteristics.
Basically,simulation is a technique of manipulating a model of a system through a process
of imitation In simulation, the characteristics of a system are estimated by artificially doing a
large number of sampling observations on the variables of the system following the conditions
of the system. Thus, simulation is essentially the technique of conducting a large number of
sampling experiments on the model of the system.
Normally simulation involves a large number of computations. Due to the advent of
computers, these computations can be easily carried out in much less time. Simulation studies
have developed fast after the advent of computers.
In Chapter7 when we discussed the queueing systems,we have given acomplete analytical
solution for simple models with the following assumptions:
(i) Poisson input and exponential service times
(ii) Steady state
(iii) First come first served queue-discipline.
Analytic th°ds for finding
relaxed arethe
alsocharacteristics
available. Butofthequeueing
real lifesystems
queueingin systems
which some
wouldofnot
the
above conditions can e system for which analytical solutions are available. The
always statisfy the constram analytical solutions are not available. In such cases,
complexities may be so large
simulation is used.

In this Chapter, we wi•11 nly attempt to describe the basic

queueing simulation
system concepts
and other simple and illustrate
models. The
them by analysing a complicated systems by developing suitable
concepts iUustrated could be extena
computing techniques.
 The first step in simulation of a system is to construct the model of the system. The model
of the system requires the following:

(i) Identifying all the variables of the system and the events which affect the system.
(ii) Accurate assumptions and restrictions on the variables and events of the system.
(iii) Interactions between different variables and events of the system should be identified.
There are certain basic terms,such as system,state, model that are used in simulation. First
we consider the meaning ofthese terms. A system may be defined as a collection of interacting
objects, called entities . An entity is an object of interest in the system. For example, in a
queueing system,customers,servers are entities. A property of an entity is called an "attribute".
A given entity may possess a number of attributes. A server in queueing system is an entity. The
number of servers in the system is an attribute. The service time is an attribute. Customer to a
queueing system is an entity, the arrival rate, arrival time distribution are its attributes. The state
of system is determined by assigning a particular value to each attribute of its entities. Each
attribute of an entity of a system can be represented by a variable.Such variables are called state
variables. Any process that changes the state of the system is called an 'activity'. In the context
of a queueing system arrival of a customer, service of a customer are activities The start or
completion of an activity is called an 'event'. The moment a customer arrives is an event The
moment a customer's service starts is an event. The moment a customer departs from the system
is an event. Some of the variables ofa system are random variables. For example,the interarrival
times of customers to a queueing system. The variables associated with a system are of two
categories.

1. Decision variables: The values of these variables are specified by the analyst in the
beginning.Forexample,in a queueing system,the number ofservers to be provided queue
discipline are decision variables. ^ ^

2. State variables describe the state of various attributes of the system

Systetn parametets are quautities that represent physical constants, design parameters of
the system.For exatnple,tn a qtteuetng system,the intetatxival time distribution,the service time
distributtonsaresystemp^meters.Theanaiysthasnocontroioversystempatameters.Thestate
variables are affected by decision variables and system parameters.
Building a mathematical model of a system is to identify and describe tbe various cause
and effect relattonshtps bemeen the system parameters, decision variables and state variables
and todefmeandevaluate he systemperformance.Todetermine the system ^parameters
of formulation of model of the system.
isapart
i icisi p

In simnlarions, the events of the model of the system are artificially generated using the
decsmn variables and system patameters and as an effect changes in the state-variables ate
recorded and the system performance criterion is estimated.

9-2
 It is quite often found, that a simulation model takes much longer to construct, requires
much more computer time to execute and yet provides much less information. Therefore,
simulation should generally be considered a technique of last resort. Many models associated
with design of new systems and configuration changes in old systems are so complex that an
analytical solution of the model is not possible. Consequently, despite its difficulties and costs
and time required, simulation is often the only practical solution to such real life problems.
There are .several phases in solving a problem by a simulation method:

1. Formulation of a simulation model.

2. Implementations of the model.
3. Design of simulation experiments.
4. Validation of the simulation model.
5. Analysis of simulation output.

In the present chapter, we will not discuss these aspects of simulation,the interested reader
may consult references given at the end of this book for details.
Once a simulation model is developed, the model is imitated by recording observations
during the simulation period. There are essentially two approaches for this.
(i) Fixed time increment:
Here the observations are made at fixed increments of time.
(ii) Next-event increment:
Here,the observations are made whenever certain specified events take place.
While both the approaches have their advantages and disadvantages,the next-event-incre-
ment procedure is more commonly used. Unless said otherwise we will always be using this
procedure in this chapter.
Exmaple 9.1:

In a queueing system with a single server assume that the customers arrive such that the
• 1 for pach customer is two minutes (fixed) and service time for each customer
irrS^Tnute'sTfixed). Simulate the system using the 'next.event-incremenf method for 15
minutes:

Note: The above m eieai ic Hptermiuistic and the

assumption thatprocedure is simple.
the first arrival takesThe simulated
place datathat
at the start, are
given in iciDie y.i vvi
is, at zero time.

9-3
Average waiting time in the system = ly =^ o-,c
8 ~

Average waiting time in queue Wq = = 39

8

Average number in the system = L = — -0 a

15 -z.o.

Average number in the queue = Lq =^ _ j

Remark 9.1:In real lifp nrr.Ku
model of Example 9.1. Every time an ^ '^odei will not be as simple as the determin'St^^
the occurrence of next arrival. Simih nature generates a time interval unO
nature generates a time interval for ^ ®"ever a customer enters a service chan"®'
next event would be an arrival, a denart ^^ile we are observing the system,
can be simultaneous occurrence of any o^thr^^^ observations.(Ofcourse the
To simultate the system, these ev fi-
cially without conducting actilal S®"®rated by nature must be generated art
cally service times and interarrival tim generate
generated values are representatives of'th ^ ^ the
interarival time is assumed to be a rando Physical system. For example Jt
X then we must have a procedure, with
of this random variable Inthetnii ■ sections
followtng '^P'^^^n'oUve values(called
„e„m e.p,ai„ how torandom
achievevan
.hia-

9-4
9.2 Generating Discrete Random Variables

Let X be a discrete random variable, having the point probabilities

oo

P(X = xj)= pj, j = 0, 1,2,...,

y=o

A value of X can be generated as follows.

Given a random number U(uniformly distributed on [0,1)), set

X = Xo if U < po

= XI if Po ^ U < Po + pi

7-1
= xj if^p/ <U< ^Pi
1=0 1=0

7-1 j
P(X = Xj)= P = pj

,=0 '=0

j _ Q J 2 ... are ordered such that Xo < xi < ..., then ^^^Pi — F(xj)> where F denotes
i=o

the cumulative distribution function of X,then the above ptocedute becomes:

SetX = XoifU<F(*<>)
= xjifF(Xj-l)SU<F(xj), j=l.2
Example 9.2; Ut X be a discrete random variable with the following distribution:
X 1 2 3 4 (9.2.1)
o 1 4 -3
Probability ./ •'

9-5
 The distribution function of X,F(x)is given by

0, x< 1
.2, l<x<2
Fix)= .3, 2<x<3
.7, 3<x<4
1, x>4.

Given u, a random observation from the uniform distribution on [0,1), called a random
number, a value of X can be generated as follows:

Set X = 1 if u < .2

= 2 if .2 < u < .3

= 3 if.3<u<.7

= 4 if u > .7.
(9.2-2)
It can be easily seen that

P(X= l)= P(u<.2)-.2

P(X = 2)= P(.2<u <.3)= .l

P(X = 3)= P(.3<u<.7)= .4

and P(X = 4)= P(.7<u< 1)= .3.

In practice, we use random numbers having finite number nf a-.

problem, we use two digit rattdom numbers. The two digit numbersL''wTr'tK 9^^
a number u is picked up at random from these 100 numbers,then "
20 .
P(u< .2)=-^,smce the two digit numbers <.2are 00'01'••• 19
lo/ u are 20 in number).
(which
If we mcike the rule that

X = 1 ifu<.20,then

P(X = 1)= .21, which is not the probability associated with X = 1

ut us generate 30 values of X,where X has the distribution given in n w
procedute described in(9.2-2). (9-2- D- We use the

9-6
Method:From the pages containing random number Table(pages A-58 to A-63),choose a page
at random. Choose a three digit number at random. (Assuming that we will be considering 3
decimal places only. In this case, 1 decimal place is sufficient, since the probabilities associated
with values of X are one decimal numbers only). Then proceed systematically through a column
or a row. By this procedure the following data can be obtained, using the method described in
(9.2-2).
- - 2).

(The first choice was page A-60, row number 00074,column 2). We move row-wise
.427 .429 .571 .909 .035 .857
Random number

3 3 3 4 1 4
X

.947 .429 .608 .789 .881 .566

Random number

4 3 3 4 4 3
X

.469 .119 .202 .076 .387 .792

Random number

1 2 1 3 4
X 3

.061 .180 .729 .620 .744

Random number .903

4 1 1 4 3 4
X

.156 .238 .219 .953 .804 .713

Random number

1 2 2 4 4 4
X

Number of I = 6; 30

Number of2= 3; P(2) 30 "" ^

Number of 3 = 9; ^^^^""30""

Number of4= 12; ^(4)= 30 ~

PA denotes es .mate or
nf the corresponding
^ probability. Note that the estimates are equal to
encountered.
true probabilities. In general, such an agr
The time require to genprate„garched
a discrete random variable by the above method is propor-
To reduce the time of search, it is sometimes
.io„a. .0 .he
advantageous to arrange the p
9-7
 Suppose we want to simulate X, where distribution is given by (9.2-1) by the following
procedure.

Given u, a random observation from the uniform distribution on [0,1), set

X = 3 if u < .4

=4 if .4 < u < .7

= 1 if.7<u<.9

= 2 if u > .9. (9 2.3)

In the procedure (9.2-2), the mean number of interval searches per value of X will be 2.5,
while in the procedure (9.2-3)the mean number of interval searches per value of X will be 1.9.
Thus the procedure(9.2-3)is less time consuming in comparison to the procedure given in(9.2-2).
We Shan discuss methods of simulating cethtta standard discrete random variables, such
as Bernoulh, Btnomtal, Geometrtc,Pascal,Po.sson a little later. First we discuss the method of
obtaining random numbers.

9.3 GENERATION OF RANDOM NUMBERS(Uniform random numbers)

A random observation from any distribution is created bv e
a random variate from uniform distribution on[0,11 called n m a transformation on
step in a simulation study is to generate random numbers ""mber. Thus,an important
There are three methods of providing uniform random nu
the recording of random number table in the auxiliary me ^ method involves
one of machine'sfast-access peripheral devices. Themem^^'d' ^ magnetic tape or on
number is required. Perhaps,the best known table of rand read whenever a random
tion, published in 1955 in a book entitled "one million the Rand Corpora-
given in the appendix. Table 12. This table has passed^" ^ this table is
departures from independence and uniformity. ^ variety of tests designed to reveal
One shortcoming of using a table of random numb •
table. Thus,there might not be enough numbers in the tabr^f Possibility of enhausting the
drawback in the table look-up method is that it is quite T ^Particular application. Another
retrieve the numbers from the auxiliary memory Bee requires far too much time to
methods were eventually abandoned. ' these inadequacies table look-uP

9-8
 Another method of generating random numbers is to use physical devices, such as a
spinning wheel or an electronic randomizer. Such devices to produce random numbers at the
speeds r^uired and in quantities desired are expensive to build and difficult to maintain. Further,
they do not allow reproduction of a sequence of numbers for program test.
A third alternative method of generating random numbers - called arithmetic method of
generating pseudo - random numbers, has become popular because the alternatives were
imnractical The arithmetic methods for generating random numbers use a recursive type
equation Such numbers are called pseudo-random because they are produced by a deterministic
nrocess and can be reproduced. Thus they are certainly not random but they appear to be random
Ld satisfy most ofthe tests ofrandomness. We shall refer to these numbers as random numbers.
A good random number generator should have the following properties:
1. The numbers generated should have a uniform distribution on [0,1).
2. The successive numbers should be independent.
3. The generator should have a long cycle-lengthy(The cyde- length or the period of a
IneJtor is the number of distinct numbers produced by the generator before a number
repeats, henceafter the whole sequence repeats.)
4. The generation should be fast. The algorithm should involve a minimum number of
SlLls so.ha.i. requires linle rime.0 prorJuce.he numbers.
5. The algorlrhm of.he geu.ra.or should require very few memory locarions.
Several. methods^
.fhnrls have been developed
method. toThegenerate sequences
cycle length of thisofmethod
pseudorandom
dependsnumbers.
upon the
such as Von Neumann s mi cycles of very short period. The method is slow,
initial value and it degenerates qm congruential generators. Other methods which were
It has been discarded in mid-product method and the Fibonacci method. The
used and have been discar e degeneracy and the Fibonacci method was discarded
j mfurthod was discarded due lu
because it failed to p . . i•
.„ndom number generators these days are linear congruential
The mos. ,|,e form:
generators. Such a gener /-no in
+
inteaer called the 'seed;0 < xp < m-1. a and c are integers
where Xo is the initially sjgcne— symbol s and modulo notation(mod m)
such that 0<a<m-l,0^c<m - • dividing axn+c by m. For example,suppose a = 7,
mean that Xn+l=is5thenwehavethe
c=l,m=10,xo the ° following sequence of Xn. n=l,2,3,

9-9
 XI = 36(mod 10)= 6

X2 - 43(mod ,10)-3

*>3 = 11(,mod 10) — 2

X4 = 15(mod 10)= 5 = Xo.

Hence the san,e .sequence will repeat. Thus,the cycle length of the above generator is 4.
It is clear that the number generated bv tQ l i ^ •.
nutrtbers on the interval [0,1)are formed by ' ' '""■'■nge0to m-1. Thenthe
Un = Xn/m, n=0, 1, 2....
(9.3-2)
Multiplicative Congruential Generators

If c = 0 in (9.3-1) and (9.3-2),

^ we get Xn+! - TY (modi m),y n = 0, 1,2, ... . (9.3-3)
and Un = Xn/m, n = 0, 1,2, ...
(9.3-4)
which is called the multiplicative congruential method
If c 0 in (9.3-1), then the method is called thp miv ^
multiplicative congruential method (also called the power residue^mp'in™^"!''''
the mixed congruential method. ^ ,s shghtly faster than
Lewis, Goodman, and Miller (1969)* have discussed a mnlti i- . ■
ator for a 32-bit word machine (where the first bit is a si«n bitl Tt congruential gener-
of m = 2"-1 =2147483647 and a=7'^ = 16,807 has a cy^clc lioS
for any xo, 0 < xo < m. This choice of parameters perform favorably on a'
tests for uniformity and randomness. For a 36-bit word machine wh k' statistica
the choices of m = f-31 (wh.ch is the iarges, prime nT^ anr'"?
the cycle length is 2^5-32, for any x„, 0 < x„ < m. ?he abovLesl are'bas 'TT*
argiiments. However, in these choices of m, the modulus arithmetic ca ,°a
simply ignoring the overflow. Some special programming effort is to brLrl" (
= axn (mod. m). For the above mentioned choices of'm' and 'a' n r h ^ compute Xn+
pachage.LLRANDOM, is written fora 32 bit machine in system«60 ass^b^Tm^e'".;"
can be called in a Fortran IV program. ^ lanj^udcc, ai

Lewis, P.A.W., A.S. Goodman, and J.M. Miller (1969) "A r. d m ,.Y,iTr.r
Generator for the System/360", IBM Systems Journal, Vol.'s, No. 2 pp "l 3^6 14^ "

9-10
 Mixed Congruential Generators

It can be shown by number - theoretic arguments that the generator (9.3-1) with c 0 has
the full period m, provided the parameters a, c and Xo are properly chosen. The rules are:

1. c is relatively prime to m.

2. a = 1 (mod q)for any prime factor q of m.

3. a = 1 (mod 4)if 4 is a factor of m.

Knuth (1969)* has suggested the following additional rules;

4. a = 5(mod 8)if m is a power of 2.

5. 4in < a < m - ^and preferably a > m/100.

This is to minimize the correlation between successive variates. The digits in the
binary representation of 'a' should not have a simple, regular pattern.
c- ~ 1 Vs"
6. The increment c should satisfy, in addition to (1), the condition that^~ 2 ~ 5'
that the serial correlation is not high.

For a 32-bit binary machine (with the first bit for sign), the most convenient choice of
m=2^' to take advantage of the overflow. If the multiplication axn creates an over flow, and if
it makes the number appear as a negative integer, then an addition of 2 = 2147483647-t-I in
two steps will give axn(mod 2^'). Further the choice of a = 314159269 and c =453806245 will
satisfy all the above six rules.
However mixed congruential generators have not performed well as it does not always
satisfv the desirable statistical tests.Further,it has been found,as mentioned earlier,that by proper
h • ofm aandxo the multiplicative congruential generator has almost full period, and also
Lt*isfy the desirable statistical tests.For this reason,there is a renewed emphasis on multiplicative
congruential generators recently.
However,there is still no fullproof random number generator.

p ngroi The ArtofComputer programming.Vol.2:Seminumerical Algorithms.

ll'^g.
Knuth.
Reading,
Mass: Addison-Wesley.

9-11
 Testing a uniform random number generator: The statistical behaviour of pseudo-random
ITe'tumterr ^bove should agree with the statistical properties of
InLpendt^^^^^^^^ t'""' f-- ^be interval (0. D
Computer programs are notTandZ sensf
algorithm and have limited precision But as lonl'a T "determinisdc
statistical tests of uniformityy and independence
inaependence,tLv
they can kbe treated as "random numbers'.
Many statistical tests are available to reveal dennrt„r« r
and independence). Knuth describes ten of them with '■^"^°"^"ess (i.e. from uniformity
here is not to provide a detailed account of the statistiml'f "^'sorithms. Our purpose
here is to familiarize the reader with the miinr oundations of these tests. Our purpose
them. tests and the methods of applying
The Frequency Test: This test is used to test whether n ^
to have come from a uniform distribution on to n i numbers can be considered
.. . . the
divide . interval
. irn
[0, i\-
D into n equal subintervals,' b = r/zi L •""N be N random numbers. We,
number of pseudo-random numbers (out of ri ? ' ^
n.The expected frequency ofthe interval Ij is ^ Th ^ j '
'^J'%,-ThevalueofChi-squareis
" (f- .^x
%^2 == I
V
N
7=1 n

p If (he value of x" S xil ,l-o, then the null hvnoth ■

a
to the uniform distribution on [0,1) is reie h ^^at the numbers n, r2, ....rNConforn"
chosen that — > 5.
n
significance. N and n should be so

ExampleMtConsiderthenumbersinTable
the five digits in a block as one decimal numberlOf„JT 0010 to 0014. We consW®'
block in row number 0010 is interpreted as .98520 Tt!"' f"' "ample, the f'f
the interval [0, I) into 10 equal subintervals IQ t r have 50 numbers in all. We divi*
that the numbers «e from the uniform distriiutiol ' »■ the assumpi'"'
interval,s5.Theobservedfre,uenciesofthesei„,e"a7 "''"f
^ 3,6,6,5,1,4,10,4,3,8 respectiv®'^'

9-12
 The value of =[(3 - 5)^ +(6 - 5)^ +(6 - 5)^ +(5 - 5)^ +(1 - 5)^ +(4 - sf +(10 - 5)^
+(4 - 5)^ +(10 - 5)^ +(4 - 5)^ +(3 - 5)^ +(8 - 5)^]/5
= 12.4

The value of X9..95 = 16.919. The observed value of x^ < xi.95. Hence the null hypothesis
that the numbers are from uniform distribution on [0,1) is accepted.
The frequency test can also be used for M consecutive sets of N random numbers in each
set as follows.Compute the value ofx'for each of the M sets of N random numbers as discussed
earlier We will thus have M values ofx'with n-1 degrees offreedom each. Find Fj,the number
of x^-values lying in the interval(X^-K^ ^ J = '' 2- • ^he M values of
where u is a positive integer > 2. For example, if u = 10,then the above intervals are formed
deciles of Chi-s,uare distribution with n-1 degrees of fteedont. Compute the stattsttc
2 _ "'V r/r- — —1^
X«-l ~ ^ u

If the MN numbers in the M consecutive sequences with N pseudo-random numbers in

from the uniform distribution on [0, 1) then x«-l has approximately a
alrrdistrution with u-1 degrees offreedom. The null hypothesis that the MN psuedo-
,,„dom numbers are unifonm is rejected at the level ofsignificance a ifXu-1. ■-and
M should always be greater than or equal to 5.
" The Chi-square test ISO be applied in the
j^^iong followingofmanner.
a sequence n digits.The
Theobserved
expectedfrequencies
frequency
of the digits 0, among the n digits. Tben the value of
of each digit is jq •

10 ^ 3-^2 is computed.If the digits are equally distributed, then x^ has

x^=vX^"io^
a Ch ■ d
approximately^ re distribution withdistributed
9 degreesis offreedom provided
rejected at the ^>5-.level
significance The
null hypothesis
. that
u t th » are equa".)'
tViP dit'its

aifX^ ^ X^.i-«-
9-13
Example 9.4:Suppose we have the following sequence of 50 digits:
10097 32533 76520 13586 34673 54876 80959 09117 39292 74945
The frequencies of digits 0,1,2, 9 are

5,4,4,7,4,6,4,6,3,7.

The computed value of = 3.6, and the value of x3,0 95 = 16.919. We conclude that the
digits are equally distributed.

Another test for checking the uniformity of the pseudo-random numbers is the Kolmo-
gorov-Smtrnovtestofgoodnessoffit, which has been discussed in Chapters.We briefly describe
the test here.

GivenNpseudo-randomnumbersui, i= 1,2. N Amnara n,.. •

yi, y2,.... yN, so .u
that4. yi <^ yi+i,'i = 1,2,
1 rs XT ™range them is ascending order as
N-1. Define the test statistic

Dn = max |maxll^-y|,|^-3,|j l
\<i^ i ^ /

One rejects the null hypothesis that the numbers ate from the uniform distribution on[0 I)
at the level of significance a if D„ > Da for the sample size N- o.k ■ ii
^ .
hypothesis.
simple size N, otherwise accept
^
the null

The application of KS test requires that the numbers be orderert in

N may be quite large when testing pseudo random numbers,the nrohlf. order. Since
can become critical. The Chi-square test has an advantage for laree °i ordering
test is an exact test and so can be applied for smaller values of N Th^ ^
observations should be stored and be arranged in ascending order ^ ? f.
N=1000 is a good choice.ISeveral KS tests
j. forglobal
,moderate values of^
Nmn smaller.
behavior, and, 2 test.jTfor large KT
N may detect , nonrandom behaviordetect local nonrandom
The Chi-square test and the KS test are tests to check if tho u
distributed between zero and one. However, there are tests to check if IhT ^
are independent or not. We,now,describe them. successive numbers
<?prial Test: Suppose we have 2N pseudo-random numbers ui U9 m
Wi =(Ul, U2), W2=(U3, U4),.... Ws=(U2S-1, U2s),..., Wn =(u2N-l' U2n) We^ ^ h ^^7l
hypothesis H„: Wi, Wz, .... Wn me independent and uniformly distribuTron mTsqu"am
S=[0,DXLW,
c rn nxFO !)• The._j
test is .similar to Chi-square test. Divide the square.S
cn., o into n^
2 squares
o—r-^— ~ . ^)> i=l,2,..., n; j=l,2,..., n.

9-14
 Let fy lie the number of Ws e Sy,i.e. fy is the number ofthose Ws,for which'^ < U2s-l<^
Illi < < A i = 1, 2,..., n, j = 1, 2,..., n. If Ho is true, then the expected frequency of
n n

o • TT
each square Sij is . Hence
n

i n n
(fij- has approximately Chi-square distribution with n
/=l j=\

degrees offreedom if N > 5n^ If one wants to consider two decimal digits for each ui, n .•
100. Thus making 10000 squares, so that N > 50000. If r decimal digits of each Ui are to
be considered,then n = 10^ the number of cells becomes lO^"" and N > 5.10 . ^
Ho is rejected at the level of significance ct, if

Clearly the test can be generalised to test triples, quadruples K-tuples. But then the
number of digits of ui to be considered should be less,thus .educing the value of n,to have less
Tumber of ctnegories. The serial test is seldom used for K-tuples(K > 2). because of computa-
dLl burden. When K-tuples(K > 2) are to be tested, less exact tests, such as poker test or
maximum test are used.

Poker test- The poker test is applied to individual digits of pseudo-random numbers.Taking first
five decimal digits of a pseudorandom number, we have the following seven possibilities, with
theArTspective probabilities, under the hypothesis that the five digits are randomly and inde
pendently chosen from 0,1,2,3,4,..., 9.
PossibiUty Probability

All different =1^4^= 30240

10^

=.50400
One pair(AABCD) \

9-15
 Table 9.2

Three of a At most two

One pair Two pairs
Category All different kind digits different

Actual fre 204 36 33 8

119
quency

Expected fre 120.96 201.6 43.2 28.8 5.44

quency

s 3.08. The null hypothesis thai the ffiquence is truly random Is accepted ever,at 25% level
of significance.
•
GapTestiGivenasequenceuj, j-1. A Jr— f 1 01 \ of Dseudo-randoninumbers and two real numbers
rt u ^
a.Psuch\hatO<a<M>.aSapoflengthrisdenned,fforson,eK,UKe[a.B.b„tuK«^
_..,uK+r.e c \cL R).number
Initially, if ui, U2, •••» Ur £ [cx,l,2,...,t-l
(3), butur+i£, [oc,number
and the p), we
have a gap of length r. One COUNT(r)be the number of gaps of
of gaps of length > t unti n ^ number of gaps of length > t, so that
length r, r = 0, 1, 2,..., r-1 andCOUlNiWD

COUNTir)= n.
r=0

Given uKe (ct. for some K.if the sequence 1.1;, is truly mndotn,then
P[UKr.,,UK.2....."K«E 1«.P) an"
=(l -p)'p. wburn P =P-"-
,i,traly^random,then probability
Thus if the an^nnnnn ^ ofa gap oflength r is(I - p)'p, where
p = p — oc, and the proba

•^O-pYp'I^^ P''
r=t

= (i-p)
f len'^h r(out of the n gaps recorded) is er = n(l - p)^ p.
The expected number gaps of length a t is e.= n(l - p)', if the seqnence
t =0, 1, 2, t-1 and the expecte
9-17
 2 „( COUNTir)-e, )" .. . . . ,,
is truly random. One,then computes X = X ^ e,- ^ approximately a
r=Q

Chi-square distribution with t degrees of freedom if the sequences is truly random and if n is
large enough so that er > 5for each r. n and t are to be chosen so that er > 5 is satisfied for each
r. The null hypothesis that the numbers are truly random is rejected at a level of significance if
X^ ^ X? 1 -a •
Example 9.6:Let a=0, p =0.25. Thus P =^ • Thus, if the sequence is truly random,then the
1 3 9 27 81 243
probabilities of gaps of lengths 0,1,2,3,4 and > 5 are -, —,—,—, respectively.

Let n = 64, the expected number of gaps of lengths 0, 1, 2, 3,4 and > 5 are eo = 16, 12,9,
6.75,5, 15.25. We consider the numbers of Table 12, starting from the first number. Each block
offive digits is considered as a number between 0 and 1. For example,the first number is .10097.
We have 64 gaps upto the number 11100 in row number 0023. The observed frequencies are as
follows;

COUNT(0)= 22,COUNT(1)= 10,COUNT(2)= 8, COUNT(3)= 5,COUNT(4)= 3,

COUNT(5)= 16.

, 36^ 4 , 1 , (1.75^^4 . (.75)^

Hencex = fg "12 9 +~6?^5 Tsis
= 2.25 + .33 + .11 + .45 + .80 + .04

= 3.98

The null hypothesis that the numbers are truly random is accepted even at 25% level. An
algorithm for recording the frequencies of gaps of different lengths is given by Knuth.
The gap test can also be applied to digits of pseudo-random numbers. The number of gaps
of length r between a particular digit are recorded, r =0,1,2, For Example in the sequence
102395100230 the gaps between the digit 0 are of lengths 1, 5,0,2 respectively.
The probability of a gap of length r is pr = 0.1(0.9/, r =0 1, 2
In a sequence of digits, the number of gaps, between a particular digit, of lengths 0,1,2,....,
t - 1 and of length > t are recorded until n gaps are recorded, as COUNT (0), COUNT (1),
COUNT(t - 1) and COUNT (t). The expected frequencies are er = npr, r = 0, 1,2,..., t, where

9-18
 ' ^2
pt =(0.9)'. Hence = X er
^ ha.s approximately the Chi-square distribution
/=0

with t degrees offreedom,if the digits occur at random and if er > 5 for each r. n and t are properly
chosen so that this condition is satisfied. The null hypothesis of randomness is rejected at the
2 2
level of significance a if% ^ X'.I-a •

Example 9.7 : Consider the numbers in Table 12. We record the number of gaps of lengths
0,1,2,3,...13 and of length > 14, between the digit 0 in the table, starting from the first digit. The
probabilities pr of gap length r are given below:
Po = 0.1, Pi = 0.09, P2 = .081, P3 = .072, P4 = .066, P5 = 0.059, P6 = 0.053, P7 = 0.048,
Pg = 0.043, P9 = 0.039, Pio = .035, P|1 = .031, P12 = .028, P13 =.025,P14(the probability that
the gap length > 14)= .229(The probabilities are rounded to 3 decimal places).
The observed frequencies fr of the gaps of length r are as follows(gaps have been recorded
until 200gaps are found)fo = 21, fi =25,f2= 15,f3= 16,f4= 15,f5 = 7,f6= 10,f7 = 8,f8= 12,
fg = 9,fio = 4,fii = 5,fl2 = 8,fi3 = 5,f!4 = 40, where fi4 is the number of gaps of length 14 or
more.

The expected frequencies, under the null hypothesis that the sequence of digits is truly
random, are eo = 20,ei = 18.ej= 16,e5 = 14,ei = 13.es = 12,es = 11,e7= 10.es = 9,e9 = 8,
eio = 7eii=6,ei2 = 6, ei3 = 5,ei4 = 46(All expected frequencies are rounded to the nearest
integer).
I 49 1 4 4 9 1 9 1 4^
x'=M-'78''T6'"i4-''i3-'l2'- 11^10'"9'-8 7 6 6+0+46
S 10.03.

xf4,.75= 17.117.
The null hypothesis that the digits are truly random is accepted even at 25% level of
significance.

Maximum of t test
V are t independent uniform random variables on the interval[0,1),then the
random variable
V = max (Vi, V27 •••'

9-19
 has distribution function G(v)= v\ 0 < v < 1. Hence it can be shown that v' is uniformly
distributed on [0, 1).

Given a sequence of Nt pseudo-random numbers u i, U2, U3, uni, N sequences of t-tuples

(uit+l, uit+2, u(i+i)t), i = 0, 1, 2, N-1 can be formed.

Let Vi = max.(uit+i, uit+2, ..., U(i+i )t), i = 0,1,2,..., N-1.

The sequence V/, i =0,1> 2,..., N-1 should be uniformly distributed on [0, 1)if the sequence
of Nt pseudo-random numbers is truly random. Hence, the sequence V/, i = 0, 1,2,.... N-1 can
be tested for uniformity on [0, 1) by the Kolmogorov-Smirnov test or the Chi-square test.
Example 9.8 : Consider the numbers in Table 12, treating each block of 5 dimts as one
random-number.For example the first number is .10097. We apply the maximum of 3 test to the
numbers m the first 6 rows(row number 0000 to row number 0005). We have
Vi =.76520, V2 = .54876, V3 = .80959, V4 = .74945
V5 =.74296, Vg = .24037, V7 = .91665, Vg = .68953
V9 = .23209, V10 = 35080, V11 =.99019, V12= .70715
Vi3 =.88676, Vi4 =.99970, V,5 = .80157, V16 = .98951
Vi7 =.76833, V18 = .76850, V,9 =.65813, V20 = .39885
Taking cnbes of V,. V^,..... V,o. we ge,(on ronnding ,o 5 decimal places)
.44805,.16525,.53063,.42095,.41011,.01389,.77021,.32784 01250 04317

If the original numbers were randomly and imif,. i .. .

i=l 2...,20 are uniformly distributed on [0 1) We n i ^ istributed on [0, 1), then '
" ■
the numbers V,, i - 1,2, ..., 20 for uniformity on 10 n w - Smirnov
i 1, ^ 'PP'y ^he Kolmogorov .u test to test
numbers
0 3 „3 • .1,^ 00
Vl Vl V20 in the ascending order. Let the new jsauenre
' lu, 1). We
K ^ arrange the numu
.n We
have the following table to compute D20. ^ denoted by y 1, y2, y20'

9-20
 Table 9.3

IF2o(yi)-Fo(yi)l IF20(yi-i)-Fo(yi)l

.01250 01250 .03750 .01250

.01389 .08611 .03611

.01389

.04317 .10683 .05683

04317

06345 .13655 .08655

.06345

.16525 .08475 .03475

.16525

.28506 01494 .03506

.28506

.32784 .022 6 .02784

.32784

.04638 .00362
.35362
.03989 .01011

.42095 .07905 .02905

.44805 .10195 .05195

.44805
.14643 .09643
.45357
.19612 .14612
.45388
.18498 .13498

.21937 .16937

.10270

.07979 02979

.96886 .06886 11886

07086

00090 04910

D20 =-21937 9-21

 The critical region at 20% level ofsignificance is C={ D20>.232}.Thus the nu 11 hypothesis
that the sequence is random is accepted even at 20% level of significance.
Permutation test: Given the sequence u 1, U2,..., uni of numbers in [0. 1), the sequence is divided
,nIo N groups of t elemenls each,such as(ui, U2 u,),(u^i, u,« ur,), (uu^i ui„2
™,). The elements in each group can have Lr possible relative
ordenng. If the sequence ,s truly random and uniformly distribuled on [0, I), each ordering is
equally probable, hence the probability ofeach relative ordering isl.The numberoflimes each
ordering occurs is counted. The expected frequency ofeach ordering is ^, a Chi-square test
is used with = Lr cells. N and tare so chosen that .5 P„r,-i
\_t ' ^ we have six categories for
(Ui, U2, U3). They are ui<U2<U3; ui< U3 < U2; U2 < U3 < ui; U2 < u. < ..
ui.(We assume that two u's can not be equal.) 3. U3 < ui < 02; U3 < U2 <

ExampIe9.9:I^tusconsiderthefirstl2rowsofTablel2.Eachblockoff
one uj, thus the first number if.10097. The numbers upto the number 7007^ • considered
and column number 6 are considered. The observed freouenrif^^ f number 0012
or various categories are:
Category: U|<U2<U3 U|<U3<U2 U2<U3<U4 U2<u,<u3 u,<U2<U3 u3<u,<u2
Actual 5 6 9 (5 g
frequency ^
Expected 7 7 1 j ^
frequency ^
2 4+1+4+1 + 1 + 1 12^
X = 7 = T=i-7

The degrees of freedom are 6.

The null hypothesis that the sequence is random is accepted

Knuth has given an algorithm to analyze a permutation in a group of t numbers
Runs up Test: Given an ordered sequence of numbers, ui, U2,.. u u
< ... < Up and Up > Upri, then we geta run up of length p. In tte sim^e r^iis up Ksi' if
up,up+, form a run up oflength p then the element Up,, is thrown away and the next'run up starts
from Op+2.For exainple.tf Up+2 < Up,3 <.... < Up«„|and Upu,,,> up«|,2,,he„ we have a second
run up of length q. Consider the sequence: second
.12345,.23875,.34198,1.23597,1.50281,.76329,1.29851,1.54542,1.307191

9-22
 The first run up is of length 3, the number .23597 is not considered, the next run up is of
length 2, the number .29851 is not considered, the third run up is of length 1 and the number
J .30719 is not considered. If the original numbers are independent, then the lengths of successive
runs up will be independent.

Assuming that the sequence ui, U2, 113, .... is random and the numbers are independently
and uniformly distributed on [0, 1), then the probability that m,in, ..., Up, Up+i,.... form a run up
of length p

= P(They form a run up of length > p)

- P(They form a run up of length > p+1)

= P(0 < ui < 112 < < Up < 1) - P(0 < 111 < 112 < ••• < Hp < Hp+i < 1)
1 I
I 1I 1i 1 1

= j j ...J j dup diip-\ ...dii]- I J...j j dup+\ diip ... du2 du]
0 ll\ Uj>-2 Ui>-\ ® "P

1 1 I 1 1 1

= j j - - J(1 0
\ ■ ■\{^-Hp)dupdiip-\ . . .dm
«| Un-I
0 UI II,,-2

1 I
' (1
r f
J J- - -J ——''"1^^
L2
f (1 "" fp-2) , dm-j l- .J . . du\
0 U1 ll/t-l
0 «i 11/1-2

dii\
J U-i J Lp

1 1
Vp L(p+i)

Thus P(A run up of length 1 occurs) = ^

9-23
 P(A run up of length 2 occurs)=
L2 L3 L3

P(A run up of length 3 occurs)= — - — = '

L3 L4 L4

P(A run up of length p occurs)= L_

ip Lp+1 ■
Suppose that there is a run up of length n it .
ujtl<...<uj+p.|>uj,p.
If thenthisthewould
the sequence is large, numbernotUj^-p is thrown
affect awavaLlh®^'
the result Th ''' '
be independent. For a given sequence,the number nf m ^ ^"^^essive lengths of run ups will
Let COUNT(i)be the number ofrunups of length i . '^"S^hs l,2,...,t-l are recorded.
run ups of length > t. ' ' ^®UNT(t)be the number of
The following algorithm counts the number of run uns of I. .i,
COUNTfr),r = 1,2,.... t-1, and the number of run uns „f, ? ®
"ps of length > t are stored in COUNTft).
ALGORITHM
in for counttag the number of run „ps oflengths
a given sequence. "8^'^ 1 a t-1 and of length S t
Given a sequence u,, U2,...., un of numbers in [0, 1).
Ai ; [Initialize] Setj=0, set COUNT(i)= o i = i 2
A2: Setr =0

A3: Increase r and j by 1.

IfJ = N,gotoA4,else continue

If uj<uj+i go to A3;else continue

A4: If r>t, COUNT(t)= COUNT(t)+i
else, COUNT(r)= COUNT(r)+i.

A5: Ifj<N-l.j=J.I,go to Aa, otherwise return rom, .

The test is based upon Chi-square statistic o """"
computes

9-24
 , ^ (COUNT(.r)-nprf
t 'L
r=\

where n is the total number of run-ups, i.e. h COUNT(r),and

r=l

'''-"'t-
If the sequence u i,U2 uN is truly random then has approximately a Chi-square
distribution with t-1 degrees offreedom, provided n and t are so chosen that g £ 5.
The null hypothesis: The sequence is random' is rejected at the level of significance a
(approximate)if - X'^l-l"®
Exnmnlc 9 10:Consider the numbers in Table 12,takingeachblockoffivedigits as one number
in [0 1) inre'rval, starting from the first number and moving rotv-wi^. For example, first two
numlUrs ate 10097 and .32533 (see the table). Gomg upto the number 43427 in row number
^3 we hie the following frequencies of nin-ups of lengths 1,23 and.4,COUWd)=60,
a)UNT(2)=36,C0UNT(3)= 15,C0UNT(4)= 9.Assuming that the numbers are truly random,
the expected number of run-ups of lengths 1,2,3 and 2 4 are
e,= 120xi=60,e2=l20x|=40,e3=l20x|= 15, 04=120x^=5
, ,60-60~^''
X
60)^(36^4^1^-^
40 15 5
= 3.6.

The null hypothesis that the sequence is random is accepted even at25% level.
..cfc The interested reader may consult Knuth.
There are other run
fc for testing randomness in a sequence with computational
Knuth de«ribes«r,^r-'^^^^ised to consult it.
aiogrithms. Intereste -r- a u
several tests is justified because some numbers pass the
The test,
frequency needgap
fortest
making
and po e . serial test.Linear congruential sequences
generators of
wift small multipliers pass many
9-25
 pseudo-random numbers passed several tests but failed to pass the maximum of t-test. The
frequency test, serial test are weak tests. The run tests are stronger tests for randomness.

9.4 Geneartion of Continuous Random varlates:

A general method for generating a continuous random variable is based on the following
theorem.

Theorem :Let X be a continuous random variable with distribution function F(x). Further, let
U = F(X),then U is uniformly distributed on the interval(0, 1).(See theorem 1.6, Chapter 1).

Thus, given a random number u e [0, I), a random variate x from X can be obtained by
solving

u = F(x) for X

i.e. x = F'(u). (9.4-1)

This method is called the inverse transformation method.

Example 9.11: A continuous random variable X has the following pdf;

f(x)= -x^,-1 < X <0
1
=-X, A <X<1
0

1
= 2, 1 < X <2
= 0, elsewhere.

Using the inverse transformation method,find a formula for generating values of X.

Solution: The cdf F(x)of X is:

F(x)= 0,x<-l

= 4(1 - 1 <x<0
F(0)4
, F(x)=|(1 + X^),0 < X < 1
F(1)4,
=^x, 1<X<2.

9-26
 We note that for -1 < x <0, 0< F(x)< for0<x<1,^< F(x)<^.and for l<x<2,^<F(x)<l.
The formula for generating values of X, will be given by solving the equation u = F(x) for x,
where u is a given random number.

Thus, if0< u< 0.25, -1< x< 0.

/. ^(1 - x'^)= u
or X =- 1 - 4m , since X is negative.

If 0.25 <u <0.5, 0<x< 1.

/. ^(l+x2)= u
or x= V4m - 1 , the positive root is taken, since X is positive.
If 0.5 < u< 1, 1 <x<2.

= u <=> X = 2u.

Thus, we have the following algorithm to generate a value x of X.

Given a random number u.

If 0.0 < u < 0.25, set X =- 1 -4m .

If 0.25 < u < 0.50, set x = V4m- 1 .

If0.50<u< 1, setx = 2u.

9.4.1 Generation of Exponential Random Variate:

Let X have an exponential distribution with parameter X. The distribution function of X is
given by

F(x)=l-e'^. ^>0
= Oforx<0.

Let u be a random number, we set

9^27
 \-e-^=u
(9.4-2)
i.e. x =- —ln(l -«),
K

which is a formula for generating a value x of X.

Remark 92: It is easy to prove ; U is uniformly distributed on (0, 1) if and only if 1 - U is

uniformly distributed on (0,1). Therefore, in (9.4-2), instead of 1 - u, we can use u. Thus

x= - —ln(M), u^O
(9.4-3)
K

can be used for generating a value x of X.If the mean p of exponential distribution is given,
then |J., in place of can be used in (9.4-2) and (9.4-3).

9.4,2 Generation of Weibull Random Variate:

Let X be a Weibull random variable with shift,shape and scale- parameters a, B,11 respec
tively. The pdf of X is;

|i-l
B fx- a x-a^
f(x)=:^ ——
T1
exp[- )
, -x > a
"n

=0 for X < a; a > = 0, p > 0, t| > 0.

The cdf of X is:

F(x)= 1 -expl , x>a

L T\ J
=0for X < a.

Solving u = F(x),for a given random number u, we get

x= a+Tl[-ln(l-«)]'''^ (9.4-4)

which is required formula for generating a value X nf \v .. .. .^„slv,

one may nse u instead of l-„ in (9.4.4) to obUtn an »,
^ ^ ^° alternative formula for generating x.

9-28
 Thus

. (9.4-5)
X = a + Tj[- In w] M 0.

Remark 9 3 * While in (9.4-1) and (9.4-2) it was easy for us to solve the equation u F(x)for
X the problem, in general, will not be so easy. Sometimes F(x) itself may not be available in a
' ^ . « >-ti • rtUkl AO /a V o 1 lan W71-k/a»-» mi/A

neatform The normal,the gamma and the Chi-square random variables are examples.When we
are confronted with such a problem, we may either resort to certain approxtmatton techntques
(as in section 9 4-5)or we may use a known relationship of this random variable to some other
Ldom variable whose random variates could be easily obtained (as in sections 9.4.3, 9.4.4,
9.4.5).

9.43 Generation of a Gamma Variate

Let X be a Gamma random variable with parainetrs n and a, where n is a positive integer.
Thepdf,f(x),ofXis:
s/i-l -ctr
a(ajc) e ^

= 0,elsewhere; a>0.
WeknowthatXcanbeexptessed as the sumofnindependentexponential random variables
with parameter a each, i.e.
X = Xi+X2+ ." + ^n
. J visnnt ;.nd each Xi is an exponential random variable with parameter
where Xi's are'"depen^
a.Hence,we may use formula(9.4- s
for generating
We selecta nvalue of X. random numbers ut,«2,... u„. Ut
independent
xj=- /«(«(), i = 1' "■

Thenx = xi+X2+ •••• + *"

= _1« In f|^/=ln Mi)] ,

is a value of X.

9-29
 Remark 9.4: For generation of a gamma variate for a nonintegral shape parameter r (r > 0), see
Fishman (1973), pages 204-209.

9.4.4 Generation of Chi-Square Random Variable with 2n Degrees of Freedom

We use the following result:

If X is a Gamma random variable with parameters n and a, where n is a positive integer,

then 2 a X is a Chi-square random variable with 2n degrees of freedom

Hence,from (9.4-6) it follows that

X = -2 In n ui
(9.4-7)

is a value of a Chi-square random variable with 2n degrees of freedom where u, uo

un are random unmbers. The case when the degree offreedom are odd, will be di^s'cussed
l8.t6r.

9.4.5 Generation of a Normal Random Variate(using Central Limit Theorem)

Let Ui,U2 Un be a sequence of n independent uniform random variables on(0, 1)
Now E(Ui)= V(Ui)= ^for each i.
Hence, by the Central Limit Theorem,for large n

S(W)-f
i=L
is approximately N(0, 1).

Now,if ui, U2j •••> Un is a sequence of n random numbers, then

j=i
z= (9.4-8)
M2^

„iu give an approximation to a standard normal variate. A good approximation can be obtained
for « ^ 5. In particular,for n -6

9-30
 (6 \
:= V2 X("')~ 3
1=1

0 X-U .
If X is N((x, c ), we know that is N(0, 1).
a

Hence x = )4. + azisarandom variate from X.

9.4.6 Normal Random Variate

(Method due to Abramovitz and Stegun - also called Box - Muller Method).
Let W and Z be independent standard normal random variables. The joint probability
density function of W and Z is given by
1 -h W
fiyv,z)= — e 2^^ -oo<z<oo,-oo<w<oo.
2%

Let R and 0 be the polar coordinates of(W, Z). Thus W=R Cos 0, Z=R Sin 0;0<
R<oo, 0 <0 < 27t. The joint distribution function of(R,0)is given by
H(r,e)= P[R<r, 0<e],O<r<co, 0<e<27t

^ ± f \ \(w^+Z^ ,dwdz
Ott
2% J J
S

where S is the region R < r, 0< 0.

Let w = p Cos 4>

z= pSinO), P^O, 0<4)<27i

^ 1 2
H(r,e)=^|le-t" pdpd'S'
0 0

271

=0 whenr<0 or 0<O
— —r^N r > 0 0^
= (\-e 2 ),

9-31
 Thus,R and 0are independent random variables with distribution functions:

G(r)=(1 - e a*"), r > 0

= 0, forr<0

K(0)= ~,0 < 9 < 27C

27C

= 0, for 0 < 0

= 1 for 8 > 271;

Le,U,and U2be independen.n.ndon,variables,each uniforndy distribuled on[0.1).TXe.

1-62^ =Ui
0

or« = V-2lna-17o, & = 2nU2.

Since 1 - U]is also uniformly distributed on fO -rTT •
Hence 1 - Ui can be replaced by Ui. » ' 1 is uniformly distributed on (0'
Thus W = V-2ln (Ui) Cos (27c C/j)
(9.4-9)
and Z =V-2In(f/i) Sin (27C U2)

are independentN(O.l)
variables on (0,1). random variables'"
ifTT ^nd.tU2 are independent uniform random

Tb.,l,n,,u.a..woindependen.„nlf„™„„,„„„„^^^_^_^^__
W - V-2In u{ Cos(271U2)
and Z = vr2nn:7sm(2^„2) ■ ^^,.,0)
are independent N(0,1)random variates.

9-32
 Further, if X is N(H, o^). then
XI =|i + O[V-21nMi Cos(27t ui)] and
x2 = ^+ a[V-21nMr Sin(27tM2)]
are two independent N(|i. <^), random variables.
The use of formula (9.4-9)
1 ne use ^ to generate
efficient asince
pair one
of independent standard
has to compute normal
the sine randomof
and cosme
vanables is computationa V difficulty can be removed by indirectly computing sine and
1% U2- The above time-consuming dirricu y
cosine of 2ix U2 as follows.

Let U, and Ua be independent tandon. variables,each unifotntly distributed on(0. I).

LetV,=2U,-l. V2= 2U2-I,
then(Vi,V2)is uniformly distributed on the square with vertices at(1, l),,(-l. 1),(-1,-1),
The two-dimensional mndom variable(W,. W2)is generated by the following algorithm:
Step 1= Generate independent random variables U„U2each undortuly distributed „„X0.1).
Step 2: Set Vl =2Ul - 1. V2=2U2-1. S = V?+vi
a r ,tW, W2)=(VI.V2)and stop,else(i.e. ifS,
Step3;IfS<I.define(Wl,W2) > 1)go,
to Step
. 1.,
W W2) is uniformly distributed on the circular region
.K:;5<rUt«P,t,ltpolUordinatesof(W,,W2,,0.p..,0..<2.
Tq,ejointprobabilitydensi.yofCr.d.),whereT=p^is:
f(t,(p)=^'
• dependent random variables and T is uniformly distributed
This shows that T and 4> ® ^ . Hence Ui and 2k U2 in formulae(9.4-9)
can be replaced by

9-33
 and Z V 21nr Sin 4), which are independent N(0, 1) random variables. But
T= + wi, Cos <I) = Sin O = —
Vf Vr ■

randoi^Tl^virbles^^^ following algorithm to generate a pair of independent standard nonnal ^

Algorithm(The polar method):
step 1 = ^

Step2:SetV,=2U,-l. V2=2U2-1,t= vUvi

Step 3:If T> 1,return to Step I,else continue
Step 4:Contpute a pair of ittdependen.standard normal random variables:
V,, Z=V|33^V2. C'*''®
The probability that a random point(VI V,t i„ ti,
(-11.-nan will be
1),(1,-1) Will h within
-.t,- the circle T < 1 IE u with vertices at(l,
4 4■ Iho polar method will, on averag®'
require -= 1.273 iterations of Step 1.
Remark 9«5; Due to the imDortanpp r\f
also available. tables ofrandom normal vaiial«««
9.4.7 Generation of a Ch|.SquarePc«ei ,
with 2n+l Degrees of Freedom
From Section 9.4.6, it follows that-2'"(Ui)Cos^(2jcU2)
In run r grees ofFreed (9.4-1^^
has Chi-square distribution with 1 de
' Unn,un.2. ustng(9.4-13)distributed
and (9.4-7),OMO n Th""'"'
itfo^ Aa,' "2 a,^ independent rahda"'

— 2lnu.Cos^2nu2).21n(nn,) (9.4'
/=3

is a value of a Chi-square
1 ate ranH
random variable wifl,(2
Un+1)degrees of freedom.

9-34
9A8;Generadon of a Uniform Random Variable on(a,b).
The distribution function of a tandom variable, uniformly distributed on (a, b)is
F(x)= 0, x<a

= a<x<b
b—o

= 1, x>b.
Ifuisarandomnumber.avaluexofauniform tandom variable on(a.b)is given by
X — Cl _ ^
b-a
(9.4-15)
or x = a +(b-a)u.

9.4.9 Generation of Beta Random Variable

Let X have pdf

r(m+n) ^m-l 0<x<l

f(x)=
r(m)r(n) n n >0
0 eslewhere. m > 0,n >
X is said to have the beta distribution with parameters m aud n.
e- ;ntpaers we have the following result:
When m and n are positive

••Let X,and Xa be urdependent gamma random variables with patameters m, 1 and n, 1

respectively, then

^ ~ Xi+^
has beta distribution with parameters m and n.a beta vanate.
Afhod to generate
Thus,we have followtng method tog

9-35
 Given m+n random numbers ui, U2, um, Um+n,generate two gamma variates, xi and
X2, using

XI =- In n Ui
1=1

m¥n

X2= - In n Ui
/=m+l

then X = xi/(x2 + X2)

(9.4-16)
is the desired beta variate.
The above method is not applicable wh^n
known as 'rejection method' is used.(See FishmTnT1Q7^^"°"'"^^^'^'■
man (1973), pages 206-211).
^ ^
9^ The Composition Method
Let X] and X2 be random variables with c/ x
variable X be defined as follows; ^ respectively. Let a random
Let U be uniformly distributed on (0 n and tv h.
' tu, u and a be a real number, 0 < a < 1.
DefineX = Xi if U<a

= X2 iff/>a.
Let F(x) be the cdf of X, then

F(x) = P(X^x)

= P(U<a ,Xi^x orU>a,X2£;c)

= aFi(x) + (i.oc)pj(^^
Thus, to simulate a random variate X with cdf Fr ^
ALGORITHM ^ following algorithm-
Step 1: Pick up a random number u.
Step 2: If u < a, generate a value xi nf y •
■ '""'"=''fFl(x)a„dse.x = x,
Otherwise, generate a value xonfv . xi.
"""fX,w.,hcdfF,(x),„dse.x = x2.
9-36
 X is a desired value of X, whose cdf is a Fi(x) +(1 - a)F2(x). The method can be
generalised.

Example 9.12:Use the composition method to generate a random variate whose cdf

F(x)= ^(x + x^)+ 1/2 x^,0 < X < 1.

Solution:F(x)=;|Fi(x)+1 F2(x)+1 F3(x)
where Fi(x)= x, F2(x)= x^ F3(x)= x^ 0< x < 1.
Given two random numbers ui and U2.
If ui <0.25, setx = u2.

If 0.25 < ui < 0.50, set x^ = U2 <=> x =

If0.50<ui<l, setx^ = u2 <=>x= Vm2-
9.6 GENERATION OF STANDARD DISCRETE RANDOM VARIABLES
9.6.1 Bernoulli Random Variable
IfXisaBemoulli random variable with parameterp(0<p<l),itpointprobability function,
p(x)is given by
p(x)= P(X = X)=?"(! - P)^■^ * = ^ •
The distribution function
0,x<0
F(x) = l-p,0<x< 1
1,x:> 1.

Now, if u is any random number, then

set X = 0, if u < 1 - P
(9.6-1)
= l,ifu^l-P.

X is a desired value of X.

9-37
9.62 Generation of a Binomial Random Variable

Let X be a binomial random variable with parameters n and p. Then X can be expressed as
the sum of n independent Bernoulli random variables with parameter p each, i.e.
X = Xi +X2+ ... + Xn

where Xi, X2, Xn are independent Bernoulli random variables each having parameter
p. Hence a value x of X can be generated by generating a value xi of Xi, i = 1,2 ..., n, and then
writing x=xi+X2+...+Xn. Thus we have the following algorithm for generating x.

ALGORITHM FOR GENERATING A BINOMIAL VARIATE

Step 1: Set X =0

Step 2:1—For i = 1 to n do:

Pick a random number ui

If ui < I - p,set b =0

otherwise set b = 1.

—X = x+b

X is the required generated value of X.

Example 9.13: Using the random numbers .775, .130, .382, .086, .864, .234 generate one
observation of the binomial random variable X with n = 6, p = .4.
Step 1: X =0

Step 2: i = 1, ui =.775 > 1 - p = .6, b = 1

x = x+b =0+l = l.

i = 2,U2=.130 <l-p =.6, b =0

x = x+b= 1+0=1.

i = 3,U3=.382 <l-p = .6, b =0

x = x + b= 1 +0= 1.

i = 4,U4 =.086 < 1 - p =.6, b =0

x = x+b= 1+0= 1.

9-38
 i = 5, U5 = .864 > 1 - p = .6, b = 1

X = x+b =1+1=2.

i = 6,U6 = .234 <l-p =.6, b =0

x = x+b = 2+0 = 2.

Thus,the generated value of X is x = 2.

Alternatively a binomial random variable X can also be generated using the inverse
transformation method.

Let p(i)= P(X=i)= i

p'(l-p)""'.i = 0' •••.n-
y

It is easy to see that

(n-O {_E.
' p(i), i = 0, 1,.... n-1, where p(0)=(1 - p)".
\-p

Further, the cdfF can be computed using the relation

P(i ^ = F(i)+ p(i + 1), i = 0,1. n-2; where F(0)= p(0).
We have the following algorithm to compute F(i), i = 0,1,2,..., n-1.
ALGORITHM:

Step 1: Set i = 0.
Compute C = p/(l-p), P =(1'P)
F(i)= P

CLOG = ln(C).

PLOG = n ln(l - P)-

/
n-1

T>T - plOG + CLOG + In '■+1 ,

Step 2: Compute PLOG -PL y

p = Exp(PLOG)

9-39
Step 3: i = i+l

F(i)= F(i- l)+ p

If i = n-l, stop
else go to Step 2.

^ Hence .„ pCO

a downward search is made and ifT> Ffir^^ ^ ^ random number u,if u <F(D.
u ^ F(I), an upward search is made.
We have the following5 eugoritnm
algorithm to
tr> generate a value x of X.
algorithm
Step 1: Compute I = Int(np).
Set J = I.

Step 2; Pick a random number u.

Step 3:If u < F(I),go to step 5,
else continue.

Step 4: J = J+i
t *

Ifu<F(J),setx = Ja„dstop,
else continue.

IfJ = N-l,setx = Naiidstop,

else go to step 4.
StepS: J = j-i

else continue.

IfJ =0,setx = Oandstop,

else go to step 5.

9-40
 The above algorithm may be used to generate X if p < ^.In case p > ^,it is convenient to
generate y, a value of the binomial random variable, with parameters n and 1-p.
Then x = n - y is the required value of X.

To generate y, one may write p = 1-p, and use the cdf algorithm and the above algorithm
with the new value of p.

In the case n is large, then the above methods are time - consuming.In this case, if both np
and nq are at least 5, then

^1- is approximately N(0, 1).

ynpq

Hence a value X of X can be approximated by using

(9.6-2)
X = Int(np -I- ^npq Z+ 2),,
I.
where Z is a standard normal variate. Here ^ is added so that x assumes the value equal to
the integer nearest to np + ^npq Z.
9.6.3 Generation of a Geometric Random Variable:
Let X be a geometric random variable with parameter p.Then
p(X = i)= pq'-'. i=1.2,3,...; q=l-P-
The distribution function

F0-1)= P(X
t=J

r-l ^ .^1 where u is a random number.

ThusX =jifl-T su<i-4.

+1. (9.6-3)
Thus X = Int In(^) .

9-41
 ^ally if u is uniformly distributed on (0, 1), then 1 - u is also uniformly distributed on
(0 u in( .6 3)may be replaced by u,and we get the following method of generating
X.

ln(u)
X=Int + 1,
ln{q) (9.6-4)
where u is a random number, u 0.
Alternatively, a geometric random variable X wifh i_ f oc
representing the number of Bernoulli trials needeH i fu
probability of a success is p. Thus we have the foH ° ^ success,Pwhere inthought
each trial,ofthe
X. ' following algorithm for generating a value x of
ALGORITHM TO GENERATE A GEOMFTDin x/ a
GEOMETRIC VARIATE WITH PARAMETER P
Step 1; Set S = 0, 1 = 0.

Step 2:1 = 1+1.

Generate a random number u.

Ifu< 1 -p,setB =0,
otherwise,setB = 1.

S = S+B.

If S — 1, set X = I and stop,

else go to step 2.

X is a generated value of X.

Example 9.14: Generate a value x of a geometric

the random numbers .37,.75. random variable with parameter p = 0.4.
Solution: Step 1: S = 0, 1 =0.

Step 2: 1 = 1+1 = 1.

"= -37< 1-P =.6,B=0.

S = 0.

Sit 1, repeat step 2.

9-42
Step 2:1 = I+l = 2.

u =.75 «t: 1-p = .6, B = 1.

S = S+B =1

S= 1, set X = 1 = 2, stop.

The generated value of X is x = 2.

9.6.4 Generation ofPascal(Negative Binomial)Random Variable:
Let X be a Pascal random variable with parameters r and p, where r is a positive integer
and 0< p < 1.In fact,X is the number of Bernoulli trials needed to have r successes, where each
trial independently results in a success with probability p. Then X can be expressed as
X = Xi + X2+..• + Xr

where Xi X2,. • Xr are independent geometric random variables with parameter p each
(Seeequation 1.16-9,Chapter l).Thus,using(9.6-4),we havethefollowingalgorithm to generate
a Pascal variate with parameters r and p.
algorithmfor generating a pascalrandom variate wtthparame-
TERS r AND p.
In(Mi)
Given r nonzero random numbers ui, U2, ur, let xi-Int + 1, i = 1,2,...,r;q=l-p.
ln{q)

Iniui)
(9.6-5)
Thenx = X-^'='"'' 2 ln(q)
t=l f=l

is a value of X,the Pascal random variable with parameters r and p.

Alternatively one may tecotd the number ofBernoulli trials until the numberofsuccesses,
S,ubecomes equal
™,.l to
m rr. We have the following algorithm:
we nav
ALGORITHM:

Step 1: Set S = 0.

9-43
 Step 2; For i = 1 to r do:

Pick a random number u.

If u < 1 - p,set B=0,

else set B=l.

S = S+B

Step 3: If S = r, set x = r and stop,

else set i = r and continue.

Step 4: i = i+l.

Pick a random number u.

If u < 1 - p, set B =0,

else set B = 1.

S = S+B

If S = r, set X = i and stop,

else go to step 4.

Still, another alternative method to simulate a Pasrai

eransforraation method usiog its distribution function,F which is rmpmed fusl'''' '
is give^r"' ~rsr and p,
pi=''<^=J)=^;:;^/o-pr;f=r,r.,,
It is easy to verify that

K^-p) ,
Pi+' ~ rz+l-r^ ^~ '•••' ^here pr = n''
^ ^ (9.6-7)
The distribution function F may be computed
y usina
using fi,
the recurrence relation: • ^
F(j+1)= FO)+ Pj+i; j= r, r+1, where F(r)= p*" 5.8)

9-44
 We have the following algorithm to compute F:
ALGORITHM:

Step 1: Compute P = p^ Q = Lp.

Set F(r)= P, J = r.

J.O.P
Step 2: Compute P = •

If P < e, set N = J and stop,

else continue.

F(J + 1)= F(J)+ P-

Set J = J+1, gotostep2.
The above algorithm computes F(r), F(r+1), F(N).
1o Y we have the following algorithm:
To generate x, a value of X,we nave
ALGORITHM:

Stepl: Set J = r-
step 2: Pick a random number u.
Steps: Ifu<F(J). setx=land stop,
else continue.
Step4: .fJ = N, ae.x = N.Unds.op,
else continue.

StepS:J = J+'-
.„,valuetr.rel N.Neltox.
The algorithm ass replaced by the following algorithm.
The above algorithm

9-45
 ALGOMTHM:

Step 1: Compute I = Int(r/p).

SetJ = I.

Pick a random number u.

Ifu<F(I), go to step 2,

else go to step 3.

Step 2: J=

If u > F(J), set X = J+1 and stop,

else continue.

If J = r, set X = r and stop,

else go to step 2.

Step 3: J = J+1.

If u < F(J), set X = J and stop,

else continue.

If J = N,set X = N+1 and stop,

else go to step 3.

9.6J5 Generation ofa Poisson Variate with Parameter(Mean)p.

Suppose that events occur in a Poisson process at a mean rate
^ 1/ T . .u u orr
occurrences of the event in an interval (o, t], where t is so chosen that Let A be the number
Chapter 1.that X has Poisson distribution with parameter p Let Ti be th f ^ u ^ m
firs,occurrence of.he even.,and T,be tte.ime fta.elapse!ImIt
opto the i th occurrence,i = 2,3,.... We know that Ti's are independent e ^.
random variables with parameter a.Thus,X satisfies the inequality ^ distribute
Ti + T2+ ... + Tx < t < T,+ T2+ ... + Tx + Tx+i (9.6-9)
Define random variables Ui = i = i,2,.... x+i. (9.6-10)

9-46
 » ,j . 1 2 211-0 independentr£indom variables,ca.ch uniformly

X (9.6-11)
Y\Ui>e >n t/i •
i=l '='

Thus,to generate,
a value
value Xx of
oi X,
w,a Poisson random variable with parameter p, we have the
following algorithm:
ALGOR.™MFORGENERAT.ONOFAPO.SSONVAKIATEWnHMEAN,b
Givenasequenceu,,u2,....ui,...of random numbers:
Step 1: Compute a = e
Step 2; Find x such that
x+l (9.6-12)

/=i '=1
X is a required generated value of X.
Remark 9.6:If ui<u>enx
u =0, and d .
0- andifu,2a>u,u2thenx=l;andifu,u22a>o,u2U3.
then X =2and so on. „(^of5Poissonvariateswithtnean3.Usethe
r,.—pie 9.15:Using
random numbers (9.6-12)
ui=.692, U2=. • die table ofrandom numbers,column 1,
row number(X)036).
Solution:

„-p^e-'=.M98
e

U1U2"
_ 2394, uiO2U3= 0'''-
Hence U1U2U3 Poisson random variates with mean

3. Use the random num aPoisson random variable X is the inverse transform
An alternative method for sun®"""®
algorithm.

9-47
 Let Pi _ P(X - i)- e ^|i' .i =0,1.2,... . (9643)
If is easy to see that

p.
pi+l = —p;,with po = e i = 0, 1, 2,
■■ (9.6-14)
The distribution function F(i)= P(X < i) satisfies
F(i + 1)= F(i)+ pi„, u 0, I, 2 where F(0)=
Due to round off, when ti is iaree th
algorithm avoids this difficulty. ^ computer might take e~^ equal to 0. The following
ALGORITHM;

Step 1: Compute P = e~^.

Set F(0)= P.

K = Int (|i).

~~ 1 = 0. Q = ln(p).
step 2:Compute PP = Q. ^ pp
Compute P = exp(PP).
If i^K, gotoStenS pica
P-^' ®lse continue.
IfP<e,setN = i&stop
else continue.

Step 3: F(i +1)= F(i)+ p

1 = i+1,go to Step 2.
The above algorithm computes F(0),F(1)
The following algorithm ^generates
'^'®s a value"x of v
a random number u.

9-48
 ALGORITHM:

Step I: Compute I = Int(|i). Set J = I

Step 2: Pick a random number u.

If u < F(I), go to step 3,

else go to step 4.

Step 3: J = J-1.

If u > F(J), set X = J+1 and stop,

else continue.

If J = 0, set X =0 and stop,

else go to step 3.

Step 4: J = J+1

If u < F(J), set X = J and stop,

else continue.

If J=N,set X = N+1 and stop,

else go to step 4.

The above algorithm assigns the values 0, 1, 2,...., N,N+1 to x.

When p is large, e~^ is small, then the above two algorithms would be time
consuming.In that case

is approximately N(0, 1) if P is large. Thus, to produce a Poisson variate for large p, we

generate Zfrom N(0,1)and compute X =Int(p + Vp Z+ -). Here-is added so that X assumes
the value equal to the integer nearest to p + V^TZ. However,it is not clear, how large p should
be so that the error is negligible.

9-49
9.7 The Acceptance - Rejection Technique:

Suppose there is an efficient method for generating a random variate having the point
probability function {qj, j > 0}. This can be used to generate a random variate having the point
probability function {pj,j > 0}. This can be accomplished as follows:

Let C be a constant such that

^
qj
< C, for all j such that p; > 0.

In particular, C = max for all j such that pj > 0}. The algorithm is as follows

REJECTION ALGORITHM:

Step 1: Simulate a value y of Y,having the point probability function qj.

Step 2: Pick a random number u.

Step 3: If u < set x = y and stop,

else return to Step 1.

The following theorem justifies the rejection method.

Theorem 9.1:

The random variable X obtained bv .--liiv

function Pi = P(X = i). ' Pomt probabtW
Proof: P(X = i)= P(Y = i I Value of Y is accepted)
^ P(Y=i, Value of Y isacceptP^
P{Value of Y is accepted)

=P(Y =i.U<^)/K,K=P(Va,„eofYisaccep.ed)
^ U are independent random variables-
= ^qi -^/K
Cqi
=^
CK

9-50
 Summing over all i, we get

Thus P(X = i)= Pi.

Remark 9.7:In each iteration,the P(the value of Y is accepted)= K.Thus the number ofiterations
needed have a geometric distribution with parameter K.Therefore,the mean number ofiterations
needed is 7;= C. Further, from (9.7-1) it is clear that C > I. Thus closer C is to 1, faster is the
K
algorithm.

Example 9.16: A random variable X has the following probability distribution

X 1 2 3 4 5
Probability: .21 .20 .18 .19 .22

Explain the rejection method with the following distribution as q,to generate X.
Y 1 2 3 4 5
Probability .20 .20 .20 .20 .20
Hence generate several values of X using the following sequence of random numbers:
0.35,0.97,0.22,0.15,0.60,0.43,0.79,0.52,0.81,0.65,0.20,0.57

SOLUTION:C = max ^ ^= 1•1.

qj .20

The method is as follows:

Step 1: Pick a random number ui and set y = Int(5ui)+l.

Step 2: Pick a second random number U2.

Step 3: If U2 <-^= set x = y and stop,

else return to Step T.

9-51
 The results obtained, using the method described above, are summarized in the following table:

Table 9.4

U! y Py
U2
Cqy .22 "2 <
.22
X

0.35 2 0.97 No -

0.22 2 .909 0.15 Yes 2

0.60 4
22 - 0.43 Yes 4
0.79 4 .86 0.52 Yes 4
0.81 5 1 0.65 Yes
0.20 2 .909 0.57 Yes 2
Thus, we have generated 5 values of X. which hre x, = 2, X2 = 4,X3 = 4, xi = 5, X5 =2.
T .U r, /VJ —

The rejection method can also be uspH for

method is exactly the same as in the case of discrete random variable. The
being that the densities replace the point probability functions. ^ difference
Let C be a constant such that

Jly)
— < C for all y; in particular C= max.Ay)
^
y siy)'
The algorithm is as follows:

THE REJECTION ALGORITHM;

Step 1: Generate a value y of Y having density g.

Step 2: Pick a random number u.

Ay)
Step 3: If u < set x = y and stop,

else return to Step 1.

The following theorem can be proved as in th^ a-

luc aiscrete case.
Theorem 9.2:(i)The random variable generated bv thp •
method has density function f-
(ii)The number ofiterations ofthe algorithm that are j•
mean C. random variable will.

9-52
Example 9.17: Let us use the rejection method to generate a random variable having density
function

f(x)= — (1 - 0 < X < 1.

n

3 j5
This is beta random variable with parameters and

Let us use the rejection method with g(x)= 1,0 < x < 1.

g{x) %

.Ax)
To find C, we find maximum value of 0 < x < 1.

d_
dx gix) n 2 ix

271 Sx

Setting this equal to 0,gives x = j. The maximum value is attained when x =iand
thus

f{x) lA —
C= max • 2 8 %'

Hence ■
" Cgix) 3V3
Thus, the rejection procedure is as follows.
Step 1: Generate random numbers ui and u2.

else return to Step 1 •

9-53
 The average number of times the algorithm will be performed, to generate one x, is
3V3
C= = 1.65.
K

Le< us generate several values ofthe beta randon, variable with |

paratueters
| and by the
above method using the following sequence of random numbers:
0.35,0.97,0.22,0.15,0.60,0.43,0.79,0.52,0.81,0.65,0.20,0.57.
The results obtained using the method described above
are summarized in the following
table.

Table 9.5

I6yui ^^ 3/.
3.^ (I-"i) =h(ui
u2 <h(ui)

Thus, we have generated 3 values of X, which

are XI-0.22, X2= 0.60, X3 = 0.20.
Example 9.18:Let X be the gamma random variable with narampf 5
neters r =-and a = 1. Hence Its
density function
y(x)= e~^, x>0.
nf)

9-54
 Suppose we use rejection method with

g(x)= X e~^, X > 0.

The"^
g(x) = X r{%)

iLfMl = (i+4>,-l))/>.
a|sWJ >.r(>/4) M
If X,> 1, the derivative >0for all x > 0.It is obvious that,in this case f(x)/g(x)is unbounded.
1
If X < 1, the derivative is zero at x = , where the ratio f(x)/g(x) is maximum.
4(1-X)

c= max1=^1=
[g(x)J r(5/4)
• —Hi
X{\-XV'
•
Thus C will be minimum if ^(X)= X{\-XV' is maximum on 0 < < 1.
'V'(X)=j{\-Xf^^{A-5X).
Hence C is minimum if X=|. Hence the best exponential random variable to use in the
rejection method to generate a gamma random variable with |
parameters and 1 is the
5 . . 4
exponential with the same mean ^ , i-e. ^•

4
Hence taking g(x)= T ^ 5,Jc>0.

z'5 5 j ^
Hence C =
4e 57
4r(3)
'"'■^'15

9-55
 Thus a gamma random variable with parameters
| r = and a = 1 can be generated using
the following algorithm:

Step 1: Generate a random number ui, and set y =-1 In ui.

Step 2: Generate a random number U2.

Step 3;If U2 < y e , set X = y and stop.

otherwise return to Step 1.

Let us generate several values of the gamma random variable with parameters r = ^/4 > ®
= 1 by the above method using the following sequence of random numbers:

0.35,0.97,0.22,0.15,0.60,0.43,0.79,0.52,0.81,0.65,0.20,0.57

The results obtained using the method described above are summarized in the following
table

Table 9.6

U2<W

.9756594

6094751

8436809

825172

.9671481

Thus we have generated six values of y u- .

X5 = .263, X5 = 2.012. are x,=1.31, X2=l.89. X3=.638, X4=

9-56
 A rejection method for generating a beta variate with nonintegral parameters, and for
generating a gamma variate with nonintegral shape parameter r is given by Fishman (1973)
Sections 8.2.5, 8.2.6 and 8.2.7.

The method of rejection is inefficient. Hence it is generally used only if there is no other
alternative.

We,now, discuss applications of simulation to some realistic problems.

Example 9.19:

The booking and the deliveries of a truck company over 100 typical days were as follows:

Number of units booked 300 350 400 450 500

Number of days 8 18 24 38 12

3 4 5 6 7
Number of trucks available

16 36 20 16 12
Number of days

Each truck makes one trip a day and can deliver 100 units when fully loaded. As many
trucks as possible are loaded full each day. If units are left which can not load a truck fully, but
a truck is available,then a truck will be partially loaded and made to go on the trip.Trucks unused
are turned away and are not required to wait for the next day. Units m excess of total trucks
capacity are stored overnight and added to the next day's booking for delivery.Simulate 10 days
operations by the company and compute averages and other characterisucs of use to the
management.

Solution:

It is reasonable to assume that the distribution ofthe units booked on a day(say X)and that
of the available number of trucks on a day(say Y)are as given below:
X 300 350 400 450 500
Prob. .16 .36 .20 .16 .12
Prob. .08 .18 .24 .38 12

9-57
The process of genealing random variates is given below;

Random X-random Random Y-random

number variate number variate
u X u y

.00 < u < .08 300 .00<u<.16 3

.08 < u < .26 350 .16 <u< .52 4

.26 < u < .50 400 .52 < u < .72 5

.50 <u < .88 450 .72 < u < .88 6

.88 < u < 1.00 500 .88 <u< 1.00 7

The simulated results are shown in Table 9.7, where the following notations are used.
ENB = Random number for units booked.

NUB = Nurhber of units booked.

UDB = Undelivered the day before.

TND = Total number for delivery.

RNT = Random number for trucks available.

NTA = Number of trucks available.

NTU = Number full trucks used.

CTU = Capacity of the full trucks used.

LPT = Load of partially filled trucks.

NUT = Number of unused trucks.

NUS = Number of units stored over night.

9-58
 Table 9.7

DAY RNB NUB UDB TND RNT NTA NTU CTU LPT NUT NUS

1 .1 1 350 - 350 .26 4 3 300 50 -

-

2 .80 450 - 450 .45 4 4 400 -

-
50

3 .50 450 50 500 .74 6 5 500 -

I -

4 450 450 .77 6 4 400 50 1

.54 - -

400 .74 6 4 400 -

2
5 .31 400 -
-

400 .51 4 4 400 -

-

400
-

6 .39 -

.92 7 4 400 50 2
7 .80 450 -
450 -

4 4 400 -

50
450 .43 -

8 450
_

.82

4 4 400 - -
100
50 500 .37
9 .77 450

6 5 500 - 1
.72
-

10 .32 400 100

41 4100 150 7 200

Total 200 4450
4250

Average daily booking = ~ units.

51 r,
Average number of trucks = '

Average number of trucks not used"

_11- = 4.1.
Average number of trucks fully used jq
• ut =^=20 units.
Average number of units stored over S 10

9-59
 Table 9.7

A
Average J -I ubooking
daily 1 • _— 42^
jq = 425 units.

Average number of trucks -ii-51

jo ~
Average number of trucks not used
Average number of trucks fully used
2^= 20 units.
Average number of units stored over g 10

9-59
9.8 The Discrete Event simulation

Simulation of probabilistic model involves generating the random events of the model and
then recording changes in the variables of interest. The basic elements of a discrete event
simulation are variables and events.

Following three kinds of variables are often used.

1. Time variable T: It refers to the simulated time that has elapsed.

2. Counter variables. These variables keep a count of the number of times certain events
have occurred by time T.

3. System state variables: These variables describe the state of the system at time T.
In discrete event simulation approach successive events of the model of the system ate
generated and the above variables are changed or updated and certain output data of interest are
updated, whenever an event occurs. To implement this approach an "event list" is maintained
which contains each type of event and the time at which it is scheduled to occur To select the
next event to oc^r, the 'event list' is searched to find and perform the event with the earliest
scheduled ttme. This search program is usually named as 'timing routine'. Havi„<, selected the
next event and its scheduled tune, the simulated time T is advanced to thi.
this event is performed and the above variables and output data are updated If
any conditional events also arise,they are also performed.The time thLt el " f °
from the time T)until the next event of this type will occur is then ^t (reckoned afresh
the current clocktime T and the sum is then stored as the 'scheH i
"event list" and the process is repeated a number of times until t"^
maximum time of simulation. ^ TMAX,the specified
The following figure illustrates the discrete event simulation
Event List

Scheduled Findj,tj,Ej Change the

Event
time tj is the next
variables.
event time and
El ti
Ej is the next Update statis
tics. Update -<i)
event to be
©■ El ti
performed.
clock time T=tj
•

Ek tk

9-60
 Compute
Run Yes
results
Complete^ END
and print

Find the 'new' scheduled time tj of

the event Ejand store it in the event- -©
list against Ej.

Figure 9.1

In this manner, we simulate the model as it evolves with time. To illustrate the above
approach, we consider the simulation of a queueing system with one server.

9.9 A Single Server Queueing System using Discrete Event Simulation

Consider a queueing system in which customers arrive such that the interarrival time lAT,
is a random variable having distribution function F. There is one server. On arrival a customer
either enters service if the server is idle or else joins the queue if the server is busy. When the
server completes service ofa customer,it then either begins serving the customer who has waited
in the queue the longest (i.e. he picks up the customer from the queue according to first come
first served basis) if there are any waiting customers or if there are no waiting customers, it
remains idle until the next customer arrives. The amount of time the server takes to serve a
customer, denoted by ST,is a random variable (independent of time, of all other service times
and of arrival process) having the distribution function G.Suppose it is required to simulate the
system for a simulated time TMAX after which no arrivals and no departures will be recorded.
Further, we assume that there is no customer in the system initially. The aim of simulation is to
determine the estimates of such quantities as
(a) t(tg) the estimate of the mean number of customers in the system (queue).
(b) M%)'th® estimate of the mean time a customer spends in the system (queue).
(c) The estimate ofthe proportion of busy time ofthe server.

9-61
 The following variables will be used

1. Time variable. T,the clock - time, i.e. the simulated time that has elapsed.
2. Counter variables: CNA,the total number of arrivals by time T.
: CND,the total number of departures by time T.
3. System State Variables : NS,the number of customers in the system at time T.
: NQ,the number of customers in the queue at time T.
: STS,the state of the server at time T.
STS=1 if the server is idle at time T.
=0 if the server is busy at time T.
4. Output variables: CWTS.the cutuulated titue spent by all customers in the system unto
time T. ^
: C^,the cumulated time spent by all customers in the queue upto
: CIDT,the cumulated idle time of the server upto time T.
The events of the system are "arrivals" and "departures"
The "event list" contains NAT, the scheduled time of the nevh • ,
scheduled time of the next departure. NET,the scheduled time of the nexrvlnt iTlSaf^
NET = Min.(NAT.NDT,-mAX,.with the following modifications in case of ties.
InthecaseNET = TMAX(evenifNAT = TMAXorNDT = TMAVf. k .ut u
be performed is END of the simulation run. In this case the state va' hi
are updated, the output statistics are updated and the estimates of the d ^^^^^les
computed and printed and the simulation run is stopped. In the case NAT < Nnr
event to be performed is "arrival". Thus if NAT = NDT < TMA y TMAX,the
, arrival is "....u.uicu
simulated first.
iirsi.

Every time an arrival takes place,the output.a.variables

ftn cirrivfll talfPS nUir-ra . ..
CWTS cwrn otta
as ex :plained later. Then the state variables NS,the number of custompre
S= NS+ I;NQ,the number ofcustomers in the queue is also updated mn-n'rT"
asNS
NS
NS = I, otherwise NQ = NQ + 1). CNA,the cumulative number of .
= CNA + I. The clocktime T is advanced to NAT. A new NAT is al ^
conditional event associated with the server may also occur. In case N?-n7f "
the server was idle. Due to this ^wal,the server is pu,i„ "busy mode" Fm,h7 '
a state variable STS.STS = I tf server is idle and STS =0 if the se^Irtbf'T
arrival if the state ofthe server is changed from "idle",o "busy",,he„ NDT is nl ''' ""
this arrival and STS is set to 0. We give details later. computed for

9-62
 Every time a departure is performed (simulated), the output variables CWTS, CWTQ,
CIDT are updated,the state variables NS,NQ,STS and the counter variable CND,the cumulated
number of departures are updated. Clocktime T is advanced to NDT.If due to this departure the
updated NS = 0, the server becomes idle (a conditional event), hence STS is set equal to 1 and
NDT is set equal to =», infinity (any number larger than TMAX may be taken as infinity, say
NDT = TMAX+I will do). If due to this departure, the updated NS is nonzero, then the server
starts serving another customer,so a new NDT is computed. The details are given below.

To update CWTS,CWTQ,CIDT,the following equations are used.

CWTS = CWTS + NS * DT,

where CWTS on the left hand side is the cumulated waiting time of all customers in the
system after simulating the present event, and CWTS on the right hand side is the value of the
cumulated waiting time of all customers in the system after the occurrence ofthe preceding event.
NS is the number of customers in the system prior to the present event. DT = NET - T, where
NET is time of occurrence of the present event and T is the time of occurrence of the preceding
event. Thus, NET = NAT or NET = NDT or NET = TMAX according as the present event is an
'arrival' or a 'departure' or 'END'.

CWTQ = CWTQ + NQ * DT, CIDT = CIDT + STS * DT

with meanings similar to the above.STS = 1 if the server was idle prior to the present event and
STS =0 if the server was busy prior to the present event.
Other notations used in the algorithm which follows are:
lAT,the inter arrival time, a random variable having a distribution function F.
ST,the service time, a random variable having a distribution function G.
Whenever an arrival takes place, CWTS,CWTQ,CIDT are all updated. NS and CNA are
each increased by 1 and the clocktime is advanced to NAT,i.e.
T is set equal to NAT and then a new NAT is generated as follows:
Generate lAT and then set NAT = T + lAT.
Further,
set to 0, if dueNDT
and a new to this arrival theasstate
is computed of the server changes from "idle" to "busy",STS is
follows:
Generate ST and set NDT — T + ST.
WheneveradeparturetakespteceN
^ ^ CND is increased by 1;CWTS,
niace NS is decreased by 1 and
CWTQ,are updated as explained above, inc

9-63
equal to NDT.If due to this departure NS =0,then the server becomes 'idle' and STS is set equal
to 1, NQ is set equal to 0,NDT is set equal to infinity and if NS 0, the server will start serving
another customer and so a new NDT is to be generated, which is done as follows;

Generate ST and set NDT = T + ST.

A new NAT will be generated after every arrival.

A new NDT will be generated after every departure except when the system becomes
empty after the departure, in which case NDT will be set to oo. A. new NDT will also be generated
after an arrival if the system was empty prior to this arrival.
Below we give the algorithm for the simulation. Following the algorithm we give a
flow-chart. Finally an example follows.

Algorithm for Simulating a Single Server Queueing System

Step 1: READ TMAX

step M„itia,ize:T=0,CNA=0.CND =0,NS=0,NQ=0,CWTS=0.CWTQ=0,CIDT=0.STS=I,

(We assume ,hal «,e system is empty initially).
Step 3=(Generate the scheduled time until the first arrivah
Generate: A random variable lAT rth • ^
SetNAT = IAT. ^ with distribution function F-
Step 4: If NAT > TMAX,go to step 6,
else continue.
If NDT > TMAX,go to step 7,
else continue.

If NATS NDT,go to step 8,

else continue,

step 5;(In this case either NDT < NAT

is to be simulated). ™AX or NDT < TMAX S NAT hence a depal'"'®
Compute : DT = NDT T
Compute:CWS = CwtS.NS.DT
Reset: Ns!;^:."^^<5.NQ.dt.
CND = CND+1
T =NDT

9-64
 If NS = 0, set STS = 1, NQ = 0, NDT = oo, go to step 4,

else set NQ = NQ - 1, STS=0.

Generate; ST,the service time, with distribution function G.

Set NDT = T + ST,go to Step 4.

(Note: In this case CIDT is not updated, since the server was busy previously).

Step 6: If NDT > TMAX,then the event to be simulated is end of simulation run after modifying
the statistics.

Compute: DT = TMAX - T,
CWTS = CWTS + NS * DT,
CWTQ = CWTQ + NQ * DT,
CIDT = CIDT + STS *DT,

Go to Step 9,

else go to Step 5.(In this case NDT < TMAX < NAT,hence the event to be simulated is
a departure).

Step 7:(Here NAT < TMAX < NDT,the event to be simulated is an arrival).
Compute: DT = NAT - T
CWTS = CWTS + NS * DT.
CWTQ = CWTQ + NQ * DT.
CIDT = CIDT + STS *DT.

Set: NS = NS + I
CNA = CNA+1.
T = NAT.

Generate:lAT with distribution function F

Set:NAT = T + IAT.

Tf STS = l(i e the server was idle before this arrival),

Set- STS =0,(note that NQ remains zero as before and so is not updated),
Generate: ST with distribution function G,
Set- NDT==NQ+l,gotostep4.
elseSet':NQ T + ST,go to step 4,

9-65

J
step 8.(Here NAT,NDT < TMAX and NAT < NDT, and the server is busy, so CIDT is not
updated The event to be simulated is an arrival. Even if NAT = NDT, an arrival is
simulated first).

Compute : DT = NAT - T.
CWTS = CWTS + NS * DT.
CWTQ = CWTQ + NQ DT.
NS = NS+ 1,NQ = NQ+1
CNA = CNA+ 1.

Set:T = NAT
Generate: lAT with distribution function F.
Set NAT = T + lAT,and go to Step 4.
Step 9:(The simulation run ends at the completion of this step).
Compute:t= CWTS/TMAX.
^<7 = CWTQ/TMAX
<V = CWTS/CNA
<^^9 = CWTQ/CNA
= CIDT/TMAX

Print: L,Lq, ^q, CNA,CND.

Stop.

Note:WehavenotusedNETistheabovealgorithm
rather its value NAT or NDT or TMAX (as the casewhi
m i, •„ not used in the flow-chart,
which will follow NET is used. 's used. However, in the example
Remark 9.8: If the first customer arrives at zero ti,v, u
can be modried as: 'hw steps 2and 3 i„,he above algoritl,®
Step 2: Initialize: T=0,CNA=1,CND=0,NS=1 no-
(We assume that there is one customer in the system^^^^^' CIDT=0,STS=0.
Step 3:(Generate the next departure time & th "'lially who has arrived at T = 0)-
e next arrival time)
Generate ST and lAT. Set NDT- cr x,
-ir,NAT = iAT
The rest of the algorithm is the satne as above.
We,now,give a flow-chartfor the above aigorithm

9-66
 Flow-chart of simulation of Single-Server Queueing System
READ TMAX

Initialize:(It is assumed that initially there is no customer in the system)

T =0,CNA =0,CND = 0,NS =0,NQ = 0,CWTS =0,CWTQ =0,CIDT:=0
STS=1, SetNDT = TMAX+l

Comment: Generation of the Scheduled time of the first arrival

Generate: lAT, Set NAT =lAT

@ :
AT>TMAX7 Yes

DT^TM
<;^T>TMA7^
No
Yes
Yes
T<NAT2

Compute: DT=NDT-T Compute: DT = TMAX-T

Compute DT=NAT-T CWTS=CWTS-fNS*DT CWTS = CWTS+NS*DT
CWTS=CWTS+NS*DT CWTQ=CWTQ+NQ*DT CWTQ = CWTQ-t-NQ*DT
CWTQ=CWTQ+NQ*DT CIDT=CIDT+STS*DT
NS=NS-1
NS=NS+1 CND=CND+1 t= CWTS/TMAX
nq=nq+i T = NDT tq= CWTQ/TMAX
CNA=CNA+1 iV=CWTS/CNA
Set T=NAT ^^= CWTQ/CNA
Generate lAT Po = CIDT/TMAX
SetNAT = T+IAT Print results and Stop
No ^

NQ = NQ-1
STS = 1
STS =0
© Generate: ST
NQ =0
NDT = TMAX+1
SetNDT=T+ST

9-67
 ©

Compute: DT = NAT - T.
CWTS = CWTS + NS*DT.
CWTQ = CWTQ + NQ * DT
CIDT = CIDT + STS * DT

Set:NS = NS+l
CNA = CNA+1
T = NAT

Generate; lAT
Set NAT = T + IAT

Set; NQ = NQ + 1

Yes

Set STS =0

Generate; ST.

SetNDT:= T+ST

Figure 9.2

9-68
We now give a numerical example:
Example 9.20:

Assume that in a queueing with one server, first come first served queue discipline,
unlimited queue - length, unlimited input source, the interarrival time distribution and service
time distribution are exponential with parameter X=2and p=3respectively.Simulate the system
for 5 units of time and estimate the characteristic of the queueing system.
The simulated data are given in Table 9.8. To understand the table, besides the notations
described earlier, the following notations are also used.
CE= The current event, i.e. the event being simulated, (which can be an arrival, A or a
departure, D or END).

UA = The mndom number for simulating lAT,the interarival time.

US = The random number for simulating ST,the service tim
NET = The time of occurrence of the next event.
NE= Next even,to be simulated(which will be A or D or END).
The following comments will help understanding the constmction of Tahle 9.8.
CNA = \cm,if CE is D or END
I CNA+\A^CE is A.
CND = \CND,if CE is A or END
yCND+ l.ifCEwO-

IAT= =

NAT;mbegLatedaf.ereacha,riva,,i.e.ifCE = A.
ST=--ln(US)=-5l"<U®>'
H
NDT-T + ST. following two cases.
NDT will be generated in the f
1. IfCE = DandasaresultNS*
2. IfCE= A,andthesystemwasemptypr.
T.TC n then NDT will be set equal to oo. STS will be set equal
Note: If CE = D and as a result NS = u,
to I.

9-69
To compute CWTS,CWTQ,CIDT

DT = T - previous T = Present value of T - Previous value of T

NS, NQ,STS values will be values just before the time T (i.e. the values at the previous
value of T).

However, to update the various variables in the table 9.8 the following notations and
equations will be helpful.

T(I)= The instant of the occurrence of the Ith event measured from time 0.
CE(I)=The event being processed at the instant T(I), which could be an 'arrival' or n
'departure'(D) or END. arrival (A) or a
CNA(D= Total number of arrivals of customers upto and inclusive of the instant T(I).
CND(I)= Total number of departures upto and inclusive of the instant T(I)
CNA(I)= CNA(I - 1) if CE(D is D or END
= CNA(I- 1)+ 1 ifCE(I) isD.

CND(I)= CND(I-l)if CE(I)is A or END

= CND(I-1)+1 ifCEa)isD.

NS(I)= The number of customers in the system at time TfD i p i:. .

occurred. CE(I) has

NS(I)= NS(I - 1)+ 1 if CE(I)= A

= NS(I- 1)- 1 ifCE(I)= D
= NS(I- l)ifCE(I)= END.

NQ(I)= The number of customers in the queue at time Tm inc ^ .

occurred. ^he event CE(I)has
NQ(I)=0 if NS(I)=0 or 1
= NS(I)- l.ifNS(I)> 1.

CWTS(I)= The cumulated waiting time in the system of all customer,

"lucrs upto .u
the •instant T(I)
Thus, CWTS(I)= CWTS(I-l)+ NS(I-l)* DT(I),
where DT(I)= T(I)- T(I-1), the time that elapses between the fI Uth and^ the
^ Ith events.
CWTQ(I)= The cumulated waiting time in the queue of all customer,
v^iiicrs nm
upto .k
the •instant T(I)
Thus, CWTQCD = CWTQ(I-l)+ NQ(I-l)* dT(I).

9-70
^ CIDT 1.663 . .
TMAX 5 ^ ^ estimate of the proportion of idle time of the server.
The theoretical values of these characteristics are:

L =^
|j.-A,
= 2.
4~
Lq =^ ^=1= 1.333.
W =- ^
|i-A,
A.
Wq = — r- =.667
H(^l-A.)

0=l-p
ID 1 = l-
I - =-
^ = 0.333, which agrees very much with Po.

situation.If simulation is done formom

IZetaZrues ^ closer to their
IS «!,7a,rof ^ ®
^
have got better estimates of L,Lq, W,Wq,

9-72
 Arrival Departure

CWTS CWTQ
(I) (I)

(MXH) START

O.CXH)

2.5()7

2.666 2.666

2.668

4.999 4.643

4.709

4.999 4.814

4.999

5.(X)()

^l(lnUS)
rr

X = 2-, \i = 3;

9-73
Example 9.21: If, in example 9.20, we assume that the first customer arrives at zero time and
other conditions are assumed to be the same, then the simulation table is as given in Table 9.9.
The estimates obtained are;

t=CH7S^1246; y CWTQ 3.644-

^'TMAX
TA4AV 5 L,q— yMAX^ 5 ~ '288

CWTS 7.246-
~ CNA 12
:o.604, 0.304

CIDT 1.398 -

The estimate of the proportion of time the server is busy = 1 - 0'^SO = 0 720
The estimates obtained arecloser to the theoretical values compared to those obtained in example
9.20.

Table 9.9

CWTS Arrival
Departure

0.123 0.123
0.(X)0

0.354
1.028

0.159
2.319

0.715 3.056

4.734

4.814
0.173 4.907

4.907

0.138

5.045

9-74
 Example 9.22: Simulate the single-queue two-server queueing system,in which customers arrive
in a Poisson process at the mean rate of 1 customer every two minutes. The service times (in
minutes) for the two servers are uniformly distributed on the intervals (2, 3) and (2.5, 3.5)
respectively. When there are 4 customers in the system an arriving customer is not allowed to
enter the system and is lost. Assume that the system is initially empty. When both the servers are
idle, then an arriving customer is assigned to server I, the faster server. Simulate the system for
18 minutes using the next - event approach. Use the following random numbers for simulating
lAT: 100, 973, 253, 376, 520, 135, 863, 467, 354, 876, 809, 590. Use the following random
numbers for simulating the servicetimes ST:

692, 346, 140,620, 117, 452,041,595.

Transfer of customers to servers is not allowed.

Estimate the following:

(i) Mean number of customers in the system

(ii) Mean number of customers in the queue.
(iii) The mean waiting time of a customer in the system.
(iv) The mean waiting time of a customer in the queue.
(v) Po,Pl.P2.P3,P4-
(vi) Proportion of customers lost.
(vii) "effective" rate of arrival.
(viii) Proportion of time server I& II are idle.
(ix) Effective rate of departure.

Solution: The mean arrival rate A- = 2 P®*"

IAT= - — In(UA)=-2 In(UA)

A.

STi =(The service time of Server I)-2+ US

ST2=(The service time of server II)-2.5 +

9-75
Comments: When NAT is be simulated

Whenever an arrival takes place at time T(say), then lAT is to be generated, then NAT is
set equal to T + lAT.

When NDT is to he simulated:

Whenever a customer with server I departs at time T and the resulting NS (number of
customers in the system) > 2, then STl is generated and then set NDTl = T + STl. Similarly
whenever a customer with server II departs at time T, and the resulting NS > 2, then ST2 is
generated and

then NDT2= T + ST2.

If a departure of a customer with server I (II) takes place and the resulting NS < 1, then
NDTl ="(NDT2= ~). "

When an arrival takes place with the resulting NS S 2. then a relevant service-time is to
be generated, but when an arrival of a customer takes place with the resulting NS > 3 then this
customer will be either lost or will join the queue,and so a service time will not be simulated.
The simulation is shown in table 9.10. The following new notations ate used.
CNEA = Cumulated number of external arrivals upto time T
CNIA = Cumulated number of internal arrivals upto time T
CT(i)= Cumulative time the system has i customers i = 0, 1 2 3 4
D(I)= Departure of a customer with server I

D(II)= Departure of a customer with server II

9-76
 Tab9.10

Scn-er 1 Senw 11

CNEA CNIA CT(0) CTd) CT(1) CT(3) CT(4) C\VTS OVTQ

STS ciur

STABT

.158 2.642

.158 2.738

12.480
12.787
3.152 2.918
12.787
12.787
12.480 \ DOD 3.152 4.728

12.787 3.459 4.728

17.122
6.483 3.459 4.728
17.122 17.501
6.483 3.749 4.728 13.205

17.122 17.122
6.483 3.749 6.248 16JS45
17.501 17.501
18.171 .642

18.929 .642 19.717

17J01 6.483 3.749 6.627 .642

18 END 6.483 4.248 6.627 .642 0 19.428 .642

18 Stop

A cms 19.428 036 ^-^^--^^^-24285 = =

= 18 CNA - 8 2.42»5, W, g g
(>,=^^^.236. h =^=.368, h =^=.036. ^=0
Porportion of customers lost-—CNEA ~ arrival ~ Ys ~
7 771 ^ 493 ~
Proportion of time server I is idle = =.429. Proportion of time server U is idle = =.5274.
7
Effective rate of departure =^customers per minute.

To estimate various characteristics of a queueing system, when in steady state, the simulation has to be carried out for a large period of time.
 PROBLEM SET IX

IX.1 Describe how to generate a random variate from each of the p.d.f. given below:
(a) f(x)= 1/8, - 3 < X < 5; f(x)=0 elsewhere.

'/3,0<X< I
(b) f(x)= ^/3, 1 <JC<<2
0 elsewhere.

(c) f(x) = 1x1,-1 <x< 1

=0 elsewhere.

IX.2 Generate random variates from the following distributions:

(a) Exponential distribution with mean 5
(b) Gamma distribution with mean 5 and n = 3
(c) Normal distribution with p.=5 and a =2
(d) Pascal distribution with parameters r and p
(e) Poisson distribution with mean 2
(f) Geometric distribution with parameter p.
IX.3 Assume that there are two types of customers(Typ. A and TvDeBw„>.
Simple server queueing system. Assume that tyoe A u ^
B,sothatType B customers cannot be served ifanv AT P"onty over Type
an incomplete service will not be interrupted.InterarrivL^t^customer is waiting.However,
A customers are given to be 2.5(fixed)and 2(fixed) Inter^illu-^^'^'''^ for Type
for Type B customers are given to be 3(fixed) and 1 rfixef^^ service times
units of time. Assume that the first Type A customer arrives at
customer arrives at t = 1. Calculate L,Lo W Wn •. Type B
the types pooled. type of customer and for Lth
IX.4 Assume that the distribution of interarrival times ofcu t
3 servers(A,B,C)is given as below. ^ omers in a queueing system with
Interarrival time(minutes) 2 3 4 5 g
Prob. .1 .1 .5 2 .1

9-78
 Assume that the distribution of service times for the 3 servers are as given below;
A B C
Time Prob. Time Prob. Time Prob.
(minutes) (minutes) (minutes)
3 .2 5 .1 8 .3
8 .5 6 .2 10 .5
9 .3 7 .5 15 .2
10 .2

When more than one server is idle, the alphabetical order determines the server who will
serve. Simulate the system for ten arrivals. Calculate the average busy time for each
server, the average waiting time, the average number in the system.
IX.5 An airline company is opening reservation service. A passenger making reservation will
be able to telephone the office and place his request. The company wishes to decide how
many telephone lines to instal.For this it wishes to compare the level ofservice for several
alternatives, i.e. the number of lines. Simulate the experience of 20 calls when there are
(a)just one line(b)just two lines, to find

(i) Average time between calls;

(ii) The average service time of those where calls are answered;
(iii) The number of calls not answered;
(iv)The fraction of time when all the lines are busy;
(v) The average-length of time when all the lines are busy

Operating characteristics:

Initial customers; All lines are free at start.

Interarrival time 1 2 3 4 5

Prob. 3/8 1/4 1/16 1/4 1/16

Service Time

Time 1 2 3
Prob. 1/4 1/2 1/4
IX.6 An automobile production line turns out about 100 cars a day, but deviations occur due
to many causes. The production in a day is more accurately described by the probability
distribution given below. Finished cars are transported across the bay, at the end of each
day, by a ferry. Ifthe ferry has space for only 101 cars, what will be the average number
of cars waiting to be shipped in April and what will be the average number of empty
spaces on the boat during April, if the process starts on 1st April?
9-79
 Day's production 95 96 97 98 99 100
Probab,!.^ 0.03 0.05 0.07 0.10 0.|5 0.20
Daysproducdon ,o, ,02 ,^3
ProbabiUty q.B q 10 on.
TY- ^ 0.05 0.03
An experiment contains four identici v.
The problem is that the tubes fa'l f * tubes that have been the cause of trouble.
shutdown while making
they fail. However, a replace
a proposal hasT"^^ ^'"^^uently, thereby isforcing
current practice the equipment
to replace to be
tubes only when
of them fails to reduce the freoup replace all four tubes whenever any one
each tube, the operating time untiiTT'^'^ which the equipment must be shut down. For
tohours. Theallequipment
replace must
four tubes. Thebetotal
shut has a uniformreplace
distribution fromor for
one tube 1000twotohours
2000
replacing tubes is Rs. 200 per hour^T shutting down the equipment and
W "-"->00 for each new .be.
for 5000 hours of simulated time^"'^^^ operation of the two alternative polici®®
(b) a comparison of the two It
^•8 Simulate a single ser coatives on the cost basis, using data from part(a)*
mes c'^ponentially distributpH^ ^°tne-first served,interarrival and service
SimTr^f
S^niulate for 5 units^ofreaximum
time all '/j and 9^ and with unlimited supply of
fx.9 Let us suppose that the customer arrives at zero time.
5 minute^lDu^^'^^^^ tninutes and during which a customer is
at the shon " ""^^'^^'^^'tioch-hoii distributed with a standard deviation o
w^tinfZr
' ^^cam w^h "midday to 1:45P.M..customers arrive
^ CarT 12 per hour. There are 3 chairs for
probabilities ''^'"l^rs are bi the shop in all), further arrives
have waited 15 '^aves with are 0, 1, 2 waiting customers,
without waitiog further.^"d are notabn fo receive
^^hingservice
are 0.1,have
0.3anandeven
0.5.chance
Customers ,wb
ofleaving
Prom the odp *

lUo ^d from 1.45 P.M. to closing

lunch from a seco w ^
ZcI'Vc system
° ISOnpresented
the a^e r
• u »l ^O toleave
'"nny customers 12. THe thirdreceiving
without man takes
the following diagram.

9-80
 Customers

(Arrival rate)

Returns

Arrives outside
shop

Looking
inside

Decides to
Decides to enter or Leaves no return^
Enters return later or
leave
not

Leaves

Decides to continue
No open barber waiting or to leave
Continues
Open Waiting - waiting
barber 'in® —

Receives service
(Service rate)

Departs

IX.10 The mixed congruenrial method for generating

(called random
the seed) numbers:
is chosen It is a method
from a source (may bebya
whichofanrandom
table initial numbers)
random na (n+i)th random number Xn+l is calculated from the nth
the recurrence relation.
random number Xn by a®'
x„„={ax„-^c)(modn»)
.nna.^posWveWege.^"®''^'" and c<m.
where a, c and m P

9-81
 Use the above method to generate
(i) A sequence of 10 one digii nuidom numbers such that
Xn+1 =(Xn + 3) (modulo 10)and Xq = 2.
(n) A sequence of 8 random numbers between 0 and 7 such that
Xn+i=(5xn+l) (modulo 8) andxo = 4.
(iii) A sequence of ftve two-digit random numbers such that
XntI =(6lx„ + 27) (modulo 100) and x„ = 40.
(iv) A sequence offive two-digit random numbers such that
Xn+1 =(21xn + 53) (modulo ICQ) andxo = 33.
(V) A sequence of thtee 3-digit random numbers such that
xn+l =(301x„ -t- 503) (modulo 1000) and Xo = 700.
Note:

(I) ■n.emuwpllca.lvecouguuenfia, methm, is aspecial caseof IX.IO wherec - 0

Llod™n^:isra:rd:•:^^^^^^^^
to start calculating the sequence.
- the mixedseedcongruent ial
is required

IX. 11 Let U, and Uj be independent and uniformly distributed,

random variables on (0, 1) and
Z=[-21n(Ui)]'^Cos(27cU2),
W = [-21n (Ui)]'^Sin(27tU2).
Prove that Z and W are independent N(0, 1) variates
Hint: Ui = e~

Then Cos (271U2) = -2——

Sin ((27tU2) = JL-

9-82
 1 w
U2 = I/(2Jt) tan —, where we take

0<tan"'y<"/2 ifW>0, Z>0,

V2 < tan"' ^ if W > 0, Z < 0,

jt < tan'^ < S'Ji if W < 0, Z < 0,

3% < tan"' Y if W < 0, Z> 0.

DC.12 Using the composition method give an algorithm for generating random variates of the
random variable whose distribution function is

F(x)=f(1 + ^
3-2a: 1<;c<®®
= i-r
= 0, elsewhere.

Hint: F(x)nan be written|

as: F(x)= Fi(x) F2(x),
jc, 0<ar< 1
lyX> 1
|o, elsewhere 0,X <0.

^Ppose . . Qovenient to generate independent random variables with distribution

p2(x). Explain how to generate random variables whose distribution
function F(x)is given by
(i) f(,,= F,(x)F2(x) (ii)F(x)= l-iI-Fl(x)|(l-F2(x)},
nd X2 denote the random variables with distribution functions Fi(x)
Hint; Let Ai
and F2(x) respectively-
.s V
(i) F(x)istnecai
cdf of max.(Xi,X2)
X- »i,r.rdfofmin.(Xi,X2)-
(ii) F(x)isthecciro

9-83
 IX.14 Consider the two - dimensional random variable(V i, V2), where V1, V2 are independent
random variables each uniformly distributed on (-1, 1). Prove that P( Vy + V5 < 1)=^.
Amongst the n independent pairs of observations on (Vi, V2). let N be the number of
pairss„ch.ha.V? + v5<,.Show,I,a,£(^,= HTh„s;^ca„be used,ocnmate^.Taking
n = 10,es„ma,e„.Take ID more observa,ions and cs,ima,e„using ihese 20observaiions.

normal variates in a particular pair independent? Justify. varia,es. Are ,he ,wo.siandard

IX.16 A fast food-store sells two types of foQt c •. .. •

type and 12 units ofthe second type offa^L xh ^ """I
/fast foods have the following probabilitv
fast
\foods
ri. have
U the following probability distributions:
type Ot fast food. The d 'I''!.
type of fast-food
Units demanded 5 (, -j g
Probability 0.2 0.3 o.3 02

type of fa.st-fnnrl
Units demanded 6 s ir,
° 10
Probability 0.2 0.3 0.4 0121

The production cost per unit and selling price per unit in Rupees are as follows:
sellincr .X.:

^il^ttypeof^stfopd c .
Second type of fact fnnd
Production cost per unit: g
4
Selling proce per unit: 12
Units left unsold after meeting the dailydemande^ — '
cost is incurred. Find the simulated net profit of the stOT ^ production
estimate of the expected value of the store's daily net^ V ^Iso^
the five days.For simulating the daily demands for five d'^^ performance on
in the order given. ^^^''^^^^^^^el.lowing random numbers,
For type I food: .80, .54, .31, .82 77
For type II food: .45, .77, .74, .92, 43

9-84
IX.17 In a certain city, the number X of accidents in a day has Poisson distribution with mean
3 Ambulances'are sent from the hospital to the accident site. The distance Y (in
kilometers) of accident site from the hospital is uniformly distributed on the interval
[5 95] Ambulances are not in short supply. Simulate the modelfor two days and calculate
thrtotal distance travelled by all the ambulances(to and fro) on these two days. Use the
following random numbers for simulating.
ForX: .12, .31, -22, .58, .32, .09, .92
ForY: .20, .23, .86, .35.
IX 18 Simulate a sm^Ie
° queue-ftwo-server
1 customerqueueiug system
per minute, and in
thewhich arrivals
service are inminutes)
times (tn a Poisson
for
rt^os!r;e?s«uuiformlydistributedontheintervals(1.5,2^5,and(2,4)tespective^^
tne two servci arriving customer is assigned to server 1, however,an
When both servers a ry^^en there are 5 customers in the system,an arriving
incomplete service is n following random numbers
customer is not allowed to enter sy
for simulating lAT(inter arrival time).
oca 520 135,863,467,354,876,809,590.
100,973,253,376,52U,
umbers for simulating service times;692,346,140,620,117,
Use the following randonn n decimal places). Simulate for 10 minutes.
452, 041, 595 (Round off ^
Assume that the first customer arrives Estimate the following:

(i, Themeannumberofcustomersinthesystemlqueue).
mean waiting ti-ofa customer in the system(queue).
tem has no, one,two,three,four and five customers
(iii) Proportion of time
in the system.

(iv) proportion of customers lost.

• nftime server 1(2) is idle.
(V) proportion of times

Hs * * * * *

9-85
 CHAPTER 10
DECISION ANALYSIS

10.1 Introduction

Decision analysis is a set of concepts and systematic procedures to improve the decision
making process particularly in problems involving uncertainty.In some sense in every one of the
earlier chapters we were concerned with developing techniques which will enable us to arrive at
certain optimal deciision.In Chapter2and Chapter 3 when we discussed classical decision theory,
we described a method of accepting or rejecting a statistical hypothesis. These are invariably on
certain assumptions regarding probability distributions of random variables in which we are
interested.In this Chapter,even after accepting a particular probability distribution for the random
variables of interest, we analyse the logical course of action the decision maker has to follow in
decision problems.

As a first step in decision analysis,"we must distinguish between situations in which there
is a decision to be made and situations in which we are simply worried about a bad outcome"
The concept of Decision and Decision Analysis can be best described by quoting R.H. Howard
(1966).

"A decision is an irrevocable allocation of resources, irrevocable in the sense that it is

impossible or extremely costly to change back to the situation that existed before making the
decision. Thus for our purposes a decision is not a mental commitment to follow a course of
action but rather the actual pursuit ofthat course of action. This definition often serves to identify
the real decision maker within a loosely structured organization. Finding the exact nature of the
decision to be made, however, and who will make it, remains one of the fundamental problems
of the decision analyst.

Having defined a decision, let us clarify the concept by drawing a necessary distinction
between a decision and a good outcome. A good decision is a logical decision - one based on the
uncertainties, values, and preferences of the decision maker. A good outcome is one that is
profitable or otherwise highly valued.In short,a good outcome is one that we wish would happen.
Hopefully, by making good decisions in all the situations that face us we shall ensure as high a
percentage as possible of good outcomes. We may be disappointed to find that a good decision
has produced a bad outcome or dismayed to learn that someone who has made what we consider
to be a bad decision has enjoyed a good outcome. Yet, pending the invention of the true
clairvoyant, we find no better alternative in the pursuit of good outcomes than to make good
decisions.
 Decision analysis is a logical procedure for the balancing of the factors that influence a
decision. The procedure incorporates uncertainties, values, and preferences in a basic structure
that models the decision. Typically, it includes technical, marketing, competitive, and environ
mental factors. The essence of the procedure is the construction of a structural model of the
decision in a form suitable for computation and manipulation; the realization of this model is
often a set of computer programs."

Let us try to introduce certain basic terminologies through the following example.
Example 10 1: Dosa and Coffee? or Just Coffee? You have a test at 9.00 A.M. You go to the
Cafeteria at 8.30 A.M.You have to decide either to order Dosa and Coffee or to orderjust Coffee.
Let us analyse the above problem: Assume
(i) Ordering Dosa and Coffee might cause you to be late for the test or it might not
(11) Dosa may be too oily and cause you indigestion or it might not;
(iii) Ordering just coffee will not cause you to be late and wiU not cause indigestion.
S = States of nature: The following are possible events which we shall call to be 'States of
nature for the decision problem(sometimes called state variables)
01 : Dosa is not oily and served quickly so that you are not late.
02: Dosa is oily and served quickly so that you are not late.
03: Dosa is not oily but served too slowly that you are late.
04: Dosa is oily and served too slowly that you are late.
S = {01, 02,03,04}.

A = Available acts

ai: order Dosa and Coffee

a2: order just Coffee.

A={ai,a2}.

lie following
C = The consequences of the action-The fnii,-,, • are the consequences:
ci = On time, satisfied and well
C2 = On time, satisfied and ill.

10-2
 C3 = Late, satisfied and well.

C4 = Late, satisfied and ill.

C5 = On time and not satisfied.

c= {ci,C2, C3, C4, C5}.

Act ai Act 32

01 ■ C|

02- ■ C2

03- C3

04- 04

05

Question: Which act one should choose?

Answer : Choice of act depends upon your relative preferences for the various possible
consequences.

Assume that preferences are ordered as follows:

01 > C5 > C2 > C3 > C4

(> means more preferred than)

Now if we know that 0i is true we must choose action ai and if we know that 02,03, or
04 is true, we must choose action a2.

This situation is called decision under certainty. But the real difficulty would be that we
do not know whether 0i is true or not.

Experiment: Assume in the above example that you decided to first ask the waiter whether the
Dosa would be oily or whether it will be in time etc. We call such a questioning an experiment
and denote it by e.

As an a war to your question the waiter can make any one of a number of possible
z wm denote(he set of all outcomes z of the experiment.
T. • , arucn will depend upon e and z. A(e,z)will denote the set of available
■■■[ IS now clear our dcn""
acts given by e and z.

10-3
 reveal it. So there may brmore^c^nTeque^^^^^
waiter etc. ecause of e. You may pick up a quarrel with the
10.2 A PROCEDURE FOR ANALYSING A GENERAL DECISION PROBLEM
A general decision problem consists of;
S = {0} a set of possible states of nature.
E = {e} set of available experiments.
Z= {z} set ofall possible outcomes of all pvn •
^^Penments(z depends on e)
A - {a} set of all possible outcomes of all
^ ,, "'^'•"^^P^'-'ments(a depends one and z)
C={c} set of all possible consequences.
The problem will be to choose logicaliv ti, u
probability ofthe occurrence ofthe most preferreH improve the
be measured by what is called a utUity function preferences wUl
u is generally evaluated taking into account tK
'""sequences because ofour acrions. The declTontT ^''P^rimemation and the
of 0- •"'■"OO Ptoblem would be to maximize the expected
WhenE, Z, A and S are all finite (we *II
the flow of experimental outcomes, aternate^chZ's'^n'!;^';' '"® '''^ "se in this notes),
tn what .s called as Decfaion true see figure 10.1 ^apresented graphically
In these problems either we are given or we mav h.v .
Pfeilzi), Pfezlzi), .... etc. When the probabilities are kn ^ P*®'). Pfflz) etc. and
decision under rbk, when they are not given, the Pproblemr"n
oblem ,s calleda decision under uncertainty.
« called

10-4
 Decision Tree

c(Cj,Zj,aj,ei) u[c(epZj,aj ^G^)]

0
1
c(er,Zi,aj,ek)=» u[c(er/ZUaj,Qk3]
U\

c(er,Zi,aj,eK)=^ u[c(er,Zj,aj,eK)]

L J L J L J L J L
Experiments: outcomes actions ajG A, States ©|^e0. Consequences Utilities u:
ereE,r=0,V»R Zj€Z, j= J k = 1,2,...,K cEC
i = l,2,...,I

Figure 10.1
 A simple lottery and utility function: Given an outcome zj of a chosen experiment er and having
chosen an by the decision-maker, nature provides a lottery of consequences ci,C2,...,CK
with probabilities pi,p2,...,pK say. See the last part of Figure 10.1 corresponding to action aj
(reproduced) in Figure 10.2, which is called a simple lottery. We denote if by Lj

Figure 10.2
Pl,P2, PK are the probabilities that ci co rv «,;ii u .
that the experimenter has chosen thee experiment eer, which
wh" h"hhas
^ resulted
^ ® decision aj is taken,
in the outcome zi. given
pi+P2 + ...+ pk= 1,

where pk = P(0A: I er, Zi, aj), the probability of the state of n.r a r .•
ck) given the above - mentioned conditions - ^ in the consequence
For a given outcome zj, resulting from .^1,^0
there are severalsimple lotteries Lj, depending unon th decision - maker,
j= 1, 2,..., J. For choosing an opt^Cron
has to quantify the consequences ci,c2,...,ck on the h itions, the decision - maker
if and only if ci is prefeired by the decision - ^k 1' °
quantification ofci,denoted by u(ci),called the utilitvnf perferences for cj's. This
in Figure 10.2) is defined as: J" "^ihty of lottery Lj(depicted
K

/=l

10-6
 The decision - maker, then, chooses the action ai, as optimum action, if u(Li) > u(Lj),
j=I at that stage of the decision process.

It can be established by accepting certain natural axioms(we are not stating them.Interested
reader can refer. Mathematical Statistics by T.S. Ferguson [1967] that there exists a utility
function u: C-^ r' with the following properties:

(i) u(c)> u(c') if and only if c is preferred to c'; c,c'e C.

(ii) u(c)= u(c') if and only if the decision-maker is indifferent to c and c'.
K K

(iii) ^ u(cj)pj> ^ u(cj)p/ if and only if the lottery

j=\ y=i

L'=(p'l, p2,... p'k) is preferred to the lottery L'=(pi', pi',..., pt')-

Hence maximizing utility always means maximizing the value of X u (cj) pj (i.e. expected
value of u(C)).

The Decision problem viewed as a Game:The problem is usually a Two person game'between
the decision maker and Nature. The game has four moves.

Move 1: The decision maker selects e 8 E

Move 2: The nature selects z 8Z according to a probability distribution.

Move 3: The decision maker selects a 8 A.

Move 4: Nature selects 08S according to a probability distribution.

The play is then completed and the decision maker gets the "pay off" = u(e,z,a,0).
The decision maker has to develop a strategy so that he gets a maximum pay off and this
is described in 10-3.

Remark 10.1:Sometimes,instead of a utility function, a loss function may be used.In this case,
the
canstrate shouldinbe«n«s
bTexfresi^ to minimize the loss
of monetary units.function.Sometimes,the utility ofeach consequence

10-7
10J SOLVING THE DECISION PROBLEM(using Bayes' criterion)
Step 1:

Assume tea,the d^ision maker chooses an experiment e, observes z e Z and chooses an

act a e A. At this point the decision tree looks as in Figure 10 3

POkIz.c)
u(e,z,Q,0K)

Figure 10.3
The decision maker's utility
K

u(e,z, a,*)= Y, u(e,z,a,%)P(9,.

| e)
y=i

u(e, z, a, *)should now be calculated for each (e z a^ anH m, i.

now replaced by the number u(e, z, a, *) which eYnnaJ '1 f 9-branches are
being at that point in the ttee. Now the reluiuftT
^iree as given Figure 10.4.

1 "(e.z.Q,*)

Figure IO.4.

10-8
Step 2:

Suppose that the decision maker has completed step 1 and now wishes to choose an optimal
act a.

If a° is such an act then

u(e, z, a°, *)= max (u(e, z, a, *): a e A(e,z))

Let us denote this by u(e,z, *)and calculate this for each e, z.

The tree is now reduced to that given in Figure 10.5.

Figure 10.5.

Step 3:

Looking at the z branches of Figure 10.5 (see Figure 10.6), we can get the utility for the
choice of e,

u(e, *,°, *)= X

i=\
u(e,Zi,0^*)

uCe^Zj^O^*)

uCe.Zj^O^*)
Figure 10.6

10-9
Step 4:

Compute u(e, *, *)for every e in E.The tree now reduces to that in Figure 10.7.

u(eo. *.0.*)

u(er,*.0.*)

Ri *.0,*)

Figure 10.7.
Step 5:

Example 10.2:(due to F.S. Hillier and G J Lieh

oil company has some land that is purported to Consider the following situation. An
four categories by the total number of barrel company classifies such land into
a 500,000 barrel well, a 200,000-barrel'well^ expected to be obtained from the well, i.e-
is faced
lease thewith
landdeciding
at a rate whether to drill
depending uponfortheoilo'1° well,
'onseorthea land,
dry well.
or toThe company
conditionally
and the cost of drilling an oil producing well ^ of drilling a dry well is Rs.75,000,
barrel of oil is Rs. 1.50 (after deducting all '00,0(X). For producing wells the profit per
agreement, the company receives Rs 45 ^'^^^"^don costs). Under the unconditional lease
arrangement the company receives 50 ' Innd, whereas under the conditional lease
yields a 200,000 - or 500,000-baiTel strike;
ct otherwise itbarrel of oilnothing.
receives extracted, provided the land

10-10
 Further .he Compauy had some experience with wells In similar geographical are^^
concluded .ha,abou. 10 percent of.he suikes are 500,000 barrel wells; 15 percent are 200,000
barrel wells,25 percent are 50,000 barrel wells and 50 per cent are dry wells.
Assume1 further that it is possible to obtain seismic soundings at a cost of Rs. 12,000.-ttts
A f f-»iir nn«s«;ible seismic classifications, denoted by zi, Z2, Z3, Z4. The
information leads to four poss ^ geological structure to the site(a very
classification zi denotes t a ei desired)- the classification Z2 denotes that there is

LTst;:—rcL
(100 such examinations) the data presente in

Table 10.1

02:200,000 03:50,000 04:

01:500,000 barrel well dry well
Seismic baiTel well
classification barrel well

vaiuca ... parenthesis in eac^h ccell can be interpreted as conditional probabilities,

The values in
given the
interpreted as the
state of nature, i.e., if th® is classified as Z2(Probably a closed structure to
conditional probability that t e s interpreted as the conditional probability that the
the site)- if the well is dry, t en 48 _ structure to the site); and so on. We describe the
.. ic/'inssifiedaszsi.anon-t.i"!'
seismic reading is ciassi
decision procedure.
Solution:
E =(eo,ei) where
, „ eo-no
» - no seismic soundings
m = seismic soundings.

10-11
 Z(ei) = {zi,Z2,Z3,24}, where

zi = definitely closed zeological structure

Z2 = Probably a closed structure
Z3 = a non closed structure

Z4 = no structure.

A= {ai, a2, a3}, where

ai = drill

a2= unconditionally lease

a3 = conditionally lease.
S = {01,02,03,04}, where

01 = 500,000 barrel well

02= 200,000 barrel well
03 = 50,000 barrel well
04 = dry well.
P(ei)=.10

P(e2)= .15

P(03)= .25

P(04)= .50.

For eo

Payoff= Net profit:

Value u(eo, z,ai, 0j)= Profit-drilling cost-

experiment cost

650000
200,000 .75000
25000
45000
45000
45000
250000
I00000
 P(0l lz)= P(0i)= .IO

P(02lz)= P(02)= .15

P(03 I z)= P(03)= .25

P(04 I z)= P(04)=.50

u(eo, z, ai, *)

= (.10)(650000)+(.15)(200000)- (.25)(25000)-(.50)(75000)= 51250.

u(eo, z, a2, *)= 45000

u(eo, z, a3, *)=(.10)250000+(.15)(100000)

= 40,000.

u(eo, z, *)= 51250.

Since eo yields only one outcome z we have
u(e^z.°,*)= 51250.

For ei

Payoff= Net Profit:

Q ^ _ Prnfit-drilling cost-experiment cost
Values of u(ei, z, au 0y)= Protit aruung

03 04

188,000 -37000 -87000

638000
33000 33000 33000
33000
88000 -12000 -12000
238000

The conditional probabilities

_pr7fief)P(ei)_
Values ofP(0/' = X/ Pizj I e,)P(0.)

10-13
 0
9i 02
Z \ 0.3

zi 0.166 0.240 0.327

r 0.267
1
Z2 0.129 0.108 0.241 0.522
Z3 0.039 0.087 0.146 0.728
Z4 0
0.107 0.238 0.655

u(ei,zi,ai, *)

=(0.166)(638000) (0.240) 188000 -(.327)(37000)-(.217)(87000)

= 115700

u(ei,zi,a2, *)= 33000

u(ei,zi,a3, *)
=(0.166)(238000)+(0.240)(88000)
= 53500

u(ei,zi,°, *)= 115700

u(ei,Z2, *)= 48275

u(ei,Z3,°,*)= 33000
u(ei,z4, *)= 33000
4

P(Z1)= ^ p(2i I 0^.)

7=1

= <12H110)+(-'-)(.,5,.,(U)(25).^i,(.50)
= 0.351

P(z2)=ZP(z2 I Qj) p(e^.)

= 0.259

10-14
 P(z3)= 2:P(z3iey)P(0y)

= 0.215

P(z4)= IP(z4iey)P(e7)= 0.175

u(ei,*, °,*)= 2:u(ei,zi, *)P(zi lei)

= (115700)(0.351)+(48275)(0.259)+(33000)(0.215)+(33000)(0.175)
= 65984

u(ei, *, *)= 65984 > 51250= u(eo, *,°,*)

Therefore ei should be chosen.

Note: Refer the decision tree given in Figure 10.8

ADisc^sionofthepr^edurefortheaboveExample:
, obtained
(i) The result w • .H hv
by US is that the optimal profit detailed
will be Rs.65984.
study EvenWe
of this. though
havewe have
simply
used the word utility, we aw situations where a
assumed the utility value to Rs. 45000 rather than an expected value of Rs.
person
127700.may be circumstances,
In this willing to ta e awe nave I coecify
f a utility scale and this is what we were
referring to m 10.2. optimal path to follow.This procedure is called the
(ii) The procedure at evety ^^^jon at each stage is called the Bayes action.
Bayes' procedure an decides to conduct an experiment it will be worth
(iii) Value of experimentation: could one spend on experimentation. But if an experiment
while to measure how muc calculate how much can be gained from the perfect
gives perfect information e^^ jj,is gain, the experiment should not
information, if the example(Example 10.2),the seismic information will not
be conducted.
give perfect In the oil a ^ ^ ^ gives perfect information then the action is
with net profit Rs. 650000; the action is drill if 02 is the
'drill' if 01 t® j^s 200000; the action is unconditional lease if03 is the state
state of nature with P®"^ action is unconditional Jease if 84 is the state of

200000(.15)+ 45000(.25)+ 45000(.50)

,650000(1®
,Rs.128'""-
10-15
 991-=0*i*OM

000 QOt

0000^^ QOOS-b

000SL-

OPP y,^«.-

Figure 10.8

10-16
 The expected net profit when no experiment is conducted

= u(eo, *, *)= Rs. 51250.

The net gain if perfect information is available

= 128750-51250

= Rs. 77500.

One can easily see the experiment may be conducted provided the cost is not more than
Rs. 77500.(In the example the cost was Rs. 12000). This cost is called the value of perfect
information.

Example 10.3: (Due to G.E. Whitehouse [1976]). A large manufacturing firm produces
components in high volume. Each component must be inspected by subjecting it to a series of
three tests Ti, Ti, T3. If the component passes all three tests, it is shipped to the customer. As
soon as a component fails a test it is sent back to be remade. The component must then be
submitted again to all the three tests. The cost per component to conduct test T1 is Rs. 2, test T2
is Rs 2, test T3 is Rs. 3. In order to estimate the relative frequencies with which a component
passes and fails each test, 1000 randomly chosen components were subjected to all the three tests
and the results are shown below:

Pass test Ti Fail t(est Ti

Pass test T2 Fail test T2 Pass test T2 Fail test T2

580 10 10 110
Pass test T3
20 80 40 150
Fail testTs

Determine the optimal course of conducting tests.

This example is another type of problem in Decision analysis.Here the payoffs are in terms
of costs (i.e. a loss function) and our aim is to sequence the tests minimizing the cost of testing,
i.e. an optimal sequence among (T1T2T3),(T1T3T2),(T2T1T3),(T2T3T1),(T3T1T2).(T3T2T1)
has to chosen. At the first stage of decision we have to choose among Ti,T2, T3. Depending on
the results of the test, we have to choose among the remaining two tests. The conditional
probabilities for the results are given below and the decision tree is given in Figure 10.9.
580-t-20 12
P(Pass Ti I Passed T2)= ^gQ + 20 -i-10 -1- 40 ~ 13

10-17
 P(Pass Ti I Passed T3) 580+ IQ ^90 <^9
580+ 10+ 10+

P(Pass T21 Passed Ti) + 20

580 + 10 + 20 + 80 ~^6^^
P(Pass T2 I Passed T3)=—i§0+ip <590

■ P(Pass T3 I Passed Ti)=—J80jlI0____ 590

580+10+ 20+80"^=^
P(Pass T31 Passed T2)= -^JSO^o cqh cr^

P(PassingTi)= 1^+ 10+ 20 4- «r)

iWO =-69
P(Passing T2)= 5§2±20jjj£+40
ioOO^"^ =-65
P(Passing T3)= ^^^±i0i]04^1Q
1®~" =.71.
From the decision Tree ie is
Comments for Figure 10.9 ^P^'mal testing sequence is T2,Ti & T3-
Decisions are to be made at II 11 points.
•
Chance events occur at Onpoints
•
The number wiehin [ 1 ^ /"x
* Iris palh is nol opa^,, ^ "P"™'"pected coses at that stage-
Note: The results of the last,es, in,n
the tests. '^^"oneing decision^ ThTnnombers '■"heatefitL
""^k at the end gurecosts
sinceof condor"

10-18
 PROBLEM SET X
X.l
a cosmme drcs^'mlufecturerTOe^
poor risk,average risk and good risk Th ■ ' iyp'cal companies into the categories,
companies are poor risks,50 percent 1^™""indicates that 30 percent ofsimilar
credit is extended, the expected Drofi f 8®"'
Rs.l0,000,a„dforg„odrS27l?:''7."^^^
will turn to another mill. The mill hi
'5-<W). f°-verage risks
the dress manufacturers
of Rs.2,000. Their experience with tL creH^r'"'^ organization for a fee
I -rating company is given by
Credit company
evaluation Actual credit rating

Average

(a) What is the Bayes' action o

tbl """much
(b) H a money can "'""""®"'"'=<'i"'ating
be paid for "n.f • company is not used?
perfect information" ">
(c) What is the optimal expected loss if th .d - .
pay to utilize these data? ^ credit rating company data is used? Does it
(d) What is the Bayes' action if the h-
manufacturer to be a poor risk? company determines the dress
X.2. A manufacturer produces items having
are formed into lots of 150. Past exoe ^ P of being defective. These items
furthermore, in 80 percent of the lots '""^icates that p is either 0.05 or 0.25, and,
lots p equals 0.25). These items are the^ ^ in 20 percent of the
IS determined before the final assemblv T assembly,and ultimately their quality
screen each item in a lot at a cost of R i n ^be manufacturer can initially
use the items directly without screenin '"^P^acing defective items found,or
is ultimately Rs. 100 per defective it/ -rl ^^^on is chosen,the cost ofrework
® costs in Rupees per lot are given by
P = Oj05
Screen 1,500
Do not screen 750

10-20
 Because screening requires scheduling ofinspectors and equipment,the decision to screen
or not to screen must be made 2 days before the potential screening takes place. However,
one item can be taken from the lot and sent to a laboratory, and its quality (defective or
non-defective) can be reported before the screen, no-screen decision must be made. The
cost of this initial inspection is Rs. 125.

(e) What is the Bayes' action without looking at the single item?
(f) How much money can be paid for "perfect information" ?
(g) What is the optimal expected cost if the quality of an item is determined before the
screen, no-screen decision is made?

(h) What is the Bayes' action if the quality of an item is determined and found to be
defective?

X Tmaaine that vou have Rs. 10,000 to invest and there are two investment opportunities A
' ■ andB ForinvestmentAeitheryouloseRs.4000withprobability0.4oryougainRs.5,000
with nrobability 0.6. For investment B either you do not gain or lose with probability 0.9
or you gain Rs. Rs. 10,000 with probability 0.1. You are allowed to make at most one
investment each year of Rs. 10,000.
(a) Find the investment policy which maximizes expected amount of money with you
after two years.

(b) Find the possible amonnts of ntoney after two years and their probabilities if this
optimal policy is adopted.
(c) Find the investment policy which maximizes expected amount of money with you
after three years.

F" d the possible amounts of money after three years and their probabilities if this
optimal policy
X.4. A firm has /^ 'He whether it should
profit introduce
wiU be Rs.the40sales ofits
lakhs, product
if the salesinare
a new location.
'high' whUe
It is known tha ^ experience shows
there will be probabilities of'High' and 'low' sales are respectively .4 and
that in similar location at the cost of Rs.2lakhs to
6. However,a mar ^ ^ necessarily give a perfect
predict the table gives the conditional probabilities of the predictions
prediction. The ^ 'inconclusive' given the actual state of sales)
('High' sales, low

10-21
 Survey predictions Actual level of sales
High sales(H) I.OW sales(L)
High sales(S) 0.4
0.1
Inconclusive(I) 0.4
0.5
Low sales(F)
0.2
0.4
Total
1.0

(a) Should the survey be taken?

(c) What is the value ofthe Information which i

•s obtained from survey?
5

10-22
q'iA'BL'E
 Table 12
Table of random digits

Row No.

00000 10097 32533 76520 13586 34673 54876 80959 09117 39292 74945
00001 37542 04805 64894 74296 24805 24037 20636 10402 00822 91665
00002 08422 68953 19645 09303 23209 02560 15953 34764 35080 33606
00003 99019 02529 09376 70715 38311 31165 88676 74397 04436 27659
00004 12807 99970 80157 36147 64032 36653 98951 16877 12171 76833

00005 66065 74717 34072 76850 36697 36170 65813 39885 11199 29170
00006 31060 10805 45571 82406 35303 42614 86799 07439 23403 09732
00007 85269 77602 02051 65692 68665 74818 73053 85247 18623 88579 1
00008 63573 32135 05325 47048 90553 57548 28468 28709,
W*" J
83491 25624
00009 73796 45753 03529 64778 35808 34282 60935 20344 35273 88435 f

00010 98520 17767 14905 68607 22109 40558 60970 93433 50500 73998
00011 11805 05431 39808 27732 50725 68248 29405 24201 52775 67851
00012 83452 99634 06288 98033
V.
13746 70078 18475 40610 68711 77817
00013 88685 40200 86507 58401 36766 67951 90364 76493 29609 11062
00014 99594 67348 87517 64969 91826 08928 93785 61368 23478 34113

00015 65481 17674 17468 50950 56047 76974 73039 57186 40218 16544
00016 80124 35635 17727 08015 45318 22374 211115 78253 14385 53763
00017 74350 99817 77402 77214 43236 00210 45521 64237 96286 02655
00018 69916 26803 66252 29148 36936 87^ 76621 13990 94400 56418
00019 09893 20505 142^ 68514 46427 56788 95297 78822 54382
14598

A-58
 Table 12 continued.
Row No.

68479 27686 46162 83554 94750 89923 37089 20048

00020 91499 14523

26940 36858 70297 34135 53140 33340 42050 82341

00021 80336 94598

85157 47954 32979 26575 57600 40881 22222 06413

00022 44104 81949

11100 02040 12860 74697 96644 89439 28707 25815

00023 12550 73742

16505 34484 40219 52563 43651 77082 07207 31790

00024 63606 49329

61196 90446 26457 47774 51924 33729 65394 59593 42582 60527
00025

95270 79953 59367 83848 82396 10118 33211 59466

00026 15474 45266

54387 54622 44431 91190 42592 92927 45973

00027 94557 28573 67897

97344 08721 16868 48767 03071 12059 25701 46670

00028 42481 16213

89837 68935 91416 26252 29663 05522 82562

00029 23523 78317 73208

33824 45862 51025 61962 79335 65337 12472

00030 04493 52494 75246

88159 96119 63896 54692 82391 23287 29529

00031 00549 97654 64051

26898 09354 33351 35462 77974 50024 90103 39333

00032 35963 15307

59808 08391 4^427 26842 83609 49700 13021 24892 78565 20106
00033

00034 46058 85236 01390 92286 77281 44077 93910 83647 70617 42941

00597 87379 25241 05567 07007 86743 17157 85394 11838

00035 32179

00036 69234 61406 20117 45204 15956 600007 18743 92423 97118 96338

01758 75379 40419 21585 66674 36806 84962 85207

00037 19565 41430

07246 43667 94543 59047 90033 20826 69541

00038 45155 14938 19476

36168 10851 34888 81553 01540 35456 05014 51176

00039 94864 31994

24826 45240 28404 44999 08896 39094 73407 35441 31880

00040 98086
16232 41941 50949 89435 48581 88695 41994 37548 73043
00041 33185

00406 96382 70774 20151 23387 25016 25298 94624 61171

00042 80951

49140 71961 28296 69861 02591 74852 20539 00387 59579

00043 79752

32537 98145 06571 31010 24674 05455 61427 77938 91936

00044 18633

A-59
 Row No. Table 12 continued.
00045 74029 43902 77557 32270 97790 171 19 52527 58021 80814 51748
00046 54178 45611 80993 37143 05335 12969 56127 19255 36040 90324
00047 11664 49883 52079 84827 59381 71539 09973 33440 8846i 23356
00048 48324 77928 31249 64710 02295 36870 32307 57546 15020 09994
00049 69074 94138 87637 91976 35584 04401 10518 21615 01848 76938

00050 09188 20097 32825 39527 04220 86304 83389 87374 64278 58044
00051 90045 85497 51981 50654 94938 81997 91870 76150 68476 64659
00052 73189 50207 47677
26269 62290 64464 27124 67018 41361 82760
00053 75768 76490 20971
87749 90429 12272 95375 05871 93823 43178
00054 54016 44056 66281 31003 00682 27398 20714 53295 07706 17813

00055 08358 69910 78542 42785 13661 58873 04618 97553 31223 03420
00056 28306 03264 81333 10591 40510 07893 32604 60475 94119 01840
00057 53840 86233 81594
13628 51215 30290 28466 68795 77762 20791
00058 91757 53741 61613
62269 50263 90212 55781 76514 83483 47055
00059 89415 92694 00397 58391 12607 17646 48949 72306 94541 37408
00060 77513 03820 86864 29901 68414 82774 51908 13980 72893 55507
00061 19502 37174 69979
20288 55210 29773 74287 75251 65344 67415
00062 21818 59313 93278
81757 05686 73156 070^82. 85046 31853 38452
00063 51474 66499 68107 23621 94049 91345 42836 09191 08007 45449
OOOW 99559 68331 62535
24170 09777 12830 74891 78142 43860 72834
00065 33713 48007 93584
00066 85274 86893 11303
72869 51926 64721 58303 29822 931/4 93972
22970 28834 34137 73515 90400 71148 43643
00067 84133 89640 44035
52166 73852 70091 61222 60561 62327 18423
00068 56732 16234 17395
00069 65138 56806 87648
96131 10123 91622 85496 57560 81604 18880
85261 34313 65861 45875 21069 85644 47277

\ A-60
 Table 12 continued.
Row No.

00170 41468 85149 49554 17994 14924 39650 95294 00556 70481 06905
0017! 94559 37559 49678 53119 70312 05682 66986 34099 74474 20740
00172 41615 70360 64114 58660 90850 64618 80620 51790 11436 38072
00173 50273 93113 41794 86861 24781 89683 55411 85667 77535 99892
00174 41396 80504 90670 08289 40902 05069 95083 06783 28102 57816
07385 90726 57166 98884 08583
24260 71529 78920 72682
00175 25807 89747 98882
41808 68984 83620
97965 88302 98041 21443
00176 06170 18059 51061
28838 36421 16489
54444 74412 81105 01176
00177 60808 92638 40333 67054 16067
36222 80582 71944
44893 10408
00178 80940 210:^ 82808 77501 97427
71643 13177 55292
90120 46759
00179 19516

91178 10174 29420 90438

23554 21785 41101
54480 23604
00180 493^6 64809 98189 81851 29651 84215
88940 15995 69321 47458
00181 06312 68032 96717 54244 10701 41393
00307 11897 92674 40405
00182 60942 92061 39448 93136 25722 08564
98932 78284 46347 712.09
00183 92329 29671 58137 17820 22751 36518
63574 31384 51924 85561
00184 77936

77756 11657
,3897 95889 57067 47648 13885 70669 93406
00185 38101 22502 92613 89719 11947 56203 19324 20504
69457 91339
00186 39641 63680 67667 60631 69181 96845 38525 11600
40455 99396
00187 84054 63266 24700 71594 14004 23153 69249 05747
03577 57649
00188 47468 23896 76479 68562 62342 07589 08899 05985
31370 28977
00189 43321

61826 18555 64937 13173 33365 78851 16499 87064 13075

00190 64281 02985 86716 38746 26313 77463 55387 72681
70495 32350
00191 66847
33230 21529 53424 92581 02262 78438 66276 18396 73538
00192 72461 16218 12470 5650O 15292 76139 59526 52113
91050 13058
00193 21032
67011 06651 ,6136 01016 00857 55018 56374 35824 71708
00194 95362

A-65
Row No. Table 12 continued.
00195 49712 97380 10404 55452 34030 60726 75211 10271 36633 68424
00196 58275 61764 97586 54716 50259 46345 87195 46092 26787 60939
00197 89514 11788 68224 23417 73959 76145 30342 40277 11049 72049
00198 15472 50669 48139 36732 46874 37088 73465 09819 58869 35220
00199 12120 86124 51247 44302 60883 52109 21437 36786 49226 77837

A-66
 references

Fundamentals of Operations Research,

1. Ackoff R.L. and Sasieni M.W.
John Wiley (1968)

Statistical Concepts and Methods,John Wiley

2. Bhattacharyya G.K. and Johnson R.A. (1977)

Quantitative Analysis for Business Decisions,

3. Bierman, Harold, Jr. Richard D. Irwin Inc., D.B. Taraporevala &
Bonini Charles P., Sons.& Co. Private Ltd.(1975)
Hausman Warren H.
An Introduction to Applied Probability, Wiley
4. Blake I.F. (1979)

Probability and Statistics, W.B. Saunders

5 Blum J.R. and Rosenblatt J.I. Company(1972)

Probabilities, Decision, Statistics, Prentice

6. Bradley J.V. Hall(1976)

Decision Making, Ohio State Univ. Press

7, Blinkers H.S. (1972)

Statistical Forecasting for Inventory Control,

g. Brown R-G- McGrawHUl(1959)

An Introduction to Mathematical Statistics,

9 BrunkH.D. 2nd ed., Blaisdell(1965).
Discrete System Simulation, Prentice HaU,
Inc.,(1982)
10. BulgreO' W.G-
Engineering Statistics and Quality Control,
I.W. McGraw Hill(1953).
11. Burr
Introduction to Management Science,
A and Harnett Donald Addison-Wesley(1977)
12. Cabot Victor A.and H
A Practical Approach to Reliability, Business
Rowland Books Limited (1972).
13. Caplen

R-1
 14. Chemoff H. and Moses L.E.
Elementary Decision Theory, John Wiley
(1960)
15. Chou Ya-lun
Statistical Analysis, Holt. Rinehart and Win
ston, Inc.(1969).
16. Churchman C.W.,AckoffR.L. and
Ro Amoff L. Introduction to Operations Research, John
Wiley (1957).
(K 17. CochranW.G.
(a) Some Methods for Strengthening the
0(
Common Chi-square Tests, Biometrics,
0(
10,(1954)
(M
(b) The Chi-Square Test of Goodness ofFit,
0(
Annals of Mathematical Statistics, Vol.
23(1952).
18. Cramer H.
01
Mathematical Methods of Statistics, Prince
0( ton, N.J., Princeton University Press(1946).
0
19. l^ixon W.J. andMasseyF.J.
Introduction to Statistical Analysis, McGraw
0
Hill (1969).
0 20. Dunn O.and Clark V.
Applied Statistics:Analysis of Variance and
Regression, John Wiley (1974).
0 21. ELcletH.A. andFrajerH.V
C Operations Research Hand book, Macmillan
Press(1977).
C 22. Faborckyw.1.and Banks J
0 Procurement and Inventory System,
Rein Hold Publishing Corporation (1967)-
^ 23. Feller w.
An Introduction to Probability Theory and Its
Applications, Vols.I and II, Wiley,New York,
1957 and 1966.
24. Ferguson T.S.
Mathematical Statistics, Academic Press
(1967).
25. Fetter Robert B.
The Quality ControlSystem,Richard D.Irwin,
Inc.(1967).

R-2
 Table 12 continued.

00070'3800. 02.76 8.7.9 ..7.. 7.602 92937 742.9 64049 65584 49698
0007. 37402 96397 0.304 77586 5627. .0086 47324 62605 40030 37438
00072 97.25 40348 87083 3.4.7 2.8.5 39250 75237 62047 .550. 29578
00073 2.826 4..34 47.43 34072 64638 85902 49.39 0644. 03856 54552
00074 73.35 42742 957.9 09035 85794 74296 08789 88.56 6469. .9202
07638 77929 0306. .8072 96207 44.56 2382. 99538 047.3 66994
00076 60528 83441 07954 .98.4 59.75 20695 05533 52.39 6.2.2 06455
.
00077 8359 ,5655 06958 92983 05.28 09719 77433 53783 9230.
554,0 50498
,5352

z: z: z: ... -.4 43800 0935. 3.024 73.67

00081 38508 07341 23723793 To" "822 ^ ZZZ ^^200

rr «2 2404. 08337 65676 96299 90836

r: -::::: 72294 0747, 446. .7955 489.. 9734. 30358
4, 9.307 0699. .9072 242.0 36699 53728 28825 35793 28976 66252
6^ 94688 84473 .3622 62.26 98408 .2843 82590 098.5 93.46
Z
48908 5877 54745 2459. 357^ 04754 83824 52692 54.30
535,, ,3,5, ,4934 55.60
45344
50088 069.3 45 ^3333 3533, 4355, ,5333
00089 lO*"
„ 65027 6.184 04285 0.392 .7974 .5077 90712 26769
8807 3696. 3.649 42096 6328. 02023 088.6 47449
0009' 'Z 22 59659 86283 68258 69572 .3798 .6435 9.529
00092 .9523 595. 35535 ,5463 34222 26655 90802
00093 092^' '355 37992 45.34 26529 26760 83637 4.326 44344
00094 60584

A-61
Row No. Table 12 continued.
00095 53853 41377 36066 94850 58838 73859 49364 73331 96240 43642
00096 24637 38736 74384 89342 52623 07992 12369 18601 03742 83873
00097 83080 12451 38992 22815 07759 51777 97377 27585 51972 37867

00098 16444 24334 36151 99073 27493 70939 85130 32552 54846 54759
00099 60790 18157 57178 65762 11161 78576 45819 52979 65130 04860

00100 03991 10461 93716 16894 66083 24653 84609 58232 88618 19161

00101 38555 95554 32886 59780 08355 60860 29735 47762 71299 23853
00102 17546 73704 92052 46215 55121 29281 59076 07936 27954 58909

00103 32643 52861 95819 06831 00911 98936 76355 93779 80863 00514
00104 69572 68777 39510 35905 14060 40619 29549 69616 33564 60780

00105 24122 66591 27699 06494 14845 46672 61958 77100 90899 75754

00106 61196 30231 92962 61773 41839 55382 17267 70943 78038 70267
00107 30532 21704 10274 12202 39685 23309 10061 68829 55986 66485
00108 03788 97599 75867 20717 74416 53166 35208 33374 87539 08823
00109 48228 63379 85783 47619 53152 67433 35663 52972 16818 60311

00110 60365 94653 35075 33949 42614 29297 01918 28316 98953 73231
00111 83799 42402 56623 34442 34994 41374 70071 14736 09958 18065
00112 32960 07405 36409 83232 99385 41600 11133 07586 15917 06253
00113 19322 53845 57620 52606 66497 68646 78138 66559 19640 99413
00114 11220 94747 07399 37408 48509 23929 27482 45476 85244 35159

00115 31751 57260 68980 05339 15470 48355 88651 22596 03152 19121
00116 88492 99382 14454 04504 20094 98977 74843 93413 22109 78508
00117 30934 47744 07481 83828 73788 06533 28597 20405 94205 20380
00118 22888 48893 27499 98748 60530 45128 82037
74022 84617 10268
78212 16993 35902 91386 44372 15486
00119 65741 14014 87481 37220

A-62
 Table 12 continued.
Row No.

41849 84547 46850 52326 34677 58300 74910 64345 19325 81549
00120

46352 33049 69248 93460 45305 07521 61318 31855 14413 70951
00121

96294 14013 31792 59747 67277 76503 34513 39663 77544

00122 11087

08337 56303 87315 16520 69676 11654 99893 02181 68161

00123 52701

36898 81304 48585 68652 27376 92852 55866 88448 03584

00124 57275

73156 70284 24326 79375 95220 01159 63267 10622 48391

00125 20857

84924 90415 93614 33521 26665 55823 47641 86225 31704

00126 15633

48297 39904 02115 59589 49067 66821 41575 49767 04037

00127 92694

19019 88152 00080 20554 91409 96277 48257 50816 97616

00128 77613

32486 45134 63545 59404 72059 43947 51680 43852 59693

00129 38688

25163 01889 70014 15021 41290 67312 71857 15957 68971 11403
00130

65251 07629 37239 33295 05870 01119 92784 26340 18477 65622
00131

00132 36815 43625 18637 37509 82444 99005 04921 73701 14707 93997

00133 64397 11692 05327 82162 20247 81759 45197 25332 83745 22567

00134 04515 25624 95096 67946 48460 85558 15191 18782 16930 33361

60873 43253 84145 60833 25983 01291 41349 20368 07126

00135 83761

80854 09279 43529 06318 38384 74761 41196 37480

00136 14387 06345

77074 88722 56736 66164 49431 66919 31678

00137 51321 92246 80088

80890 18002 94813 31900 54155 83436 35352 54131

00138 72472 00008

93128 18464 74457 90561 72848 11834 79982 68416

00139 05466 55306

72484 82474 25593 48545 35247 18619 13674 18611 19241

00140 39528
53342 44276 75122 11724 74627 73707 58319 15997
81616 18711
00141
82641 22820 92904 13141 32392 19763 61199 67940
07586 16120
00142
13574 17200 69902 63742 78464 22501 18627 90872
90767 04235
00143
29593 88627 94972 11598 62095 36787 00441 58997
40188 28193
00144

A-^3
 Table 12 continued.
Row No.

00145 34414 82157 86887 55087 19152 00023 12302 80783 32624 68691
00146 63439 75363 44989 16822 36024 00867 76378 41605 65961 73488
00147 67049 09070 93399 45547 94458 74284 05041 49807 20288 34060
00148 79495 04146 52162 90286 54158 34243 46978 35482 59362 95938
00149 91704 30552 04737 21031 75051 93029 47665 64382 99782 93478

00150 94015 46874 32444 48277 59820 96163 64654 25843 41145 42820
00151 74108 88222 88570 74015 25704 91035 01755 14750 48968 38603
00152 62880 87873 95160 59221 22304 90314 72877 17334 39283 04149
00153 11748 12102 80580 41867 17710 59621 06554 07850 73950 79552
00154 17944 05600 60478 03343 25852 58905 57216 39618 49856 99326

00155 66067 42792 95043 52680 46780 56487 09971 59481 37006 22186
00156 54244 91030 45547 70818 59849 96169 61459 21647 87417 17198
00157 30945 57589 31732 57260 47670 07654 46376 25366 94746 49580
00158 69170 37403 86995 90307 94304 71803 26825 05511 12459 91314
00159 08345 88975 35841 85771 08105 59987 87112 21476 14713 71181

00160 27767 43584 85301 88977 29490 69714 73035 41207 74699 09310
00161 13025 14338 54066 15243 47724 66733 47431 43905 31048 56699
00162 80217 36292 98525 24335 24432 24896 43277 58874 11466 16082
00163 10875 62004 90391 61105 57411 06368
WJUO
53856
JJOJU
30743 08670 84741
00164 54127 57326 26629 19087 24472 88779 30540 27886 61732 75454

00165 60311 42824 37301 42678 45990 43242 17374 52003 70707 70214
00166 49739 71484 92003 98086 76668 73209 59202 11973 02902 33250
00167 78626 51594 16453 94614 39014 97066 83012 09832 25571 77628
00168 66692 13986 99837 00582 81232 44987 09504 96412 90193 79568
00169 44071 28091 07362 97703 76447 42537 98524 97831 65704 09514

A-64
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R-8