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Probability and Statistics With Reliability, Queuing and Computer Science Applications

The document discusses various continuous probability distributions including the exponential, Weibull, and uniform distributions. It defines key concepts like the probability density function (PDF), cumulative distribution function (CDF), reliability, failure rate, and describes properties of different distributions like the memoryless property of the exponential and how the Weibull can model increasing, constant, and decreasing failure rates. Bathtub curves are introduced to show how failure rates may vary over the lifetime of a system.

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0% found this document useful (0 votes)
90 views91 pages

Probability and Statistics With Reliability, Queuing and Computer Science Applications

The document discusses various continuous probability distributions including the exponential, Weibull, and uniform distributions. It defines key concepts like the probability density function (PDF), cumulative distribution function (CDF), reliability, failure rate, and describes properties of different distributions like the memoryless property of the exponential and how the Weibull can model increasing, constant, and decreasing failure rates. Bathtub curves are introduced to show how failure rates may vary over the lifetime of a system.

Uploaded by

Natar Adri
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
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Probability and Statistics with

Reliability, Queuing and Computer


Science Applications: Chapter 3
Continuous Random Variables
Definitions
• Distribution function:

• If FX(x) is a continuous function of x, then X is a


continuous random variable.
– FX(x): discrete in x  Discrete rv’s
– FX(x): piecewise continuous  Mixed rv’s

Definitions (Continued)

Equivalence:

• CDF (cumulative distribution function)

• PDF (probability distribution function)


• Distribution function
• FX(x) or FX(t) or F(t)
Probability Density Function (pdf)
• X : continuous rv, then,

• pdf properties:
1.

2.
Definitions
(Continued)

• Equivalence: pdf
– probability density function

– density function

– density
t
dF F (t )   f ( x)dx
– f(t) = 
dt t
  f ( x)dx , For a non-negative
0 random variable
Exponential Distribution

• Arises commonly in reliability & queuing theory.


• A non-negative random variable
• It exhibits memoryless (Markov) property.
• Related to (the discrete) Poisson distribution
– Interarrival time between two IP packets (or voice calls)
– Time to failure, time to repair etc.
• Mathematically (CDF and pdf, respectively):
CDF of exponentially distributed
random variable with  = 0.0001

F(t)

12500 25000 37500 50000


t
Exponential Density Function
(pdf)

f(t)

t
Memoryless property
• Assume X > t. We have observed that the
component has not failed until time t.

• Let Y = X - t , the remaining (residual) lifetime

• The distribution of the remaining life, Y, does not


depend on how long the component has been
operating. Distribution of Y is identical to that of X.
Memoryless property
• Assume X > t. We have observed that the
component has not failed until time t.
• Let Y = X - t , the remaining (residual)
lifetime
Gt ( y )  P(Y  y | X  t )
 P( X  y  t | X  t )
P(t  X  y  t )  y
  1 e
P( X  t )
Memoryless property (Continued)
• Thus Gt(y) is independent of t and is identical
to the original exponential distribution of X.
• The distribution of the remaining life does
not depend on how long the component has
been operating.
• Its eventual breakdown is the result of some
suddenly appearing failure, not of gradual
deterioration.
Reliability as a Function of Time

• Reliability R(t): failure occurs after time ‘t’. Let X


be the lifetime of a component subject to failures.

• Let N0: total no. of components (fixed); Ns(t):


surviving ones; Nf(t): failed one by time t.
Definitions (Continued)

Equivalence:

• Reliability

• Complementary distribution function

• Survivor function

• R(t) = 1 -F(t)
Failure Rate or Hazard Rate

• Instantaneous failure rate: h(t) (#failures/10k hrs)

• Let the rv X be EXP( λ). Then,

• Using simple calculus the following apples to any rv,


Hazard Rate and the pdf
f (t ) f (t )
h (t )  
R (t ) 1  F (t )

h(t) t = Conditional Prob. system will fail in


(t, t + t) given that it has survived until time t
f(t) t = Unconditional Prob. System will fail in
(t, t + t)
• Difference between:
– probability that someone will die between 90
and 91, given that he lives to 90
– probability that someone will die between 90
and 91
Weibull Distribution
• Frequently used to model fatigue failure, ball bearing failure
etc. (very long tails)

• Reliability: Rt   e
 t
t 0
• Weibull distribution is capable of modeling DFR (α < 1), CFR
(α = 1) and IFR (α >1) behavior.
• α is called the shape parameter and  is the scale parameter
Failure rate of the weibull
distribution with various values
of  and  = 1

5.0

1.0 2.0 3.0 4.0


Infant Mortality Effects in System
Modeling
• Bathtub curves
– Early-life period

– Steady-state period

– Wear out period

• Failure rate models


Bathtub Curve
•Until now we assumed that failure rate of equipment is time (age)
independent. In real-life, variation as per the bathtub shape has been
observed
Failure Rate (t)

Infant Mortality
(Early Life Failures) Steady State Wear out

Operating Time
Early-life Period
• Also called infant mortality phase or reliability
growth phase
• Caused by undetected hardware/software defects
that are being fixed resulting in reliability growth
• Can cause significant prediction errors if steady-
state failure rates are used
• Availability models can be constructed and solved
to include this effect
• Weibull Model can be used
Steady-state Period
• Failure rate much lower than in early-life
period
• Either constant (age independent) or slowly
varying failure rate
• Failures caused by environmental shocks
• Arrival process of environmental shocks can
be assumed to be a Poisson process
• Hence time between two shocks has the
exponential distribution
Wear out Period
• Failure rate increases rapidly with age
• Properly qualified electronic hardware do
not exhibit wear out failure during its
intended service life (Motorola)
• Applicable for mechanical and other
systems
• Weibull Failure Model can be used
Bathtub curve
h(t) DFR phase: Initial design, constant bug fixes
CFR phase: Normal operational phase
IFR phase: Aging behavior
(burn-in-period) (wear-out-phase)

CFR
(useful life)

DFR IFR

Decreasing failure rate Increasing fail. rate


Failure Rate Models
•We use a truncated Weibull Model

7
Failure-Rate Multiplier

6
5
4
3
2
1
0
0 2,190 4,380 6,570 8,760 10,950 13,140 15,330 17,520
Operating Times (hrs)

•Infant mortality phase modeled by DFR Weibull and the


steady-state phase by the exponential
Failure Rate Models (cont.)
• This model has the form:
W ( t )  C 1 t  1  t  8,760
  SS t  8,760
• where:
• C 1  W 1,  SS  steady-state failure rate
•  is the Weibull shape parameter
• Failure rate multiplier = W ( t)  SS
Failure Rate Models (cont.)
• There are several ways to incorporate time dependent failure rates in
availability models
• The easiest way is to approximate a continuous function by a
decreasing step function

7
Failure-Rate Multiplier

6
5 1
4

2
3
2
1
 SS
0
0 2,190 4,380 6,570 8,760 10,950 13,140 15,330 17,520
Operating Times (hrs)
Failure Rate Models (cont.)
•Here the discrete failure-rate model is
defined by:
W ( t )   1 0  t  4,380
 2 4,380  t  8,760
  ss t  8,760
Uniform Random Variable

• All (pseudo) random generators generate random


deviates of U(0,1) distribution; that is, if you
generate a large number of random variables and
plot their empirical distribution function, it will
approach this distribution in the limit.
• U(a,b)  pdf constant over the (a,b) interval and
CDF is the ramp function
Uniform density
U(0,1) pdf

1.2

0.8
cdf

0.6

0.4

0.2

0
0 0.1 0.2 0.3 0.6 0.7 0.8 0.9 1 1.1 1.2 1.3 1.4 1.5 1.6 1.7 1.8 1.9 2 2.1 2.2
tim e
Uniform distribution

• The distribution function is given by:

0 , x < a,

{
F(x)= xa ,
ba
1 ,
a <x<b

x > b.
cdf

0.2
0.4
0.6
0.8
1.2

0
1
0
0.08
0.16
0.24
0.32
0.4
0.48
0.56
0.64
0.72
0.8

time
0.88
U(0,1) cdf

0.96
1
1.04
1.08
1.16
1.24
Uniform distribution (Continued)

1.32
1.4
1.48
U(
HypoExponential

• HypoExp: multiple Exp stages in series.


• 2-stage HypoExp denoted as HYPO(λ1, λ2). The
density, distribution and hazard rate function are:

• HypoExp results in IFR: 0  min(λ1, λ2)


• Disk service time may be modeled as a 3-stage
Hypoexponential as the overall time is the sum of
the seek, the latency and the transfer time
HypoExponential used in software
rejuvenation models

• Preventive maintenance is useful only if failure rate is increasing


• A simple and useful model of increasing failure rate:
Failure
probable
Robust state Failed state
state

Time to failure: Hypo-exponential distribution


Increasing failure rate aging
Erlang Distribution

• Special case of HypoExp: All stages have same rate.

• [X > t] = [Nt < r] (Nt : no. of stresses applied in (0,t])


and Nt is Possion (param λt). This interpretation gives,
Erlang Distribution

• Is used to approximate the deterministic one


since if you keep the same mean but increase
the number of stages, the pdf approaches the
delta function in the limit
• Can also be used to approximate the uniform
distribution
probability density functions (pdf)

If we vary r keeping r/ constant, pdf of r-stage Erlang approaches


an impulse function at r/ .
cumulative distribution functions (cdf)

And the cdf approaches a step function at r/. In other words


r-stage Erlang can approximate a deterministic variable.
Comparison of
1.8
probability density functions (pdf)
1.6

1.4

1.2

1
3-stage Erlang pdf
pdf

U(0,1) pdf
0.8

0.6

0.4

0.2

0
T=1
0

9
06

12

18

24

36

42

48

54

66

72

78

84

96

02
0.

0.

0.
0.

0.

0.

0.

0.

0.

0.

0.

0.

0.

0.

0.

0.

1.
time
Comparison of cumulative distribution
1.2
functions (cdf)
1

0.8

3-stage Erlang cdf


cdf

0.6
U(0,1) cdf

0.4

0.2

0
T=1
0

9
06

12

18

24

36

42

48
54

66

72

78

84

96

02
0.

0.

0.
0.

0.

0.

0.

0.

0.

0.
0.

0.

0.

0.

0.

0.

1.
time
Gamma Random Variable

• Gamma density function is,

• Gamma distribution can capture all three failure modes,


viz. DFR, CFR and IFR.
– α = 1: CFR
– α <1 : DFR
– α >1 : IFR
• Gamma with α = ½ and  = n/2 is known as the chi-
square random variable with n degrees of freedom
HyperExponential Distribution
• Hypo or Erlang  Sequential Exp( ) stages.
• Alternate Exp( ) stages  HyperExponential.

• CPU service time may be modeled as HyperExp


• In workload based software rejuvenation model
we found the sojourn times in many workload
states have this distribution
Log-logistic Distribution
• Log-logistic can model DFR, CFR and IFR failure models
simultaneously, unlike previous ones.

• For, κ > 1, the failure rate first increases with t (IFR); after
momentarily leveling off (CFR), it decreases (DFR) with
time. This is known as the inverse bath tub shape curve
• Use in modeling software reliability growth
Hazard rate comparison
Defective Distribution

• If
• Example:

• This defect (also known as the mass at infinity) could


represent the probability that the program will not terminate
(1-c). Continuous part can model completion time of
program.
• There can also be a mass at origin.
Pareto Random Variable
• Also known as the power law or long-tailed
distribution
• Found to be useful in modeling
– CPU time consumed by a request
– Webfile sizes
– Number of data bytes in FTP bursts
– Thinking time of a Web browser
Gaussian (Normal) Distribution
• Bell shaped pdf – intuitively pleasing!
• Central Limit Theorem: mean of a large number of
mutually independent rv’s (having arbitrary
distributions) starts following Normal distribution
as n 

• μ: mean, σ: std. deviation, σ2: variance (N(μ, σ2))


• μ and σ completely describe the statistics. This is
significant in statistical estimation/signal
processing/communication theory etc.
Normal Distribution (contd.)

• N(0,1) is called normalized Guassian.


• N(0,1) is symmetric i.e.
– f(x)=f(-x)
– F(z) = 1-F(z).
• Failure rate h(t) follows IFR behavior.
– Hence, N( ) is suitable for modeling long-term wear or
aging related failure phenomena.
Functions of Random Variables

• Often, rv’s need to be transformed/operated upon.


– Y = Φ (X) : so, what is the density of Y ?
– Example: Y = X2

– If X is N(0,1), then,

– Above Y is also known as the χ2 distribution (with 1-


degree of freedom).
Functions of RV’s (contd.)

• If X is uniformly distributed, then, Y= -λ-1ln(1-X)


follows Exp(λ) distribution
– transformations may be used to generate random
variates (or deviates) with desired distributions.
Functions of RV’s (contd.)

• Given,
• A monotone differentiable function,

• Above method suggests a way to get the random variates with desired
distribution.
– Choose Φ to be F.
– Since, Y=F(X), FY(y) = y and Y is U(0,1).
– To generate a random variate with X having desired distribution, generate
U(0,1) random variable Y, then transform y to x= F-1(y) .
– This inversion can be done in closed-form, graphically or using a table.
Jointly Distributed RVs

• Joint Distribution Function:

• Independent rv’s: iff the following holds:


Joint Distribution Properties
Joint Distribution Properties (contd)
Order statistics: kofn, TMR
Order Statistics: KofN
X1 ,X2 ,..., Xn iid (independent and identically distributed)
random variables with a common distribution function
F().
Let Y1 ,Y2 ,...,Yn be random variables obtained by
permuting the set X1 ,X2 ,..., Xn so as to be in
increasing order.
To be specific:
Y1 = min{X1 ,X2 ,..., Xn} and
Yn = max{X1 ,X2 ,..., Xn}
Order Statistics: KofN
(Continued)

• The random variable Yk is called the k-th ORDER


STATISTIC.
• If Xi is the lifetime of the i-th component in a system of n
components. Then:
– Y1 will be the overall series system lifetime.
– Yn will denote the lifetime of a parallel system.
– Yn-k+1 will be the lifetime of an k-out-of-n system.
Order Statistics: KofN (Continued)
To derive the distribution function of Yk, we note that the
probability that exactly j of the Xi's lie in (- ,y] and (n-j)
lie in (y, ) is:
n j n j
  F ( y ) [1  F ( y )]
 j
hence
n
n j
FYk ( y )     F ( y ) [1  F ( y )] n j

j k  j 
Applications of order statistics
• Reliability of a k out of n system
n
Rkofn (t )   ( nj )[ R(t )] j [1  R(t )]n  j
j k

• Series system: n
Rseries (t )  [ R(t )] n
or  Ri (t )
i 1

• Parallel system: R parallel(t )  1  [1  R(t )]n


• Minimum of n EXP random variables is special case
of Y1 = min{X1,…,Xn} where Xi~EXP(i)
Y1~EXP( i)
• This is not true (that is EXP dist.) for the parallel case
Triple Modular Redundancy (TMR)
R(t)

R(t) Voter

R(t)

• An interesting case of order statistics occurs when


we consider the Triple Modular Redundant (TMR)
system (n = 3 and k = 2). Y2 then denotes the time
until the second component fails. We get:
RTMR (t )  3R (t )  2R (t )
2 3
TMR (Continued)

• Assuming that the reliability of a single


component is given by,
 t
e

we get:
2 t 3t
RTMR (t )  3e  2e
TMR (Continued)

• In the following figure, we have plotted


RTMR(t) vs t as well as R(t) vs t.
TMR (Continued)
Cold standby (dynamic redundancy)

X Y

Lifetime of Lifetime of
Active Spare
EXP()
EXP()
Total lifetime 2-Stage Erlang

 t EXP() EXP()
R(t )  (1  t )e
Assumptions: Detection & Switching perfect; spare
does not fail
Sum of RVs: Standby Redundancy
• Two independent components, X and Y
– Series system (Z=min(X,Y))
– Parallel System (Z=max(X,Y))
– Cold standby: the life time Z=X+Y
Sum of Random Variables

• Z = Φ(X, Y)  ((X, Y) may not be independent)

• For the special case, Z = X + Y

• The resulting pdf is (assuming independence),

• Convolution integral (modify for the non-negative


case)
Convolution (non-negative case)

Z = X + Y, X & Y are independent random


variables (in this case, non-negative)
t
f Z (t )   f X ( x) fY (t  x) dx
0

• The above integral is often called the


convolution of fX and fY. Thus the density of
the sum of two non-negative independent,
continuous random variables is the
convolution of the individual densities.
Cold standby derivation
• X and Y are both EXP() and independent.
• Then
t
f t (t )   e e
 x  ( t  x )
dx
0
t

 dx
2  t
 e
0
 t
  te , t  0
2
Cold standby derivation
(Continued)

• Z is two-stage Erlang Distributed


t
FZ (t )   f Z ( z )dz  1  (1  t )e  t
0

R(t )  1  F (t )
 t
 (1  t )e , t  0
Convolution: Erlang
Distribution
• The general case of r-stage Erlang Distribution

• When r sequential phases have independent

identical exponential distributions, then the

resulting density is known as r-stage (or r-phase)

Erlang and is given by:


Convolution: Erlang (Continued)

EXP() EXP() EXP()

r r 1  t
t e
f (t ) 
(r  1)!
(  t ) k  t
r 1
F (t )  1   e
k 0 k!
Warm standby
•With Warm spare, we have:
•Active unit time-to-failure: EXP()
•Spare unit time-to-failure: EXP()

EXP(+ ) EXP()

2-stage hypoexponential distribution


Warm standby derivation
• First event to occur is that either the active or the spare wil
fail. Time to this event is min{EXP(),EXP()} which is
EXP( + ).

• Then due to the memoryless property of the exponential,


remaining time is still EXP().

• Hence system lifetime has a two-stage hypoexponential


distribution with parameters

1 =  +  and 2 =  .
Warm standby derivation
(Continued)

• X is EXP(1) and Y is EXP(2) and are


independent
1 = 2
• Then fZ(t) is
t
f Z (t )   1e  1 x
2e  2 ( t  x )
dx
0

12  t 12  t
 e  e 2 1

1  2 2  1
Hot standby
•With hot spare, we have:
•Active unit time-to-failure: EXP()
•Spare unit time-to-failure: EXP()

EXP(2) EXP()

2-stage hypoexponential
TMR and TMR/simplex
as hypoexponentials

TMR/Simplex

EXP(3) EXP()

TMR
EXP(3) EXP(2)
Hypoexponential: general case
r
• Z=  X , where X
i 1
i 1 ,X2 , … , Xr
are mutually independent and Xi is exponentially
distributed with parameter i (i = j for i = j).
Then Z is a r-stage hypoexponentially
distributed random variable.

EXP(1) EXP(2) EXP(r)


Hypoexponential: general case
KofN system lifetime as a
hypoexponential
At least, k out of n units should be operational for the
system to be Up.

EXP(n) EXP((n-1)) ... EXP(k) EXP((k-1)) ... EXP()

Y1 Y2 Yn-k+1 Yn-k+2 Yn
KofN with warm spares

At least, k out of n + s units should be operational


for the system to be Up. Initially n units are active
and s units are warm spares.
EXP(n EXP(n ... EXP(n
s) +(s-1) ) + )
EXP(n) ... EXP(k)
Sum of Normal Random Variables

• X1, X2, .., Xk are normal ‘iid’ rv’s, then, the rv


Z = (X1+ X2+ ..+Xk) is also normal with,

• X1, X2, .., Xk are normal. Then,


follows Gamma or the χ2 (with n-degrees
of freedom) distribution

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