TMA4265 Stochastic processes ST2101 Stochastic simulation and modelling
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1 Norwegian University of Science and Technology Department of Mathematical Sciences Page of 7 English Contact during examination: Øyvind Bakke Telephone: , TMA426 Stochastic processes ST2 Stochastic simulation and modelling Tuesday 9 December 28 9: 3: Permitted aids: Yellow A sheet with your own handwritten notes (stamped by the Department of Mathematical Sciences), Tabeller og formler i statistikk (Tapir forlag), Matematisk formelsamling (K. Rottmann), calculator HP 3s or Citizen SR-27X Grades to be announced: 9 January 29 In the grading each of the eight points counts equally. TMA426: In addition to the final examination the project assignment counts 2%. ST2: In addition to the final examination the project assignment counts %. You should demonstrate how you arrive at your answers (e.g. by including intermediate answers or referral to theory or examples from the reading list). Pages 2 4 contain problems; pages 7 contain formulas.
2 TMA426/ST2, 9 December 28 English Page 2 of 7 Problem We play a game with five dice. The goal is to achieve that all five dice show the same number. In the first round we roll five dice. We save dice with the most frequently occurring number. If, for example, the dice show 3, 4, 4,, 6, we save the two fours. If there are several numbers occurring with maximal frequency, we choose one number to save if, for example, the dice show 3, 3, 4, 4, 6, we save either the two threes or the two fours. In the second round we roll again the dice that we do not save. Again we save the dice (among all five dice) with the most frequently occurring number (we are allowed to change the number we save if we have saved two twos and the new roll yields three threes, we save the threes). We continue in this way until all the dice show the same number. We model the game with a discrete-time Markov chain with states,, 2, 3, 4, and, where X = and X i is the number of dice with the most frequent occurring number after i rolls. If, for example, the dice show 3, 3, 4, 4, 6 after four rolls, then X 4 = 2, and if they show 3, 4, 4, 4, 6 after five rolls, then X = 3. The transition matrix of the Markov chain is P = It is given that P 2 = ,
3 TMA426/ST2, 9 December 28 English Page 3 of 7 and that P 3 = (I P T ) 9 3 = where P T is the matrix obtained by removing the last row and the last column from P, and I is the identity matrix of size. a) Show how the transition probabilities P = /296 and P 34 = /8 are calculated. Which equivalence classes does the chain have? Which equivalence classes are transient and which are recurrent? b) What is the probability that the dice show five of a kind (five equal numbers) in three or fewer rolls (this corresponds to solving one of the tasks in the dice game Yahtzee). What is the probability that the dice show five of a kind in three or fewer rolls given that you save two alike (two equal numbers) after the first roll? c) What is the expected number of rolls to get five of a kind? What is the expected number of additional rolls needed to get five of a kind if you have already saved four of a kind, and what is the expected number of additional rolls needed if you have saved three of a kind? d) What is the probability that there in the course of the game is a round where all the dice show different numbers? What is the probability that there in the course of the game is a round where exactly three of the dice show the same number?,
4 TMA426/ST2, 9 December 28 English Page 4 of 7 Problem 2 We assume that an animal population develops as a birth and death process in which birth rates are λ n = nλ for n and death rates are µ n = nµ for n. Assume that λ > µ >. Let X(t) denote the population size at time t. a) What are the transition rates v i (from state i to a new state), the transition probabilities P ij and the instantaneous transition rates q ij (from state i to state j)? Does the process have any absorbing states? We will find the probability that a population starting with x animals at time will go extinct. Let Y n be the discrete-time Markov chain that is defined by Y = X() and Y n being the state of X(t) after the nth transition. b) What are the transition probabilities of the Markov chain Y n? How can extinction of the population be expressed in terms of this process, and what is the probability that a population starting with x animals will go extinct? Hint: In a Markov chain having transition probabilities P =, P i,i+ = p = P i,i for all i, that is, Gambler s ruin against an infinitely rich adversary, the probability is (( p)/p) i that the process ever reaches state given that it starts in state i, if p > /2. In a population following this birth and death process and having x animals at time, x e (λ µ)t is the expected number of animals at time t (compare the example of linear growth with immigration, but with the immigration rate set to zero). We wish to model the possibility of a catastrophe wiping out the entire population, and now assume that the animal population follows a continuous-time Markov chain having instantaneous transition rates q n,n+ = nλ for n, q n,n = nν and q n = κ for n 2, and q = ν + κ, where ν > and κ >. The other transition rates are. c) Is this a birth and death process? What is the probability of extinction in this model? d) Derive a differential equation for the expected number of animals in the population at time t and solve it. Sketch the graph when λ > ν + κ. What is the relation between the expected number of animals in a population following the birth and death process of (a) and (b) if ν + κ = µ? Also compare the probability of extinction, and give a comment on the result.
5 TMA426/ST2, 9 December 28 English Page of 7 Formulas The laws of total probability and total expectation La B, B 2,... be pairwise disjoint events with P ( i= B i) =. Then P (A C) = P (A B i C)P (B i C), E(X C) = E(X B i C)P (B i C). i= i= Discrete-time Markov chains Chapman Kolmogorov equations: P (m+n) ij = P (m) ik P (n) kj For an irreducible and ergodic Markov chain the π j = lim n Pij n exist and are given by the equations π j = π i P ij and π i =. i i For transient states i, j and k, the mean time spent in state j given start in state i is s ij = δ ij + k P ik s kj. For transient states i and j the probability of ever going into state j given start in state i is f ij = (s ij δ ij )/s jj. Poisson process The nth arrival time, S n, has probability density f Sn (t) = λn t n (n )! e λt for t. Given that the number of events N(t) = n, the joint density of S, S 2,..., S n is f S,S 2,...,S n N(t)=n(s, s 2,..., s n ) = n! t n for < s < s 2 < < s n t.
6 TMA426/ST2, 9 December 28 English Page 6 of 7 Continuous-time Markov chains A Markov process X(t), t, with state space Ω {,, 2,...}, is called a birth and death process if P (X(t + h) = i + X(t) = i) = λ i h + o(h), P (X(t + h) = i X(t) = i) = µ i h + o(h), P (X(t + h) = i X(t) = i) = (λ i + µ i )h + o(h), P (X(t + h) = j X(t) = i) = o(h) when j i 2, where i, λ i are birth rates and µ i are death rates. Chapman Kolmogorov equations: P ij (t + s) = P ik (t)p kj (s). Kolmogorov s forward equations: P ij(t) = q kj P ik (t) v j P ij (t) k j Kolmogorov s backward equations: P ij(t) = q ik P kj (t) v i P ij (t) k i If the P j = lim t P ij (t) exist and are independent of i, the P j are given by v j P j = q kj P k and k j For birth and death processes: P j =. j P = θ k and P k = θ k P for k =, 2,..., where θ = and θ k = λ λ λ k µ µ 2 µ k for k =, 2,...
7 TMA426/ST2, 9 December 28 English Page 7 of 7 Queuing theory Let L be the average number of customers, L Q average number of customers in queue, W average time a customer spend in the system, W Q average time a customer spend in queue, W Q time in queue, S service time, V average remaining work in the system and λ a average arrival rate. Then L = λ a W, L Q = λ a W Q, V = λ a E(SW Q) + λ a ES 2 /2. Some series n a k = an+ a, ka k = a n ( a), 2 ( ) n a k b n k = (a + b) n k A first order linear differential equations The differential equation f (t) + αf(t) = g(t) with the initial condition f() = a has solution f(t) = ae αt + t e α(t s) g(s) ds.
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