TCOM 501: Networking Theory & Fundamentals. Lecture 3 January 29, 2003 Prof. Yannis A. Korilis
|
|
- Carol Hamilton
- 6 years ago
- Views:
Transcription
1 TCOM 5: Networkig Theory & Fudametals Lecture 3 Jauary 29, 23 Prof. Yais A. Korilis
2 3-2 Topics Markov Chais Discrete-Time Markov Chais Calculatig Statioary Distributio Global Balace Equatios Detailed Balace Equatios Birth-Death Process Geeralized Markov Chais Cotiuous-Time Markov Chais
3 3-3 Markov Chai Stochastic process that takes values i a coutable set Example: {,,2,,m}, or {,,2, } Elemets represet possible states Chai jumps from state to state Memoryless (Markov) Property: Give the preset state, future jumps of the chai are idepedet of past history Markov Chais: discrete- or cotiuous- time
4 3-4 Discrete-Time Markov Chai Discrete-time stochastic process {X : =,,2, } Takes values i {,,2, } Memoryless property: P{ X = j X = i, X = i,..., X = i } = P{ X = j X = i} + + P = P{ X = j X = i} ij + Trasitio probabilities P ij, P = j= Trasitio probability matrix P=[P ij ] P ij ij
5 3-5 Chapma-Kolmogorov Equatios step trasitio probabilities P = P{ X = j X = i},, m, i, j ij + m m Chapma-Kolmogorov equatios P ij + m m ij ik kj k= P = P P,, m, i, j is elemet (i, j) i matrix P Recursive computatio of state probabilities
6 3-6 State Probabilities Statioary Distributio State probabilities (time-depedet) π = PX { = j}, π = (π,π,...) j { = } = { = } { = = } π j = πi ij i= i= PX j PX ipx j X i P I matrix form: π = π P = π P =... = π P 2 2 If time-depedet distributio coverges to a limit π lim π π is called the statioary distributio = π = πp Existece depeds o the structure of Markov chai
7 3-7 Classificatio of Markov Chais Irreducible: States i ad j commuicate: Irreducible Markov chai: all states commuicate Aperiodic: State i is periodic: m m, : P >, P > d > : P > =αd ij ji ii Aperiodic Markov chai: oe of the states is periodic
8 3-8 Limit Theorems Theorem : Irreducible aperiodic Markov chai For every state j, the followig limit π = lim PX { = j X = i}, i=,,2,... j exists ad is idepedet of iitial state i N j (k): umber of visits to state j up to time k N j( k) P π j = lim X = i = k k π j : frequecy the process visits state j
9 3-9 Existece of Statioary Distributio Theorem 2: Irreducible aperiodic Markov chai. There are two possibilities for scalars: π = lim PX { = j X = i} = lim P j ij. π j =, for all states j No statioary distributio 2. π j >, for all states j π is the uique statioary distributio Remark: If the umber of states is fiite, case 2 is the oly possibility
10 3- Ergodic Markov Chais Markov chai with a statioary distributio π >, j =,,2,... j States are positive recurret: The process returs to state j ifiitely ofte A positive recurret ad aperiodic Markov chai is called ergodic Ergodic chais have a uique statioary distributio π = lim P j ij Ergodicity Time Averages = Stochastic Averages
11 3- Calculatio of Statioary Distributio A. Fiite umber of states Solve explicitly the system of equatios m π = π P, j =,,..., m j i ij i= m j ipij πi = i= i= πi = i= Numerically from P which coverges to a matrix with rows equal to π Suitable for a small umber of states B. Ifiite umber of states Caot apply previous methods to problem of ifiite dimesio Guess a solutio to recurrece: π = π, j =,,...,
12 3-2 Example: Fiite Markov Chai Abset-mided professor uses two umbrellas whe commutig betwee home ad office. If it rais ad a umbrella is available at her locatio, she takes it. If it does ot rai, she always forgets to take a umbrella. Let p be the probability of rai each time she commutes. What is the probability that she gets wet o ay give day? p 2 p p Markov chai formulatio i is the umber of umbrellas available at her curret locatio p Trasitio matrix P = p p p p
13 3-3 Example: Fiite Markov Chai 2 p p p p P = p p p p π = ( p)π2 π = πp π = ( p)π + pπ p π, π, π π = p 3 3 p 3 p 2 = = 2 = π2 π π i i = + p π + π+ π2 = p P{gets wet} = π p = p 3 p
14 3-4 Example: Fiite Markov Chai Takig p =.: p π =,, =.3,.345, p 3 p 3 p P = ( ) Numerically determie limit of P lim P = ( 5) Effectiveess depeds o structure of P
15 3-5 Global Balace Equatios Markov chai with ifiite umber of states Global Balace Equatios (GBE) π P = π P π P = π P, j j ji i ij j ji i ij i= i= i j i j P is the frequecy of trasitios from j to i π j ji Frequecy of Frequecy of trasitios out of j = trasitios ito j Ituitio: j visited ifiitely ofte; for each trasitio out of j there must be a subsequet trasitio ito j with probability
16 3-6 Global Balace Equatios Alterative Form of GBE If a probability distributio satisfies the GBE, the it is the uique statioary distributio of the Markov chai Fidig the statioary distributio: Guess distributio from properties of the system Verify that it satisfies the GBE { } π P = π P, S,,2,... j ji i ij j S i S i S j S Special structure of the Markov chai simplifies task
17 3-7 Global Balace Equatios Proof π = π P ad P = j i ij ji i= i= π P = π P π P = π P j ji i ij j ji i ij i= i= i j i j π P = π P π P = π P j ji i ij j ji i ij i= i= j S i= j S i= π j Pji + Pji = πipij + πipij j S i S i S j S i S i S π j Pji = πi Pij j S i S i S j S
18 3-8 Birth-Death Process S S c P P, P, P P P, P, P +, Oe-dimesioal Markov chai with trasitios oly betwee eighborig states: P ij =, if i-j > Detailed Balace Equatios (DBE) π P = π P =,,..., + + +, Proof: GBE with S ={,,,} give: π P = π P π P = π P j ji i ij, + + +, j= i= + j= i= +
19 3-9 Example: Discrete-Time Queue I a time-slot, oe arrival with probability p or zero arrivals with probability -p I a time-slot, the customer i service departs with probability q or stays with probability -q Idepedet arrivals ad service times State: umber of customers i system p p( q) p p( q) 2 + ( p) q( p) q( p) ( p)( q) + pq q( p) ( p)( q) + pq
20 3-2 Example: Discrete-Time Queue p p( q) p( q) p( q) 2 + ( p) q( p) q( p) ( p)( q) + pq q( p) p/ q πp= π q( p) π = π p p( q) π p( q) = π + q( p) π+ = π, q( p) p( q) Defie: ρ p/ q, α q( p) ρ π = π ρ p π = α π, p π+ = απ, ( p)( q) + pq
21 3-2 Example: Discrete-Time Queue Have determied the distributio as a fuctio of π How do we calculate the ormalizatio costat π? Probability coservatio law: ρ ρ π π = = α = + = + = p ( p) ( α) Notig that ρ p π = α π, q( p) p( q) q( p) q p q ( p)( α ) = ( p) = = ρ π = ρ π = ρ( α) α,
22 3-22 Detailed Balace Equatios Geeral case: Imply the GBE Need ot hold for a give Markov chai Greatly simplify the calculatio of statioary distributio Methodology: π P = π P i, j =,,... j ji i ij Assume DBE hold have to guess their form Solve the system defied by DBE ad Σ i π i = If system is icosistet, the DBE do ot hold If system has a solutio {π i : i=,, }, the this is the uique statioary distributio
23 3-23 Geeralized Markov Chais Markov chai o a set of states {,, }, that wheever eters state i The ext state that will be etered is j with probability P ij Give that the ext state etered will be j, the time it speds at state i util the trasitio occurs is a RV with distributio F ij {Z(t): t } describig the state the chai is i at time t: Geeralized Markov chai, or Semi-Markov process It does ot have the Markov property: future depeds o The preset state, ad The legth of time the process has spet i this state
24 3-24 Geeralized Markov Chais T i : time process speds at state i, before makig a trasitio holdig time Probability distributio fuctio of T i H () t = P{ T t} = P{ T t ext state j} P = F () t P i i i ij ij ij j= j= ET [ i] = tdhi( t) T ii : time betwee successive trasitios to i X is the th state visited. {X : =,, } Is a Markov chai: embedded Markov chai Has trasitio probabilities P ij Semi-Markov process irreducible: if its embedded Markov chai is irreducible
25 3-25 Limit Theorems Theorem 3: Irreducible semi-markov process, E[T ii ] < For ay state j, the followig limit p = lim P{ Z( t) = j Z() = i}, i =,,2,... j t exists ad is idepedet of the iitial state. p j = ET [ ] ET [ ] T j (t): time spet at state j up to time t Tj() t P pj = lim Z() = i = t t j jj p j is equal to the proportio of time spet at state j
26 3-26 Occupacy Distributio Theorem 4: Irreducible semi-markov process; E[T ii ] <. Embedded Markov chai ergodic; statioary distributio π π = π P, j ; π = j i ij i i= i= Occupacy distributio of the semi-markov process p j π j proportio of trasitios ito state j E[T j ] mea time spet at j Probability of beig at j is proportioal to π j E[T j ] π jet [ j] =, j =,,... π ET [ ] i i i
27 3-27 Cotiuous-Time Markov Chais Cotiuous-time process {X(t): t } takig values i {,,2, }. Wheever it eters state i Time it speds at state i is expoetially distributed with parameter ν i Whe it leaves state i, it eters state j with probability P ij, where Σ j i P ij = Cotiuous-time Markov chai is a semi-markov process with ν i F ( t) = e t, i, j =,,... ij Expoetial holdig times: a cotiuous-time Markov chai has the Markov property
28 3-28 Cotiuous-Time Markov Chais Whe at state i, the process makes trasitios to state j i with rate: q ν P ij i ij Total rate of trasitios out of state i j i q = ν P = ν ij i ij i j i Average time spet at state i before makig a trasitio: ET [ ] = / ν i i
29 3-29 Occupacy Probability Irreducible ad regular cotiuous-time Markov chai Embedded Markov chai is irreducible Number of trasitios i a fiite time iterval is fiite with probability From Theorem 3: for ay state j, the limit p = lim P{ X( t) = j X() = i}, i =,,2,... j t exists ad is idepedet of the iitial state p j is the steady-state occupacy probability of state j p j is equal to the proportio of time spet at state j [Why?]
30 3-3 Global Balace Equatios Two possibilities for the occupacy probabilities: p j =, for all j p j >, for all j, ad Σ j p j = Global Balace Equatios p q = pq, j =,,... j ji i ij i j i j Rate of trasitios out of j = rate of trasitios ito j If a distributio {p j : j =,, } satisfies GBE, the it is the uique occupacy distributio of the Markov chai Alterative form of GBE: p q = p q, S {,,...} j ji i ij j S i S i S j S
31 3-3 Detailed Balace Equatios Detailed Balace Equatios pq = pq, i, j=,,... j ji i ij Simplify the calculatio of the statioary distributio Need ot hold for ay give Markov chai Examples: birth-death processes, ad reversible Markov chais
32 3-32 Birth-Death Process S S c λ λ λ λ 2 + µ µ 2 µ µ + Trasitios oly betwee eighborig states q = λ, q = µ, q =, i j > ii, + i ii, i ij Detailed Balace Equatios λ,,,... p = µ + p + = Proof: GBE with S ={,,,} give: pq = pq λ p = µ p j ji i ij + + j= i= + j= i= +
33 3-33 Birth-Death Process µ p = λ p λ λ λ 2 λ λ 2 λ λi = = 2 =... = = µ µ µ µ µ µ i= µ i+ p p p p p λ i λ i λi p p p, if = = i= µ i+ = i= µ i+ = i= µ i+ = + = = + < Use DBE to determie state probabilities as a fuctio of p Use the probability coservatio law to fid p Usig DBE i problems: Prove that DBE hold, or Justify validity (e.g. reversible process), or Assume they hold have to guess their form ad solve system
34 3-34 M/M/ Queue Arrival process: Poisso with rate λ Service times: iid, expoetial with parameter µ Service times ad iterarrival times: idepedet Sigle server Ifiite waitig room N(t): Number of customers i system at time t (state) λ λ λ λ 2 + µ µ µ µ
35 3-35 M/M/ Queue λ λ λ λ 2 + µ Birth-death process DBE Normalizatio costat Statioary distributio µ µ p = λ p λ p = p = ρp =... = ρ p µ = + ρ = = ρ, if ρ < p p p = = p = ρ ( ρ), =,,... µ µ
36 3-36 The M/M/ Queue Average umber of customers ( ) ( ) = = = N = p = ρ ρ = ρ ρ ρ ρ λ N = ρ( ρ) = = ( ) 2 ρ ρ µ λ Applyig Little s Theorem, we have N T = = λ λ = λ µ λ µ λ Similarly, the average waitig time ad umber of customers i the queue is give by W = T 2 ρ ρ = ad NQ = λw = µ µ λ ρ
Generalized Semi- Markov Processes (GSMP)
Geeralized Semi- Markov Processes (GSMP) Summary Some Defiitios Markov ad Semi-Markov Processes The Poisso Process Properties of the Poisso Process Iterarrival times Memoryless property ad the residual
More informationQueuing Theory. Basic properties, Markovian models, Networks of queues, General service time distributions, Finite source models, Multiserver queues
Queuig Theory Basic properties, Markovia models, Networks of queues, Geeral service time distributios, Fiite source models, Multiserver queues Chapter 8 Kedall s Notatio for Queuig Systems A/B/X/Y/Z: A
More informationTCOM 501: Networking Theory & Fundamentals. Lecture 6 February 19, 2003 Prof. Yannis A. Korilis
TCOM 50: Networking Theory & Fundamentals Lecture 6 February 9, 003 Prof. Yannis A. Korilis 6- Topics Time-Reversal of Markov Chains Reversibility Truncating a Reversible Markov Chain Burke s Theorem Queues
More informationB. Maddah ENMG 622 ENMG /27/07
B. Maddah ENMG 622 ENMG 5 3/27/7 Queueig Theory () What is a queueig system? A queueig system cosists of servers (resources) that provide service to customers (etities). A Customer requestig service will
More informationCOUNTABLE-STATE MARKOV CHAINS
Chapter 5 COUNTABLE-STATE MARKOV CHAINS 5.1 Itroductio ad classificatio of states Markov chais with a coutably-ifiite state space (more briefly, coutable-state Markov chais) exhibit some types of behavior
More informationFirst come, first served (FCFS) Batch
Queuig Theory Prelimiaries A flow of customers comig towards the service facility forms a queue o accout of lack of capacity to serve them all at a time. RK Jaa Some Examples: Persos waitig at doctor s
More informationCSCI-6971 Lecture Notes: Stochastic processes
CSCI-6971 Lecture Notes: Stochastic processes Kristopher R. Beevers Departet of Coputer Sciece Resselaer Polytechic Istitute beevek@cs.rpi.edu February 2, 2006 1 Overview Defiitio 1.1. A stochastic process
More informationMarkov Decision Processes
Markov Decisio Processes Defiitios; Statioary policies; Value improvemet algorithm, Policy improvemet algorithm, ad liear programmig for discouted cost ad average cost criteria. Markov Decisio Processes
More informationCS/ECE 715 Spring 2004 Homework 5 (Due date: March 16)
CS/ECE 75 Sprig 004 Homework 5 (Due date: March 6) Problem 0 (For fu). M/G/ Queue with Radom-Sized Batch Arrivals. Cosider the M/G/ system with the differece that customers are arrivig i batches accordig
More informationSimulation of Discrete Event Systems
Simulatio of Discrete Evet Systems Uit 9 Queueig Models Fall Witer 2014/2015 Uiv.-Prof. Dr.-Ig. Dipl.-Wirt.-Ig. Christopher M. Schlick Chair ad Istitute of Idustrial Egieerig ad Ergoomics RWTH Aache Uiversity
More informationAchieving Stationary Distributions in Markov Chains. Monday, November 17, 2008 Rice University
Istructor: Achievig Statioary Distributios i Markov Chais Moday, November 1, 008 Rice Uiversity Dr. Volka Cevher STAT 1 / ELEC 9: Graphical Models Scribe: Rya E. Guerra, Tahira N. Saleem, Terrace D. Savitsky
More informationMS&E 321 Spring Stochastic Systems June 1, 2013 Prof. Peter W. Glynn Page 1 of 5
M&E 321 prig 12-13 tochastic ystems Jue 1, 2013 Prof. Peter W. Gly Page 1 of 5 ectio 6: Harris Recurrece Cotets 6.1 Harris Recurret Markov Chais............................. 1 6.2 tochastic Lyapuov Fuctios..............................
More informationK. Grill Institut für Statistik und Wahrscheinlichkeitstheorie, TU Wien, Austria
MARKOV PROCESSES K. Grill Istitut für Statistik ud Wahrscheilichkeitstheorie, TU Wie, Austria Keywords: Markov process, Markov chai, Markov property, stoppig times, strog Markov property, trasitio matrix,
More informationMassachusetts Institute of Technology
6.0/6.3: Probabilistic Systems Aalysis (Fall 00) Problem Set 8: Solutios. (a) We cosider a Markov chai with states 0,,, 3,, 5, where state i idicates that there are i shoes available at the frot door i
More informationhttp://www.xelca.l/articles/ufo_ladigsbaa_houte.aspx imulatio Output aalysis 3/4/06 This lecture Output: A simulatio determies the value of some performace measures, e.g. productio per hour, average queue
More informationDefine a Markov chain on {1,..., 6} with transition probability matrix P =
Pla Group Work 0. The title says it all Next Tie: MCMC ad Geeral-state Markov Chais Midter Exa: Tuesday 8 March i class Hoework 4 due Thursday Uless otherwise oted, let X be a irreducible, aperiodic Markov
More informationLecture 4. We also define the set of possible values for the random walk as the set of all x R d such that P(S n = x) > 0 for some n.
Radom Walks ad Browia Motio Tel Aviv Uiversity Sprig 20 Lecture date: Mar 2, 20 Lecture 4 Istructor: Ro Peled Scribe: Lira Rotem This lecture deals primarily with recurrece for geeral radom walks. We preset
More informationAnnouncements. Queueing Systems: Lecture 1. Lecture Outline. Topics in Queueing Theory
Aoucemets Queueig Systems: Lecture Amedeo R. Odoi October 4, 2006 PS #3 out this afteroo Due: October 9 (graded by 0/23) Office hours Odoi: Mo. 2:30-4:30 - Wed. 2:30-4:30 o Oct. 8 (No office hrs 0/6) _
More informationTUFTS UNIVERSITY DEPARTMENT OF CIVIL AND ENVIRONMENTAL ENGINEERING ES 152 ENGINEERING SYSTEMS Spring Lesson 14. Queue System Theory
TUFTS UNIVERSITY DEARTMENT OF CIVI AND ENVIRONMENTA ENGINEERING ES 52 ENGINEERING SYSTEMS Sprig 2 esso 4 Queue System Theory There exists a cosiderable body of theoretical aalysis of ueues. (Chapter 7
More informationEntropy Rates and Asymptotic Equipartition
Chapter 29 Etropy Rates ad Asymptotic Equipartitio Sectio 29. itroduces the etropy rate the asymptotic etropy per time-step of a stochastic process ad shows that it is well-defied; ad similarly for iformatio,
More informationMa 530 Introduction to Power Series
Ma 530 Itroductio to Power Series Please ote that there is material o power series at Visual Calculus. Some of this material was used as part of the presetatio of the topics that follow. What is a Power
More informationSINGLE-CHANNEL QUEUING PROBLEMS APPROACH
SINGLE-CHANNEL QUEUING ROBLEMS AROACH Abdurrzzag TAMTAM, Doctoral Degree rogramme () Dept. of Telecommuicatios, FEEC, BUT E-mail: xtamta@stud.feec.vutbr.cz Supervised by: Dr. Karol Molár ABSTRACT The paper
More informationReliability and Queueing
Copyright 999 Uiversity of Califoria Reliability ad Queueig by David G. Messerschmitt Supplemetary sectio for Uderstadig Networked Applicatios: A First Course, Morga Kaufma, 999. Copyright otice: Permissio
More informationMATH 10550, EXAM 3 SOLUTIONS
MATH 155, EXAM 3 SOLUTIONS 1. I fidig a approximate solutio to the equatio x 3 +x 4 = usig Newto s method with iitial approximatio x 1 = 1, what is x? Solutio. Recall that x +1 = x f(x ) f (x ). Hece,
More informationREPRESENTING MARKOV CHAINS WITH TRANSITION DIAGRAMS
Joural o Mathematics ad Statistics, 9 (3): 49-54, 3 ISSN 549-36 3 Sciece Publicatios doi:.38/jmssp.3.49.54 Published Olie 9 (3) 3 (http://www.thescipub.com/jmss.toc) REPRESENTING MARKOV CHAINS WITH TRANSITION
More informationA queueing system can be described as customers arriving for service, waiting for service if it is not immediate, and if having waited for service,
Queuig System A queueig system ca be described as customers arrivig for service, waitig for service if it is ot immediate, ad if havig waited for service, leavig the service after beig served. The basic
More informationInfinite Sequences and Series
Chapter 6 Ifiite Sequeces ad Series 6.1 Ifiite Sequeces 6.1.1 Elemetary Cocepts Simply speakig, a sequece is a ordered list of umbers writte: {a 1, a 2, a 3,...a, a +1,...} where the elemets a i represet
More informationCHAPTER 10 INFINITE SEQUENCES AND SERIES
CHAPTER 10 INFINITE SEQUENCES AND SERIES 10.1 Sequeces 10.2 Ifiite Series 10.3 The Itegral Tests 10.4 Compariso Tests 10.5 The Ratio ad Root Tests 10.6 Alteratig Series: Absolute ad Coditioal Covergece
More informationThis section is optional.
4 Momet Geeratig Fuctios* This sectio is optioal. The momet geeratig fuctio g : R R of a radom variable X is defied as g(t) = E[e tx ]. Propositio 1. We have g () (0) = E[X ] for = 1, 2,... Proof. Therefore
More informationif j is a neighbor of i,
We see that if i = j the the coditio is trivially satisfied. Otherwise, T ij (i) = (i)q ij mi 1, (j)q ji, ad, (i)q ij T ji (j) = (j)q ji mi 1, (i)q ij. (j)q ji Now there are two cases, if (j)q ji (i)q
More informationLimit Theorems. Convergence in Probability. Let X be the number of heads observed in n tosses. Then, E[X] = np and Var[X] = np(1-p).
Limit Theorems Covergece i Probability Let X be the umber of heads observed i tosses. The, E[X] = p ad Var[X] = p(-p). L O This P x p NM QP P x p should be close to uity for large if our ituitio is correct.
More information62. Power series Definition 16. (Power series) Given a sequence {c n }, the series. c n x n = c 0 + c 1 x + c 2 x 2 + c 3 x 3 +
62. Power series Defiitio 16. (Power series) Give a sequece {c }, the series c x = c 0 + c 1 x + c 2 x 2 + c 3 x 3 + is called a power series i the variable x. The umbers c are called the coefficiets of
More informationc. Explain the basic Newsvendor model. Why is it useful for SC models? e. What additional research do you believe will be helpful in this area?
1. Research Methodology a. What is meat by the supply chai (SC) coordiatio problem ad does it apply to all types of SC s? Does the Bullwhip effect relate to all types of SC s? Also does it relate to SC
More informationAdvanced Stochastic Processes.
Advaced Stochastic Processes. David Gamarik LECTURE 2 Radom variables ad measurable fuctios. Strog Law of Large Numbers (SLLN). Scary stuff cotiued... Outlie of Lecture Radom variables ad measurable fuctios.
More informationApply change-of-basis formula to rewrite x as a linear combination of eigenvectors v j.
Eigevalue-Eigevector Istructor: Nam Su Wag eigemcd Ay vector i real Euclidea space of dimesio ca be uiquely epressed as a liear combiatio of liearly idepedet vectors (ie, basis) g j, j,,, α g α g α g α
More informationFinal Review for MATH 3510
Fial Review for MATH 50 Calculatio 5 Give a fairly simple probability mass fuctio or probability desity fuctio of a radom variable, you should be able to compute the expected value ad variace of the variable
More informationTime Reversibility and Burke s Theorem
Queuing Analysis: Time Reversibility and Burke s Theorem Hongwei Zhang http://www.cs.wayne.edu/~hzhang Acknowledgement: this lecture is partially based on the slides of Dr. Yannis A. Korilis. Outline Time-Reversal
More informationRandom Models. Tusheng Zhang. February 14, 2013
Radom Models Tusheg Zhag February 14, 013 1 Radom Walks Let me describe the model. Radom walks are used to describe the motio of a movig particle (object). Suppose that a particle (object) moves alog the
More informationMath 61CM - Solutions to homework 3
Math 6CM - Solutios to homework 3 Cédric De Groote October 2 th, 208 Problem : Let F be a field, m 0 a fixed oegative iteger ad let V = {a 0 + a x + + a m x m a 0,, a m F} be the vector space cosistig
More informationMa 530 Infinite Series I
Ma 50 Ifiite Series I Please ote that i additio to the material below this lecture icorporated material from the Visual Calculus web site. The material o sequeces is at Visual Sequeces. (To use this li
More informationOutline Continuous-time Markov Process Poisson Process Thinning Conditioning on the Number of Events Generalizations
Expoetial Distributio ad Poisso Process Page 1 Outlie Cotiuous-time Markov Process Poisso Process Thiig Coditioig o the Number of Evets Geeralizatios Radom Vectors utdallas Probability ad Stochastic Processes
More information1.3 Convergence Theorems of Fourier Series. k k k k. N N k 1. With this in mind, we state (without proof) the convergence of Fourier series.
.3 Covergece Theorems of Fourier Series I this sectio, we preset the covergece of Fourier series. A ifiite sum is, by defiitio, a limit of partial sums, that is, a cos( kx) b si( kx) lim a cos( kx) b si(
More informationIt is always the case that unions, intersections, complements, and set differences are preserved by the inverse image of a function.
MATH 532 Measurable Fuctios Dr. Neal, WKU Throughout, let ( X, F, µ) be a measure space ad let (!, F, P ) deote the special case of a probability space. We shall ow begi to study real-valued fuctios defied
More informationIncreasing timing capacity using packet coloring
003 Coferece o Iformatio Scieces ad Systems, The Johs Hopkis Uiversity, March 4, 003 Icreasig timig capacity usig packet colorig Xi Liu ad R Srikat[] Coordiated Sciece Laboratory Uiversity of Illiois e-mail:
More informationOn forward improvement iteration for stopping problems
O forward improvemet iteratio for stoppig problems Mathematical Istitute, Uiversity of Kiel, Ludewig-Mey-Str. 4, D-24098 Kiel, Germay irle@math.ui-iel.de Albrecht Irle Abstract. We cosider the optimal
More information6.041/6.431 Spring 2009 Final Exam Thursday, May 21, 1:30-4:30 PM.
6.041/6.431 Sprig 2009 Fial Exam Thursday, May 21, 1:30-4:30 PM. Name: Recitatio Istructor: Questio Part Score Out of 0 2 1 all 18 2 all 24 3 a 4 b 4 c 4 4 a 6 b 6 c 6 5 a 6 b 6 6 a 4 b 4 c 4 d 5 e 5 7
More informationApart from this page, you are not permitted to read the contents of this question paper until instructed to do so by an invigilator.
B. Sc. Examiatio by course uit 26 MTH734U: Topics i Probability & Stochastic Processes[SOLUTIONS] Duratio: 3 hours Date ad time: To Be Determied Apart from this page, you are ot permitted to read the cotets
More informationTHE ROYAL STATISTICAL SOCIETY GRADUATE DIPLOMA STATISTICAL THEORY AND METHODS PAPER I
THE ROYAL STATISTICAL SOCIETY 5 EXAMINATIONS SOLUTIONS GRADUATE DIPLOMA STATISTICAL THEORY AND METHODS PAPER I The Society provides these solutios to assist cadidates preparig for the examiatios i future
More informationOlli Simula T / Chapter 1 3. Olli Simula T / Chapter 1 5
Sigals ad Systems Sigals ad Systems Sigals are variables that carry iformatio Systemstake sigals as iputs ad produce sigals as outputs The course deals with the passage of sigals through systems T-6.4
More informationMath 113 Exam 3 Practice
Math Exam Practice Exam will cover.-.9. This sheet has three sectios. The first sectio will remid you about techiques ad formulas that you should kow. The secod gives a umber of practice questios for you
More informationPhysics 324, Fall Dirac Notation. These notes were produced by David Kaplan for Phys. 324 in Autumn 2001.
Physics 324, Fall 2002 Dirac Notatio These otes were produced by David Kapla for Phys. 324 i Autum 2001. 1 Vectors 1.1 Ier product Recall from liear algebra: we ca represet a vector V as a colum vector;
More informationNUMERICAL METHODS FOR SOLVING EQUATIONS
Mathematics Revisio Guides Numerical Methods for Solvig Equatios Page 1 of 11 M.K. HOME TUITION Mathematics Revisio Guides Level: GCSE Higher Tier NUMERICAL METHODS FOR SOLVING EQUATIONS Versio:. Date:
More informationNotes 27 : Brownian motion: path properties
Notes 27 : Browia motio: path properties Math 733-734: Theory of Probability Lecturer: Sebastie Roch Refereces:[Dur10, Sectio 8.1], [MP10, Sectio 1.1, 1.2, 1.3]. Recall: DEF 27.1 (Covariace) Let X = (X
More informationQueueing Theory II. Summary. M/M/1 Output process Networks of Queue Method of Stages. General Distributions
Queueig Theory II Suary M/M/1 Output process Networks of Queue Method of Stages Erlag Distributio Hyperexpoetial Distributio Geeral Distributios Ebedded Markov Chais 1 M/M/1 Output Process Burke s Theore:
More informationCEE 522 Autumn Uncertainty Concepts for Geotechnical Engineering
CEE 5 Autum 005 Ucertaity Cocepts for Geotechical Egieerig Basic Termiology Set A set is a collectio of (mutually exclusive) objects or evets. The sample space is the (collectively exhaustive) collectio
More informationThe Poisson Process *
OpeStax-CNX module: m11255 1 The Poisso Process * Do Johso This work is produced by OpeStax-CNX ad licesed uder the Creative Commos Attributio Licese 1.0 Some sigals have o waveform. Cosider the measuremet
More information6.867 Machine learning, lecture 7 (Jaakkola) 1
6.867 Machie learig, lecture 7 (Jaakkola) 1 Lecture topics: Kerel form of liear regressio Kerels, examples, costructio, properties Liear regressio ad kerels Cosider a slightly simpler model where we omit
More informationChapter 6 Principles of Data Reduction
Chapter 6 for BST 695: Special Topics i Statistical Theory. Kui Zhag, 0 Chapter 6 Priciples of Data Reductio Sectio 6. Itroductio Goal: To summarize or reduce the data X, X,, X to get iformatio about a
More information2 Markov Chain Monte Carlo Sampling
22 Part I. Markov Chais ad Stochastic Samplig Figure 10: Hard-core colourig of a lattice. 2 Markov Chai Mote Carlo Samplig We ow itroduce Markov chai Mote Carlo (MCMC) samplig, which is a extremely importat
More informationChapter 10 Partial Differential Equations and Fourier Series
Math-33 Chapter Partial Differetial Equatios November 6, 7 Chapter Partial Differetial Equatios ad Fourier Series Math-33 Chapter Partial Differetial Equatios November 6, 7. Boudary Value Problems for
More informationNOTES ON DISTRIBUTIONS
NOTES ON DISTRIBUTIONS MICHAEL N KATEHAKIS Radom Variables Radom variables represet outcomes from radom pheomea They are specified by two objects The rage R of possible values ad the frequecy fx with which
More informationIntroduction to probability Stochastic Process Queuing systems. TELE4642: Week2
Itroductio to probability Stochastic Process Queuig systems TELE4642: Week2 Overview Refresher: Probability theory Termiology, defiitio Coditioal probability, idepedece Radom variables ad distributios
More informationThe Borel hierarchy classifies subsets of the reals by their topological complexity. Another approach is to classify them by size.
Lecture 7: Measure ad Category The Borel hierarchy classifies subsets of the reals by their topological complexity. Aother approach is to classify them by size. Filters ad Ideals The most commo measure
More informationSTOCHASTIC NETWORKS EXAMPLE SHEET 2 SOLUTIONS
STOCHASTIC NETWORKS EXAMPLE SHEET 2 SOLUTIONS ELENA YUDOVINA Exercise. Show that the traffic equatios for a ope migratio process have a uique solutio, ad that this solutio is positive. [Hit: From the irreducibility
More informationMATH 320: Probability and Statistics 9. Estimation and Testing of Parameters. Readings: Pruim, Chapter 4
MATH 30: Probability ad Statistics 9. Estimatio ad Testig of Parameters Estimatio ad Testig of Parameters We have bee dealig situatios i which we have full kowledge of the distributio of a radom variable.
More informationIIT JAM Mathematical Statistics (MS) 2006 SECTION A
IIT JAM Mathematical Statistics (MS) 6 SECTION A. If a > for ad lim a / L >, the which of the followig series is ot coverget? (a) (b) (c) (d) (d) = = a = a = a a + / a lim a a / + = lim a / a / + = lim
More informationZeros of Polynomials
Math 160 www.timetodare.com 4.5 4.6 Zeros of Polyomials I these sectios we will study polyomials algebraically. Most of our work will be cocered with fidig the solutios of polyomial equatios of ay degree
More informationTopic 5 [434 marks] (i) Find the range of values of n for which. (ii) Write down the value of x dx in terms of n, when it does exist.
Topic 5 [44 marks] 1a (i) Fid the rage of values of for which eists 1 Write dow the value of i terms of 1, whe it does eist Fid the solutio to the differetial equatio 1b give that y = 1 whe = π (cos si
More informationTime-Domain Representations of LTI Systems
2.1 Itroductio Objectives: 1. Impulse resposes of LTI systems 2. Liear costat-coefficiets differetial or differece equatios of LTI systems 3. Bloc diagram represetatios of LTI systems 4. State-variable
More informationChapter 2 Systems and Signals
Chapter 2 Systems ad Sigals 1 Itroductio Discrete-Time Sigals: Sequeces Discrete-Time Systems Properties of Liear Time-Ivariat Systems Liear Costat-Coefficiet Differece Equatios Frequecy-Domai Represetatio
More informationLecture 19: Convergence
Lecture 19: Covergece Asymptotic approach I statistical aalysis or iferece, a key to the success of fidig a good procedure is beig able to fid some momets ad/or distributios of various statistics. I may
More informationLecture 6 Chi Square Distribution (χ 2 ) and Least Squares Fitting
Lecture 6 Chi Square Distributio (χ ) ad Least Squares Fittig Chi Square Distributio (χ ) Suppose: We have a set of measuremets {x 1, x, x }. We kow the true value of each x i (x t1, x t, x t ). We would
More informationCHAPTER 5. Theory and Solution Using Matrix Techniques
A SERIES OF CLASS NOTES FOR 2005-2006 TO INTRODUCE LINEAR AND NONLINEAR PROBLEMS TO ENGINEERS, SCIENTISTS, AND APPLIED MATHEMATICIANS DE CLASS NOTES 3 A COLLECTION OF HANDOUTS ON SYSTEMS OF ORDINARY DIFFERENTIAL
More informationWe are mainly going to be concerned with power series in x, such as. (x)} converges - that is, lims N n
Review of Power Series, Power Series Solutios A power series i x - a is a ifiite series of the form c (x a) =c +c (x a)+(x a) +... We also call this a power series cetered at a. Ex. (x+) is cetered at
More informationBirth-Death Processes. Outline. EEC 686/785 Modeling & Performance Evaluation of Computer Systems. Relationship Among Stochastic Processes.
EEC 686/785 Modelig & Perforace Evaluatio of Couter Systes Lecture Webig Zhao Deartet of Electrical ad Couter Egieerig Clevelad State Uiversity webig@ieee.org based o Dr. Raj jai s lecture otes Relatioshi
More informationPRACTICE PROBLEMS FOR THE FINAL
PRACTICE PROBLEMS FOR THE FINAL Math 36Q Fall 25 Professor Hoh Below is a list of practice questios for the Fial Exam. I would suggest also goig over the practice problems ad exams for Exam ad Exam 2 to
More information2.4 - Sequences and Series
2.4 - Sequeces ad Series Sequeces A sequece is a ordered list of elemets. Defiitio 1 A sequece is a fuctio from a subset of the set of itegers (usually either the set 80, 1, 2, 3,... < or the set 81, 2,
More informationLecture Chapter 6: Convergence of Random Sequences
ECE5: Aalysis of Radom Sigals Fall 6 Lecture Chapter 6: Covergece of Radom Sequeces Dr Salim El Rouayheb Scribe: Abhay Ashutosh Doel, Qibo Zhag, Peiwe Tia, Pegzhe Wag, Lu Liu Radom sequece Defiitio A ifiite
More informationTest of Statistics - Prof. M. Romanazzi
1 Uiversità di Veezia - Corso di Laurea Ecoomics & Maagemet Test of Statistics - Prof. M. Romaazzi 19 Jauary, 2011 Full Name Matricola Total (omial) score: 30/30 (2 scores for each questio). Pass score:
More information6 Integers Modulo n. integer k can be written as k = qn + r, with q,r, 0 r b. So any integer.
6 Itegers Modulo I Example 2.3(e), we have defied the cogruece of two itegers a,b with respect to a modulus. Let us recall that a b (mod ) meas a b. We have proved that cogruece is a equivalece relatio
More informationIntegrable Functions. { f n } is called a determining sequence for f. If f is integrable with respect to, then f d does exist as a finite real number
MATH 532 Itegrable Fuctios Dr. Neal, WKU We ow shall defie what it meas for a measurable fuctio to be itegrable, show that all itegral properties of simple fuctios still hold, ad the give some coditios
More informationLecture 6 Chi Square Distribution (χ 2 ) and Least Squares Fitting
Lecture 6 Chi Square Distributio (χ ) ad Least Squares Fittig Chi Square Distributio (χ ) Suppose: We have a set of measuremets {x 1, x, x }. We kow the true value of each x i (x t1, x t, x t ). We would
More informationEE / EEE SAMPLE STUDY MATERIAL. GATE, IES & PSUs Signal System. Electrical Engineering. Postal Correspondence Course
Sigal-EE Postal Correspodece Course 1 SAMPLE STUDY MATERIAL Electrical Egieerig EE / EEE Postal Correspodece Course GATE, IES & PSUs Sigal System Sigal-EE Postal Correspodece Course CONTENTS 1. SIGNAL
More informationThe Method of Least Squares. To understand least squares fitting of data.
The Method of Least Squares KEY WORDS Curve fittig, least square GOAL To uderstad least squares fittig of data To uderstad the least squares solutio of icosistet systems of liear equatios 1 Motivatio Curve
More informationL = n i, i=1. dp p n 1
Exchageable sequeces ad probabilities for probabilities 1996; modified 98 5 21 to add material o mutual iformatio; modified 98 7 21 to add Heath-Sudderth proof of de Fietti represetatio; modified 99 11
More informationTopic 1 2: Sequences and Series. A sequence is an ordered list of numbers, e.g. 1, 2, 4, 8, 16, or
Topic : Sequeces ad Series A sequece is a ordered list of umbers, e.g.,,, 8, 6, or,,,.... A series is a sum of the terms of a sequece, e.g. + + + 8 + 6 + or... Sigma Notatio b The otatio f ( k) is shorthad
More information(b) What is the probability that a particle reaches the upper boundary n before the lower boundary m?
MATH 529 The Boudary Problem The drukard s walk (or boudary problem) is oe of the most famous problems i the theory of radom walks. Oe versio of the problem is described as follows: Suppose a particle
More informationExample 2. Find the upper bound for the remainder for the approximation from Example 1.
Lesso 8- Error Approimatios 0 Alteratig Series Remaider: For a coverget alteratig series whe approimatig the sum of a series by usig oly the first terms, the error will be less tha or equal to the absolute
More informationDiscrete probability distributions
Discrete probability distributios I the chapter o probability we used the classical method to calculate the probability of various values of a radom variable. I some cases, however, we may be able to develop
More informationArkansas Tech University MATH 2924: Calculus II Dr. Marcel B. Finan
Arkasas Tech Uiversity MATH 94: Calculus II Dr Marcel B Fia 85 Power Series Let {a } =0 be a sequece of umbers The a power series about x = a is a series of the form a (x a) = a 0 + a (x a) + a (x a) +
More informationSection 11.8: Power Series
Sectio 11.8: Power Series 1. Power Series I this sectio, we cosider geeralizig the cocept of a series. Recall that a series is a ifiite sum of umbers a. We ca talk about whether or ot it coverges ad i
More informationChapter 10 Advanced Topics in Random Processes
ery Stark ad Joh W. Woods, Probability, Statistics, ad Radom Variables for Egieers, 4th ed., Pearso Educatio Ic.,. ISBN 978--3-33-6 Chapter Advaced opics i Radom Processes Sectios. Mea-Square (m.s.) Calculus
More informationEECS564 Estimation, Filtering, and Detection Hwk 2 Solns. Winter p θ (z) = (2θz + 1 θ), 0 z 1
EECS564 Estimatio, Filterig, ad Detectio Hwk 2 Sols. Witer 25 4. Let Z be a sigle observatio havig desity fuctio where. p (z) = (2z + ), z (a) Assumig that is a oradom parameter, fid ad plot the maximum
More information(6) Fundamental Sampling Distribution and Data Discription
34 Stat Lecture Notes (6) Fudametal Samplig Distributio ad Data Discriptio ( Book*: Chapter 8,pg5) Probability& Statistics for Egieers & Scietists By Walpole, Myers, Myers, Ye 8.1 Radom Samplig: Populatio:
More informationB. Maddah ENMG 622 ENMG /20/09
B. Maddah ENMG 6 ENMG 5 5//9 Queueig Theory () Distributio of waitig time i M/M/ Let T q be the waitig time i queue of a ustomer. The it a be show that, ( ) t { q > } =. T t e Let T be the total time of
More information6.3 Testing Series With Positive Terms
6.3. TESTING SERIES WITH POSITIVE TERMS 307 6.3 Testig Series With Positive Terms 6.3. Review of what is kow up to ow I theory, testig a series a i for covergece amouts to fidig the i= sequece of partial
More informationSimilarity Solutions to Unsteady Pseudoplastic. Flow Near a Moving Wall
Iteratioal Mathematical Forum, Vol. 9, 04, o. 3, 465-475 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/0.988/imf.04.48 Similarity Solutios to Usteady Pseudoplastic Flow Near a Movig Wall W. Robi Egieerig
More informationDistribution of Random Samples & Limit theorems
STAT/MATH 395 A - PROBABILITY II UW Witer Quarter 2017 Néhémy Lim Distributio of Radom Samples & Limit theorems 1 Distributio of i.i.d. Samples Motivatig example. Assume that the goal of a study is to
More informationLecture 6: Integration and the Mean Value Theorem. slope =
Math 8 Istructor: Padraic Bartlett Lecture 6: Itegratio ad the Mea Value Theorem Week 6 Caltech 202 The Mea Value Theorem The Mea Value Theorem abbreviated MVT is the followig result: Theorem. Suppose
More informationMedian and IQR The median is the value which divides the ordered data values in half.
STA 666 Fall 2007 Web-based Course Notes 4: Describig Distributios Numerically Numerical summaries for quatitative variables media ad iterquartile rage (IQR) 5-umber summary mea ad stadard deviatio Media
More information