MIT2 852S10 Probability

MIT 2.
852 Manufacturing Systems Analysis Lectures 25: Probability

Basic probability, Markov processes, M/M/1 queues, and more
Stanley B. Gershwin
http://web.mit.edu/manuf-sys
Massachusetts Institute of Technology
Spring, 2010
2.852 Manufacturing Systems Analysis
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c 2010 Stanley B. Gershwin. Copyright
Probability and Statistics Trick Question
I ip a coin 100 times, and it shows heads every time. Question: What is the probability that it will show heads on the next ip?
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Probability and Statistics
Probability = Statistics Probability: mathematical theory that describes uncertainty. Statistics: set of techniques for extracting useful information from data.
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Interpretations of probability Frequency
The probability that the outcome of an experiment is A is prob (A) if the experiment is performed a large number of times and the fraction of times that the observed outcome is A is prob (A).
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Interpretations of probability Parallel universes
The probability that the outcome of an experiment is A is prob (A) if the experiment is performed in each parallel universe and the fraction of universes in which the observed outcome is A is prob (A).
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Interpretations of probability Betting Odds
The probability that the outcome of an experiment is A is prob (A) = P (A) if before the experiment is performed a risk-neutral observer would be P (A) willing to bet $1 against more than $ 1 P (A) .
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Interpretations of probability State of belief
The probability that the outcome of an experiment is A is prob (A) if that is the opinion (ie, belief or state of mind) of an observer before the experiment is performed.
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Interpretations of probability Abstract measure
The probability that the outcome of an experiment is A is prob (A) if prob () satises a certain set of axioms.
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Interpretations of probability Abstract measure
Axioms of probability Let U be a set of samples . Let E1 , E2 , ... be subsets of U . Let be the null set (the set that has no elements).

0 prob (Ei ) 1 prob (U ) = 1 prob () = 0 If Ei Ej = , then prob (Ei Ej ) = prob (Ei ) + prob (Ej )
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Probability Basics
Subsets of U are called events.
prob (E ) is the probability of E .
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Probability Basics
If

Ei
Ei Ej = for all i and j ,
Ei = U , and
then
prob (Ei ) = 1
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Probability Basics Set Theory
Venn diagrams
U
) = 1 prob (A) prob (A
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Probability Basics Set Theory
Venn diagrams
U
A B
prob (A B ) = prob (A) + prob (B ) prob (A B )
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AUB
Probability Basics Independence
A and B are independent if prob (A B ) = prob (A) prob (B ).
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Probability Basics Conditional Probability
prob (A|B ) =
prob (A B ) prob (B )
U
A B
prob (A B ) = prob (A|B ) prob (B ).
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AUB
Example Throw a die.

A is the event of getting an odd number (1, 3, 5). B is the event of getting a number less than or equal to 3 (1, 2, 3).
Then prob (A) = prob (B ) = 1/2 and prob (A B ) = prob (1, 3) = 1/3. Also, prob (A|B ) = prob (A B )/ prob (B ) = 2/3.
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Note: prob (A|B ) being large does not mean that B causes A. It only means that if B occurs it is probable that A also occurs. This could be due to A and B having similar causes. Similarly prob (A|B ) being small does not mean that B prevents A.
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Probability Basics Law of Total Probability

B U C A C U A D A D U
Let B = C D and assume C D = . We have prob (A D ) prob (A C ) and prob (A|D ) = . prob (A|C ) = prob (C ) prob (D ) Also prob (C ) prob (C B ) = because C B = C . prob (B ) prob (B ) prob (D ) Similarly, prob (D |B ) = prob (B ) prob (C |B ) =
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A B
A B = A (C D ) = A C + A D A (C D ) = AC +AD Therefore, prob (A B ) = prob (A C ) + prob (A D )

2.852 Manufacturing Systems Analysis 19/128 c 2010 Stanley B. Gershwin. Copyright
Or, prob (A|B ) prob (B ) = prob (A|C ) prob (C ) + prob (A|D ) prob (D ) so prob (A|B ) = prob (A|C ) prob (C |B ) + prob (A|D ) prob (D |B ).
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An important case is when C D = B = U , so that A B = A. Then prob (A) = prob (A C ) + prob (A D ) = prob (A|C ) prob (C ) + prob (A|D ) prob (D ).
A D U C A C U A D=C U
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More generally, if A and E1 , . . . Ek are events and Ei and Ej = , for all i = j and
Ei
Ej = the universal set
(ie, the set of Ej sets is mutually exclusive and collectively exhaustive ) then ...
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prob (Ej ) = 1
and prob (A) =

j
prob (A|Ej ) prob (Ej ).
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Some useful generalizations: prob (A|B ) =

j
prob (A|B and Ej ) prob (Ej |B ),
prob (A and B ) =
j
prob (A|B and Ej ) prob (Ej and B ).
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Probability Basics Random Variables
Let V be a vector space. Then a random variable X is a mapping (a function) from U to V .
If U and x = X ( ) V , then X is a random variable.
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Flip of One Coin Let U =H,T. Let = H if we ip a coin and get heads; = T if we ip a coin and get tails. Let X ( ) be the number of times we get heads. Then X ( ) = 0 or 1. prob ( = T ) = prob (X = 0) = 1/2 prob ( = H ) = prob (X = 1) = 1/2
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Flip of Three Coins
Let U =HHH, HHT, HTH, HTT, THH, THT, TTH, TTT. Let = HHH if we ip 3 coins and get 3 heads; = HHT if we ip 3 coins and get 2 heads and then tails, etc. The order matters!
prob ( ) = 1/8 for all .
Let X be the number of heads. The order does not matter! Then X = 0, 1, 2, or 3.
prob (X = 0)=1/8; prob (X = 1)=3/8; prob (X = 2)=3/8; prob (X = 3)=1/8.
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Probability Distributions Let X ( ) be a random variable. Then prob (X ( ) = x ) is the probability distribution of X (usually written P (x )). For three coin ips:
P(x) 3/8 1/4 1/8
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Dynamic Systems
t is the time index, a scalar. It can be discrete or continuous. X (t ) is the state.

The state can be scalar or vector. The state can be discrete or continuous or mixed. The state can be deterministic or random.
X is a stochastic process if X (t ) is a random variable for every t . The value of X is sometimes written explicitly as X (t , ) or X (t ).
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Discrete Random Variables Bernoulli
Flip a biased coin. If X B is Bernoulli, then there is a p such that prob(X B = 0) = p . prob(X B = 1) = 1 p .
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Discrete Random Variables Binomial
The sum of n independent Bernoulli random variables XiB with the same parameter p is a binomial random variable X b . Xb =
n i =0
XiB n! p x (1 p )(nx ) x !(n x )!
prob (X b = x ) =
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Discrete Random Variables Geometric
The number of independent Bernoulli random variables XiB tested until the rst 0 appears is a geometric random variable X g . X g = min{XiB = 0}
i
To calculate prob
(X g
= t ):
For t = 1, we know prob (X B = 0) = p . Therefore prob (X g > 1) = 1 p .
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For t > 1, prob (X g > t ) = prob (X g > t |X g > t 1) prob (X g > t 1) = (1 p ) prob (X g > t 1), so prob (X g > t ) = (1 p )t and prob (X g = t ) = (1 p )t 1 p
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Alternative view
1p 1
1 p
Consider a two-state system. The system can go from 1 to 0, but not from 0 to 1. Let p be the conditional probability that the system is in state 0 at time t + 1, given that it is in state 1 at time t . That is, p = prob (t + 1) = 0 ( t ) = 1 .
1p
1 p
Let p(, t ) be the probability of the system being in state at time t . Then, since p(0, t + 1) = prob (t + 1) = 0(t ) = 1 prob [(t ) = 1] + prob (t + 1) = 0(t ) = 0 prob [(t ) = 0], p(0, t + 1) = p p(1, t ) + p(0, t ), p(1, t + 1) = (1 p )p(1, t ), and the normalization equation p(1, t ) + p(0, t ) = 1.
(Why?) we have
1p
1 p
Assume that p(1, 0) = 1. Then the solution is p(0, t ) = 1 (1 p )t , p(1, t ) = (1 p )t .
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Geometric Distribution
1
1p
1 p
0.8
probability
0.6
p(0,t) p(1,t)
0.4
0.2
10
20
30
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1p
1 p
Recall that once the system makes the transition from 1 to 0 it can never go back. The probability that the transition takes place at time t is prob [(t ) = 0 and (t 1) = 1] = (1 p )t 1 p . The time of the transition from 1 to 0 is said to be geometrically distributed with parameter p . The expected transition time is 1/p . (Prove it!) Note: If the transition represents a machine failure, then 1/p is the Mean Time to Fail (MTTF). The Mean Time to Repair (MTTR) is similarly calculated.
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Memorylessness: if T is the transition time,
1p
1 p
prob (T > t + x |T > x ) = prob (T > t ).
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Digression: Dierence Equations Denition

A dierence equation is an equation of the form x (t + 1) = f (x (t ), t ) where t is an integer and x (t ) is a real or complex vector. To determine x (t ), we must also specify additional information, for example initial conditions: x (0) = c
Dierence equations are similar to dierential equations. They are easier to solve numerically because we can iterate the equation to determine x (1), x (2), .... In fact, numerical solutions of dierential equations are often obtained by approximating them as dierence equations.
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Digression: Dierence Equations Special Case
A linear dierence equation with constant coecients is one of the form x (t + 1) = Ax (t ) where A is a square matrix of appropriate dimension. Solution: x (t ) = At c However, this form of the solution is not always convenient.
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We can also write

t t x (t ) = b1 t 1 + b2 2 + ... + bk k
where k is the dimensionality of x , 1 , 2 , ..., k are scalars and b1 , b2 , ..., bk are vectors. The bj satisfy c = b1 + b2 + ... + bk
1 , 2 , ..., k are the eigenvalues of A and b1 , b2 , ..., bk are its eigenvectors, but we dont always have to use that explicitly to determine them. This is very similar to the solution of linear dierential equations with constant coecients.
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The typical solution technique is to guess a solution of the form x (t ) = b t and plug it into the dierence equation. We nd that must satisfy a k th order polynomial, which gives us the k s. We also nd that b must satisfy a set of linear equations which depends on . Examples and variations will follow.
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Markov processes
A Markov process is a stochastic process in which the probability of nding X at some value at time t + t depends only on the value of X at time t . Or, let x (s ), s t , be the history of the values of X before time t and let A be a set of possible values of X (t + t ). Then prob {X (t + t ) A|X (s ) = x (s ), s t } = prob {X (t + t ) A|X (t ) = x (t )}
In words: if we know what X was at time t , we dont gain any more useful information about X (t + t ) by also knowing what X was at any time earlier than t .
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Markov processes States and transitions
Discrete state, discrete time
States can be numbered 0, 1, 2, 3, ... (or with multiple indices if that is more convenient). Time can be numbered 0, 1, 2, 3, ... (or 0, , 2, 3, ... if more convenient). The probability of a transition from j to i in one time unit is often written Pij , where Pij = prob{X (t + 1) = i |X (t ) = j }
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Discrete state, discrete time Transition graph
P 1 P 2
24 14
1 P P P
14 24
64
4 P
64
45
6 5 3 7
Pij is a probability. Note that Pii = 1

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m , m =i
Pmi .


Dene pi (t ) = prob{X (t ) = i }.
{pi (t )for all i } is the probability distribution at time t. Transition equations: pi (t + 1) = j Pij pj (t ).
Initial condition: pi (0) specied. For example, if we observe that the system is in state j at time 0, then pj (0) = 1 and pi (0) = 0 for all i = j .
Let the current time be 0. The probability distribution at time t > 0 describes our state of knowledge at time 0 about what state the system will be in at time t . Normalization equation: i pi (t ) = 1.

Steady state: pi = limt pi (t ), if it exists. Steady-state transition equations: pi = j Pij pj . Steady state probability distribution:
Very important concept, but dierent from the usual concept of steady state. The system does not stop changing or approach a limit. The probability distribution stops changing and approaches a limit.
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Steady state probability distribution: Consider a typical (?) Markov process. Look at a system at time 0.
Pick a state. Any state. The probability of the system being in that state at time 1 is very dierent from
the probability of it being in that state at time 2, which is very dierent from it being in that state at time 3.
The probability of the system being in that state at time 1000 is very close to the
probability of it being in that state at time 1001, which is very close to the probability of it being in that state at time 2000.
Then, the system has reached steady state at time 1000.
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Discrete state, discrete time Transition equations are valid for steady-state and non-steady-state conditions.
(Self-loops suppressed for clarity.)

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Balance equations steady-state only. Probability of leaving node i = probability of entering node i . pi Pmi = Pij pj
m,m=i j ,j =i
(Prove it!)
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Markov processes Unreliable machine
1=up; 0=down.
1p r 1 p 0 1r
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The probability distribution satises p(0, t + 1) = p(0, t )(1 r ) + p(1, t )p , p(1, t + 1) = p(0, t )r + p(1, t )(1 p ).
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Solution Guess p(0, t ) = a(0)X t p(1, t ) = a(1)X t Then a(0)X t +1 = a(0)X t (1 r ) + a(1)X t p , a(1)X t +1 = a(0)X t r + a(1)X t (1 p ).

Solution
Or, a(0)X a(1)X or, X X so X =1r + or, (X 1 + r )(X 1 + p ) = rp .
= =
a(0)(1 r ) + a(1)p , a(0)r + a(1)(1 p ).
= =
1r +
a(1) p, a(0)
a(0) r + 1 p. a(1) rp X 1+p

Solution
Two solutions: X = 1 and X = 1 r p . If X = 1,
a(1) a(0) (1) r =p . If X = 1 r p , a a(0) = 1. Therefore
t t p(0, t ) = a1 (0)X1 + a2 (0)X2 = a1 (0) + a2 (0)(1 r p )t r t t p(1, t ) = a1 (1)X1 + a2 (1)X2 = a1 (0) a2 (0)(1 r p )t p
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Solution
To determine a1 (0) and a2 (0), note that p(0, 0) = p(1, 0) = a1 (0) + a2 (0) r a1 (0) a2 (0) p
Therefore p(0, 0) + p(1, 0) = 1 = a1 (0) + a1 (0) So a1 (0) =

r +p r = a1 (0) p p p r +p
p r +p
and a2 (0) = p(0, 0)

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Solution
After more simplication and some beautication, p(0, t ) = p(0, 0)(1 p r )t p + 1 (1 p r )t , r +p p(1, t ) = p(1, 0)(1 p r )t r 1 (1 p r )t . + r +p
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Solution
1
Discrete Time Unreliable Machine
0.8
probability
0.6 p(0,t) p(1,t)
0.4
0.2
20
40
60
80
100
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Steady-state solution As t , p(0) p(1) which is the solution of p(0) = p(0)(1 r ) + p(1)p , p(1) = p(0)r + p(1)(1 p ). p , r +p r r +p
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Steady-state solution If the machine makes one part per time unit when it is operational, the average production rate is p(1) = 1 r = p r +p 1+ . r
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Markov processes States and Transitions
Classication of states A chain is irreducible if and only if each state can be reached from each other state. Let fij be the probability that, if the system is in state j , it will at some later time be in state i . State i is transient if fij < 1. If a steady state distribution exists, and i is a transient state, its steady state probability is 0.
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Classication of states
The states can be uniquely divided into sets T , C1 , . . . Cn such that T is the set of all transient states and fij = 1 for i and j in the same set Cm and fij = 0 for i in some set Cm and j not in that set. If there is only one set C , the chain is irreducible. The sets Cm are called nal classes or absorbing classes and T is the transient class. Transient states cannot be reached from any other states except possibly other transient states. If state i is in T , there is no state j in any set Cm such that there is a sequence of possible transitions (transitions with nonzero probability) from j to i .
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Classication of states
C7 T
C6
C5
C1
C4
C2
C3
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Discrete state, continuous time
States can be numbered 0, 1, 2, 3, ... (or with multiple indices if that is more convenient). Time is a real number, dened on (, ) or a smaller interval. The probability of a transition from j to i during [t , t + t ] is approximately ij t , where t is small, and ij t = prob{X (t + t ) = i |X (t ) = j } + o (t ) for j = i .
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Discrete state, continuous time Transition graph
1
14
no self loops!!!!
24
64
45
6 5 3 7
ij is a probability rate. ij t is a probability.


Dene pi (t ) = prob{X (t ) = i } It is convenient to dene ii = Transition equations:

d pi (t ) dt
=
i
Normalization equation:
pi (t ) = 1.
j =i
ji
ij pj (t ).
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Steady state: pi = limt pi (t ), if it exists. Steady-state transition equations: 0 = j ij pj . Steady-state balance equations: pi m,m=i mi = j ,j =i ij pj Normalization equation: i pi = 1.
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Discrete state, continuous time Sources of confusion in continuous time models:

Never Draw self-loops in continuous time Markov process graphs. Never write 1 14 24 64 . Write

1 (14 + 24 + 64 ) t , or (14 + 24 + 64 )
ii = j =i ji is NOT a probability rate and NOT a probability. It is ONLY a convenient notation.
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Markov processes Exponential

Exponential random variable: the time to move from state 1 to state 0.
p
(t + t ) = 0(t ) = 1 + o (t ).
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p t = prob

1 0
p(0, t + t ) = prob (t + t ) = 0(t ) = 1 prob [(t ) = 1]+ prob (t + t ) = 0(t ) = 0 prob[(t ) = 0]. p(0, t + t ) = p t p(1, t ) + p(0, t ) + o (t ) or d p(0, t ) = p p(1, t ). dt
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or

1 0
Since p(0, t ) + p(1, t ) = 1, d p(1, t ) = p p(1, t ). dt If p(1, 0) = 1, then p(1, t ) = e pt and p(0, t ) = 1 e pt
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Density function The probability that the transition takes place in [t , t + t ] is prob [(t + t ) = 0 and (t ) = 1] = e pt p t . The exponential density function is pe pt . The time of the transition from 1 to 0 is said to be exponentially distributed with rate p . The expected transition time is 1/p . (Prove it!)
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Density function
f (t ) = pe pt for t 0; f (t ) = 0 otherwise; F (t ) = 1 e pt for t 0; F (t ) = 0 otherwise. ET = 1/p , VT = 1/p 2 . Therefore, cv=1.

f(t) 1
0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5
F(t) 1
0.9 0.8 0.7 0.6 0.5 0.4 0.3 0.2 0.1 0 0 0.5 1 1.5 2 2.5 3 3.5 4 4.5
1p
1p
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Density function

Memorylessness: prob (T > t + x |T > x ) = prob (T > t ) prob (t T t + t ) t for small t . If T1 , ..., Tn are exponentially distributed random variables with parameters 1 ..., n and T = min(T1 , ..., Tn ), then T is an exponentially distribution random variable with parameter = 1 + ... + n .
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Density function
Exponential density function and a small number of actual samples.
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Continuous time
r 1 p 0
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Continuous time The probability distribution satises
p(0, t + t ) p(1, t + t ) = p(0, t )(1 r t ) + p(1, t )p t + o ( t ) = p(0, t )r t + p(1, t )(1 p t ) + o ( t )
or d p(0, t ) dt d p(1, t ) dt
= p(0, t )r + p(1, t )p = p(0, t )r p(1, t )p .
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Solution p p + p(0, 0) e (r +p)t p(0, t ) = r +p r +p p(1, t ) = 1 p(0, t ). As t , p(0) p(1) p , r +p r r +p
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Steady-state solution If the machine makes parts per time unit on the average when it is operational, the overall average production rate is p(1) = 1 r = p r +p 1+ . r
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Markov processes The M/M/1 Queue
Simplest model is the M /M /1 queue:
Exponentially distributed inter-arrival times mean is 1/; is arrival rate (customers/time). (Poisson arrival process.) Exponentially distributed service times mean is 1/; is service rate (customers/time). 1 server. Innite waiting area.
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Exponential arrivals:
If a part arrives at time s , the probability that the next part arrives during the interval [s + t , s + t + t ] is e t t + o ( t ) t . is the arrival rate.
Exponential service:
If an operation is completed at time s and the buer is not empty, the probability that the next operation is completed during the interval [s + t , s + t + t ] is e t t + o ( t ) t . is the service rate.
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Sample path Number of customers in the system as a function of time.

n 6 5 4 3 2 1 t
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State Space
0
n1
n+1
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Performance Evaluation Let p(n, t ) be the probability that there are n parts in the system at time t . Then, p(n, t + t ) = p(n 1, t )t + p(n + 1, t )t +p(n, t )(1 (t + t )) + o (t ) for n > 0 and p(0, t + t ) = p(1, t )t + p(0, t )(1 t ) + o (t ).
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Performance Evaluation Or,
d p(n, t ) dt d p(0, t ) dt = = p(n 1, t ) + p(n + 1, t ) p(n, t )( + ), n>0 p(1, t ) p(0, t ).
If a steady state distribution exists, it satises 0 = p(n 1) + p(n + 1) p(n)( + ), n > 0 0 = p(1) p(0). Why if?

Performance Evaluation Let = /. These equations are satised by p(n) = (1 )n , n 0 if < 1. The average number of parts in the system is n =
n
np(n) =
= . 1
From Littles law , the average delay experienced by a part is W = 1 .

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Performance Evaluation
Delay in a M/M/1 Queue 40
30
Delay
20
10
0.25
0.5 0.75 Arrival Rate
Dene the utilization = /. What happens if > 1?
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Performance Evaluation
W
100 80
To increase capacity, increase . To decrease delay for a given , increase .
60
40
20
0 0 0.5 1 1.5 2
=1
=2
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Other Single-Stage Models Things get more complicated when:

There are multiple servers. There is nite space for queueing. The arrival process is not Poisson. The service process is not exponential.
Closed formulas and approximations exist for some cases.
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Continuous random variables Philosophical issues
1. Mathematically, continuous and discrete random variables are very dierent. 2. Quantitatively , however, some continuous models are very close to some discrete models. 3. Therefore, which kind of model to use for a given system is a matter of convenience . Example: The production process for small metal parts (nuts, bolts, washers, etc.) might better be modeled as a continuous ow than a large number of discrete parts.
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Continuous random variables Probability density
High density
The probability of a two-dimensional random variable being in a small square is the probability density times the area of the square. (Actually, it is more general than this.)
Low density
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Continuous random variables Probability density
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Continuous random variables Spaces
Continuous random variables can be dened

in one, two, three, ..., innite dimensional spaces; in nite or innite regions of the spaces. probability measures with the same dimensionality as the space; lower dimensionality than the space; a mix of dimensions.
Continuous random variables can have

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Continuous random variables Dimensionality
M1
B1
x1
M2
B2
x2
M3
M1
B1
M2
B2
M3
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Continuous random variables Dimensionality
M1
B1
x1
M2
B2
x2
M3
M1
B1
M2
B2
M3
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Dimensionality
x2 Onedimensional density Twodimensional density
Probability distribution of the amount of Zerodimensional density material in each of the (mass) two buers.
x1 M1 B1 M2 B2 M3
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Discrete approximation
x2
Probability distribution of the amount of material in each of the two buers.

x1 M1 B1 M2 B2 M3
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Continuous random variables Example

Problem
Production surplus from an unreliable machine
r 1
Production rate =
Production rate = 0
r . (Why?) Demand rate = d < r +p Problem: producing more than has been demanded creates inventory and is wasteful. Producing less reduces revenue or customer goodwill. How can we anticipate and respond to random failures to mitigate these eects?
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Solution
We propose a production policy. Later we show that it is a solution to an optimization problem. Model:
= 1 0<u< u u
= 0 u=0
u=0
How do we choose u?
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Solution Surplus, or inventory/backlog:
Production policy: Choose Z (the hedging point ) Then,
if = 1,

dx (t ) = u (t ) d dt
Cumulative Production and Demand production
dt+Z
if x < Z , u = , if x = Z , u = d , if x > Z , u = 0;
hedging point Z surplus x(t)
if = 0,
demand dt
u = 0.
t
How do we choose Z ?

Mathematical model
Denitions: f (x , , t ) is a probability density function. f (x , , t ) x = prob (x X (t ) x + x and the machine state is at time t ).
prob (Z , , t ) is a probability mass. prob (Z , , t ) = prob (x = Z and the machine state is at time t ). Note that x > Z is transient.
Mathematical model State Space:

dx = d dt
=1 =0
x
dx = d dt
x=Z
103/128
Mathematical model Transitions to = 1, [x , x + x ];

x
x <Z :
=1
no failure
=0
repair
x x=Z
104/128

x
x <Z :
=1
failure
=0
no repair
x x=Z
105/128

x(t) = x( d) t
x <Z :
x(t+ t)
=1
x(t) = x + d t
=0
f (x , 1, t + t ) x = [f (x + d t , 0, t ) x ]r t + [f (x ( d ) t , 1, t ) x ](1 p t ) +o ( t )o ( x )

Mathematical model
Or, f (x , 1, t + t ) = o ( t )o ( x ) x
+f (x + d t , 0, t )r t + f (x ( d ) t , 1, t )(1 p t ) In steady state, f (x , 1) = o ( t )o ( x ) x
+f (x + d t , 0)r t + f (x ( d ) t , 1)(1 p t )
107/128

Mathematical model Expand in Taylor series: f (x , 1) = df (x , 0) f (x , 0) + d t r t dx df (x , 1) ( d )t (1 p t ) + f (x , 1) dx + o (t )o (x ) x
108/128

Mathematical model
Multiply out: f (x , 1) = f (x , 0)r t + +f (x , 1) f (x , 1)p t + df (x , 0) (d )(r ) t 2 dx
df (x , 1) ( d ) t dx df (x , 1) ( d )p t 2 dx
o ( t )o ( x ) x
109/128

Mathematical model Subtract f (x , 1) from both sides and move one of the terms: df (x , 1) o (t )o (x ) ( d )t = dx x +f (x , 0)r t + f (x , 1)p t df (x , 0) (d )(r )t 2 dx
df (x , 1) ( d )p t 2 dx
110/128

Mathematical model Divide through by t : o (t )o (x ) df (x , 1) ( d ) = dx t x +f (x , 0)r + f (x , 1)p df (x , 0) (d )(r )t dx
df (x , 1) ( d )p t dx
111/128
Mathematical model Take the limit as t 0: df (x , 1) ( d ) = f (x , 0)r f (x , 1)p dx
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Mathematical model Transitions to = 0, [x , x + x ]; x <Z :
=1
failure
x(t) = x( d) t x(t+ t) no repair x(t) = x + d t
=0
f (x , 0, t + t ) x = [f (x + d t , 0, t ) x ](1 r t ) + [f (x ( d ) t , 1, t ) x ]p t +o ( t )o ( x )

Mathematical model By following essentially the same steps as for the transitions to = 1, [x , x + x ]; x < Z , we have df (x , 0) d = f (x , 0)r f (x , 1)p dx Note: df (x , 0) df (x , 1) ( d ) = d dx dx Why?
114/128

Mathematical model Transitions to = 1, x = Z :
=1
no failure 1p t Z ( d) t x=Z no failure 1p t
=0
P (Z , 1) = P (Z , 1)(1 p t ) + prob (Z ( d )t < X < Z , = 1)(1 p t ) +o (t ).
115/128

Mathematical model Or, P (Z , 1) = P (Z , 1) P (Z , 1)p t +f (Z ( d )t , 1)( d )t (1 p t ) + o (t ), or, P (Z , 1)p t = o (t )+ df (Z , 1) ( d )t ( d )t (1 p t ), + f (Z , 1) dx
116/128
Mathematical model Or, P (Z , 1)p t = f (Z , 1)( d )t + o (t ) or, P (Z , 1)p = f (Z , 1)( d )
117/128
Mathematical model
=1 =0
dx = d dt
x
dx = d dt
x=Z
P (Z , 0) = 0. Why?
118/128
Mathematical model Transitions to = 0, Z ( d )t < x < Z :

Z d t x=Z
=1
p t failure 1r t no repair
=0
prob (Z d t < X < Z , 0) = f (Z , 0)d t + o (t ) = P (Z , 1)p t + o (t )
119/128
Mathematical model Or, f (Z , 0)d = P (Z , 1)p = f (Z , 1)( d )
120/128

Mathematical model
df (x , 0)d = f (x , 0)r f (x , 1)p dx df (x , 1) ( d ) = f (x , 0)r f (x , 1)p dx f (Z , 1)( d ) = f (Z , 0)d 0 = pP (Z , 1) + f (Z , 1)( d ) 1 = P (Z , 1) + Z
[f (x , 0) + f (x , 1)] dx
121/128

Solution
Solution of equations: f (x , 0) = Ae bx
d bx f (x , 1) = A de bZ P (Z , 1) = A d pe
P (Z , 0) = 0 where b= p r d d
and A is chosen so that normalization is satised.


Solution
Density Function -- Controlled Machine 0.03
0.02
1E-2
0 -40
-20
20
123/128
Observations 1. Meanings of b: Mathematical: In order for the solution on the previous slide to make sense, b > 0. Otherwise, the normalization integral cannot be evaluated.
124/128

Observations
Intuitive:
The average duration of an up period is 1/p . The rate that x increases (while x < Z ) while the machine is up is d . Therefore, the average increase of x during an up period while x < Z is ( d )/p . The average duration of a down period is 1/r . The rate that x decreases while the machine is down is d . Therefore, the average decrease of x during an down period is d /r . In order to guarantee that x does not move toward , we must have ( d )/p > d /r .
125/128
Observations
If then or ( d )/p > d /r , r p < d d b= p r > 0. d d
That is, we must have b > 0 so that there is enough capacity for x to increase on the average when x < Z .
126/128
Observations
Also, note that b > 0 = p r > = d d r ( d ) > pd = r rd > pd = r > rd + pd = which we assumed. r >d r +p
127/128

Observations
2. Let C = Ae bZ . Then f (x , 0) = Ce b(Z x )
d b (Z x ) f (x , 1) = C de
P (Z , 1) = C d p P (Z , 0) = 0 That is, the probability distribution really depends on Z x . If Z is changed, the distribution shifts without changing its shape.
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Spring 2010
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852 Manufacturing Systems Analysis Lectures 25: Probability

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability and Statistics Trick Question

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Probability and Statistics

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c 2010 Stanley B. Gershwin. Copyright

Interpretations of probability Frequency

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Interpretations of probability Parallel universes

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Interpretations of probability Betting Odds

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Interpretations of probability State of belief

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Interpretations of probability Abstract measure

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Interpretations of probability Abstract measure

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Subsets of U are called events.

prob (E ) is the probability of E .

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Ei Ej = for all i and j ,

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Set Theory

) = 1 prob (A) prob (A

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Set Theory

prob (A B ) = prob (A) + prob (B ) prob (A B )

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Independence

A and B are independent if prob (A B ) = prob (A) prob (B ).

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Conditional Probability

prob (A B ) = prob (A|B ) prob (B ).

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Conditional Probability

Example Throw a die.

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Conditional Probability

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Law of Total Probability

2.852 Manufacturing Systems Analysis

c 2010 Stanley B. Gershwin. Copyright

Probability Basics Law of Total Probability

A B = A (C D ) = A C + A D A (C D ) = AC +AD Therefore, prob (A B ) = prob (A C ) + prob (A D )