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ISyE 3232A Quiz 4

Fall 2014
I,
, do swear that I abide by the Georgia Tech Honor
Code. I understand that any honor code violations will result in a failure for this course.
Signature:
You will have 1 hour and 15 minutes.
This quiz is closed book and closed notes. Calculators are not allowed. No scrap paper is
allowed. Make sure that there is nothing on your desk except pens and erasers.
If you need extra space, use the back of the page and indicate that you have done so.
Do not remove any page from the original staple.
points off.

Otherwise, there will be 5

Show your work. If you do not show your work, we will give zero point for the problem
even if your answer is correct.
We will not select among several answers. Make sure it is clear what part of your
work you want graded. If two answers are given, a zero point will be given for the problem.
Throughout, you will receive full credit if someone with no understanding of probability or
set theory could simplify your answer to obtain the correct numerical solution. However,
you must give a numerical answer where asked.
1. An exponentially distributed random variable X has pdf f (x) = expx and CDF
F (x) = 1 expx with mean 1/ and variance 1/2 .
2. A Poisson process N (t) with rate has Pr(N (t) = n) =

expt (t)n
.
n!

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1. (6 points total, 2 points each) Short-Answered Questions.
(a) Which of the following is most likely to have independent increments? (1) golf cart
arrivals to an internal repair center for a small golf course with 15 carts; (2) arrivals
of GT students with strep throat to the GT health care center; (3) customer arrivals
to GT Barnes & Nobles bookstore; (4) patient arrivals to a dentist office.
(b) Which of the following is most likely to have stationary increments? (1) heater
demands from January 2014 to December 2014; (2) heater demands from March
2014 to December 2014; (3) heater demands from July 2014 to December 2014; (4)
heater demands from November 2014 to December 2014.
(c) Consider a Markov chain with the following transition matirx. Is it irreducible? If
yes, what is the period of the Markov chain? If not, why?

0 .5 .5
P = 0 0 1
1 0 0

2. (10 points) Let X be a Markov chain with

0
.25
P =
0
.3

state space {1, 2, 3, 4} with transition matrix

.1 0 .9
0 .75 0

.5 0 .5
0 .7 0

(a) (6 points) Set up equations necessary to calculate stationary distribution . (Do not
attempt to solve the equations. Just set them up.)

(b) (2 points) Is the unique stationary distribution of X? Explain in one sentence

with legible handwriting.

(c) (2 points) Does limn P (n) exist? Explain in one sentence with legible handwriting.

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3. (14 points) Consider a Markov chain with state
transition matrix

.75 .25 0 0
.5 .5 0 0

.5
0 0 0

0 .8 0
P = 0
0
1 0 0

0
0 0 0
0
0 0 0
Find P () .

space {1, 2, 3, 4, 5, 6, 7} and the following

0 0
0
0 0
0

0 .5
0

.2 0
0

0 0
0

0 .75 .25
0 .5 .5

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4. (20 points) Consider the following reflected random walk on state space {0, 1, 2, . . .}.
p0
q0

1
q

...

2
q

where q = 1 p.
(a) (9 points) Let p0 = p and q 0 = q. Find the stationary distribution .

(b) (3 points) If p0 = p = 0.2 and q 0 = q = 0.8, is it positive recurrent? Why or why

not? Explain in one sentence with legible handwriting.

(c) (3 points) If p0 = p = 0.8 and q 0 = q = 0.2, is it positive recurrent? Why or why

not? Explain in one sentence with legible handwriting.

(d) (5 points) Now let p0 = 0, q 0 = 1, p = 0.5, and q = 0.5. Find the stationary
distribution . Show your work. If it does not exist, explain why. (Hint: You may
want to re-do state classification.)

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5. (25 points) Suppose there are two tellers taking customers in a bank. Service times at a
teller are independent, exponentially distributed random variables, but the first teller has
a mean service time of 5 minutes while the second teller has a mean of 10 minutes. There
is a single queue for customers awaiting service. Suppose at noon, 3 customers enter the
system. Customer A goes to the first teller, B to the second teller, and C queues.
(a) (5 points) What is the probability that Customer C will still be in the waiting line
at time 12:15?

(b) (5 points) What is the probability that A leaves last?

(c) (5 points) What is the expected service time of C (not including waiting time in
queue)?

(d) (10 points) Suppose D enters the system at 12:15 and A, B, and C are still there.
What is the mean time until all four customers leave?

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6. (25 points) Suppose we are producing wire which is extruded as a long, continuous strand.
After each 100 meters, the wire is cut and placed on a spool. Defects in the wire appear
at random and on the average there are 0.06 defects per meter of wire. Assume that
the spacing between defects is exponentially distributed. For notation, let N (t) be the
number of defects in the first t meters of wire produced.
(a) (5 points) What is the expected number of defects in the first spool?

(b) (5 points) What is the probability that the first spool contains one defect?

(c) (5 points) What is the probability that the tenth spool contains one defect given
that the first nine spools contained no defects?

(d) (10 points) What is the probability that there are exactly one defect among the first
3 spools (i.e., from 0 meter to 300 meters) and at least 1 defect among the 3rd and
4th spools (i.e., from 200 meters to 400 meters)?