SUBJECT NAME

: Probability & Queueing Theory

SUBJECT CODE

: MA 2262

MATERIAL NAME

: Formula Material

MATERIAL CODE

: JM08AM1007

Name of the Student:

Branch:

UNIT-I (RANDOM VARIABLES)

1) Discrete random variable:
A random variable whose set of possible values is either finite or countably
infinite is called discrete random variable.
Eg: (i) Let X represent the sum of the numbers on the 2 dice, when two
dice are thrown. In this case the random variable X takes the values 2, 3, 4, 5, 6,
7, 8, 9, 10, 11 and 12. So X is a discrete random variable.
(ii) Number of transmitted bits received in error.
2) Continuous random variable:
A random variable X is said to be continuous if it takes all possible values
between certain limits.
Eg: The length of time during which a vacuum tube installed in a circuit
functions is a continuous random variable, number of scratches on a surface,
proportion of defective parts among 1000 tested, number of transmitted in
error.
3)

Sl.No. Discrete random variable

1

2
3

Continuous random variable

p( x i ) 1

f ( x )dx 1

F ( x) P X x

F ( x) P X x

f ( x )dx

Mean E X xi p( xi )

Mean E X

xf ( x )dx

E X x p( xi )
2

2
i

E X 2

Var X E X 2 E X

Moment = E X r xir pi
i

M.G.F

f ( x )dx

Var X E X 2 E X

Moment = E X r
M.G.F

f ( x )dx

M X t E e tX e tx p( x )
x

M X t E e tX

tx

f ( x )dx

4) E aX b aE X b
5) Var aX b a 2 Var X
6) Var aX bY a 2 Var X b2Var Y
7) Standard Deviation Var X
8) f ( x ) F ( x )
9) p( X a ) 1 p( X a )
10) p A / B

p A

p B

, p B 0

11) If A and B are independent, then p A B p A p B .

12) 1st Moment about origin = E X = M X t
(Mean)

t 0
2nd Moment about origin = E X 2 = M X t

t 0
r
t
The co-efficient of
= E X r
(rth Moment about the origin)
r!
13) Limitation of M.G.F:
i) A random variable X may have no moments although its m.g.f exists.
ii) A random variable X can have its m.g.f and some or all moments, yet the
m.g.f does not generate the moments.
iii) A random variable X can have all or some moments, but m.g.f does not
exist except perhaps at one point.
14) Properties of M.G.F:
i)
If Y = aX + b, then MY t e bt M X at .
ii)
iii)

M cX t M X ct , where c is constant.

If X and Y are two independent random variables then

M X Y t M X t M Y t .

15) P.D.F, M.G.F, Mean and Variance of all the distributions:

Sl.
Distributio
M.G.F
P.D.F ( P ( X x ) )
No.
1

n
Binomial

Poisson

Geometric

nc x p x q n x

e x
x!
x 1
q p (or) q x p

Mean

Variance

np

npq

pe t
1 qe t

1
p

q
p2

q pe
t

e t 1

Negative
Binomial

Uniform

Exponential

Gamma

Weibull

( x k 1)C k 1 p k p x

t
1 qe

1
, a xb

f ( x) b a
0,
otherwise
e x , x 0, 0
f ( x)
otherwise
0,
e x x 1
f ( x)
, 0 x , 0
( )

e bt e at
( b a )t

a b ( b a )2
2
12

1
(1 t )

kq
p

kq
p2

f ( x ) x 1e x , x 0, , 0

16) Memoryless property of exponential distribution

P X S t / X S P X t.

UNIT-II (RANDOM VARIABLES)

1)

ij

1 (Discrete random variable)

f ( x , y )dxdy 1 (Continuous random variable)

2) Conditional probability function X given Y,

P X x i / Y yi

Conditional probability function Y given X , P Y yi / X xi

P X a / Y b

P X a,Y b
P (Y b )

3) Conditional density function of X given Y,

f ( x / y)

f ( x, y)
.
f ( y)

Conditional density function of Y given X,

f ( y / x)

f ( x, y)
.
f ( x)

P x, y
P( y)
P x, y
P( x)

4) If X and Y are independent random variables then

f ( x , y ) f ( x ). f ( y )

(for continuous random variable)

P X x , Y y P X x .P Y y (for discrete random variable)

d b

5) Joint probability density function P a X b, c Y d f ( x , y )dxdy .

c a
b a

P X a , Y b f ( x , y )dxdy
0 0

6) Marginal density function of X, f ( x ) f X ( x )

f ( x , y )dy

Marginal density function of Y, f ( y ) fY ( y )

f ( x , y )dx

7) P ( X Y 1) 1 P ( X Y 1)
8) Correlation co efficient (Discrete): ( x , y )

Cov ( X , Y )

1
XY XY , X
n

Cov ( X , Y )

X Y

1
X 2 X 2 , Y

9) Correlation co efficient (Continuous): ( x , y )

1
Y 2 Y 2

Cov ( X , Y )

X Y

Cov( X , Y ) E X , Y E X E Y , X Var ( X ) , Y Var (Y )

10) If X and Y are uncorrelated random variables, then Cov ( X , Y ) 0 .
11) E X

xf ( x )dx , E Y

yf ( y )dy , E X , Y

xyf ( x , y )dxdy .

12) Regression for Discrete random variable:

Regression line X on Y is x x bxy y y ,
Regression line Y on X is y y byx x x , byx

bxy

x x y y
y y
2

x x y y
x x

Correlation through the regression, bXY .bYX

Note: ( x , y ) r ( x , y )

13) Regression for Continuous random variable:

Regression line X on Y is x E ( x ) bxy y E ( y ) ,

bxy r

x
y

Regression line Y on X is y E ( y ) byx x E ( x ) ,

b yx r

y
x

Regression curve X on Y is

x E x / y

x f x / y dx

y E y / x

Regression curve Y on X is

y f y / x dy

14) Transformation Random Variables:

fY ( y ) f X ( x )

dx
dy

(One dimensional random variable)

x
u
fUV ( u, v ) f XY ( x , y )
y
u

x
v
y
v

(Two dimensional random variable)

15) Central limit theorem (Liapounoffs form)

If X1, X2, Xn be a sequence of independent R.Vs with E[Xi] = i and Var(Xi) = i2, i
= 1,2,n and if Sn = X1 + X2 + + Xn then under certain general conditions, Sn
n

i 1

i 1

follows a normal distribution with mean i and variance 2 i2 as

n.

16) Central limit theorem (Lindberg Levys form)

If X1, X2, Xn be a sequence of independent identically distributed R.Vs with E[X i]
= i and Var(Xi) = i2, i = 1,2,n and if Sn = X1 + X2 + + Xn then under certain
general conditions, Sn follows a normal distribution with mean n and variance
n 2 as n .

Note: z

S n n

( for n variables),

( for single variables)

UNIT-III (MARKOV PROCESSES AND MARKOV CHAINS)

1)

Random Process:
A random process is a collection of random variables {X(s,t)} that are
functions of a real variable, namely time t where s S and t T.

2)

Classification of Random Processes:

We can classify the random process according to the characteristics of time t
and the random variable X. We shall consider only four cases based on t and X
having values in the ranges -< t < and - < x < .
Continuous random process
Continuous random sequence
Discrete random process
Discrete random sequence

Continuous random process:

If X and t are continuous, then we call X(t) , a Continuous Random Process.
Example:
If X(t) represents the maximum temperature at a place in the
interval (0,t), {X(t)} is a Continuous Random Process.
Continuous Random Sequence:
A random process for which X is continuous but time takes only discrete values is
called a Continuous Random Sequence.
Example: If Xn represents the temperature at the end of the nth hour of a day, then
{Xn, 1n24} is a Continuous Random Sequence.
Discrete Random Process:
If X assumes only discrete values and t is continuous, then we call such random
process {X(t)} as Discrete Random Process.
Example: If X(t) represents the number of telephone calls received in the interval
(0,t) the {X(t)} is a discrete random process since S = {0,1,2,3, . . . }
Discrete Random Sequence:
A random process in which both the random variable and time are discrete is
called Discrete Random Sequence.
Example: If Xn represents the outcome of the nth toss of a fair die, the {Xn : n1} is a
discrete random sequence. Since T = {1,2,3, . . . } and S = {1,2,3,4,5,6}

3)

Condition for Stationary Process: E X ( t ) Constant , Var X ( t ) constant .

If the process is not stationary then it is called evolutionary.

4)

Wide Sense Stationary (or) Weak Sense Stationary (or) Covariance Stationary:
A random process is said to be WSS or Covariance Stationary if it satisfies the
following conditions.
i) The mean of the process is constant (i.e) E X ( t ) constant .
ii)

5)

Property of autocorrelation:
(i)
(ii)

6)

Auto correlation function depends only on (i.e)

RXX ( ) E X ( t ). X ( t )

E X ( t ) lim RXX

2

E X 2 ( t ) RXX 0

Markov process:
A random process in which the future value depends only on the present value
and not on the past values, is called a markov process. It is symbolically
represented by P X (t n1 ) xn1 / X (t n ) xn , X (t n1 ) xn1 ... X (t 0 ) x0

P X ( t n1 ) xn1 / X ( t n ) xn
7)

Where t0 t1 t2 ... tn tn1

Markov Chain:
If for all n , P X n an / X n1 an1 , X n 2 an 2 ,... X 0 a0

P X n an / X n1 an1 then the process X n , n 0,1, 2, ... is called the

8)

9)

markov chain. Where a0 , a1 , a2 ,...an ,... are called the states of the markov chain.
Transition Probability Matrix (tpm):
When the Markov Chain is homogenous, the one step transition probability is
denoted by Pij. The matrix P = {Pij} is called transition probability matrix.
Chapman Kolmogorov theorem:
If P is the tpm of a homogeneous Markov chain, then the n step tpm P(n) is
n

equal to Pn. (i.e) Pij( n ) Pij .

10) Markov Chain property: If 1 , 2 , 3 , then P and

1 2 3 1 .
11) Poisson process:
If X ( t ) represents the number of occurrences of a certain event in (0, t ) ,then

the discrete random process X ( t ) is called the Poisson process, provided the
following postulates are satisfied.
(i)

P 1 occurrence in ( t , t t ) t O t

P 0 occurrence in ( t , t t ) 1 t O t

(ii)

P 2 or more occurrences in (t , t t ) O t

(iii)
(iv)

X ( t ) is independent of the number of occurrences of the event in any

interval.

12) Probability law of Poisson process: P X ( t ) n

et t

,
n!
Mean E X ( t ) t , E X 2 ( t ) 2 t 2 t , Var X ( t ) t .

n 0,1, 2, ...

UNIT-IV (QUEUEING THEORY)

n Number of customers in the system.

Mean arrival rate.

Mean service rate.
Pn Steady State probability of exactly n customers in the system.
Lq Average number of customers in the queue.

Ls Average number of customers in the system.

Wq Average waiting time per customer in the queue.

Ws Average waiting time per customer in the system.

Model I

(M / M / 1): ( / FIFO)

1)

Server Utilization

2)

Pn n 1

3)

Ls

4)

Lq

2
1

5)

Ws

1
1

(P0 no customers in the system)

6)

Wq

7)

Probability that the waiting time of a customer in the system exceeds t is

P ( ws t ) e ( )t .

8)

Probability that the quue size exceeds t is P N n n1 where n t 1

.

Model II
1)

(M / M / C): ( / FIFO)

s
s 1 s n
s

2) P0
s !1
n 0 n !

1 s
3) Lq
P0
s.s ! 1 2
s 1

4) Ls Lq s
5) Wq

Lq

6) W s

Ls

s
P N s
P0
s !1
s

7) The probability that an arrival has to wait:

8) The probability that an arrival enters the service without waiting = 1 P(an
arrival hat to wait) = 1 P N s
9) P w t e

Model III
1)

( s ) s 1 e t ( s 1 s )

P
1
0
s !(1 )( s 1 s )

(M / M / 1): (K / FIFO)

1
1 k 1

2) P0

(No customer)

3) 1 P0

4) Ls

5) Lq Ls
6) W s

Ls

7) Wq

Lq

(effective arrival rate)

k 1 k 1
1 k 1

8) P a customer turned away Pk k P0

Model IV
1)

(M / M / C): (K / FIFO)

s 1 s n s s

2) P0
s!
n 0 n !

n s

n s

s n

P , n s
n! 0
3) Pn
n
s
s ! s n s P0 , s n k

s 1

4) Effective arrival rate: s s n Pn

n 0

5) Lq

1 k s k s k s 1

P0

s ! 1 2
1

6) Ls Lq
7) Wq

Lq

8) W s

Ls

UNIT-V (NON MARKOVIAN & QUEUEING NETWORK)

1) Pollaczek Khintchine formula:
LS E ( t )

2
2 Var ( t ) E ( t )

2 1 E ( t )

(or)

2 2 2
LS
2 1
2) Littles formulas:
LS

2 2 2
2 1

Lq LS

WS

LS

Wq

Lq

3) Series queue (or) Tandem queue:

The balance equation

P00 2 P01
1 P10 P00 2 P11

P01 2 P01 1 P10 2 Pb1

1 P11 2 P11 P01
2 Pb1 1 P11
Condition P00 P10 P01 P11 Pb1 1
4) Open Jackson networks:
k

i) Jacksons flow balance equation j rj i Pij

i 1

Where k number of nodes, rj customers from outside

ii) Joint steady state probabilities

P n1 , n2 , ...nk 1n1 1 1 2 n2 1 2 ... k nk 1 k

iii) Average number of customers in the system

LS

k
1
2

...
1 1 1 2
1 k

iv) Average waiting time of a customers in the system

WS

LS

where r1 r2 ... rk

5) Closed Jackson networks:

In the closed network, there are no customers from outside, therefore rj 0
then
k

i) The Jacksons flow balance equation j i Pij

i 1

(or)
P11

P
1 2 ... k 1 2 ... k 21

Pk 1

P1k

P22 ... P2 k

Pk 2 ... Pkk
P12 ...

ii) If each nodes single server

P n1 , n2 , ...nk C N 1n1 2n2 ... knk

Where C N 1

1n 2n ... kn
1

n1 n2 ... nk N

iii) If each nodes has multiple servers

P n1 , n2 , ...nk C N

Where C N 1

1n 2n

...

a1 a2

n1 n2 ... nk N

kn

ak

1n 2n
1

a1 a2

kn

...

ak

rj 0

, ni si

ni !
ai
ni si
, ni si

si ! s i

---- All the Best ----

Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917)

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