6.the Bernoulli and Poisson Processes

6.
The Bernoulli and Poisson

Processes
Broadband Communication, NCTU, Taiwan
Outline
Introduction
The Bernoulli Process

The Poisson Process
Introduction
A stochastic process is simply a (finite
or infinite) sequence of random

variables.
Example: The sequence of
Daily prices of a stock;

Scores in a football game;
Failure times of a machine;
Hourly traffic loads at a node of a
communication network.
Emphasis
Dependencies
For example, how do future prices of a
stock depend on past values?
Long-term averages
For example, what is the fraction of time
that a machine is idle?
Boundary events
For example, what is the frequency with
which some buffer in a computer network
overflows with data?
Two Major Categories of Stochastic

Processes
Arrival-type processes
Bernoulli process (Sec. 6.1)
Poisson process (Sec. 6.2)
Markov processes (Ch. 7)
6.1 Bernoulli Process

The Bernoulli process is a sequence X1,
X2, of independent Bernoulli random

variables Xi with
P(Xi=1) = P(success at the ith trial) = p,
P(Xi=0) = P(failure at the ith trial) = 1-p,
for each i.
Random Variables Associated with

the Bernoulli Process
S: number of successes in n
independent trials ~ binomial(p, n).
T: number of trials up to (and including)
the first success ~ geometric(p).
Properties of the Bernoulli Process

Fresh-Start
For any given time n, the sequence of RV
Xn+1, Xn+2, is also a Bernoulli process, and
is independent from X1, , Xn.
Memorylessness
n: given time
: the time of the first success after time n
~ geometric(p), and is independent

of the RV X1, , Xn, i.e.,
Example 6.1: Independence

(a) Let U be the number of successes in trials 1
to 5. Let V be the number of successes in trials

6 to 10. Then, U and V are independent. This is
because U = X1 + + X5, V = X6+ + X10,
and the two collections {X1, . . . , X5}, {X6, . . . ,
X10} have no common elements.
(b) Let U (respectively, V ) be the first odd
(respectively, even) time i in which we have a

success. Then, U is determined by the odd-time
sequence X1, X3, . . ., whereas V is determined
by the even-time sequence X2, X4, . . .. Since
these two sequences have no common
elements, U and V are independent.
Example 6.2 (1/3)

A computer executes two types of tasks,
priority and nonpriority, and operates in

discrete time unit (slots).
Priority task : probability=p, slot
independent.
10
Example 6.2 (2/3)

T = the time index of the first idle slot
B = the length (number of slots) of the
first busy period

I = the length of the first idle period
Z = the number of slots after the first
slot of the first busy period up to and
including the first subsequent idle slot
Z=B
pT (k ) p k 1 (1 p),k 1, 2,....
11
Example 6.2 (3/3)

T is geometrically distributed random
variable with parameter 1p, and its

PMF is
pT (k ) p k 1 (1 p),k 1, 2,....
1
p
,var(T )
.
2
1 p
(1 p )
1
1 p
pI (k ) (1 p ) k 1 p,k 1, 2,....,E[ I ] ,var( I ) 2
p
p
E[T ]
12
Example 6.3: Fresh-Start at a

Random Time
N: first i for which Xi-1 = Xi = 1.
P(XN+1 = XN+2 = 0) = ?
Sol:
13
Interarrival Times
Yk: the time of the kth success (or
arrival)
Tk: kth interarrival time
T1 = Y1, Tk = Yk Yk1, k = 2, 3, .
Yk = T1 + T2 + + Tk.
14
Alternative Description of the

Bernoulli Process
Start with a sequence of independent
geometric RV T1, T2, , with common

parameter p.
Let Tis stand for the interarrival times.
Record a success (or arrival) at times T1,
T1 + T2, T1 + T2 + T3, etc.
15
Example 6.4: Rainy Days

After a rainy day, the number of days
until it rains again ~ geometric(p),

independent of the past.
P(It rains on both the 5th and 8th day
of the month.) = ?
Sol: p2
16
Properties of the kth Arrival Time Yk

Yk = T1 + T2 + + Tk.
Ti ~ i.i.d. geometric(p).
E[Yk] = E[T1] + + E[Tk] = k/p.
var(Yk) = var(T1) + + var(Tk)
= k(1-p)/p2.
The PMF of Yk is
and is known as the Pascal PMF of order
k.
17
Example 6.5
single foul with probability p
No foul with probability 1p

The number of fouls in different minutes
are assumed independent.

Sixth foul : foul out
She will play 30 minutes if she does not
foul out.
What is the PMF of Alicias playing time?
18
Example 6.5 - Solution

Bernoulli process with parameter p
Z: Alicias playing time

Y6: the time until the sixth foul
Z= min{Y6,30}
19
Splitting of a Bernoulli Process

Bernoulli(pq)
Bernoulli(p)
Bernoulli(p(1-q))
20
Merging of Independent Bernoulli

Processes
21
Poisson Approximation to the

Binomial
Z ~ Poisson().
For any fixed nonnegative integer k, the
binomial probability
converges to pZ(k) as n and p = /n,

while keeping constant.
The Poisson PMF is a good
approximation to the binomial as long
as = np for large n and small p.
22
Example 6.6: Poisson/Binomial

approximation
is valid to several decimal places if n

100, p 0.01, and = np.
23
Example 6.7: Packet Transmission

An n-symbol packet, transmitted over
noisy channel.
Symbol error rate p = 10-4.
Errors of symbols are independent.
How small should n be in order for P(at
least one symbol in error) < 10-3?
Sol:
24
6.2 Poisson Process - Terminology

Consider an continuous-time arrival
process.
Any real time t is a possible arrival time.
Define P(k, ) = P(there are exactly k
arrivals during an interval of length ).
Positive parameter : arrival rate or
intensity of the process.
25
Definition of the Poisson Process

(1/2)
An arrival process is called a Poisson
process with rate if it has the

following properties:
Time-homogeneity: The probability P(k, )

of k arrivals is the same for all intervals of
the same length .
Independence: The number of arrivals
during a particular interval is independent
of the history of arrivals outside this
interval.
26
Definition of the Poisson Process

(2/2)
Small interval probabilities: The

probabilities P(k, ) satisfy
P(0, ) = 1 + o(),
P(1, ) = + o1(),
P(k, ) = ok(), for k=2, 3,
Here, o() and ok() are functions of that
satisfy
27
Interpretation of the Definition

Time-homogeneity
Arrivals are equally likely at all times.
Independence
Analogous to the independence of trials in a
Bernoulli process.
Small interval probabilities
For small ,
P(0 arrival) : 1 ;
P(1 arrival) : ;
P(2 or more arrivals) : 0.
28
Bernoulli Approximation of the

Poisson Process
29
Random Variables Associated with

the Poisson Process
N: Number of arrivals in a Poisson
process with rate , over an interval of

length ~ Poisson().
T: The time until the first arrival ~
exponential().
30
Poisson v.s. Bernoulli

POISSON
BERNOULLI
Times of
Arrival
Continuous
Discrete
PMF of # of
Arrivals
Poisson
Binomial
Interarrival
Time CDF
Exponential
Geometric
Arrival Rate
/ unit time
p / per trial
31
Example 6.8: Check Email

Email arrival: Poisson process, = 0.2
messages/hour.
You check email every hour.
P(0 new message) = ?
P(1 new message) = ?
If you have not checked email for a
whole day, P(no new message) = ?
Sol:
32
Example 6.9
The Sum of Independent Poisson
Random Variables is Poisson.

Arrival of customers are modeled by a
Poisson process with a rate of = 10
customers per minute.
Let M be the number of customers
arriving between 9:00 and 9:10. Also,
let N be the number of customers
arriving between 9:30 and 9:35. What
is the distribution of M + N?
33
Example 6.9 - Solution

M is Poisson with parameter = 1010 = 100 and
N is Poisson with parameter = 105 = 50. M

and N are independent.
Derive it in a more direct and intuitive manner:
Let be the number of customers that arrive

between 9:10 and 9:15. Note that has the
same distribution as N (Poisson with parameter
50). Furthermore, is also independent of N.
Thus, the distribution of M + N is the same as
the distribution of M + . But M + is the
number of arrivals during an interval of length 15,
and has therefore a Poisson distribution with
parameter 10 15 = 150.
34
Properties of the Poisson Process

Fresh-Start
For any given time t > 0, the history of the
process after time t is also a Poisson
process, and is independent from the
history of the process until time t.
Memorylessness
t: given time
: the time of the first arrival after time t
~ exponential(), and is independent

of the history of the process until time t.
35
Example 6.10
You and your partner go to a tennis
court, and have to wait until the players

occupying the court finish playing.
Assume (somewhat unrealistically) that
their playing time has an exponential
PDF. Then the PDF of your waiting time
(equivalently, their remaining playing
time) also has the same exponential
PDF, regardless of when they started
playing.
36
Example 6.11: Queuing in the Bank

You enter the bank.
You see 3 tellers are serving other
customers.
No other customers in queue.
Service time ~ i.i.d. exp. RV.
P(You will be the last to leave.) = ?
Sol:
Focus at the moment when you start service

with one of the tellers. Then, the remaining
time of each of the other two customers being
served, as well as your own remaining time,
have the same PDF. Therefore, you and the
other two customers have equal probability
1/3 of being the last to leave.
37
Alternative Description of the

Poisson Process
Start with a sequence of independent
exponential RV T1, T2, , with common

parameter .
Let Tis represent the interarrival times.
Record an arrival at times T1, T1 + T2,
T1 + T2 + T3, etc.
38
Properties of the kth Arrival Time Yk

Yk = T1 + T2 + + Tk.
Ti ~ i.i.d. exp().
E[Yk] = E[T1] + + E[Tk] = k/.
var(Yk) = var(T1) + + var(Tk)
= k/2.
The PDF of Yk is
and is known as the Erlang PDF of order
k.
39
Example 6.12
You call the IRS hotline and you are
told that you are the 56th person in line,

excluding the person currently being
served. Callers depart according to a
Poisson process with a rate of = 2 per
minute. How long will you have to wait
on the average until your service starts,
and what is the probability you will
have to wait for more than an hour?
40
Splitting a Poisson Process

: Poisson process with rate
Split
For each point toss a coin (with bias
p):
p the point goes to A1(t)

With probability 1-p the point goes to A2(t)
With probability
A1(t) and A2(t) are two independent

Poisson processes with rates
41
Example 6.13: Splitting of Poisson

Process
Packet is destined for that node with
probability p, or else it must be relayed

to another node with probability 1p
Packets arrive according to a Poisson
process with rate . Packets are
independent to each other.
The process of local packet arrivals is
Poisson with rate p.
42
Merging Two Poisson Processes

merge
Merging two independent Poisson
processes with rates 1 and 2 creates

a Poisson process with rate 1+2.
43
Example 6.14: Merging of Poisson

Process
People with letters to mail arrive at the
post office according to a Poisson

process with rate 1, while people with
packages to mail arrive according to an
independent Poisson process with rate
2.
44
Example 6.15: Competing Exponentials

Two light bulbs.
Independent exp. lifetimes Ta and Tb.

Parameters a and b, respectively.
What is the distribution of the first time
when a bulb burns out?

Sol:
FZ z Pmin Ta , Tb z 1 Pmin Ta , Tb z
1 PTa z , Tb z 1 PTa z PTb z
1 e a z e b z 1 e a b z
45
Example 6.16: More on Competing

Exponentials (1/2)
Three light bulbs have independent
exponentially distributed lifetimes with

a common parameter . What is the
expected value of the time until the last
bulb burns out?
Sol:
Let T1, T2, T3 be the time to the first,

second and third burnout, respectively.
46
Example 6.16: More on Competing

Exponentials (2/2)
T1: exponential with parameter 3
T2: exponential with parameter 2

T3: exponential with parameter
47
The Random Incidence Paradox

L: interarrival time of a Poisson process.
L ~ exp? Or L ~ Erlang of order two?
48
Example 6.17: Random Incidence in a

Non-Poisson Arrival Process
Buses arrive on the hour and 5 minutes
after the hour.

Average interarrival time = 30 minutes
A person shows up uniformly randomly
within a particular hour.
E[length of the chosen interarrival
interval] = ?
1
11
Sol:
5
12
55
12
50.83,
Which is larger than the avg. interarrival

time
49

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6.

The Bernoulli and Poisson

Broadband Communication, NCTU, Taiwan

The Bernoulli Process

Broadband Communication, NCTU, Taiwan

or infinite) sequence of random

Daily prices of a stock;

Broadband Communication, NCTU, Taiwan

Broadband Communication, NCTU, Taiwan

Two Major Categories of Stochastic

Broadband Communication, NCTU, Taiwan

6.1 Bernoulli Process

X2, of independent Bernoulli random

Broadband Communication, NCTU, Taiwan

Random Variables Associated with

independent trials ~ binomial(p, n).

T: number of trials up to (and including)

the first success ~ geometric(p).

Broadband Communication, NCTU, Taiwan

Properties of the Bernoulli Process

: the time of the first success after time n

~ geometric(p), and is independent

Broadband Communication, NCTU, Taiwan

Example 6.1: Independence

to 5. Let V be the number of successes in trials

(b) Let U (respectively, V ) be the first odd

(respectively, even) time i in which we have a

Example 6.2 (1/3)

priority and nonpriority, and operates in

Broadband Communication, NCTU, Taiwan

Example 6.2 (2/3)

B = the length (number of slots) of the

first busy period

Example 6.2 (3/3)

variable with parameter 1p, and its

Broadband Communication, NCTU, Taiwan

Example 6.3: Fresh-Start at a

Broadband Communication, NCTU, Taiwan

Broadband Communication, NCTU, Taiwan

Alternative Description of the

geometric RV T1, T2, , with common

Broadband Communication, NCTU, Taiwan

Example 6.4: Rainy Days

until it rains again ~ geometric(p),

Broadband Communication, NCTU, Taiwan

Properties of the kth Arrival Time Yk

No foul with probability 1p

are assumed independent.

Broadband Communication, NCTU, Taiwan

Example 6.5 - Solution

Z: Alicias playing time

Broadband Communication, NCTU, Taiwan

Splitting of a Bernoulli Process

Broadband Communication, NCTU, Taiwan

Merging of Independent Bernoulli

Broadband Communication, NCTU, Taiwan

Poisson Approximation to the

converges to pZ(k) as n and p = /n,

Example 6.6: Poisson/Binomial

is valid to several decimal places if n

Broadband Communication, NCTU, Taiwan

Example 6.7: Packet Transmission

Broadband Communication, NCTU, Taiwan