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Appendix A
Appendix A
Appendix A
APPENDIX A
A.1. Introduction
Many of the problems we face daily as industrial engineers have elements of
risk, uncertainty, or variability associated with them. For example, we can not
always predict what the demand will be for a particular inventory item. We can
not always be sure just how many people will shop at a grocery store and desire
to check out during a particular hour. We can not always be sure of the variation
in quality of raw materials from one of our suppliers. Not claim to be prophets
who can accurately predict results in ' we as industrial engineers are educated in
the use of applied statistics to make intelligent engineering decisions despite
our lack plate knowledge about future events.
The material presented in this appendix is meant to introduce you to
some of the basic laws of chance. Although the treatment is elementary, it is
sufficient to allow you to grasp the material on quality control project
management (PERT), and probabilistic models. Further grounding in
probability theory and statistics will come as more specialized courses on these
and other topics are studied. Since this text is written for students in the applied
professions, we shall avoid rigorous mathematical and deeply philosophical
treatments in of workable definitions and explanations.
Bulb 1 Bulb 2
Light Light
Light Not light
Not light Light
Not light Not light
We note that there are four possible distinct outcomes to this
experiment.
It is just as valid for us to be interested only in the number of bulbs (out
of the two selected) that light, not in the specific ones that light. With this
interest, we have the following outcomes:
0
1
2
We note that there are only three outcomes to the experiment now. The
alert reader may observe that the outcome of one bulb lighting consists of two
outcomes from the first set-(light, not light) and (not light, light).
Any definition of an experiment should reflect distinguishable outcomes
according to the interest of the investigator. Many writers refer to the most
refined and detailed set of mutually exclusive (no two outcomes can occur
simultaneously) and exhaustive outcomes as the sample space. No matter how
we define the sample space, we often have an interest in various subsets of the
total set of outcomes. This interest will later lead to our definition of an event.
A.2.2 Probability
Let us consider a finite sample space and only a finite number of repetitions of
an experiment of a defined type. As an example, we define our experiment to be
the inspection of a reel of magnetic tape produced by a certain process during
the year. Each repetition of this experiment will consist of the examination of a
reel of tape (always different), the possible outcomes being accept, rework, and
reject. The number of repetitions corresponds to the number of reels of tape,
and the possible outcomes number only three; thus, both the number of
repetitions of the experiment and the number of outcomes are finite.
Returning to our general finite case, we let
ni = number of repetitions of the experiment that will result in outcome i
Appendix A 190
p( x ) 1
i 1
i ( A.3)
Returning to our magnetic tape example, suppose that 100 reels are to be
inspected and that 50 are accepted, 30 are to be reworked, and 20 are rejected.
Figure A.l is one way of portraying this probability function geometrically. The
properties expressed by Equations A.2 and A.3 are seen to be true.
P(x)
0.6
0.5
0.4
0.3
0.2
0.1
0 1 2
(reject) (rework) (accept)
ni
p( xi ) lim (i 1,2,....,k ) ( A.4)
N N
The properties expressed by Equations A.2 and A.3 are still valid; with
the extension that k may also be infinite. Returning to our magnetic-tape
example, we might conceive of all the reels of tape that can ever be produced
(consider as infinite) and the outcomes might be the number (perhaps infinite)
of "bad" spots on a reel of tape. This example can now be considered as
consisting of an infinite number of outcomes and an infinite number of
repetitions of the experiment. The point of this extension is to use our
traditional approach to a limit whenever the number of repetitions approaches
infinity.
The most difficult case for us to handle conceptually involves an infinite
number of possible outcomes that we cannot count. Even when we talked about
the number of bad Spots on a reel of tape (perhaps infinite), at least we could
"count" or identify them with the real numbers, e.g., 1, 2, 3 That is, the out
comes were discrete. Continuous outcomes, however, are not countable. For
example, continuous outcomes may be the exact air pressure in a tire the
amount of rain in May, or the capacitance of a capacitor. Since we cannot count
these outcomes, we normally talk about subintervals of outcomes (e.g.,10-15,
15-20, 20-25, and so on, pounds per square inch tire pressure). These
subintervals are countable, and we can associate probabilities with them: For
example, the probability that the outcome x lies in the range from a to b is
written as follows:
p( x) p(a x b). for a b ( A.5)
It is apparent that interval probabilities obtained for a continuous random
variable are approximate because we are never absolutely sure about the
specific value of the outcome in the interval to be associated with the
probability.
f (x)
p(x), at points, as in Figure A.I. Our new function f(x) has the following
properties:
f ( x) 0 ( A.6)
f ( x)dx 1 ( A.7)
And
b
p(a x b) f ( x)dx for a b ( A.8)
a
The reader should note that Equations A.6 and A.7 present the same
basic properties for continuous distributions as those given in Equations A.2
and A.3 did for discrete distributions. Equation A.8 is simply another way
stating Equation A.5.
In reflecting on our development of probability, we can say that a
number, called probability, is associated with each point of a discrete (finite or
infinite) sample space. For a continuous sample space (always infinite),we
developed a way of representing probability as the area under a curve between
limits, such area being computed through the use of the calculus. The curve
itself is a probability density function.
A.2.3 Events
An event is a subset of the sample space of an experiment. It may consist of
none of the outcomes (void), some of the outcomes, or all of the outcomes.
Returning to our light bulb example, let us consider the event that (of the bulbs
tested) exactly one bulb lights. Regardless of how we defined our sample space
above, the event that one bulb lights represents a subset of some of the
outcomes of the sample space.
Two events are said to be mutually exclusive if the occurrence of one
excludes the occurrence of the other; that is, they do not possess any points in
common from the sample space. For example, it is clear that the event of
neither bulb lighting and the event of both bulbs lighting are mutually exclusive
for that sample space. It should be apparent that the mutually exclusive property
of events must be considered with respect to the sample space.
As a further example linking sample space and events, a group of 100
items are taken for inspection. We are interested in the number of defectives in
this group. If 10 or fewer defectives are found, we shall conclude that the
manufacturing process from which the items were taken is operating
satisfactorily. The sample space for our inspection would include 101 different
possible outcomes-that 0, 1, 2, ..., 99, or all 100 items are defective. The event
that we conclude that our manufacturing process is operating satisfactorily is
193 Appendix A
p ( E1 ) 0.5
By similar reasoning, we see that the probabilities of the remaining events are
p ( E 2 ) 0.5
p ( E3 ) 0.2
p ( E 4 ) 0.4
p ( E5 ) 0.4
p( AB ) p( A / B) p( B ) ( A.9)
Where P(A/B) is read "the probability that A occurs given that B has
occurred." If events A and B are independent, then P (A /B) equals p (A) and
Equation A.9 can be written in the following form:
p( AB) p( A) p ( B ) ( A.10)
The conditional probability of the event A, given that event B has also
comes from Equation A.9 and is given as follows:
p( AB )
p( A / B) ( A.11)
p( B)
P( A B ) P ( A) P( B ) P ( AB) ( A.12)
A.3 Combinations
In considering problems involving finite sample spaces of equally likely
outcomes, we are often tempted count the frequencies of interest. This
195 Appendix A
p(x ) 1
i 1
i (A.16)
Of course, Equations A.15 and A.16 are repeats of Equations A.2 and A.3.
Much of our work with distributions involves cumulative probabilities
that is, the probability that the random variable will assume one of a set of
possible values. The discrete cumulative distribution is defined as fol1ows:
F (a ) p( x a) p( x )
xi a
i ( A.17)
F (a) is the probability that x will have any value less than or equal to a.
A useful result of Equation (A.17) is that
Appendix A 198
p ( xi ) F ( xi ) F ( xi 1 ) ( A.18)
Thus, the discrete probability distribution and the discrete cumulative
distribution are equivalent, since either can be obtained from the other. Figure
A.3 is the discrete cumulative distribution corresponding to Figure Note that
according to our definition it is a step function.
F(x)
1.0
0.8
0.6
0.4
0.2
0 1 2 x
Figure A.3: Discrete Cumulative Distribution.
n n!
c ,xn
x x!(n x)!
By recalling our multiplication rule for independent events, we note that
each such combination has a probability of p x q n x of occurring. Thus, the
probability of x successes in n independent and identical experiments may be
written as follows:
n x n x
p(x;n,p) p q (A.19)
x
Where x = 0, 1, ..., n.
Also, the mean and variance of the binomial are given by the following:
np (A.21)
npq
2
( A.22)
As an example of the binomial distribution, assume that we randomly select six
transistors from a production line. Past data have indicated that 10% of the
transistors inspected are found defective. We can determine i probability of
finding exactly two defective transistors by using Equation A.19 as
Appendix A 200
6 2 4
p(2;6,.1) 0.1 *0.9 .098.
2
Similarly, using Equation A.20, we can find the probability of detecting two or
fewer defectives as
2
F ( 2;6,0.1) p ( x;6,0.1) 0.984.
x 0
The binomial density function for this example is graphed in Figure A.4.
0.532
0.354
Probability
0.098
P(x:6 ,0.1)
0.015
0.001 0.000 0.000
0 1 2 3 4 5 6 x
Number of Defects
a
F (a ; ) p ( x ; ) ( A.24)
x 0
For the Poisson distribution, we obtain values of the mean and variance as
follows:
(A.25)
2 ( A.26)
In other words, the variance and mean are identical.
Some examples of use of the Poisson distribution are provided by the number
of imperfections on a sheet of metal, the number of diseased spots on a tree, the
number of weeds on a plot of land and so forth. When we use the Poisson, we
should remember that the random variable can assume the set of numbers 0, 1,
2, ..., which is a countable infinite discrete set.
n 1
( A.29)
2
And
n2 1
2 ( A.30)
12
1 2 3 4 x
Item Number
f ( x) 0 ( A.31)
f ( x)dx
1 ( A.32)
and
b
P(a x b) f ( x)dx for a b ( A.33) these
a
properties are, of course, just a repeat of equations A.6, A.7 , and A.8 . such a
function is often called either a density function of a probability density
function.
The continuous cumulative distribution is defined as follows:
203 Appendix A
a
F (a) f ( x)dx
( A.34)
F(a) is the probability that the random variable x will have any value
less that or equal to a . If the derivative of F exists , we have the following:
F ' ( x ) f ( x) ( A.35)
Thus, with nice mathematical properties the existence of either f(x) or
F(x) determines the other.
We should recall that f(x) is a density type of function instead of a pure
probability function. By integration we actually obtain probability. That is, we
can specify the probability that a random variable well assume a value between
two points; however, the probability for any single point is zero.
In considering our integral definition of F(x), we may find in practice
that our continuous probability distribution f(x) is defined only over a part of
the real-number axis. In such cases, we simply extend the definition over the
total axis by assigning f(x) the value of zero elsewhere. This extended definition
may require integrations over subintervalsa valid operation mathematically.
1 2 2
f ( x) e ( x ) / 2 A.36
2
for x
This distribution is one of the most interesting and useful that we study. It has a
single peak at the mean and is symmetrical about that point. If we plot an
example of a normal distribution, it will be readily apparent that it is bell-
shaped with mean and variance 2 .
In practice, many distributions are well approximated by the normal
distribution. Some examples include bolt diameter construction errors,
resistance of a specified type of wire, weight of a packaged material, and so on.
We can show mathematically that if a random variable is distributed
normally with mean and variance 2 , then the standardized normal
variable z = (x )/O" is distributed with zero mean and unit variance using the
transformation of the standardized normal random variable can derive the
standard normal distribution, which is
1 2/2
f (z) e z ( A.37)
2
Appendix A 204
For - < z < . Since we can always make the standard transform in
practice, we shall use this function in Table B.2. Since the cumulative Equation
A.37 cannot be derived in closed form, the tables represent result of numerical
integrations.
distribution describes the number of such changes in a unit time interval. The
exponential distribution describes the time spacing between such occurrences.
Suppose that the life in hours of a certain type of tube is a random
variable having an exponential distribution with a mean of 1000 hours. What is
the probability that such a tube will last at least 1250 hours? To solve this, we
use the cumulative distribution expression in Equation A.39 as follows:
F ( a ) 1 e a
1
= 1 e (1250)
1000
= .713
This is the probability that the tube will last 1250 or fewer hours; hence,
answer to our questions is 1 -F(1250) = .287. The exponential distribution for
this example is illustrated in Figure A.8.
( d c) 2
2 ( A.45)
12
700 100
F (700) .6
1100 100
The rectangular distribution for this example is graphed in Figure A. 9.
f(x)
1
1100
100 1100 x
Distribution
of random Formula Parameters Range of x Mean Variance
variable x
Discrete
Binomial n n, p x 0,1,2,3...., n np np (1 p )
f ( x) P x (1 P ) n x
x
Poisson e x x 0,1,2,3.....
f ( x)
x!
Uniform 1 n x 1,2,3,...., n n 1 n2 1
f ( x)
n 2 12
Continuou
s
Normal
f ( x)
1 ,/
e ( x )
2
2 2 x 2
2
Exponential f ( x ) e x 0x 1 1
2
Rectangular 1 c, d cxd c d (d c) 2
f ( x)
d c 2 12
A.6.1 Mean
The mean or expected value of a discrete random variable x is denoted by the
letter and is defined as follows:
E ( x ) x i p ( xi ) ( A.46)
i
E ( x ) xf ( x)dx ( A.47)
xi p ( x i )
1
1 1 1
1 2 .... 6
6 6 6
= 3.5
The value 3.5 is clearly not a value that can be assumed on a roll of the die.
A.6.2 Variance
The measure of variability that we have considered is called the variance ( 2 ),
and it is defined as follows:
2 E(x ) 2 ( A.48)
This definition holds for both discrete and continuous random variables. The
reader should note that the following computational convenience holds:
2 E( x 2 ) 2
= xi
2
i p( xi ) 2
1 1 1
= 1 2 ... 6 (3.5)
2 2 2 2
6 6 6
= 2 .917
For the reader familiar with mechanics, we can point out an interesting
analogy. The mean is analogous to the first moment about the origin, and the
variance is equivalent to the second moment about the mean.
The mean and variance are fixed for a given distribution; thus, they are
parameters of the distribution. For our purposes, the use of expected values
provided a nice medium for defining the mean and variance.
209 Appendix A
A.7.1 Population
A population, in the broadest sense, is the total set of element about which
knowledge is desired. Some populations are relatively small, for example the
number of Atlas missiles; other populations are large, for example, all the
electric light bulbs now in existence and to be produced in the future. All
elements of a population do not have to be in existence, as the last example
indicates. The important thing to remember is that the population must be
definable.
The definition of population clearly indicates that it contains the
elements in which we have an interest. Why, then, do we not study the complete
population? The answer is simple: The population is usually too large or too
complex, or not available, or the expense of considering all of it is too high.
Any investigator would measure all the elements of his defined population if it
were not prohibitive in some manner. As a result of the impossibility or
impracticality of always considering all elements of a population, we are forced
into a consideration of a sample (or samples) from that population.
A.7.2 Sample
A sample is a subset of a population. In extreme situations, the sample may be
the complete population or it may consist of no elements at all. Of course, this
latter sample would yield no information and we shall not consider it further.
Remember that the purpose of a sample is to yield inferences about the
population from which it was taken.
The two most important features of a sample are its size and the manner
in which it was selected. Much of the study of sampling statistics concerns the
determination of these two characteristics. As expected, this determination is
based upon the specific conditions prescribing the purpose of the sample.
where n is the number of measurements in the sample and the xi ' s are the
values of the random variable x in the sample. The sample variance is defined
as follows:
2
n x i x
s2 ( A.51)
i 1 n 1
For computational purposes, the sample variance can also be written as follows:
2
n
n
xi
2 i 1
xi
n
s 2 i 1 ( A.52)
n 1
In this form, s 2 is much easier to calculate. As we might expect, x is
an estimate of the population mean and s 2 is an estimate of the population
variance 2 .
Other measures of central tendency include the median, which is the
middle value in an ordered set of data, and the mode, which is the value that
occurs most frequently. The range, denoted by R, is a particularly useful
measure of dispersion in quality control work. It is simply the largest value in a
sample minus the smallest value:
R xl arg est x smallest ( A.53)
2
value as held by the population. The variance of the sample means x differs
from the population variance and is given by the following:
2
x ( A.54)
n
It is reasonable to expect that the distribution of sample means to have a
smaller variance, since the larger the sample, the closer one would expect the
average to fall to the population mean, giving rise to a smaller distribution
spread.
We can return to our example in which resistors are normally distributed
with mean = 1000 and variance 2 = 900. If we take sample on size n= 9
and average the ohmmeter readings, it is virtually impossible that the sample
average will be as high as 1060 which had a .0227 probability for a single
resistor. In fact, the likelihood that the sample average will exceed 1030 is very
small. To calculate the exact probability, we must first determine the mean and
variance of the sample average distribution. The mean will remain at 1000,
but the variance is given by
2 2 900
x 100
n 9
Finding the standard normal variable, we have
x 1,030 1,000
z 3
10
x
Consulting our Table B.2 values in Appendix B, we can see that probability that
z exceeds 3 is 1 -.99865 = .00135. Correspondingly, this is also the probability
that x will exceed 1030.
The distributions of x and x for this example are graphed in Figure A.10.
Appendix A 212