SYSTEM MODELING

and SIMULATION
An Introduction
Frank L. Severance, Ph.D.
Professor of Electrical and Computer Engineering
Western Michigan University

J O H N W I L E Y & SONS, LTD

Chichester • New York • Weinheim • Brisbane • Singapore • Toronto
 Contents

Preface ix

J DESCRIBING SYSTEMS

1.1 The Nature of Systems 1

1.2 Event-Driven Models 10
1.3 Characterizing Systems 13
1.4 Simulation Diagrams 15
1.5 The Systems Approach 24

DYNAMICAL SYSTEMS 32

2.1 Initial-Value Problems 32

• Euler's Method 34
• Taylor's Method 38
• Runge-Kutta Methods 40
• Adaptive Runge—Kutta Methods 42
2.2 Higher-Order Systems 44
2.3 Autonomous Dynamic Systems 46
2.4 Multiple-Time-Based Systems 57
2.5 Handling Empirical Data 67
vi Contents

STOCHASTIC GENERATORS 84

3.1 Uniformly Distributed Random Numbers 84

3.2 Statistical Properties of U[0,l] Generators 88
3.3 Generation of Non-Uniform Random Variates 92
• Formula Method 92
• Rejection Method 94
• Convolution Method 98
3.4 Generation of Arbitrary Random Variates 101
3.5 Random Processes 107
3.6 Characterizing Random Processes 110
3.7 Generating Random Processes 118
• Episodic Random Processes 119
• Telegraph Processes 119
• Regular Random Processes 123
3.8 Random Walks 123
3.9 White Noise 127

SPATIAL DISTRIBUTIONS 141

4.1 Sampled Systems 141

4.2 Spatial Systems 151
4.3 Finite-Difference Formulae 160
4.4 Partial Differential Equations 168
4.5 Finite Differences for Partial Derivatives 172
4.6 Constraint Propagation 177

STOCHASTIC DATA REPRESENTATION 184

5.1 Random Process Models 184

5.2 Moving-Average (MA) Processes 193 {
5.3 Autoregressive (AR) Processes 198
5.4 Big-Z Notation 206
5.5 Autoregressive Moving-Average (ARMA) Models 209
5.6 Additive Noise 214
 Contents

MODELING TIME-DRIVEN SYSTEMS 224

6.1 Modeling Input Signals 225

6.2 Nomenclature 231
6.3 Discrete Delays 239
6.4 Distributed Delays 243
6.5 System Integration 250
6.6 Linear Systems 257
6.7 Motion Control Models 264
6.8 Numerical Experimentation 268

EXOGENOUS SIGNALS AND EVENTS 282

7.1 Disturbance Signals 283

7.2 State Machines 287
7.3 Petri Nets 293
7.4 Analysis of Petri Nets 305
7.5 System Encapsulation 317

O
Z. MARKOV PROCESSES 334

8.1 Probabilistic Systems 334

8.2 Discrete-Time Markov Processes 336
8.3 Random Walks 346
8.4 Poisson Processes 353
• Properties of the Poisson Process 357
8.5 The Exponential Distribution 360
8.6 Simulating a Poisson Process 363
8.7 Continuous-Time Markov Processes 365

EVENT-DRIVEN MODELS 380

9.1 Simulation Diagrams 380

9.2 Queuing Theory 391
9.3 M / M / l Queues 395
viii Contents

9.4 Simulating Queuing Systems 403

9.5 Finite-Capacity Queues 405
9.6 Multiple Servers 410
9.7 M/M/c Queues 415

SYSTEM OPTIMIZATION 426

10.1 System Identification 426

10.2 Non-Derivative Methods 435
10.3 Sequential Searches 439
10.4 Golden Ratio Search 442
10.5 Alpha/Beta Trackers 445
10.6 Multidimensional Optimization 452
10.7 Non-Derivative Methods for Multidimensional Optimization 454
10.8 Modeling and Simulation Methodology 468

APPENDICES 476

A Stochastic Methodology 477

• Determining the Density Function 477
• Estimation of Parameters 483
• Goodness of Fit 486
B Popular Discrete Probability Distributions 490
• Discrete Uniform 490
• Binomial 491
• Geometric 492
• Poisson 492
C Popular Continuous Probability Distributions 493
• Continuous Uniform 493
• Gamma 493
• Exponential 494
• Chi-Square 494
• w-Erlang 495
• Gaussian 495
• Beta 496
D The Gamma Function 497
E The Gaussian Distribution Function 498
F The Chi-Square Distribution Function 499

INDEX 500