Simulation Modeling: Questions 4

Alan Freeman - 10277552

12th April 2012
Question 1
(a) Letting
j
be the steady state probability for state j, we have from the lecture notes
that

j
=
m

k=1

k
p
kj
(1)
and
m

k=1

j
= 1 (2)
where p
kj
is the probability of transition from state k to state j. The transition probabilities
are given by the transition matrix p. Using (1), we can nd the probabilities:

1
=
2

2
= (1 )
1
+
4

3
=
1

4
= (1 )
2
+
3
Rewriting the probabilities in terms of
2
and substituting into (2), gives us:

2
+
2
+
2
+ (1 )
2
+
2
= 1

2
=
1
2(1 +)
Solving for the remaining probabilities and expressing the steady state pdf vector
=
_

1

2

3

4
_
gives:
=
_

2(1+)
1
2(1+)

2(1+)
1+
2(1+)
_
(3)
1
Given that each
j
is the probability of each state j as t , we can write the steady state
expected value as:
lim
t
E[X(t)] =
m

k=1
k
k
(4)
where, in this question m = 4. Using (4) and our results for the steady state vector found
in (3) we nd
lim
t
E[X(t)] =
1
+ 2
2
+ 3
3
+ 4
4
=

2(1 +)
+
2
2(1 +)
+
3
2(1 +)
+
4(1 +)
2(1 +)
=
6 3 + 7
2(1 +)
(b) In general, using matrix notation for the Chapman-Kolomogorov Equation (as given on
page 491 in the text book
1
), our pdf vector will be f
t+1
= f
t
p. We are given that the for
the initial state at t = 0 we have P[X(0) = 2] = 1, hence our initial pdf is
f
0
=
_
0 1 0 0
_
.
t = 1
Our pdf will be
f
1
=
_
0 1 0 0
_
p
=
_
0 0 1
_
This gives us
E[X(1)] = (1) + (2)(0) + (3)(0) + (4)(1 )
= 4 3
1
Lemmis L and Park S (2004). Discrete Event Simulation: A First Course
2
t = 2
Firstly, the pdf will be
f
2
=
_
0 0 1
_
p
=
_
0 1 0
_
This gives us
E[X(2)] = (1)0 + (2)(1 ) + (3)(0) + (4)()
= 1 + 3
t = 3
Firstly, the pdf will be
f
2
=
_
0 1 0
_
p
=
_
(1 ) 0 (1 )(1 )
_
This gives us
E[X(3)] = (1)((1 )) + (2)() + (3)(0) + (4)(1 )(1 )
= 4 3 2 + 3
2
Question 2
Process can be modelled as a Birth-Death Markov Process, where arrivals to the ATM as
Births, and customers leaving the as Deaths. Here we have 5 possible states, with each state
being the number of customers in system ie. X = 0, 1, 2, 3, 4.
Arrivals give a Birth Rate
j
= 1. Death rates are based on exp( = 1) service times and
impatient customers leaving the queue after exp( = 1) time. Hence, death rates are:

0
= 0

1
= = 1

2
= + = 2

3
= + 2 = 3

4
= + 3 = 4
3
Let
i
be steady state probability of leaving the state i. By rearranging the balance equa-
tion:

i
=
n

k=1

k
p
ki
we can show

i
p
i,i+1
=
i+1
p
i+1,i
(5)
Using our birth and death rates,
i
and
i
, we can show from (5) that
i

i
=
i+1

i+1
, and
hence:

0
=
1

1

0
=
1

1
=
2

2

1
= 2
2

2
=
3

3

2
= 3
3

3
=
4

4

3
= 4
4
In addition, we have from (2):

0
+
1
+
2
+
3
+
4
= 1
. Expressing the equations for
i
in terms of
2
and substituting into (2) gives us:

0
=
24
65

1
=
24
65

2
=
12
65

3
=
4
65

4
=
1
65
(a) Time average number of customers waiting in the queue
There will only be customers waiting in the queue for for states 2, 3 and 4 (ie when theres
2 or more customers in the system). Hence, average number of customers waiting will
be

2
+ 2
3
+ 3
4
=
12
65
+
8
65
+
3
65
=
23
65
(b) Proportion of customers lost?
Customer will only leave when a queue has formed, hence, we only need to consider the
states where when theres 2 or more customers in the system). Proportion of customers lost
4
will be (assuming arrival rate of 1):

2
+ 2
3
+ 3
4
=
2
+ 2
3
+ 3
4
=
12
65
+
8
65
+
3
65
=
23
65
(c) Proportion of customers served?
Customers will be served once theres 1 or more customers in the system. Proportion of
customers served will be (assuming arrival rate of 1):

1
+
2
+
3
+
4
=
24
65
+
12
65
+
4
65
+
1
65
=
41
65
Question 3
Modifying the balance equation from the notes, we have equilibrium probability:

k
=
0
k1

i=0

i1

i
=
0
_

_
k
where k K. For k K + 1, we have:

k
=
0
K

i=0

k1

i=K+1
2

k
=
0
1
2
K+1
_

_
k
In order to nd an expression for
0
to substitute into the above equation, we note that the
sum of all the probabilities will be equal to 1, hence:
1 =
K

k=0

0
_

_
k
+

K+1

0
1
2
K+1
_

_
k
5
and:

0
=
1

K
k=0
_

_
k
+

K+1
1
2
K+1
_

_
k
Question 4
(a) Modifying the balance equation as in the previous question, we have equilibrium prob-
ability:
p
k
= p
0
k1

i=0

= p
0
_

_
k

k1
i=0
i
= p
0
_

_
k

k(k1)/2
This gives us:
p
k
= p
0
_

(k1)/2

_k
(6)
(b) From equation (6) and the fact that

k=0
p
k
= 1 we have:
p
0

k=0
_

(k1)/2

_k
= 1
Therefore:
p
0
=
1

k=0
_

(k1)/2

_
k
6