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UNIVERSITT

DUISBURG ESSEN
Campus Duisburg

Prof. Dr.-Ing. Bernd Noche

Rechnergesttzte Netzanalysen
ehem.: Simulation in Logistics g II

Probability and Statistics in Simulation

Lecturer: Prof. Dr.-Ing. Bernd Noche

tul

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Probability and Statistics


Design the simulation experiments Perform statistic analyses of the simulation output data

Model a probabilistic system

Probability and statistics

Generate random samples from the input distribution

Validate the simulation model d l


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Choose the input probabilistic di t ib ti distribution


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Useful Statistical Models


1 1. Queueing Q i System: S t i t interarrival i l times ti and d the th service i times. ti Exponential distribution, Weibull distribution, and gamma distribution, normal distribution. 2. Inventory System: the number of units demanded per order or per time period, the time between placing an order, and the lead time. Geometric, Poisson, and negative binomial distribution provide a range of distribution shapes that satisfy a variety of demand patterns. The lead time distribution can often be fitted fairly well by a gamma distribution. 3. Reliability and Maintainability: time to failure, time to repair . Time to failure has been modeled with exponential, gamma and Weibull distribution. 4. Limited Data: in many instances simulations begin before data collection has been completed. Uniform triangular, Uniform, triangular and beta distribution. distribution
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Random Variables and Probability y Distributions Random Variable (RV) Discrete Random Variable
A real number assigned to each outcome of an experiment in the sample space Can only take a finite or a countable infinite set of values e.g., hit or miss {0 or 1}, Flip a coin of shooting a basketball, outcome of throwing a dart {1, 2, , 20} number of customers waiting in a queue 20}, Simulate Monte Carlo: throw a dice {1, 2, 3, 4, 5, 6}, a pair of dices {2, 3, 4, , 10, 11, 12} Can take on a continuum of values (infinite) e.g., customer interarrival time
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Continuous Random Variable


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Discrete Random Variables

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Discrete Random Variables


Restrictions/Conditions / 0 p(xi) 1 for all i (all i) p( p(xi) = 1 certain outcome Alternative representation for the probability distribution is the cumulativedistribution function (CDF) (Verteilungsfunktion), F(x) Definition: F(x) = P(X x) relative to probability mass function: F(x) = (xi x) p(xi) Properties of F(x): (1) 0 F(x) 1 (2) F( ) = 0 (3) F( ) = 1
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Discrete Random Variables


Ex: S = {0, 1, 2, 3} four possible outcomes p(0) = 1/8 p(1) = 3/8 p(2) = 3/8 p(3) = 1/8 (i = 0 to 3) p(xi) = 1/8 + 3/8 + 3/8 + 1/8 = 1
p(Xi) 1 3/4 1/2 1/4 Xi F(Xi) 1 3/4 1/2 1/4 0.500 1 0.125 0 1 2 3 Xi 0 1.000 0.875 2

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Continuous Random Variables


Probability density function (pdf)(Dichtefunktion), f(x) D fi iti Definition: P( X b) = P(a f( ) dx d (from a to b) f(x) Conditions: f(x) (1) f(x) 0 and ( 2 ) (f (from to t ) f(x) dx = 1
a ( ) f(x)

x b P(a X b)

Cumulative distribution function (cdf), F(x) Definition: F(x) = (from to x) f(y) dy = P(X x) Defines the probability that the continuous random variable X assuming a value less than or equal to x 8 06.11.2013 Rechnergesttzte Netzanalysen

Continuous Random Variables


Ex: RN RNs s with uncountable infinite number of possible continuous values between 0 and 1 and equal probability
f (X) UNFRM (0,1)
P (0.50 X 0.75) =

F (X)

0.75

0.5

1 dX = 0.25

0.25

0.5 0.75 pdf

X cdf

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Discrete and Continuous Random Variables bl Mixed d Distribution b


Ex: Value 1 - 1/3 probability Value 2 - 1/3 probability Between 1 and 2 - 1/3 probability
F (X) 1/3 1/3 1 2/3 1/3 X 1.00 0 67 0.67 (1,2) 1/3 0.33 1 0 1 2 0 0
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f (X) 1 2/3

p(1) = 1/3 p(2) = 1/3 p(1x2) = 1/3 = 1


X 2

2
1/3 + (x-1)/3 ( 1)/3

X 1
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Expectation p and Moments


Used to characterize probability distribution functions The Expectation (expected value) of a random variable when x is discrete x E[x]: x, E[x] = (all i) xi p(xi)
E[x] = (all x) x f(x)dx when x is continuous when x is discrete when h x is continuous

In I general, l can be b a function f ti of fx


E[xn] = (all i) xin p(xi) n f( )d E[x [ n] = (all x) x f(x)dx

The expectation of xn is defined as the nth moment of a random d variable i bl Expected value is a special case when n = 1, it is thus called the first moment the mean (Erwartungswert/Mittelwert)
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Expectation and Moments


A variant of the nth moment is the nth moment of a random variable about the mean E[(x E[x])n] Important: the second moment about the mean E[(x E[x])2] = 2 = Var[x] where the variance (Varianz) of x Var[x] = measures of the spread of probability distribution = standard deviation (Standardabweichung) of the random d variable i bl
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Expectation and Moments


Other higher order of moments - measures of probability of distributions Skewness (Schiefe) - measures if the distribution is symmetric
Mode Median Mean

Skewed Positively

Skewed Negatively

Kurtosis (Wlbung) - measures flatness or peakedness


Flat (with short broad tails) Peaked long thin tails

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Covariance
For two random variables x and y:
Cov[x, y] = E[(x E[x]) (y E[y])] Measures the linear association between x and y
Causal relationship x and y are independent if Cov[x, Cov[x y] = 0 Formally, p(y|x) = p(y) for discrete f (y|x) ( | ) = f (y) ( ) for f continuous ti

Measure of dependence correlation coefficient,


=
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Cov[ x, y ] Var[ x ] Var[ y ]

[-1,1]

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Functions of Random Variables and Th i Properties Their P ti


Properties for Expectation of functions of RV
E[x + y] = E[x] + E[y] E[kx] = kE[x] E[x + k] = E[x] + k where here k is an arbitrary arbitrar constant x + y is a RV kx is a RV x + k is a RV

Properties for Variances


Var[x + y] = Var[x] + Var[y] + 2Cov[x, y] If x, y are independent, Var[x + y] = Var[x] + Var[y] Var[kx] = k2 Var[x] Var[x + k] = Var[x] Var[kx + ny] = k2 Var[x] + n2 Var[y] + 2kn Cov[x, y]
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Random Variables

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Discrete Random Variable


Example :Constant
100 3s

Constant No uncertainty Degenerate D t case No variation (sd = 0)


100 trials ti l
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Bernoulli Trial and Distribution


Consider an experiment consisting of n trials, each can be b a success or a failure. f il
Xj = 1 if the jth experiment is a success Xj = 0 if the jth experiment is a failure

The Bernoulli distribution (one trial): p, x j = 1, j = 1,2,..., n 1 p = q, x j = 0 ,j = 1,2 ,...,n p j ( x j ) = p( x j ) = 0, otherwise


X

Jacob Bernoulli (16541705)

where E(Xj) = p and V(Xj) = p (1p) = p q

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Binomial Distribution
Let N = # trials, p = p probability y of each success trial

Example: N=7, p=0.5 X = # of success SSSFSSF X=5 FFSFSSS X=4 SSFSFSF X=4 ...etc. t

The mean, E(x) = p + p + + p = np The variance, V(X) = pq + pq + + pq = npq


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Binomial Distribution Example


A production d ti process manufactures f t machines hi on the th average at t 2% nonconforming. Every day a random sample of size 50 is taken from the process. If the sample contains more than 2 nonconforming machines , the process will be stopped. stopped Question: what is the probability that the process is stopped by the sampling scheme? Solution: P(X > 2) = 1 P( X 2) the probability P(X 2) is calculated from: P( X 2) = 0.92 Thus, the probability that the production process is stopped on any day, based on the sampling process, process is ca. ca 0.08. 0 08 the mean number of nonconforming and variance machines in a random sample of size 50 is: E(X) = np = 50(0.02) 50(0 02) = 1, 1 V(X) = npq = 50(0.02)(0.98) 50(0 02)(0 98) = 0.98 0 98
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Geometric Distribution
The geometric Th t i distribution di t ib ti is i related l t d to t a sequence of f Bernoulli B lli trials; t i l the th random d variable of interest , X, is defined to be the number of trials to achieve the first success. The distribution of X is given by

p(x) = qx1p, x = 1, 2,
the event {X = 0} occurs when there are x 1 failures followed by a success. Each of the failures has an associated probability of q = 1 p, and each success has a probability p. Thus, P(FFFFS) = qx1p the mean and variance are given by E(X) = 1/p 1/ and V(X) = q/P
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Geometric Distribution Example


Forty percent of f the h assembled bl d machines h are rejected d at the h inspection station. Question Q ti : Find Fi d the th probability b bilit that th t the th first fi t acceptable t bl machines is the third one inspected. Solution: consider each inspection as a Bernoulli trial with q = 0.4 and p = 0.6, 06 P(3) = 0.4(0.6) = 0.096 thus in only about 10% of the cases is the first acceptable thus, machines the third one from any arbitrary starting point.

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Poisson Distribution
Gives (probability of) the number of events that occur in a given period Formula looks quite complicated (and NOT discrete), but it is discrete and using it is not that difficult

e - x p(x) = x! 0
Poisson (Simon Denis, Fr. 17811840 )
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X {0,1,...,t} otherwise

Where is the mean arrival rate. Note that must be positive E(X) = V(X) = Applications of Poisson Distribution Discrete distribution, used to model the number of independent events occuring per unit time, E Batch Eg. B h sizes i of f customers and d items i If the time betweeen successive events is exponential, then the number of events in a fixed time interval is poisson.

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Poisson Distribution Example


A drilling d illi machine hi repairman i i called is ll d each h time ti th there i a call is ll for f service. i The Th number of calls per hour is known to occur in accordance with a Poisson distribution with a mean of 2 per hour . Question i : The h probability b bili of f three h calls ll in i the h next hour? h ? Solution: p(3) = e22 /3! = (0.135)(8)/6 = 0.18

Question: determine the probability of two or more calls in period. P( ( 2 or more) )=? one hour p
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Bernoulli Relatives
Normal

Bernoulli

Binomial

Poisson
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Random Variables

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Uniform Distribution
A random variable X is uniformly distributed on the interval (a,b), U(a,b), if its pdf and cdf are:

1 , a x b f ( x) = b 0, otherwise a
0, x a x , a x b F ( x) = ab a x b 1,
E(X) = (a+b)/2 V(X) = (ba)2/12

The uniform distribution plays a vital role in simulation. Random numbers, uniformly distributed between 0 and 1, provide the means to generate random events.
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Uniform Distribution
The Bus 933 arrives every 15 minutes at the terminal MArea beginning at 6:50 P .M. until 7:50 P .M. A certain passenger does not know the schedule and arrives randomly (uniformly distributed) between 7:00 P .M. and 7:30 P .M. every Wednesday evening. What is the probability that he waits more than 5 minutes for a bus? The probability is P(5 < x < 15) + P(20 < x < 30) X is uniform random variable on (0,30). The desired probability is given by F(15) F(5) + F(30) F(20) = 15/30 5/30 + 1 20/30 = 2/3
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Exponential Distribution
PDF CDF
exponential p

F(x) = f(y)dy = e y dy = 1 e x 0 0 . 1 E[X ] = ; Var(X ) = 1 . 2


Applications of Exponential Distribution: Used to model time between independent events like arrivals or breakdowns. events,like breakdowns model service times that are highly variable. Inappropriate for modeling process delay times times.

Exponential Memoryless property: P{X > s + t|X > t}= P{X > s} t,s 0.
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Example of the use of the memoryless property of Exponential Distribution A queueing system has two servers. The service times are assumed to be exponentially distributed (with the same parameter). Upon arrival of a customer () both servers are occupied () but there are no other waiting customers. customers

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Exponential Distribution Example


The life Th lif of f a light li ht bulb b lb is i given i b X, by X which hi h is i said id to t have h an exponential ti l distribution with mean 2 years. Its pdf is shown below:

Question: whats the probability that the life of the light bulb is between 2 and 3 years? Solution:

Question: What is the probability that it lasts for another year if it has already
being operating for 2.5 2 5 years?

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Erlang Distribution
Agner Krarup Erlang

The Erlang distribution is the distribution of the sum of k independent identically distributed random variables each having an exponential distribution. Events which occur independently with some average rate are modeled with a Poisson process. The waiting times between k occurrences of the event are Erlang distributed. PDF: CDF: the shape k, which is a nonnegative integer, and the rate , which is anon negative real number .
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Erlang Distribution Example


A welding ldi machine hi has h two t welding ldi heads. h d The Th welding ldi heads h d will ill switch it h the th current to the second welding head if the first fails. The life expectancy of the welding heads is exponentially distributed with average life 1000 hours. Question i : What h is i the h probability b bili that h the h machine hi still ill works k after f 90 days. d The probability that the system will still operate at least x hours is called the reliability function R(x), where R(x) = 1 F(x) Solution: the total system lifetime is given k = 2 welding head, and = 1/1000. F(2160) = 0.636 0 636 therefore, the chances are about 36% that the machine still works after 90 days.

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Normal Distribution
Johann Carl Friedrich Gauss

normal

E[X]= , Var(X)= 2 .

Normal Canonical: C i l mean = 0, 0 = 1. 1 f(-x)=f(+x); the pdf is symmetric about . The maximum value of the pdf occurs at x = . bellshaped curve symmetric about its mean . Shape determined by its standard deviation .
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Normal Distribution
T Transformation f ti of f variables: i bl let l t Z = (X ) / ,

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Normal Distribution
The time Th i required i d to load l d an oceangoing i vessel, l X, X is i distributed di ib d as N(12,4). Question: What is the p probability y that the vessel is loaded in less than 10 hours? Solution:

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Weibull distribution
The random variable X with probability density function
1 x x f ( x) = p exp
Waloddi Weibull 18 June 188712 October 1979

for x > 0 i a Weibul is W ib l random d variable i bl with ith scale parameter > 0 and shape parameter > 0. p By inspecting the probability density function, it is seen that when h = 1, 1 the th Weibull W ib ll distribution is identical to the p distribution. exponential
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The effect of the Weibull shape parameter on the pdf.

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Weibull distribution
Weibul distribution is often used to model the time until failure of many different physical systems. Distribution parameters provide a great deal of flexibility to model systems in which the number of failures: Increases with h time (e.g., ( b bearing wear). ) Decreases with time (some semiconductors). Remains constant (failures caused by external shocks h k to the h system). ) with < 1 exhibit a failure rate that decreases with time,with = 1 have a constant failure rate (consistent with the exponential distribution) and populations with > 1 have a failure rate that increases with time. time
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The effect of on the Weibull failure rate function.

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Weibull distribution

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Weibull distribution Example


The h time to failure f l f a electronic for l d device is known k h have a Weibull distribution with = 1/3, and = 200 hours (time measured in use hours). hours) Question: what is the mean time to failure of this device? What is the probability that it fails before 2000 hours? Solution: E(X) = 200(3+1) = 200(3!) = 1200 hours F(2000) = 1 exp[ (2000/200) ] = 0.884
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Empirical Distributions
A distribution whose parameters are the observed values in a sample of data.
May be used when it is impossible or unnecessary to establish that a random variable has any particular parametric distribution Advantage: no assumption beyond the observed values in the sample. Disadvantage: Di d t sample l might i ht not t cover the th entire ti range of possible values.
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Summary
The world that the simulation analyst sees is probabilistic, not deterministic. Reviewed several important probability distributions and Showed applications of the probability distributions in a simulation context. Difference between discrete, , continuous, , and empirical distributions.
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