Statistical Models in Simulation

Rechnergesttzte Netzanalysen
Computational Network Analysis
Prof. Dr.-Ing. Bernd Noche
M.Sc Mandar Jawale

Statistical Models in Simulation

Introduction
Probability and Statistcs is integral part of Simulation.
Probability statistics are required for:
To model a probabilistic system.
Choose input probability distribution
Perform statistical analysis.

In this lesson , focus on basic probability and statistics relevant to

Simulation.

Statistical Models in Simulation

Applications Statistical Models

Queueing System: interarrival times and the service times.
Exponential distribution, Weibull distribution, and gamma distribution,
normal distribution.
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.
Reliability and Maintainability: time to failure, time to repair.
Time to failure has been modeled with exponential, gamma and Weibull
distribution.
Limited Data: in many instances simulations begin before data
collection has been completed.
Uniform, triangular, and beta distribution.
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Statistical Models in Simulation

Random Variable
Random Variable: is a fuction that assigns a real number to each
point in ths sample space.
Discrete Random Vairable: A random variable is said to be
discrete if it can take on at countable number of values or finite
values (i = 1,2,3,...).
Continuous random variable :A random variable is said to be
continuous such that it can take value for any set of real numbers.(
where the values can between 0 and 1)

Statistical Models in Simulation

Random Variable example

Continuous
position of a particle

Discrete
heads in N coin flips

volume of oil in a tank

score of a soccer game

process inter-arrival time

Demand of a warehouse

Statistical Models in Simulation

Discrete Random Variable(cdf & pmf)

Cumulative distribution function (cdf): All random variables
(discrete and continuous) have a cumulative distribution function.
It is a function giving the probability that the random variable X is
less than or equal to x, for every value x.
A cdf for F(x) of the random variable X is defined for each real
number as follow: F(x) = P(X x) for -<x<
Probability mass function (pmf): The probability that a discrete
random variable X takes on a particular value x, that is, P(X = x)
(all i) p(xi) = 1
F(x) = (xi x) p(xi)

Statistical Models in Simulation

Continuous random variable (cdf & pdf)

Cumulative distribution function (cdf): The probability that the
continuous random variable X assuming a value less than or equal
to x
F(x) = (from - to x) f(y) dy = P(X x)
Probability density function: The probability density function of a
continuous random variable is a function which can be integrated to
obtain the probability that the random variable takes a value in a
given interval.
P(a X b) = (from a to b) f(x) dx
It follows the conditions :
f(x) 0 and (from - to ) f(x) dx = 1

Statistical Models in Simulation

Expectation & Moment

Used to characterize probability distribution functions
The Expectation (expected value) of a random variable x, E[x]: E[x]
= (all i) xi p(xi)
when x is discrete
E[x] = (all x) x f(x)dx
when x is continuous
In general, can be a function of x
E[xn] = (all i) xin p(xi)
when x is discrete
E[xn] = (all x) xn f(x)dx
when x is continuous
The expectation of xn is defined as the nth moment of a random
variable

Statistical Models in Simulation

Expectation & Moment

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 = standard deviation of the random variable

Statistical Models in Simulation

Variance and Covariance

Variance: measures of the spread of probability distribution.
It is the measure of dispersion of a variable about its mean.
Thus larger the variance , the more likely the random variable is to
take values far from its mean.
Two distribution have same
mean, but a) has small variance
While b) has large variance
a
b
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
x and y are independent if Cov[x, y] = 0
Measure of dependence - correlation

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Distributions

Discrete

Continuous

Bernoulli

Uniform

Binomial

Exponential

Geometric

Weibull

Poisson

Normal
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Statistical Models in Simulation

Bernoulli Distribution
A Bernoulli (p) random variable X can be outcome of an experiment
that either fails or succeeds. If the probability of success is p,
and we let X=0 if the experiment fails and X=1 if it succeeds, then
X~ Bernoulli (p),. Such an experiment, often called as Bernoulli
Trial.

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Statistical Models in Simulation

Bernoulli Distribution
Pmf

Cdf

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Statistical Models in Simulation

Bernoulli Distribution
Applications: Random occurences with two possible outcomes.
Used to generate other discrete random variates eg.
Binomial,geometric and negative binomial
Examples of bernoulli trials

Mode

Interpret

Tossing of coin

1 if heads; 0 if tails

Dart board game

1 if hits bulls eye, 0 if fails

Football score

1 if goal score, 0 if not

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Binomial Distribution bin(N,p)

The binomial distribution is used when there are exactly two
mutually exclusive outcomes of a trial. These outcomes are
appropriately labeled "success" and "failure". The binomial
distribution is used to obtain the probability of observing x successes
in N trials, with the probability of success on a single trial denoted by
p. The binomial distribution assumes that p is fixed for all trials.

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Binomial Distribution bin(N,p)

Pmf

Cdf

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Statistical Models in Simulation

Binomial Distribution bin(N,p)

Applications: Number of defective items in a batch of size N;
number of items in a batch of random size; Number of items
demanded from an inventory.
Numerical Example: A production process manufactures machines
on the average at 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.
what is the probability that the process is stopped by the sampling
scheme?

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Statistical Models in Simulation

Geometric Distribution geom(p)

The geometric distribution is related to a sequence of Bernoulli trials;
the random variable of interest , X, is defined to be the number of
trials to achieve the first success.
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.

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Statistical Models in Simulation

Geometric Distribution geom(p)

Pmf

cdf

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Statistical Models in Simulation

Geometric Distribution geom(p)

Applications: Number of failures before the first success in a
sequence of independent Bernoulli trials with probability p of
success on each trial
Number of items inspected before encountering the first defective
item; number of items in a batch of random sizes; number of item
demanded from an inventory
Numerical Example: Forty percent of the assembled machines are
rejected at the inspection station.
Find the probability that the first acceptable machines is the third
one inspected.

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Statistical Models in Simulation

Poisson Distribution ()
The Poisson distribution is a discrete probability distribution for the
counts of events that occur randomly in a given interval of time.
X = The number of events in a given interval, then the mean number
of events per interval is

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Poisson Distribution ()
Pmf

Cdf

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Statistical Models in Simulation

Poisson Distribution ()
Application: Number of items in a batch of random size, number of
item demanded from inventory.
Numerical Example: A drilling machine repairman is called each
time there is a call for service. The number of calls per hour is
known to occur in accordance with a Poisson distribution with a
mean of 2 per hour.
What is the probability of three calls in the next hour?

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Statistical Models in Simulation

Uniform Distribution U(a,b)

Uniform distribution is used as a model for a qunatity that is felt to be
randomly varying between a and b about which little else is known.

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Uniform Distribution U(a,b)

Pdf

Cdf

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Statistical Models in Simulation

Uniform Distribution U(a,b)

Application: 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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Statistical Models in Simulation

Exponential Distribution
The exponential distribution model the time between independent
events that happen at a constant average rate.
Its also a special case of Weibull distribution where =1.

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Statistical Models in Simulation

Exponential Distribution
Pdf

Cdf

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Statistical Models in Simulation

Exponential Distribution
Applications: Inter-arrivals times of customers to a system that
occur at a constant rate. Time to failure of a piece of equipment.
Model service times that are highly variable. Inappropriate for
modeling process delay times.
Numerical Example: The life of a light bulb is given by X, which is
said to have an exponential distribution with mean 2 years.
whats the probability that the life of the light bulb is between 2 and 3
years?

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Statistical Models in Simulation

Weibull Distribution
Weibull distribution is often used to model the time until failure of
many different physical systems.
for x > 0, Weibull random variable with scale parameter > 0 and
shape parameter > 0.
By inspecting the probability density function, it is seen that when
=1, the Weibull distribution is identical to the exponential distribution.

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Statistical Models in Simulation

Weibull Distribution
Pdf

Cdf

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Statistical Models in Simulation

Weibull Distribution
Application: Weibull 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 time (e.g., bearing wear);
Decreases with time (some semiconductors).
Remains constant (failures caused by external shocks to the
system).
Numerical Example: The time to failure for a electronic device is
known have a Weibull distribution with = 1/3, and = 200 hours
(time measured in use hours).
what is the mean time to failure of this device? What is the
probability that it fails before 2000 hours?
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Statistical Models in Simulation

Normal Distribution N(, 2)

Bell-shaped curve symmetric about its mean .
Shape determined by its standard deviation .

Z = (X ) /
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Statistical Models in Simulation

Normal Distribution N(, 2)

Pmf

Cdf

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Statistical Models in Simulation

Normal Distribution N(, 2)

Applications: Error of various types, quantities that are sum of a
large numbers.
Numerical Example: The top 5% of applicants will recieve
scholarships. If their score are N(500, 1002 ) , how high the score of
a student should be to qualify for a scholarship?

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Statistical Models in Simulation

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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Reference
Simulation Modelling and Analysis
(Averill M.Law W.David Kelton)
WolframAlpha
A Primer on Statistical Distributions
(N. Balakrishnan, V.B Nevzorov).

Numerical examples will be solved later in the lecture

Numerical Excercise
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Statistical Models in Simulation

THANK YOU

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