Probability Models Ä ,'-,:

for Computer Science

Sheldon M. Ross
University of California
Berkeley, CA

V MM Mit
PRESS-

A Harcourt Science and Technology Company

San Diego San Francisco New York Boston

London Sydney Toronto Tokyo
 Contents

Preface XI

1 Probability l
1.1 Axioms of Probability 1
1.2 Conditional Probability and Independence 1
1.3 Random Variables 2
1.4 Expected Value and Variance 5
1.4.1 Expected Value and Variance of Sums of Random Variables
1.5 Moment-Generating Functions and Laplace Transforms 17
1.6 Conditional Expectation 20
1.7 Exponential Random Variables 32
1.8 Limit Theorems 41
1.8.1 Stopping Times and Wald's Equation 42
Exercises 43

2 Some Examples 49
2.1 A Random Graph 49
2.2 The Quicksort and Find Algorithms 55
2.2.1 The Find Algorithm 58
2.3 A Self-Organizing List Model 61
2.4 Random Permutations 62
2.4.1 Inversions 66
2.4.2 Increasing Subsequences 69
Exercises 71

VII
VIII Contents

3 Probability Bounds, Approximations,

and Computations 75
3.1 Tail Probability Inequalities 75
3.1.1 Markov's Inequality 75
3.1.2 Chernoff Bounds 76
3.1.3 Jensen's Inequality 79
3.2 The Second Moment and the Conditional
Expectation Inequality 79
3.3 Probability Bounds via the Importance Sampling Identity 87
3.4 Poisson Random Variables and the Poisson Paradigm 89
3.5 Compound Poisson Random Variables 94
3.5.1 A Second Representation when the Component
Distribution Is Discrete 95
3.5.2 A Compound Poisson Identity 96
Exercises 100

4 Markov Chains 103

4.1 Introduction 103
4.2 Chapman-Kolmogorov Equations 105
4.3 Classification of States 106
4.4 Limiting and Stationary Probabilities 115
4.5 Some Applications 121
4.5.1 Models for Algorithmic Efficiency 121
4.5.2 Using a Random Walk to Analyze a Probabilistic Algonthm
for the Satisfiability Problem 126
4.6 Time-Reversible Markov Chains 131
4.7 Markov Chain Monte Carlo Methods 142
Exercises 147

5 The Probabilistic Method 151

5.1 Introduction 151
5.2 Using Probability To Prove Existence 151
5.3 Obtaining Bounds from Expectations 153
5.4 The Maximum Weighted Independent
Set Problem: A Bound and a Random Algorithm 156
5.5 The Set-Covering Problem 161
5.6 Antichains 163
5.7 The Lovasz Local Lemma 164
5.8 A Random Algorithm for Finding the Minimal
Cut in a Graph 169
Exercises 171
Contents IX

6 Martingales 175
6.1 Definitions and Examples 175
6.2 The Martingale Stopping Theorem 177
6.3 The Hoeffding-Azuma Inequality 189
6.4 Submartingales 192
Exercises 194

7 Poisson Processes 199

7.1 The Nonstationary Poisson Process 199
7.2 The Stationary Poisson Process 203
7.3 Some Poisson Process Computations 205
7.4 Classifying the Events of a Nonstationary Poisson Process 211
7.5 Conditional Distribution of the Arrival Times 215
Exercises 217

8 Queueing Theory 221

8.1 Introduction 221
8.2 Preliminaries 222
8.2.1 Cost Equations 222
8.2.2 Steady-State Probabilities 224
8.3 Exponential Models 226
8.3.1 A Single-Server Exponential Queueing System 226
8.4 Birth-and-Death Exponential Queueing Systems 230
8.5 The Backwards Approach in Exponential Queues 238
8.6 A Closed Queueing Network 239
8.7 An Open Queueing Network 243
8.8 The M/G/l Queue 248
8.8.1 Preliminaries: Work and Another Cost Identity 248
8.8.2 Application of Work to M/G/l 249
8.8.3 Busy and Idle Periods 253
8.8.4 Relating the Variances of Waiting
Times and Number in System 254
8.9 Priority Queues 255
Exercises 258

9 Simulation 261
9.1 Monte Carlo Simulation 261
9.2 Generating Discrete Random Variables 263
9.3 Generating Continuous Random Variables:
The Inverse Transform Approach 266
X Contents

9.4 The Rejection Method 268

9.5 Variance Reduction 272
9.5.1 Antithetic Variables 272
9.5.2 Importance Sampling 275
9.5.3 Variance Reduction by Conditional Expectation 279
Exercises 280

References 283
Index 285