Scribd
Upload
102 views

Poisson Process: Anil Kumar Bhat 1 M.Tech (DECS)

This document provides an introduction to the Poisson process. It defines the Poisson process as a stochastic process that counts the number of occurrences of some event over time. The key properties discussed are that increments over non-overlapping time intervals are independent, and the probability of an event in a small time interval is directly proportional to the interval length. The document also covers the probability mass function, mean, autocorrelation, examples, and representations of the Poisson process.

Uploaded by

manianil
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
102 views

Poisson Process: Anil Kumar Bhat 1 M.Tech (DECS)

This document provides an introduction to the Poisson process. It defines the Poisson process as a stochastic process that counts the number of occurrences of some event over time. The key properties discussed are that increments over non-overlapping time intervals are independent, and the probability of an event in a small time interval is directly proportional to the interval length. The document also covers the probability mass function, mean, autocorrelation, examples, and representations of the Poisson process.

Uploaded by

manianil
Copyright
© Attribution Non-Commercial (BY-NC)
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 23

Poisson Process

Anil Kumar Bhat 1st M.Tech (DECS)


Dept. of Electronics and Communication Engineering,

Objectives
Introduction Properties PMF of Poisson Process Mean Autocorrelation Auto-covariance Inter-arrival and Wait time Representations Examples

Expected Time : 30 min


2 Poisson Process

Introduction
A Stochastic process
formally denoted as {X(t), t T } is a sequence of random variables X(t), where the parameter (time)

runs over an index set T state space of the stochastic process is the set of all possible values for the random variables X(t) and each of these possible values is called the state of the process. If T is a continuum, X(t) is a continuous stochastic process Example:
The outcome of n tosses of a coin is a discrete stochastic process with state

space {heads, tails} and the index set T = {0, 1, 2, . . . , n} The number of arrivals of packets in a router during a certain time interval [a, b] is a continuous stochastic process because t [a, b]

Poisson Process

Introduction Counting Process


{N(t), t 0} Counts the number of occurrences of some event in the

interval [0,t) PMF: PX(i;t) = Pr(N(t) = i) Occurrence of event known as arrival or a point Known as Counting process, Pure birth process Some typical examples are
Number of binary packets received at switching node of a

communication network. Number of cars arriving at a petrol pump during a particular interval of time.
4 Poisson Process

Introduction Poisson Process


A Poisson process with parameter or rate > 0 is an integer-

valued, continuous time stochastic process {X(t), t 0} satisfying


X(0) = 0 ii. for all t0 = 0 < t1 < < tn, the increments X(t1) X(t0), X(t2) X(t1), . . . , X(tn) X(tn1) are independent random variables iii. for t 0, s > 0 and non-negative integers k, the increments have the Poisson distribution
i.

Poisson Process

Properties
Independent Increments Stationary Increments :Condition (iii) implies that the

increments only depend on the length of the interval t and not on the time s when the interval begins Distribution of Infinitesimal Increments: For an infinitesimal interval of length h, the probability of single arrival is proportional to h, and the probability of having more than one arrival is negligible compared to h.

Poisson Process

Properties
The probability that exactly one event occurs in an arbitrarily

small time interval of length h follows from condition (iii) as


the probability that no event occurs in an arbitrarily small

time interval of length h is


the probability that more than one event occurs in an

arbitrarily small time interval of length h is

Poisson Process

PMF for Poisson Process


Consider the time interval in Figure

Poisson Process

PMF for Poisson Process


Which is a first-order linear differential equation with initial condition First consider the problem to find From (1)

Next to find

, we have

Poisson Process

PMF for Poisson Process


with initial condition Solving the above first-order linear differential equation, Now by mathematical induction we can show that is called the rate or intensity of the Poisson process.
Note: The probability of the increments depends on the length of the interval and not on the absolute times

10

Poisson Process

Mean
In General the PMF of a Poisson Process is given by

The mean function is given by

i.e., the average number of arrivals in the interval [0, t) is t. Thus is called the arrival rate or intensity of the Poisson process

11

Poisson Process

Autocorrelation
Autocorrelation function can be calculated as follows:

Assuming that tl<t2, then X(tl) represents the number of

arrivals in the interval [0, t1) , while X(t2)-X(t1) is the number of arrivals in the interval [t1, t2) . Since these two intervals are independent

12

Poisson Process

Auto-covariance
In terms of the auto-covariance function If t2 < t1, then the roles of t2 and t1 need to be reversed. In general for the Poisson counting process, we have

13

Poisson Process

Inter Arrival Time


Let Tn= time elapsed between (n-1)th event and nth event.

The random process the Poisson process.

represent the arrival time of

T1 = time elapsed before the first event take place. Clearly

T1 is a continuous random variable. The probability

14

Poisson Process

Inter Arrival Time


The CDF of T1 can be written as The PDF is Similarly,

The expectation is Thus inter-arrival times is exponentially distributed with PDF

15

Poisson Process

Waiting Time

- the time that elapses before the nth event

16

Poisson Process

Representations
Sum of randomly shifted unit step functions.

where Si is the time of ith arrival and is referred to as points. Poisson Impulse Process

17

Poisson Process

Example -1
A petrol pump serves on the average 30cars per hour. Find the probability that during a period of 5 minutes (i) no car comes to the station, (ii) exactly 3 cars come to the station and (iii) more than 3 cars come to the station. Sol: Average arrival = 30 cars/hr = car/min Probability of no car in 5 minutes

18

Poisson Process

Example -2 (Ex - 8.27)


The arrival of calls at a switch board is modeled as a poisson process with the rate of calls per minute being a=0.1 (a) What is the probability that the number of calls arriving in a 10min interval is less that 10? (b) What is the probability that the number of calls arriving in a 10min interval is less that 10 if a=10 ? (c) assuming a=0.1, what is the probability that one call arrives during the first interval and two calls arrive in the second ten min interval
(a) (b) (c)

1 0 0.06766

19

Poisson Process

Example -3 (Ex - 8.28)


A model lightning strikes a power line during a thunderstorm as a poisson impulse process. Suppose the number of lightning strikes in the time interval t has a mean rate of arrival given by s which is one strike per three min. (a) what is the expected number of lightning strikes in one minute? (b) what is the expected number of lightning strikes in ten minute? (c) what is the average time between lightning strikes?
(a) (b) (c)

1/3 10/3 3 min

20

Poisson Process

Exam Questions
Write short notes on Poisson Process (4M) (Dec-11) 2. Explain Poisson Process with an example (10M) (Jan-11)
1.

21

Poisson Process

Bibliography
Probability and Random Processes, With Applications to Signal Processing and Communications - Miller & Childers 2. http://nptel.iitm.ac.in/courses/Webcourse-contents/IIT%20Guwahati/probability_rp/ 3. http://www.nas.its.tudelft.nl/people/Piet/CUPbookChapters/PA CUP_Poisson.pdf
1.

22

Poisson Process

QA

Thank You

23

Poisson Process

You might also like