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Isye 3232 Stochastic Manufacturing and Service Models Fall 2015 Z. She & Yl. Chang

This document provides the solutions to homework 1 for the course Stochastic Manufacturing and Service Models. It includes solutions to 10 problems covering various probability distributions like Poisson, normal, binomial, and exponential. The problems calculate probabilities, expected values, variances, and apply concepts like the central limit theorem.

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Samuel Diaz
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53 views

Isye 3232 Stochastic Manufacturing and Service Models Fall 2015 Z. She & Yl. Chang

This document provides the solutions to homework 1 for the course Stochastic Manufacturing and Service Models. It includes solutions to 10 problems covering various probability distributions like Poisson, normal, binomial, and exponential. The problems calculate probabilities, expected values, variances, and apply concepts like the central limit theorem.

Uploaded by

Samuel Diaz
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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ISyE 3232

Z. She & YL. Chang

Stochastic Manufacturing and Service Models

Fall 2015

Homework 1 - Solutions
August 21, 2015
1. (a) Poisson Distribution
(b) Normal Distribution
(c) Binomial Distribution
(d) Bernoulli Distribution
(e) Geometric Distribution
(f) Exponential Distribution
2. We are given that E[X] = 3 and V ar(X) = 20. Thus;
(a) E[5 2X 6X] = E[5 8X] = 5 8E[X] = 5 24 = 19
V ar(5 2X 6X) = V ar(5 8X) = 82 V ar(X) = 64V ar(X) = 1280
(b) E[(3X 4)/3 + 5] = E[X + 11/3] = E[X] + 11/3 = 3 + 11/3 = 20/3
V ar((3X 4)/3 + 5) = V ar(X + 11/3) = V ar(X) = 20
3. Lets say h denotes the number of heads and t denotes the number of tails obtained when a coin is
tossed 5 times. Then, h + t = 5
We want to find the difference d between them: d = h t
We know that h = 5 t. So, d = h t = 5 2t
The number of tailes t {0, 1, 2, 3, 4, 5}
Then, 5 2t = d {5, 3, 1, 1, 3, 5}
4. The distribution function of X is given by

1/3
2/5
F (b) =

7/8

b<0
0b<1
1b<4
4 b < 4.5
b 4.5

We need calculate the probability mass function of X, so we need to find P (X = i) for i = 0, 1, 4, 4.5
F (b) = P (X b)
P (X = i) = P (X i) P (X < i) = F (i) P (X < i) which is the jump between the values of b.
1
0.8
0.6
0.4
0.2
0

1
1
0=
3
3
2 1
1
P (X = 1) = F (1) P (X < 1) = =
5 3
15
7 2
19
P (X = 4) = F (4) P (X < 4) = =
8 5
40
7
1
P (X = 4.5) = F (4.5) P (X < 4.5) = 1 =
8
8
P (X = 0) = F (0) P (X < 0) =

The probability mass function of X is given by

1/3

1/15
19/40
p(i) =

1/8

i=0
i=1
i=4
i = 4.5
otherwise

5. Pr{X = i} = ci for positive, even integers i 11


(a) Lets say i = 2k where k = 1, 2, 3, 4, 5
We know that
P5
P5
5 (5 + 1)
1 = k=0 P (X = 2k) = k=0 2ck = 2c
= 30c
2
Then, c=1/30
P5
P5
P5
P5
(b) E[X] = k=0 2kP (X = 2k) = k=0 (2k)(2ck) = k=0 c(2k)2 = 4c k=0 k 2
= 4/30(12 + 22 + 32 + 42 + 52 ) = 22/3
P5
P5
P5
P5
(c) E[X 2 ] = k=0 (2k)2 P (X = 2k) = k=0 (2k)2 (2ck) = k=0 c(2k)3 = 8c k=0 k 3
= 8/30(13 + 23 + 33 + 43 + 53 ) = 60
(d) V ar(X) = E[X 2 ] (E[X])2 = 60 (22/3)2 = 56/9
(e) Note that (7 X)+ is defined as max(7 X, 0). Then,

with probability 2c (when X = 2)

3
with probability 4c (when X = 4)
+
(7 X) =
1
with probability 6c (when X = 6)

0 with probability 18c (when X = 8, 10)


Therefore, E[(7 X)+ ] = 5 2c + 3 4c + 1 6c + 0 18c = 28c = 28/30 = 14/15
6. X P oisson(5) and Y = min(X, 12).
(a) P (X = n) = 5n

e5
, n = 0, 1, 2, ...
n!

(b) E[X] = = 5
(c) V ar(X) = = 5
(d)
e5
n! 5
P
P (Y = n) =
ke

k=12 5

k!

5n

n = 0, 1, 2, ..., 11
n = 12
n = 13, 14...

(e)
E[Y ] =

kP (Y = k)

k=0

11
X

X
e5
e5
+ 12
5k
k!
k!

k5k

k=0

=5

k=12

11
X

X
e5
e5
+ 12
5k
(k 1)!
k!

5k1

k=1

k=12

10
X

= 12

= 12

10
X
e5
e5
7
5j
k!
(j)!
j=0

5j

e
+ 12
(j)!

5k

10
X
e
e5
e5
12 511
7
5j
k!
11!
(j)!
j=0

j=0

5k

k=12

k=0

12 12 0.00824 6.90413
= 4.99699
7. (a) We know that

ce5y dy = c/5

1=
0

so, c = 5 (Y is an exponential random variable with rate 5) .


(b) E[Y ] = 1/5 and V ar(Y ) = 1/25
The squared coefficient of variation of Y : Var(Y )/(E[Y ])2 ) = 1/25/(1/5)2 = 1
R
(c) Pr{Y > 8} = 8 5e5y dy = e40
P r{Y > 8, Y > 3}
P r{Y > 8}
e40
=
= 15 = e25
P r{Y > 3}
P r{Y > 3}
e
(P r{Y > 3} is also calculated similar to part (c)).

(d) Pr{Y > 8 | Y > 3} =

(e) We know that q satisfies


R the following
0.7 = Pr{Y > q} = q 5e5y dy = e5q
Then, q = ln(0.7)/(5) 0.071
8. fX,Y (x, y) = ce(3x+4y) for 0 x and 0 y.
(a) We know that

ce(3x+4y) dxdy = c/12

1=
0

Thus, c = 12
(b) Pr{X = Y } = 0 (as both of them are continuous random variables. You can see this if you try to
set up the limits of the integration).
(c)
Z

P r{min(X, Y ) > 1/2} = Pr{X > 1/2, Y > 1/2} =


1/2

(d)
Z

P r{X Y } =
0

12e3x e4y dydx =

12e(3x+4y) dxdy = e1.5 e2 = e3.5

1/2

Z
0

3e7x dx = 3/7

(e) fY (y) =

R
x

12e3x4y dx = 5n

e5
= 4e4y
n!


0
4e4y

fY (y) =

y<0
y0

xy12e3x e4y dydx


Z
Z
ye4y dy
=
12xe3x
0
0
Z
3x
= 12
xe
1/16dx

E[XY ] =

= 12 1/9 1/16
= 1/12
9. Let Xk denote the lifetime of the k th
where 1 k 20.
Pbulb
20
Note that the total lenght of use is k=1 Xk . Then, using the Central Limit Theorem (CTL) and the
standard normal table:
P20
20
X
Xk 20 30
800 20 30
P(
Xk 800) = P ( k=1
>
)
20 30
20 30
k=1
P (N (0, 1) > 1.49) 1 (1.49) 1 0.9313 0.0687

P(

20
X

P20
Xk 1000) = P (

k=1

Xk 20 30
1000 20 30

>
)
20 30
20 30

k=1

P (N (0, 1) > 2.98 = 1 (2.98) 1 0.9986 0.0014

P(

20
X
k=1

P20
Xk 1200) = P (

Xk 20 30
1200 20 30

>
)
20 30
20 30

k=1

P (N (0, 1) > 1.49 = 1 (4.47) 0


10. X exp(), V ar(X) = E[X 2 ] (E[X])2
Thus, weR will find E[X] and E[X 2 ]

E[X] = 0 xex dx
Using integration by parts:
ex
u = x v =

du = dx dv = ex dx

 R
E[X] = (xex ) 0 0 ex dx = 0 (1/) = 1/
R
E[X 2 ] = 0 x2 ex dx
Using integration by parts:
ex
u = x2 v =

du = 2xdx dv = ex dx


R
E[X 2 ] = (x2 ex ) 0 2/ 0 xex dx = 0 + (2/)(1/) = 2/2
Then, V ar(X) = E[X 2 ] (E[X])2 = 2/2 1/2 = 1/2

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