71 views

Uploaded by sumit256

it is queing theory based .

- 2917LEZIONE4
- Peak+Load+Forecasting
- Continuous Time Markov Chains
- CQF
- Music Fyp in Dass
- Lec5
- NPT29_randomproces1.doc
- Queueing_Theory
- Queueing Model
- Laweb Extended
- A First Course in Stochastic Processes - Karlin S., Taylor H.M
- Grasselli_WishartCorrelation
- quing
- Regional Parameterizations of Stochastic
- Introduction of Operation Research
- SYE6050
- 05-StatisticalModels.pdf
- Modeling Adequacy for Cascading Failure Analysis
- z Transform M PR
- Kwon Lippman2011

You are on page 1of 49

Birth-death processes

Jorge J ulvez

University of Zaragoza

1 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Outline

1 Birth Processes

2 Birth-Death Processes

3 Relationship to Markov Chains

4 Linear Birth-Death Processes

5 Examples

2 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Outline

1 Birth Processes

2 Birth-Death Processes

3 Relationship to Markov Chains

4 Linear Birth-Death Processes

5 Examples

3 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Example: Consider cells which reproduce according to the

following rules:

A cell present at time t has probability h +o(h) of splitting

in two in the interval (t , t + h)

This probability is independent of age

Events betweeen different cells are independent

6.1 Pure Birth Process (Yule-Furry Process)

Example. Consider cells which reproduce according to the following

rules:

i. A cell present at time t has probability h + o(h) of splitting in two

in the interval (t, t + h)

ii. This probability is independent of age.

iii. Events between different cells are independent

Time

>

231

What is the time evolution of the system?

4 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Example: Consider cells which reproduce according to the

following rules:

A cell present at time t has probability h +o(h) of splitting

in two in the interval (t , t + h)

This probability is independent of age

Events betweeen different cells are independent

6.1 Pure Birth Process (Yule-Furry Process)

Example. Consider cells which reproduce according to the following

rules:

i. A cell present at time t has probability h + o(h) of splitting in two

in the interval (t, t + h)

ii. This probability is independent of age.

iii. Events between different cells are independent

Time

>

231

What is the time evolution of the system?

4 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Non-Probabilistic Analysis

Let n(t ) =number of cells at time t

Let be the birth rate per single cell

Thus n(t )(t ) births occur in (t , t + t )

Then:

n(t + t ) = n(t ) + n(t )t

n(t + t ) n(t )

t

= n(t )

dn

dt

= n

(t ) = n(t )

The solution of this differential equation is: n(t ) = Ke

t

If n(0) = n

0

then

n(t ) = n

0

e

t

5 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Probabilistic Analysis

Notation:

N(t ) = number of cells at time t

P{N(t ) = n} = P

n

(t )

Assumptions:

A cell present at time t has probability h +o(h) of splitting

in two in the interval (t , t + h)

The probability of more than one birth occurring in time

interval (t , t + h) is o(h)

All states are transient

6 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Assumptions:

Probability of splitting in (t , t + h): h + o(h)

Probability of more than one split in (t , t + h): o(h)

The probability of birth in (t , t + h) if N(t ) = n is nh + o(h).

Then,

P

n

(t + h) = P

n

(t )(1 nh o(h)) + P

n1

(t )((n 1)h + o(h))

P

n

(t + h) P

n

(t ) = nhP

n

(t ) + P

n1

(t )(n 1)h + f (h), with f (h) o(h)

P

n

(t + h) P

n

(t )

h

= nP

n

(t ) + P

n1

(t )(n 1) +

f (h)

h

Let h 0,

P

n

(t ) = nP

n

(t ) + (n 1)P

n1

(t )

Initial condition P

n

0

(0) = P{N(0) = n

0

} = 1

7 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Assumptions:

Probability of splitting in (t , t + h): h + o(h)

Probability of more than one split in (t , t + h): o(h)

The probability of birth in (t , t + h) if N(t ) = n is nh + o(h).

Then,

P

n

(t + h) = P

n

(t )(1 nh o(h)) + P

n1

(t )((n 1)h + o(h))

P

n

(t + h) P

n

(t ) = nhP

n

(t ) + P

n1

(t )(n 1)h + f (h), with f (h) o(h)

P

n

(t + h) P

n

(t )

h

= nP

n

(t ) + P

n1

(t )(n 1) +

f (h)

h

Let h 0,

P

n

(t ) = nP

n

(t ) + (n 1)P

n1

(t )

Initial condition P

n

0

(0) = P{N(0) = n

0

} = 1

7 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Probabilities are given by a set of ordinary differential

equations.

P

n

(t ) = nP

n

(t ) + (n 1)P

n1

(t )

P

n

0

(0) = P{N(0) = n

0

} = 1

Solution

P

n

(t ) =

_

n 1

n n

0

_

e

n

0

t

(1 e

t

)

nn

0

n = n

0

, n

0

+ 1, . . .

where

_

n

k

_

=

n!

k!(n k)!

.

8 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Solution

P

n

(t ) =

_

n 1

n n

0

_

e

n

0

t

(1 e

t

)

nn

0

n = n

0

, n

0

+ 1, . . .

Observation: The solution can be seen as a negative binomial

distribution, i.e., probability of obtaining n

0

successes in n trials.

Suppose p =prob. of success and q = 1 p =prob. of failure.

Then, the probability that the rst (n 1) trials result in (n

0

1)

successes and (n n

0

) failures followed by success on the n

th

trial is:

_

n 1

n n

0

_

p

n

0

1

q

nn

0

p =

_

n 1

n n

0

_

p

n

0

q

nn

0

; n = n

0

, n

0

+1, . . .

If p = e

t

and q = 1 e

t

, both equations are the same.

9 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process (Yule-Furry Process)

Yule studied this process in

connection with the theory of

evolution, i.e., population consists of

the species within a genus and

creation of a new element is due to

mutations.

This approach neglects the

probability of species dying out and

size of species.

Furry used the same model for

radioactive transmutations.

10 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Processes. Generalization

In a Yule-Furry process, for N(t ) = n the probability of a

change during (t , t + h) depends on n.

In a Poisson process, the probability of a change during

(t , t + h) is independent of N(t ).

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 6

Example 2. Pure birth process (Poisson process)

i

=

i

= 0

i = 0, 1, 2, . . .

i

(0) =

1 i = 0

0 i > 0

birth probability per time unit is

constant

initially the population size is 0

0

l

1

l

2

l

i

l

i-1

l

. . .

l

All states are transient

d

dt

i

(t) =

i

(t) +

i1

(t) i > 0

d

dt

0

(t) =

0

(t)

0

(t) = e

t

d

dt

(e

t

i

(t)) =

i1

(t)e

t

i

(t) = e

t

t

0

i1

(t

)e

t

dt

1

(t) = e

t

t

0

e

t

e

t

1

dt

= e

t

(t)

Recursively

i

(t) =

(t)

i

i!

e

t

Number of births in interval (0, t) Poisson(t)

Generalization

Assume that for N(t ) = n the probability of a new change

to n + 1 in (t , t + h) is

n

h + o(h).

The probability of more than one change is o(h).

11 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Processes. Generalization

Generalization

Assume that for N(t ) = n the probability of a new change

to n + 1 in (t , t + h) is

n

h + o(h).

The probability of more than one change is o(h).

Then,

P

n

(t + h) = P

n

(t )(1

n

h) + P

n1

(t )

n1

h + o(h), n = 0

P

0

(t + h) = P

0

(t )(1

0

h) + o(h)

P

n

(t ) =

n

P

n

(t ) +

n1

P

n1

(t )

P

0

(t ) =

0

P

n

(t )

Equations can be solved recursively with P

0

(t ) = P

0

(0)e

0

t

12 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Birth Process. Generalization

Let the initial condition be P

n

0

(0) = 1.

The resulting equations are:

P

n

(t ) =

n

P

n

(t ) +

n1

P

n1

(t ), n > n

0

P

n

0

(t ) =

n

0

P

n

0

(t )

Yule-Furry processes assumed

n

= n

13 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Outline

1 Birth Processes

2 Birth-Death Processes

3 Relationship to Markov Chains

4 Linear Birth-Death Processes

5 Examples

14 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Birth-Death Processes

Notation

Pure Birth process: If n transitions take place during (0, t ),

we may refer to the process as being in state E

n

.

Changes in the pure birth process:

E

n

E

n+1

E

n+2

. . .

Birth-Death Processes consider transitions E

n

E

n1

as

well as E

n

E

n+1

if n 1. If n = 0, only E

0

E

1

is

allowed.

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 4

The time-dependent solution of a BD process (continued)

0

l

0

m

1

1

l

1

m

2

2

l

2

m

3

i+1

l

i+1

m

i+2

i

l

i

m

i+1

. . .

l

i

l

i-1

m

i+1

m

i

The equations component wise

d

i

(t)

dt

= (

i

+

i

)

i

(t)

ows out

+

i1

i1

(t) +

i+1

i+1

(t)

ows in

i = 1, 2, . . .

d

0

(t)

dt

=

0

0

(t)

ow out

+

1

1

(t)

ow in

15 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Birth-Death Processes

16 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Birth-Death Processes

Assumptions

If the process at time t is in E

n

, then during (t , t + h):

Transition E

n

E

n+1

has probability

n

h + o(h)

Transition E

n

E

n1

has probability

n

h + o(h)

Probability that more than 1 change occurs = o(h).

P

n

(t + h) = P

n

(t )(1

n

h

n

h)

+ P

n1

(t )(

n1

h) + P

n+1

(t )(

n+1

h) + o(h)

Time evolution of the probabilities

P

n

(t ) = (

n

+

n

)P

n

(t ) +

n1

P

n1

(t ) +

n+1

P

n+1

(t )

17 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Birth-Death Processes

For n = 0

P

0

(t + h) = P

0

(t )(1

0

h) + P

1

(t )

1

h + o(h)

P

0

(t ) =

0

P

0

(t ) +

1

P

1

(t )

If

0

= 0, then E

0

E

1

is impossible and E

0

is an

absorbing state.

If

0

= 0, then P

0

(t ) =

1

P

1

(t ) 0 and hence P

0

(t )

increases monotonically.

Note:

lim

t

P

0

(t ) = P

0

() = Probability of being absorbed.

18 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Steady-state distribution

P

0

(t ) =

0

P

0

(t ) +

1

P

1

(t )

P

n

(t ) = (

n

+

n

)P

n

(t ) +

n1

P

n1

(t ) +

n+1

P

n+1

(t )

As t , P

n

(t ) P

n

(limit ).

Hence, P

0

(t ) 0 and P

n

(t ) 0.

Therefore,

0 =

0

P

0

+

1

P

1

P

1

=

0

1

P

0

0 = (

1

+

1

)P

1

+

0

P

0

+

2

P

2

P

2

=

0

2

P

0

P

3

=

0

2

P

0

etc

. . .

19 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Steady-state distribution

P

1

=

0

1

P

0

; P

2

=

0

2

P

0

; P

3

=

0

2

P

0

; P

4

= . . .

The dependence on the initial conditions has disappeared.

After normalizing, i.e.,

n=1

P

n

= 1:

P

0

=

1

1 +

n=1

n1

i =0

i +1

; P

n

=

n1

i =0

i +1

1 +

n=1

n1

i =0

i +1

, n 1

20 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Steady-state distribution

P

0

=

1

1 +

n=1

n1

i =0

i +1

; P

n

=

n1

i =0

i +1

1 +

n=1

n1

i =0

i +1

, n 1

Ergodicity condition

P

n

> 0, for all n 0, i.e.,:

n=1

n1

i =0

i +1

<

21 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Example. A single server system

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 7

Example 3. A single server system

0

1

~ Exp( ) m ~ Exp( ) l

0 1

l

m

- constant arrival rate (Poisson arrivals)

- stopping rate of the service (exponential distribution)

The states of the system

0 server free

1 server busy

d

dt

0

(t) =

0

(t) +

1

(t)

d

dt

1

(t) =

0

(t)

1

(t)

Q =

d

dt

(

0

(t) +

1

(t)) = 0

0

(t) +

1

(t) = constant = 1

1

(t) = 1

0

(t)

d

dt

0

(t) + ( + )

0

(t) =

d

dt

(e

(+)t

0

(t)) = e

(+)t

0

(t) =

+

+ (

0

(0)

+

)e

(+)t

1

(t) =

+

+ (

1

(0)

+

)e

(+)t

equilibrium

distribution

deviation from

the equilibrium

decays expo-

nentially

constant arrival rate (Poisson

arrivals)

stopping rate of service

(exponential distribution)

states of the system: 0 (server

free), 1 (server busy)

P

0

(t ) = P

0

(t ) + P

1

(t )

P

1

(t ) = P

0

(t ) P

1

(t )

22 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Example. A single server system

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 7

Example 3. A single server system

0

1

~ Exp( ) m ~ Exp( ) l

0 1

l

m

- constant arrival rate (Poisson arrivals)

- stopping rate of the service (exponential distribution)

The states of the system

0 server free

1 server busy

d

dt

0

(t) =

0

(t) +

1

(t)

d

dt

1

(t) =

0

(t)

1

(t)

Q =

d

dt

(

0

(t) +

1

(t)) = 0

0

(t) +

1

(t) = constant = 1

1

(t) = 1

0

(t)

d

dt

0

(t) + ( + )

0

(t) =

d

dt

(e

(+)t

0

(t)) = e

(+)t

0

(t) =

+

+ (

0

(0)

+

)e

(+)t

1

(t) =

+

+ (

1

(0)

+

)e

(+)t

equilibrium

distribution

deviation from

the equilibrium

decays expo-

nentially

P

0

(t ) = P

0

(t ) + P

1

(t )

P

1

(t ) = P

0

(t ) P

1

(t )

Given that: P

0

(t ) + P

1

(t ) = 1, P

0

(t ) + ( + )P

0

(t ) = .

P

0

(t ) =

+

+

_

P

0

(0)

+

_

e

(+)t

P

1

(t ) =

+

+

_

P

1

(0)

+

_

e

(+)t

Solution = Equilibrum distribution + Deviation from the

equilibrium with exponential decay.

23 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Poisson Process. Probabilities

Poisson Process

Birth probability per time unit is constant

The population size is initially 0

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 6

Example 2. Pure birth process (Poisson process)

i

=

i

= 0

i = 0, 1, 2, . . .

i

(0) =

1 i = 0

0 i > 0

birth probability per time unit is

constant

initially the population size is 0

0

l

1

l

2

l

i

l

i-1

l

. . .

l

All states are transient

d

dt

i

(t) =

i

(t) +

i1

(t) i > 0

d

dt

0

(t) =

0

(t)

0

(t) = e

t

d

dt

(e

t

i

(t)) =

i1

(t)e

t

i

(t) = e

t

t

0

i1

(t

)e

t

dt

1

(t) = e

t

t

0

e

t

e

t

1

dt

= e

t

(t)

Recursively

i

(t) =

(t)

i

i!

e

t

Number of births in interval (0, t) Poisson(t)

All states are transient

Equations

P

i

(t ) = P

i

(t ) + P

i 1

(t ), i > 0

P

0

(t ) = P

0

(t )

24 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Poisson Process. Probabilities

Equations

P

i

(t ) = P

i

(t ) + P

i 1

(t ), i > 0

P

0

(t ) = P

0

(t )

P

0

(t ) = e

t

d

dt

[e

t

P

i

(t )] = P

i 1

(t )e

t

P

i

(t ) = e

t

_

t

0

P

i 1

(t

)e

t

dt

P

1

(t ) = e

t

_

t

0

e

t

e

t

dt

= e

t

(t )

Recursively: P

i

(t ) =

(t )

i

i !

e

t

Number of births in interval (0, t ) Poisson(t ).

25 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Death Process. Probabilities

Pure Death Process

All the individuals have the same mortality rate

The population size is initially n

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 5

Example 1. Pure death process

_

i

= 0

i

= i

i = 0, 1, 2, . . .

i

(0) =

_

_

1 i = n

0 i = n

all individuals have the same

mortality rate

the system starts from state n

0

m

1

2m

2

3m

n n-1

. . .

(n-1) m nm

State 0 is an absorbing state,

other states are transient

_

_

d

dt

n

(t) = n

n

(t)

n

(t) = e

nt

d

dt

i

(t) = (i + 1)

i+1

(t) i

i

(t) i = 0, 1, . . . , n 1

d

dt

(e

it

i

(t)) = (i + 1)

i+1

(t)e

it

i

(t) = (i + 1)e

it

_

t

0

i+1

(t

)e

it

dt

n1

(t) = ne

(n1)t

_

t

0

e

nt

e

(n1)t

. .

e

t

dt

= n e

(n1)t

(1 e

t

)

Recursively

i

(t) =

_

_

_

n

i

_

_

_

(e

t

)

i

(1 e

t

)

ni

Binomial distribution: the survival

probability at time t is e

t

inde-

pendent of others

State 0 is an absorbing state. The rest are transient.

Equations

P

n

(t ) = nP

n

(t )

P

i

(t ) = (i + 1)P

i +1

(t ) i P

i

(t ), i = 0, . . . , n 1

26 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Pure Death Process. Probabilities

Equations

P

n

(t ) = nP

n

(t )

P

i

(t ) = (i + 1)P

i +1

(t ) i P

i

(t ), i = 0, . . . , n 1

P

n

(t ) = e

nt

d

dt

[e

i t

P

i

(t )] = (i +1)P

i +1

(t )e

i t

P

i

(t ) = (i +1)e

i t

_

t

0

P

i +1

(t

)e

i t

dt

P

n1

(t ) = ne

(n1)t

_

t

0

e

nt

e

(n1)t

dt

= ne

(n1)t

(1 e

t

)

Recursively: P

i

(t ) =

_

n

i

_

(e

t

)

i

(1 e

t

)

ni

Binomial distribution: The survival probability at time t is e

t

independent of others.

27 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Outline

1 Birth Processes

2 Birth-Death Processes

3 Relationship to Markov Chains

4 Linear Birth-Death Processes

5 Examples

28 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Relation to CTMC

Innitesimal generator matrix:

Q =

_

_

_

_

_

_

_

_

0

0

0 . . . . . . . . . . . .

1

(

1

+

1

)

1

0 . . . . . . . . .

0

2

(

2

+

2

)

2

0 . . . . . .

.

.

. 0

3

(

3

+

3

)

3

0 . . .

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

.

_

_

_

_

_

_

_

_

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 4

The time-dependent solution of a BD process (continued)

0

l

0

m

1

1

l

1

m

2

2

l

2

m

3

i+1

l

i+1

m

i+2

i

l

i

m

i+1

. . .

l

i

l

i-1

m

i+1

m

i

The equations component wise

d

i

(t)

dt

= (

i

+

i

)

i

(t)

ows out

+

i1

i1

(t) +

i+1

i+1

(t)

ows in

i = 1, 2, . . .

d

0

(t)

dt

=

0

0

(t)

ow out

+

1

1

(t)

ow in

29 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Relation to DTMC

Embedded Markov chain of the process.

For t , dene:

P(E

n+1

|E

n

) = Prob. of transition E

n

E

n+1

= Prob. of going to E

n+1

conditional on being inE

n

Dene P(E

n1

|E

n

) similarly. Then

P(E

n+1

|E

n

)

n

, P(E

n1

|E

n

)

n

P(E

n+1

|E

n

) =

n

n

+

n

, P(E

n1

|E

n

) =

n

n

+

n

The same conditional probabilities hold if it is given that a

transition will take place in (t , t + h) conditional on being in E

n

.

30 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Outline

1 Birth Processes

2 Birth-Death Processes

3 Relationship to Markov Chains

4 Linear Birth-Death Processes

5 Examples

31 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Linear Birth-Death Processes

Linear Birth-Death Process

n

= n

n

= n

P

0

(t ) = P

1

(t )

P

n

(t ) = ( + )nP

n

(t ) + (n 1)P

n1

(t ) + (n + 1)P

n+1

(t )

Steady state behavior is characterized by:

lim

t

P

0

(t ) = 0 P

1

() = 0

Similarly as t P

n

() = 0

32 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Linear Birth-Death Processes

Steady state behavior is characterized by:

lim

t

P

0

(t ) = 0 P

1

() = 0

Similarly as t P

n

() = 0

Two cases can happen:

If P

0

() = 1 the probability of ultimate extinction is 1.

If P

0

() = P

0

< 1, the relations P

1

= P

2

= P

3

. . . = 0

imply with probability 1 P

0

that the population can

increase without bounds.

The population must either die out or increase indenitely.

33 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Mean of a Linear Birth-Death Process

P

n

(t ) = ( + )nP

n

(t ) + (n 1)P

n1

(t ) + (n + 1)P

n+1

(t )

Dene Mean by M(t ) =

n=1

nP

n

(t )

and consider M

(t ) =

n=1

nP

n

(t ), then:

M

(t ) = ( + )

n=1

n

2

P

n

(t ) +

n=1

(n 1)nP

n1

(t )

+

n=1

(n + 1)nP

n+1

(t )

Write (n 1)n = (n 1)

2

+ (n 1), (n +1)n = (n +1)

2

(n +1)

34 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Mean of a Linear Birth-Death Process

M

(t ) = ( + )

n=1

n

2

P

n

(t )

+

n=1

(n 1)

2

P

n1

(t ) +

_

n=1

(n + 1)

2

P

n+1

(t ) + P

1

(t )

_

+

n=1

(n 1)P

n1

(t )

_

n=1

(n + 1)P

n+1

(t ) + P

1

(t )

_

M

(t ) =

n=1

nP

n

(t )

n=1

nP

n

(t ) = ( )M(t )

M(t ) = n

0

e

()t

if P

n

0

(0) = 1

35 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Mean of a Linear Birth-Death Process

M(t ) = n

0

e

()t

If > then M(t )

If < then M(t ) 0

Similarly if M

2

(t ) =

n=1

n

2

P

n

(t ) one can show that:

M

2

(t ) = 2( )M

2

(t ) + ( + )M(t )

and when > , the variance is:

n

0

e

2()t

_

1 e

()t

_

+

36 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Outline

1 Birth Processes

2 Birth-Death Processes

3 Relationship to Markov Chains

4 Linear Birth-Death Processes

5 Examples

37 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Linear Birth-Death Process. Example

Let X(t ) be the number of bacteria in a colony at instant t .

Evolution of the population is described by:

the time that each of the individuals takes for division in

two (binary ssion), independently of the other bacteria

the life time of each bacterium (also independent)

Assume that:

Time for division is exponentially dist. (rate )

Life time is also exponentially dist. (rate )

M(t ) = n

0

e

()t

If > then the population tends to innity

If < then the population tends to 0

38 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

A queueing system

s servers

K places

s servers

K waiting places

arrival rate (Poisson)

Exp() holding time

(expectation 1/)

Is it a birth-death process?

39 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

A queueing system

s servers

K places

s servers

K waiting places

arrival rate (Poisson)

Exp() holding time

(expectation 1/)

Let N =number of customers in the system be the state variable.

N determines uniquely the number of customers in service

and waiting room.

After each arrival and departure the remaining service

times of the customers in service are Exp() distributed

(memoryless).

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 10

Example 1. A queueing system

l

m

m

m

m

K odotuspaikkaa

s palvelinta

K=5

s=4

s servers

K waiting places

arrival rate (Poisson)

Exp() holding time (expectation 1/)

The number of customers in system N is an appropriate state variable

- uniquely determines the number of customers in service and in waiting room

- after each arrival and departure the remaining service times

of the customers in service are Exp() distributed (memoryless)

l l l l l l l l l

2m m 3m 4m 4m 4m 4m 4m 4m

2 1 0 3 4 5 6 7 8 9

40 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Call blocking in an ATM network

An ATM network offers calls of two different types.

_

_

R

1

= 1Mbps

1

= arrival rate

1

= mean holding time

_

_

R

2

= 2Mbps

2

= arrival rate

2

= mean holding time

Assume that the capacity of the link is innite:

Is it a birth-death process?

41 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Call blocking in an ATM network

An ATM network offers calls of two different types.

_

_

R

1

= 1Mbps

1

= arrival rate

1

= mean holding time

_

_

R

2

= 2Mbps

2

= arrival rate

2

= mean holding time

Assume that the capacity of the link is innite:

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 11

Example 2. Call blocking in an ATM network

A virtual path (VP) of an ATM network is oered calls of two dierent types.

R

1

= 1Mbps

1

= arrival rate

1

= mean holding time

R

2

= 2Mbps

2

= arrival rate

2

= mean holding time

a) The capacity of the link is large (innite)

n

1

n

2

l

1

l

2

l

2

l

1

(n +1)

2 2

m

(n +1)

1 1

m n

1 1

m

n

2 2

m

The state variable of the Markov process in this example is the pair (N

1

, N

2

), where N

i

denes

the number of class-i connections in progress.

The state variable is the pair (N

1

, N

2

) where N

i

denes the number of

class-i connections in progress.

42 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Call blocking in an ATM network

An ATM network offers calls of two different types.

_

_

R

1

= 1Mbps

1

= arrival rate

1

= mean holding time

_

_

R

2

= 2Mbps

2

= arrival rate

2

= mean holding time

Assume that the capacity of the link is limited to 4.5 Mbps

Is it a birth-death process?

43 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Call blocking in an ATM network

An ATM network offers calls of two different types.

_

_

R

1

= 1Mbps

1

= arrival rate

1

= mean holding time

_

_

R

2

= 2Mbps

2

= arrival rate

2

= mean holding time

Assume that the capacity of the link is limited to 4.5 Mbps

J. Virtamo 38.3143 Queueing Theory / Birth-death processes 12

Call blocking in an ATM network (continued)

b) The capacity of the link is 4.5 Mbps

n

1

n

2

44 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Exercise 1

Process denition

There are two transatlantic cables each of which handle

one telegraph message at a time.

The time-to-breakdown for each has the same exponential

random distribution with parameter .

The time to repair for each cable has the same exponential

random distribution with parameter .

Tasks:

Draw the corresponding birth-death process.

Write its innitesimal generator.

Write differential equations for the probabilities.

Compute the steady state distribution

45 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Exercise 2

Birth-disaster process

Consider that X

t

is a continuous-time Markov process dened

as follows:

Each individual gives a birth after an exponential random

time of parameter , independent of each other.

A disaster occurs randomly at exponential random time of

parameter .

Once a disaster occurs, it wipes out all the entire

population.

Tasks:

What is the innitesimal generator matrix of the process?

What is the time evolution of M(t ) = E[X

t

]?

46 / 47

Birth Processes Birth-Death Processes Relationship to Markov Chains Linear Birth-Death Processes Examples

Acknowledgments

Much of the material in the course is based on the following

courses:

Queueing Theory / Birth-death processes.

J. Vitano

Birth and Death Processes

http://www.bibalex.org/supercourse/

Performance modelling and evaluation. Birth-death

processes.

J. Campos

Discrete State Stochastic Processes

J. Baik

47 / 47

- 2917LEZIONE4Uploaded byShaikh Hassan Atik
- Peak+Load+ForecastingUploaded byShashi Singh
- Continuous Time Markov ChainsUploaded byEdgar Marca
- CQFUploaded byAbhishek Rastogi
- Music Fyp in DassUploaded byGaiyathri
- Lec5Uploaded byspitzersglare
- NPT29_randomproces1.docUploaded byPoornanand Naik
- Queueing_TheoryUploaded byvir1672
- Queueing ModelUploaded byAshok
- Laweb ExtendedUploaded bytarillo2
- A First Course in Stochastic Processes - Karlin S., Taylor H.MUploaded byAvi Spielberg
- Grasselli_WishartCorrelationUploaded byginovainmona
- quingUploaded bylulughosh
- Regional Parameterizations of StochasticUploaded byeddy herrera daza
- Introduction of Operation ResearchUploaded byaonogh
- SYE6050Uploaded bymichaelodigie
- 05-StatisticalModels.pdfUploaded bygowtam_ravi
- Modeling Adequacy for Cascading Failure AnalysisUploaded byAhmadinijad
- z Transform M PRUploaded bycarmo-neto
- Kwon Lippman2011Uploaded bygir_8
- 0208252Uploaded byAndrean Zukempot
- Physics Envy May Be Hazardous to Your WealthUploaded byWilbur Chan
- Non GaussianUploaded bybatenas1
- 5.Probability DistributionsUploaded bysii raii
- The Exponential DistributionUploaded byRamKrishna108
- congestion 2.pdfUploaded byjohnoftheroad
- R09-2-1-ECEUploaded bySriteja Rst
- PESGM2006-000039Uploaded bysunitharajababu
- 156_vgGray R. - Probability, Random Processes, and Ergodic Properties.pdfUploaded bydavid
- Special DistributionsUploaded byUmair Ansari

- Corvette C3 Repair Manual EnglishUploaded byrdjones875
- Pykrete Dome Case StudyUploaded byMahaManthra
- Prof Pradip Dutta_ResumeUploaded byMohsin Safi
- MPX5700GSUploaded byTai Tran Nhan
- lec02[1]Uploaded byogbcomputers
- Piping StressUploaded byVivekanandan Mahendran
- Tf Seal SelectionUploaded byPete Pompes
- Sine PianoUploaded byJK
- ATOLLUploaded byRene Gomez
- Polygon Build Functionality in MineSight® 3-DUploaded by11804
- 2. Implementing SQL Analytic Privileges using Attributes.docxUploaded byNikhil Tari
- Hydraulic jump properties in different channel bed conditionUploaded byImran Hosen
- Electronic FiberUploaded bybigstar42
- Alvarez Exercise 4 Postlab (Autorecovered)Uploaded byLouie Alvarez
- Fe de Errata Aisc Steel Construction Manual 13 EdUploaded byRafael Alberto Guilarte Bravo
- JAMAICAN SKA EthnomusicologyUploaded byNigelPrudent
- cdbfliteUploaded byPatrick Detollenaere
- Ampus Recruitment InterviewUploaded bykiruthi19
- Truck & Trailer Unit Alarm Codes EnUploaded byatereñone
- Module 2 - Derivatives Market PracticeUploaded byJatin Kharbanda
- Determination of Protein ConcentrationUploaded bySoso Allyson Mel
- Electropolymerization of N-vinylcarbazoleUploaded byPedro Roquero
- Power Supply ImpedanceUploaded byJoão Veludo
- M2 January 2005 Mark SchemeUploaded bymarshalhoque
- 114328909 Oxidation of Cyclohexanol to Adipic AcidUploaded byjerrica thomas
- Apron-Feeder.pdfUploaded bycesarasm
- 11 Physics Exemplar Chapter 8Uploaded byRizul thakur
- Aromatic CompoundsUploaded byAmanMittal25
- SuperDry Air DryerUploaded bysarkaft
- Vision Research Case StudyUploaded bycamelman