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ISyE 3232A Final

Spring 2007
I,
, do swear that I abide by the Georgia Tech Honor
Code. I understand that any honor code violations will result in a failure for this course.
Signature:
You will have 2 hours.
This exam is closed book and closed notes. Calculators are not allowed. No scrap paper
is allowed. Make sure that there is nothing on your desk except pens and erasers.
If you need extra space, use the back of the page and indicate that you have done so.
Do not remove any page from the original staple.
points off.

Otherwise, there will be 5

Show your work. If you do not show your work, we will give zero point for the problem
even if your answer is correct.
We will not select among several answers. Make sure it is clear what part of your
work you want graded. If two answers are given, zero point will be given for the problem.
Throughout, you will receive full credit if someone with no understanding of probability or
set theory could simplify your answer to obtain the correct numerical solution. However,
you must give a numerical answer where asked.

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1. (1 point) You run a newspaper stand. You cannot predict exactly how many copies of
the Daily Blab newspaper you will be able to sell, but in the past, you have observed that
there are demands for 15 with 40%; 20 with 10%; 35 with 10%; 45 with 10%; and 60 with
30%.
Each copy of the Daily Blab costs you $0.55 and sells for $1.00. You must place your
order for the papers the night before they are sold, before you know exactly how many
copies you will be able to sell. Unsold copies may be returned to the publisher at the end
of the day for a credit of $0.2 each.
(a) (0.5 point) If 25 copies are prepared, what is the expected number of unsold copies?
(A numerical answer is expected.)

(b) (0.5 point) Calculate the optimal number of copies to maximize the expected profit.
(A numerical answer is expected.)

2. (1 point) For each Markov chain with state space {1, 2, 3, 4} and the following one-step
transition matrix, (i) classify as recurrent or transient the states and (ii) give the period
of each recurrent state.
(a) (0.5 point)

P =

(b) (0.5 point)

P =

0.0
0.0
0.5
0.0

0.0
0.0
0.5
0.0

0.0
0.0
0.0
1.0

1.0
1.0
0.0
0.0

0.0
0.6
0.0
0.8

0.5
0.0
0.7
0.0

0.0
0.4
0.0
0.2

0.5
0.0
0.3
0.0

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3. (1.5 point) For the Markov chain with state space S
matrix

0.5 0.5 0.0

P = 0.3 0.7 0.0

0.3 0.6 0.1

= {1, 2, 3} and one-step transition

calculate P . (A numerical answer is expected.)

4. (0.5 point) A discrete-time Markov chain with state space S = {1, 2, 3, 4} has the steadystate probabilities (0.2, 0.3, 0.4, 0.1). In steady-state, on average how many transitions
would it take to return to state 2 given that the system is currently in state 2? (A
numerical answer is expected)

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5. (2.5 points) For a Poisson arrival process {NY (t) : t 0} with arrival rate Y = 2 per
hour, and a second independent Poisson process {NX (t) : t 0} with arrival rate X = 5
per hour, compute the following:
(a) (0.5 point) Pr{NY (9) NY (6) = 5|NY (6) = 3}

(b) (0.5 point) Pr{NY (9) = 7|NY (6) = 5}

(c) (0.5 point) Pr{NY (3) + NX (3) = 8|NY (3) = 4}

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(d) (0.5 point) E[NY (3) + NX (3)]

(e) (0.5 point) Pr{NY (3) + NX (3) = 20}

6. (1.5 point) There is a continuous-time Markov chain with state S = {A, B, C, D}. The
0 , 0 , 0 , 0 ) =
corresponding embedded Markov chain has steady-state probabilities (A
B C
D
(0.4, 0.2, 0.1, 0.3).
(a) (1 point) Suppose that sojourn times in states A, B, C, D before making any transition are exponentially distributed with mean 5, 6, 7, 8 minutes, respectively. Calculate the steady-state fraction of time that the system spends in state D.

(b) (0.5 point) If 100 transitions occurs for this system, how many transitions would you
expect into state D? (A numerical answer is expected.)

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7. (10 points) A system has two servers with one waiting line. Each server processes one
customer at a time with exponential time with rate 1 per hour. The system has the
following transition rate diagram.

(a) (1 point) Write down the corresponding embedded DTMC for this system.

(b) (1 point) Assuming that the system is currently in state i for i = 0, 1, 2, 3, on average
how long does the system stay in state i before making any transition? (A numerical
answer is expected.)

(c) (2 points) Set up equations to solve steady-state probabilities i for the CTMC.

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(d) (1 point) Suppose a customer arrives and finds two others in the system. What is
the expected time he spends in the system? (A numerical answer is expected.)

8. (10 points) Draw a transition-rate diagram for each system below.

(a) (2.5 points) A truck company has 7 trucks and its own internal repair shop with two
repairmen. Each repairman works on one truck at a time and usually it takes exponential time with mean 1 day. Each truck runs without any problem for exponential
time with mean 7 days.

(b) (2.5 points) Customers arrive at a single-server facility at a Poisson rate of 40 per
hour. When two or fewer customers are present, a single attendant operates the
facility, and the service time for each customer is exponentially distributed with a
mean value of two minutes. However, when there are three or more customers at the
facility, the attendant is joined by an assistant and, working together, they reduce
the mean service time to one minute.

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(c) (2.5 points) The service counter at Southwest Montana Airlines has a single queue
for waiting customers and two ticket agents. One of the agents is on duty at all times;
the other agent goes on duty whenever the queue of customers becomes too long.
Suppose that customer arrivals to the counter are well modeled as a Poisson process
with rate 45 per hour. The agents both work at rate 30 customers per hour, and the
second agent goes on duty if there are 5 or more customers at the counter (including
the ones being served). Service times are modeled as exponentially distributed.

(d) (2.5 points) A small ice-cream shop competes with several other ice-cream shops
in a busy mall. If there are too many customers already in line at the shop, then
potential customers will go elsewhere. Potential customers arrive at a rate of 20 per
hour. They probability that a customer will go elsewhere is j/4 when there are j 4
customers already in the system, and 1, when there are j > 4 customers already in
the system. The server at the shop can serve customers at a rate of 10 customers
per hour.

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9. A production line has two station and each station has one server. This system has the
following transition rate diagram. State space (i, j) means i customers at Station 1 and j
customers at Station 2 (including those in service). For example, (1, 2) implies 1 customer
at Station 1 and 2 customers at Station 2. Customers enter as long as the total number of
customers in the system is < 2 but leave without entering the system if there are already
2 customers in the system.

(a) (1 point) What proportion of customers enter the system? Give your answer in terms
of and steady-state probabilities.

(b) (1 point) What is the average number of customer waiting in queue? Give your
answer in terms of steady-state probabilities.

(c) (1 point) What is the average time an entering customer spends waiting in queue?
Give your answer in terms of steady-state probabilities.

(d) (1 point) What is the average number of customers in the system? Give your answer
in terms of steady-state probabilities.

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10. (2 points) A production line has two stations. Each station has one server whose processing times are exponentially distributed with rate 60 per hour.

(a) (1.5 point) Calculate an arrival rate to each station. (A numerical answer is expected.)

(b) (0.5 point) If processing times of each station are normally distributed with mean 1
minute and variance 0.04, what is the average amount of time that a job spends in
Station 2 (including waiting and service times)?

Inventory/General Queueing
For a newsboy problem, the optimal quantity that maximizes the expected profit is q such
p+uv cv
that q = min{x : F (x) p+u
} where F () is the CDF of demand.
v +hsv
The Kingmans formula: When A represents inter-arrival times and S represents service
times,
2
c2 + c2S
A
S2
Wq = A
where c2A =
, c2S =
2
2

E[A]
E[S]2
where = /(c).

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If we have a Markov chain, P(n) = Pn and a(n) = aPn .
Discrete-Time Markov Chain (DTMC)
Pijn = Pr{Xn = j | X0 = i}.
Two states that are accessible to each other communicate.
Two states that communicate are in the same class.
A Markov chain is irreducible if there is only one class.
State i is recurrent if

n
n=1 Pii

= and transient if

n
n=1 Pii

< .

State i has period d if Piin = 0 whenever n is not divisible by d and d is the greatest
common factor with this property.
Stationary probabilities i are (i) the long-run proportion of time that a Markov chain is
in state i and (ii) nonnegative solutions of
j =

all

i Pij and

all

j = 1.

(1)

In the irreducible, positive recurrent, and aperiodic Markov chain, stationary probabilities
i = limn Pijn and are the unique solution to Equation 1.
In the irreducible, positive recurrent, periodic Markov chain, i are the unique solution
to Equation 1 but not equal to the limiting probabilities.
(I Q)1 b` gives the probability that we move from a transient state to an irreducible
set `.
Exponential Distribution
An exponential random variable X has f (x) = ex for x 0 and F (x) = 1 ex for
x 0. Mean is 1/ and variance is 1/2 . It has a memoryless property that Pr{X >
s + t | X > t) = Pr{X > s}.
Suppose that X1 exp with 1 and X2 exp with 2 and X1 and X2 are independent.
Then (i) Pr(X1 < X2 ) = 1 /(1 + 2 ); (ii) min(X1 , X2 ) expo with 1 + 2 ; (iii)
max(X1 , X2 ) = X1 + X2 min(X1 , X2 ).
Sum of n i.i.d. expo with rate is Erlang distributed with parameters n and .
Poisson Process
A counting process with independent and stationary increments and exponential interarrival times is a Poisson arrival process.

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Independent increments imply that the numbers of events in disjoint time intervals are
independent.
Stationary increments imply that the distribution of the number of events in any interval
of time depends only on the length of the time interval.
n

A Poisson arrival process N (t) is a Poisson distributed with Pr{N (t) = n} = et (t)
n! .
= E[N (t + s)
Nonhomogeneous (or non-stationary) Poisson process with
(t) has
n
R t+s

N (s)] = s (t)dt and Pr{N (t + s) N (s) = n} = e

n! .
CTMC/Queueing/Queueing Networks
steady-state probabilities for a CTMC: G = 0 and 1 = 1.
Littles Law: L = ef f W and Lq = ef f Wq .
For M/M/1, L =

W =

1
,

Lq =

For a queueing network, j = aj +

2
() ,

and Wq =

all queues i i pij

() .