16

The Exponential Distribution

Example: 1. You have observed that the number of hits to your web site follow a Poisson distribution at a rate of 2 per day. Let T be the time (in days) between hits. 2. You observe the number of calls that arrive each day over a period of a year, and note that the arrivals follow a Poisson distribution with an average of 3 per day. Let T be the waiting time between calls. 3. Records show that job submissions to a busy computer centre have a Poisson distribution with an average of 4 per minute. Let T be the time in minutes between submissions. 4. Records indicate that messages arrive to a computer server following a Poisson distribution at the rate of 6 per hour. Let T be the time in hours that elapses between messages.

Probability Density Function Of Waiting Times Generally the exponential distribution describes waiting time between Poisson occurrences Proof: Let T = time that elapses after a Poisson event.

P (T > t) = probability that no event occurred in the time interval of length t.

The probability that no Poisson event occurred in the time interval [0, t]: P (0, t) = et . where is the average Poisson occurrence rate in a unit time interval. So: P (T > t) = et , Hence the CDF is: F (t) = P (T t) = 1 et and, working backwards, the PDF is f (t) = F (t) = et

 The PDF: f (t) = et , t > 0 = 0 otherwise

The CDF: P (T t) = F (t) = =

t 0

eT dT
t T =0

eT

= et + 1 i.e. F (t) = 1 et , t > 0 = 0 otherwise.

Example: If jobs arrive every 15 seconds on average, = 4 per minute, what is the probability of waiting less than or equal to 30 seconds, i.e .5 min? P (T .5).

dexp(x, 4)

P (X <= .5)

0
0.0

0.5

1.0 x

1.5

2.0

P (T .5) = =

.5 0

4e4tdt
.5 t= 0

e4t

= 1 e2 = 0.86 From R pexp(.5,4) [1] 0.8646647

What is the maximum waiting time between two job submissions with 95% condence? We need to nd k so that P (T k ) = .95 This is the quantile function. qexp(.95, 4) [1] 0.748933 The probability that there will be .74 min, about 45 seconds, between two job submissions is .95.

Applications of the Exponential Distribution: 1. Time between telephone calls 2. Time between machine breakdowns 3. Time between successive job arrivals at a computing centre

Example Accidents occur with a Poisson distribution at an average of 4 per week. i.e. = 4 1. Calculate the probability of more than 5 accidents in any one week 2. What is the probability that at least two weeks will elapse between accident? Solution 1. Poisson: P (X > 5) = 1 P (X 5) In R 1-ppois(5, 4) [1] 0.2148696 2. Exponential: P (Time between occurrences > 2) = = In R pexp(2, 4) [1] 0.9996645 1-pexp(2, 4) [1] 0.0003354626
2

eT dT
T =2

eT

= e8 = .00034

Density of the Exponential Distribution with = 2, 3, 4 and 6

lambda = 2
2.0 dexp(x, 2) dexp(x, 3) 3.0

lambda = 3

1.0

0.0

0.0

1.0 x

2.0

3.0

0.0 0.0

1.5

1.0 x

2.0

3.0

lambda = 4
4 dexp(x, 4) dexp(x, 6) 6

lambda = 6

0.0

1.0 x

2.0

3.0

0 0.0

1.0 x

2.0

3.0

par(mfrow = c(2,2)) curve(dexp(x, curve(dexp(x, curve(dexp(x, curve(dexp(x, 2), 3), 4), 6), 0, 0, 0, 0, 3, 3, 3, 3, main main main main ="lambda ="lambda ="lambda ="lambda = = = = 2") 3") 4") 6")

The Markov Property of Exponential Examples:

1. The distribution of the remaining life does not depend on how long the component has been operating. i.e. the component does not age - its breakdown is a result of some sudden failure not a gradual deterioration

2. Time between telephone calls Waiting time for a call is independent of how long we have been waiting

The Markov property Show: P (T x + t|T > t) = P (T x) Proof: E1 = T x + t, and E2 = T > t Then: P (E1|E2 ) = Now P (E1 E2) = P (t < T x + t) =
x+t t

P ( E1 E2 ) P ( E2 )

eT dT

= et [1 ex ] and P ( E2 ) = thus now 1 ex = F (x) = P (T x)

t

eT dT = et

et [1 ex ] P (E1 |E2) = = 1 ex t e

Examples 1. Calls arrive at an average rate of 12 per hour. Find the probability that a call will occur in the next 5 minutes given that you have already waited 10 minutes for a call i.e. Find P (T 15|T > 10) From the Markov property P (T 15|T > 10) = P (T 5) So: P (T 5) = 1 e5 The average rate of telephone calls is = 2 in a minute, then P (T 5) = 1 e(5)(2) = 1 e1 = 1 0.37 = .63 In R > pexp(5, .2) [1] 0.6321206

Examples 2. The average rate of job submissions in a busy computer centre is 4 per minute. If it can be assumed that the number of submissions per minute interval is Poisson distributed, calculate the probability that: (a) at least 15 seconds will elapse between any two jobs. (b) less than 1 minutes will elapse between jobs. (c) If no jobs have arrived in the last 30 seconds, what is the probability that a job will arrive in the next 15 seconds? Solution = 4 per minute (a) P (t > 15 sec .) = P (T > .25 min) = =
.25

eT dT
T =.25

eT

= e1 = .37

In R > 1- pexp(.25, 4) [1] 0.3678794

Mean of the Exponential Distribution Recall that when X is continuous: E (X ) =

x

xf (x)dx

For the exponential distribution: E (T ) = Integration by parts:

0 0

tet dt

udv = (uv ) 0

vdu

tet dt = udv Trick is to spot the u and v : Take and u=t dv = et dt v = et

which gives Then

0

tet dt = =

tet

t e dt 0 0

tet 1 et 1 =

R Functions for the Exponential Distribution

Density Function: dexp dexp(1, 4)

Cumulative Distribution Function pexp pexp(5, 4) P (T 5) with = 4 Quantile Function qexp qexp(.95, 4) Choose k so that P (T k ) .95. > qexp(.95, 4) 1] 0.748933