SUBJECT NAME : Probability & Queueing Theory

SUBJECT CODE : MA 2262

MATERIAL NAME : Formula Material
MATERIAL CODE : JM08AM1007

Name of the Student: Branch:

UNIT-I (RANDOM VARIABLES)

1) Discrete random variable:
A random variable whose set of possible values is either finite or countably
infinite is called discrete random variable.
Eg: (i) Let X represent the sum of the numbers on the 2 dice, when two
dice are thrown. In this case the random variable X takes the values 2, 3, 4, 5, 6,
7, 8, 9, 10, 11 and 12. So X is a discrete random variable.
(ii) Number of transmitted bits received in error.
2) Continuous random variable:
A random variable X is said to be continuous if it takes all possible values
between certain limits.
Eg: The length of time during which a vacuum tube installed in a circuit
functions is a continuous random variable, number of scratches on a surface,
proportion of defective parts among 1000 tested, number of transmitted in
error.
3)
Sl.No. Discrete random variable Continuous random variable
1
( ) 1
i
i
p x

=
=

( ) 1 f x dx

=
}

2
| | ( ) F x P X x = s
| | ( ) ( )
x
F x P X x f x dx

= s =
}

3
| | Mean ( )
i i
i
E X x p x = =

| | Mean ( ) E X xf x dx

= =
}

4
2 2
( )
i i
i
E X x p x ( =



2 2
( ) E X x f x dx

( =
}

5
( ) ( ) ( )
2
2
Var X E X E X ( =

( ) ( ) ( )
2
2
Var X E X E X ( =


6
Moment =
r r
i i
i
E X x p ( =



Moment = ( )
r r
E X x f x dx

( =
}

7 M.G.F M.G.F
( ) ( )
tX tx
X
x
M t E e e p x ( = =



( ) ( )
tX tx
X
M t E e e f x dx

( = =
}


4) ( ) ( ) E aX b aE X b + = +
5) ( ) ( )
2
Var Var aX b a X + =
6) ( ) ( ) ( )
2 2
Var Var aX bY a X bVar Y = +
7) ( ) Standard Deviation Var X =
8) ( ) ( ) f x F x ' =
9) ( ) 1 ( ) p X a p X a > = s
10) ( )
( )
( )
/
p A B
p A B
p B
= , ( ) 0 p B =
11) If A and B are independent, then ( ) ( ) ( ) p A B p A p B = .
12) 1
st
Moment about origin = | | E X =
( )
0
X
t
M t
=
( '

(Mean)
2
nd
Moment about origin =
2
E X (

=
( )
0
X
t
M t
=
( ''


The co-efficient of
!
r
t
r
=
r
E X (

(r
th
Moment about the origin)
13) Limitation of M.G.F:
i) A random variable X may have no moments although its m.g.f exists.
ii) A random variable X can have its m.g.f and some or all moments, yet the
m.g.f does not generate the moments.
iii) A random variable X can have all or some moments, but m.g.f does not
exist except perhaps at one point.
14) Properties of M.G.F:
i) If Y = aX + b, then ( ) ( )
bt
Y X
M t e M at = .
ii) ( ) ( )
cX X
M t M ct = , where c is constant.
iii) If X and Y are two independent random variables then
( ) ( ) ( )
X Y X Y
M t M t M t
+
= .
15) P.D.F, M.G.F, Mean and Variance of all the distributions:
Sl.
No.
Distributio
n
P.D.F ( ( ) P X x = )
M.G.F Mean Variance
1 Binomial x n x
x
nc p q


( )
n
t
q pe +

np npq
2 Poisson
!
x
e
x

( )
1
t
e
e



3 Geometric 1 x
q p

(or)
x
q p
1
t
t
pe
qe

1
p

2
q
p

4 Negative
Binomial
1
( 1)
k x
k
x k C p p

+
1
k
t
p
qe
| |
|

\ .

kq
p

2
kq
p

5 Uniform
1
,
( )
0, otherwise
a x b
f x b a

< <

( )
bt at
e e
b a t

2
a b +

2
( )
12
b a

6 Exponential
, 0, 0
( )
0, otherwise
x
e x
f x

> >
=

2
1

7 Gamma 1
( ) , 0 , 0
( )
x
e x
f x x

= < < >
I

1
(1 ) t

8 Weibull
1
( ) , 0, , 0
x
f x x e x
|
| o
o| o |

= > >



16) Memoryless property of exponential distribution
( ) ( ) / P X S t X S P X t > + > = > .

UNIT-II (RANDOM VARIABLES)

1) 1
ij
i j
p =

(Discrete random variable)

( , ) 1 f x y dxdy


=
} }
(Continuous random variable)
2) Conditional probability function X given Y, { }
( ) ,
/
( )
i i
P x y
P X x Y y
P y
= = = .
Conditional probability function Y given X , { }
( ) ,
/
( )
i i
P x y
P Y y X x
P x
= = = .
{ }
( ) ,
/
( )
P X a Y b
P X a Y b
P Y b
< <
< < =
<

3) Conditional density function of X given Y,
( , )
( / )
( )
f x y
f x y
f y
= .
Conditional density function of Y given X,
( , )
( / )
( )
f x y
f y x
f x
= .


4) If X and Y are independent random variables then
( , ) ( ). ( ) f x y f x f y = (for continuous random variable)
( ) ( ) ( ) , . P X x Y y P X x P Y y = = = = = (for discrete random variable)
5) Joint probability density function ( ) , ( , )
d b
c a
P a X b c Y d f x y dxdy s s s s =
} }
.
( )
0 0
, ( , )
b a
P X a Y b f x y dxdy < < =
} }

6) Marginal density function of X, ( ) ( ) ( , )
X
f x f x f x y dy

= =
}

Marginal density function of Y, ( ) ( ) ( , )
Y
f y f y f x y dx

= =
}

7) ( 1) 1 ( 1) P X Y P X Y + > = + <
8) Correlation co efficient (Discrete):
( , )
( , )
X Y
Cov X Y
x y
o o
=
1
( , ) Cov X Y XY XY
n
=

,
2 2
1
X
X X
n
o =

,
2 2
1
Y
Y Y
n
o =

9) Correlation co efficient (Continuous):
( , )
( , )
X Y
Cov X Y
x y
o o
=
( ) ( ) ( ) ( , ) , Cov X Y E X Y E X E Y = , ( )
X
Var X o = , ( )
Y
Var Y o =
10) If X and Y are uncorrelated random variables, then ( , ) 0 Cov X Y = .
11) ( ) ( ) E X xf x dx

=
}
, ( ) ( ) E Y yf y dy

=
}
, ( ) , ( , ) E X Y xyf x y dxdy


=
} }
.
12) Regression for Discrete random variable:
Regression line X on Y is ( )
xy
x x b y y = ,
( ) ( )
( )
2 xy
x x y y
b
y y

=

Regression line Y on X is ( )
yx
y y b x x = ,
( ) ( )
( )
2 yx
x x y y
b
x x

=

Correlation through the regression, .
XY YX
b b = Note: ( , ) ( , ) x y r x y =
13) Regression for Continuous random variable:
Regression line X on Y is ( ) ( ) ( )
xy
x E x b y E y = ,
x
xy
y
b r
o
o
=
Regression line Y on X is ( ) ( ) ( )
yx
y E y b x E x = ,
y
yx
x
b r
o
o
=
Regression curve X on Y is ( ) ( ) / / x E x y x f x y dx

= =
}

Regression curve Y on X is ( ) ( ) / / y E y x yf y x dy

= =
}

14) Transformation Random Variables:
( ) ( )
Y X
dx
f y f x
dy
= (One dimensional random variable)
( , ) ( , )
UV XY
x x
u v
f u v f x y
y y
u v
c c
c c
=
c c
c c
(Two dimensional random variable)
15) Central limit theorem (Liapounoffs form)
If X1, X2, Xn be a sequence of independent R.Vs with E[Xi] = i and Var(Xi) = i
2
, i
= 1,2,n and if Sn = X1 + X2 + + Xn then under certain general conditions, Sn
follows a normal distribution with mean
1
n
i
i

=
=

and variance
2 2
1
n
i
i
o o
=
=

as
n .
16) Central limit theorem (Lindberg Levys form)
If X1, X2, Xn be a sequence of independent identically distributed R.Vs with E[Xi]
= i and Var(Xi) = i
2
, i = 1,2,n and if Sn = X1 + X2 + + Xn then under certain
general conditions, Sn follows a normal distribution with mean n and variance
2
no as n .
Note:
n
S n
z
n

= ( for n variables),
X
z
n

= ( for single variables)

UNIT-III (MARKOV PROCESSES AND MARKOV CHAINS)

1) Random Process:
A random process is a collection of random variables {X(s,t)} that are
functions of a real variable, namely time t where s S and t T.

2) Classification of Random Processes:
We can classify the random process according to the characteristics of time t
and the random variable X. We shall consider only four cases based on t and X
having values in the ranges -< t < and - < x < .

Continuous random process
Continuous random sequence
Discrete random process
Discrete random sequence
Continuous random process:
If X and t are continuous, then we call X(t) , a Continuous Random Process.
Example: If X(t) represents the maximum temperature at a place in the
interval (0,t), {X(t)} is a Continuous Random Process.
Continuous Random Sequence:
A random process for which X is continuous but time takes only discrete values is
called a Continuous Random Sequence.
Example: If Xn represents the temperature at the end of the nth hour of a day, then
{Xn, 1n24} is a Continuous Random Sequence.
Discrete Random Process:
If X assumes only discrete values and t is continuous, then we call such random
process {X(t)} as Discrete Random Process.
Example: If X(t) represents the number of telephone calls received in the interval
(0,t) the {X(t)} is a discrete random process since S = {0,1,2,3, . . . }
Discrete Random Sequence:
A random process in which both the random variable and time are discrete is
called Discrete Random Sequence.
Example: If Xn represents the outcome of the nth toss of a fair die, the {Xn : n1} is a
discrete random sequence. Since T = {1,2,3, . . . } and S = {1,2,3,4,5,6}

3) Condition for Stationary Process: | | ( ) Constant E X t = , | | ( ) constant Var X t = .
If the process is not stationary then it is called evolutionary.

4) Wide Sense Stationary (or) Weak Sense Stationary (or) Covariance Stationary:
A random process is said to be WSS or Covariance Stationary if it satisfies the
following conditions.
i) The mean of the process is constant (i.e) ( ) ( ) constant E X t = .
ii) Auto correlation function depends only on t (i.e)
| | ( ) ( ). ( )
XX
R E X t X t t t = +
5) Property of autocorrelation:

(i) ( ) ( )
2

( ) lim
XX
E X t R
t
t

( =


(ii)
( ) ( )
2
( ) 0
XX
E X t R =
6) Markov process:
A random process in which the future value depends only on the present value
and not on the past values, is called a markov process. It is symbolically
represented by
1 1 1 1 0 0
( ) / ( ) , ( ) ... ( )
n n n n n n
P X t x X t x X t x X t x
+ +
s = = = (


1 1
( ) / ( )
n n n n
P X t x X t x
+ +
= s = (


Where
0 1 2 1
...
n n
t t t t t
+
s s s s s
7) Markov Chain:
If for all n,
1 1 2 2 0 0
/ , , ...
n n n n n n
P X a X a X a X a

= = = = (

1 1
/
n n n n
P X a X a

= = = (

then the process { }
n
X , 0,1, 2, ... n= is called the
markov chain. Where
0 1 2
, , , ... , ...
n
a a a a are called the states of the markov chain.
8) Transition Probability Matrix (tpm):
When the Markov Chain is homogenous, the one step transition probability is
denoted by Pij. The matrix P = {Pij} is called transition probability matrix.
9) Chapman Kolmogorov theorem:
If P is the tpm of a homogeneous Markov chain, then the n step tpm P
(n)
is
equal to P
n
. (i.e)
( )
n
n
ij ij
P P ( =

.
10) Markov Chain property: If ( )
1 2 3
, , H = H H H , then P H = H and
1 2 3
1 H + H + H = .
11) Poisson process:
If ( ) X t represents the number of occurrences of a certain event in (0, ) t ,then
the discrete random process { } ( ) X t is called the Poisson process, provided the
following postulates are satisfied.

(i) | | ( ) 1 occurrence in ( , ) P t t t t O t + A = A + A
(ii) | | ( ) 0 occurrence in ( , ) 1 P t t t t O t + A = A + A
(iii) | | ( ) 2 or more occurrences in ( , ) P t t t O t + A = A
(iv) ( ) X t is independent of the number of occurrences of the event in any
interval.
12) Probability law of Poisson process: { }
( )
( ) , 0,1, 2, ...
!
n
t
e t
P X t n n
n

= = =
Mean | | ( ) E X t t = ,
2 2 2
( ) E X t t t ( = +

, | | ( ) Var X t t = .

UNIT-IV (QUEUEING THEORY)

n Number of customers in the system.
Mean arrival rate.
Mean service rate.
n
P Steady State probability of exactly n customers in the system.
q
L Average number of customers in the queue.
s
L Average number of customers in the system.
q
W Average waiting time per customer in the queue.
s
W Average waiting time per customer in the system.

Model I (M / M / 1): ( / FIFO)
1) Server Utilization

=
2) ( ) 1
n
n
P = (P0 no customers in the system)
3)
1
s
L

4)
2
1
q
L

5)
( )
1
1
s
W

=

6)
( ) 1
q
W


=

7) Probability that the waiting time of a customer in the system exceeds t is
( )
( )
t
s
P w t e

> = .
8) Probability that the quue size exceeds t is ( )
1 n
P N n
+
> = where 1 n t = +
.
Model II (M / M / C): ( / FIFO)
1)
s

=
2)
( ) ( )
( )
1
1
0
0
! ! 1
n s
s
n
s s
P
n s

=
(
( = +

3)
( )
( )
1
0 2
1
. !
1
s
q
s
L P
s s

+
=

4)
s q
L L s = +
5)
q
q
L
W

=
6)
s
s
L
W

=
7) The probability that an arrival has to wait: ( )
( )
( )
0
! 1
s
s
P N s P
s

> =

8) The probability that an arrival enters the service without waiting = 1 P(an
arrival hat to wait) = ( ) 1 P N s >
9) ( )
( 1 )
0
( ) 1
1
!(1 )( 1 )
s t s s
t
s e
P w t e P
s s s

(


> = +
`


)

Model III (M / M / 1): (K / FIFO)
1)

=
2)
0 1
1
1
k
P

(No customer)
3) ( )
0
1 P ' = (effective arrival rate)
4)
( )
1
1
1
1 1
k
s k
k
L

+
+
+
=


5)
q s
L L

'
=
6)
s
s
L
W

=
'

7)
q
q
L
W

=
'

8) | |
0
a customer turned away
k
k
P P P = =
Model IV (M / M / C): (K / FIFO)
1)
s

=
2)
( ) ( )
1
1
0
0
! !
n s
s k
n s
n n s
s s
P
n s

= =
(
( = +
(



3)
( )
( )
0
0
,
!
,
!
n
n
n
n s
s
P n s
n
P
s
P s n k
s s

s s

4) Effective arrival rate: ( )
1
0
s
n
n
s s n P

=
(
' =
(

5)
( ) ( )
( )
( )
1
0 2
1
! 1
1
s k s
k s
q
s k s
L P
s

+
(

( =

(


6)
s q
L L

'
= +
7)
q
q
L
W

=
'

8)
s
s
L
W

=
'

UNIT-V (NON MARKOVIAN & QUEUEING NETWORK)

1) Pollaczek Khintchine formula:
( )
| |
2
2
( ) ( )
( )
2 1 ( )
S
Var t E t
L E t
E t

(
+

= +

(or)
( )
2 2 2
2 1
S
L
o

+
= +

2) Littles formulas:
( )
2 2 2
2 1
S
L
o

+
= +

q S
L L =
S
S
L
W

=
q
q
L
W

=
3) Series queue (or) Tandem queue:
The balance equation
00 2 01
P P =
1 10 00 2 11
P P P = +
01 2 01 1 10 2 1 b
P P P P + = +
1 11 2 11 01
P P P + =
2 1 1 11 b
P P =
Condition
00 10 01 11 1
1
b
P P P P P + + + + =
4) Open Jackson networks:
i) Jacksons flow balance equation
1
k
j j i ij
i
r P
=
= +

Where k number of nodes, rj customers from outside
ii) Joint steady state probabilities
( ) ( ) ( ) ( )
1 2
1 2 1 1 2 2
, , ... 1 1 ... 1
k
n n n
k k k
P n n n =
iii) Average number of customers in the system
1 2
1 2
...
1 1 1
k
S
k
L


= + + +


iv) Average waiting time of a customers in the system
S
S
L
W

= where
1 2
...
k
r r r = + + +
5) Closed Jackson networks:
In the closed network, there are no customers from outside, therefore 0
j
r =
then
i) The Jacksons flow balance equation
1
k
j i ij
i
P
=
=

0
j
r =
(or)
( ) ( )
11 12 1
2 21 22
1 2 1 2
1 2
...
...
... ...
...
k
k
k k
k k kk
P P P
P P P
P P P

| |
|
|
=
|
|
|
\ .

ii) If each nodes single server
( )
1 2
1 2 1 2
, , ... ...
k
n n n
k N k
P n n n C =
Where
1 2
1 2
1
1 2
...
...
k
k
n n n
N k
n n n N
C

+ + + =
=


iii) If each nodes has multiple servers
( )
1 2
1 2
1 2
1 2
, , ... ...
k
n n n
k
k N
k
P n n n C
a a a

=
Where
1 2
1 2
1 1 2
...
1 2
...
k
k
n n n
k
N
n n n N
k
C
a a a

+ + + =
=


Prepared by C.Ganesan, M.Sc., M.Phil., (Ph: 9841168917) Page 13

! ,
! ,
i i
i i i
i
n s
i i i i
n n s
a
s s n s

<

=

>

---- All the Best ----