Stat 150 Stochastic Processes

Spring 2009

Lecture 25: Renewal Theory

Lecturer: Jim Pitman

Renewal Process Model for points on the real line. Typically interpreted as times that something happens, e.g. arrival in a queue departure in a queue end of a busy cycle of a queue time that a component is replaced

Many examples arise from more complex models where there is an increasing sequence of random times of interest, say 0 < W1 < W2 < , with Wn = X1 + X2 + + Xn , where the Xi are strictly positive random variables (perhaps discrete, perhaps with a density) the Xi are independent and identically distributed copies of X := X1 . Language: Events/Arrivals/... are called Renewals. Generic image: Lightbulb replacements: Xn = lifetime of nth bulb Install new bulb at time 0 Leave it until it burns out; replace with a new bulb immediately Wn = time of replacement of the nth bulb. Notation ready to roll from PP setup. Introduce the counting process: N (t) := # of renewals up to and including time t := largest n : 0 < Wn t Note N (0) := 0. The path t N (t) is by construction a right continuous non-decreasing step function, which jumps up by 1 at each of the times Wn for 1

Lecture 25: Renewal Theory

n 1. The sequence of renewal times (Wn ) and the counting process N (t) are inverses of each other. So for instance: (N (t) < n) = (Wn > t) (N (t) n) = (Wn t) which allows the distribution of N (t) for each t to be derived from knowledge of the distribution of Wn for each n, and vice versa. In principle this generalizes the relation between Poisson counts and exponential inter-arrival times. In practice, these distributions are not computationally tractable except in a small number of cases. But limiting results are available in great generality. Scope of theory Interested in limit behaviours of various quantities/random variables. M (t) := E[N (t)]. How does M (t) behave for large t? Example: If P(X > t) = et for > 0, then N (t) Poisson(t). M (t) = E[N (t)] = t, linear growth with t. Notice that = expected rate of renewals per unit time, which is realized also as a long run rate of arrivals per unit time. Recall E [X ] = 1/. one renewal per time 1/ expect renewals per unit time In general, we have LLN: After a large number n of replacements, the time used up will be around E(Wn ) = nE(X ).
N (t) n = 100 6 100 EX

Slope = 1/EX

Wn

100 EX

- t

t f (t) , where g (t) f (t) means lim = 1. This is called t0 g (t) EX asymptotic equivalence. By LLN, EN (t)

Lecture 25: Renewal Theory

EN (t) = 1. t t/EX Usual notation: EN (t) t/EX . Theorem: If EX < , then lim E[N (t)/t] 1/EX . This form is also true if EX = with 1/ = 0 Finer result: If you avoid discrete(lattice) case, meaning there is some > 0 : P( X is a multiple of ) = 1 (Discrete renewal theory), then M (t) := EN (t) satises M (t + h) M (t) h/EX , for each xed h > 0. This is D. Blackwells renewal theorem. Now look at residual life and age process. residual life/excess life = t age/current life = t t := t + t = total life of component in use at time t
t t t t t t -

t = t + t

Example: Poisson process Excess life t exp() for every t by the memoryless property of exponential variables. Age t . Notice 0 t t, also (t > s) (N (t) N (t s) = 0), provided
Poisson(s)

0 < s < t. So P(t > s) = es for 0 s < t, and P(t > t) = 0. Clever representation: t = min (X, t), where X exp()
d

X exp() as t Notice From Poisson assumptions, t and t are independent. t = X, t X

d

and
d

t , t independent

= t := t + t X1 + X2 = W2

Lecture 25: Renewal Theory

where we know W2 Gamma(2, ) has the Gamma(2, ) density fW2 (x) = 1 2 x xfX (x) xe = (2) E (X )

Remarkably, this structure of size-biasing the lifetime density fX (x) be a factor of x is completely general. Theorem: Whatever the distribution of X with a density fX (x), the limit xfX (x) . This is a density because: distribution of t as t has density EX
0

xfX (x) EX = =1 EX EX
d

More (t , t ) (U Y, (1 U )Y ) xfX (x) and U is uniform [0,1], independent of Y . EX ) Exercise: Show this implies limit density of t at x is P(X>x , and that the same EX is true for t . Note that this function of x is a probability density because where P(Y dx) =

P(X > x)dx =

0 0

E[1(X > x)]dx = E

0

1(X > x)dx = EX.