Stochastic Processes

- Poisson and renewal processes G.U.Hwang Next Generation Communication Networks Lab. Division of Applied Mathematics KAIST

Stochastic processes

Reference S.M. Ross, Stochastic Process, 2nd ed., John Wiley & Sons, Inc., 1996, chapter 2.
A stochastic process X(t) is a family of random variables indexed by a time parameter t

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An example of a stochastic process X(t)

a random variable for each fixed t

X(t)

a sample path

time

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Independent Increments : A stochastic process X(t) is said to have independent increments if X(t2) - X(t1) and X(t4)-X(t3) are independent for any t1 < t2 < t3 < t4. (c.f. disjoint intervals)

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Stationary Increments : A stochastic process X(t) is said to have stationary increments if X(t2+s)-X(t1+s) and X(t2)-X(t1) have the same distribution for all t1 < t2, s > 0.

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The Poisson process

A stochastic process X(t) is called a Poisson process having rate (>0) if it satisfies the following: X(0) = 0 X(t) has independent and stationary increments P{X(t) = n} = e-t(t)n/n!
little o function (o(h)): A function f(x) is called o(h) if limh! o f(h)/h = 0. Then, we see P{X(h) = 1} = h + o(h) P{X(h) 2} = o(h)
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An equivalent definition

A stochastic process X(t) is called a Poisson process having rate (>0) if it satisfies the following: X(0) = 0 X(t) has independent and stationary increments P{X(h) = 1} = h + o(h) P{X(h) 2} = o(h)

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Inter-arrival times tn for a Poisson process

From the definition, we have P{t1>t} = P{X(t) = 0} = e-t.

Then

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and consequently,

Similarly, for n 3, we can show that Xn are exponentially distributed with parameter . In addition, the independence of Xn is trivial from the fact that the Poisson process has independent increments.
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Therefore, we have the following: For a Poisson process, inter-arrival times {tn, n 1} are independent and identically distributed (i.i.d.) exponential random variables with rate .

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Examples of a Poisson process

Voice call arrivals at a base station

In fact, it was shown that the superposition of independent stationary renewal processes will tend to a Poisson process.

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KAIST ARA BBS : Exponential inter-access times Access times during [12:00 18:00]

Empirical data

Empirical data

The Q-Q plot

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The Kolmogorov-Smirnov Test

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Internet traffic in the backbone Traffic appears Poisson at sub-second time scale T. Karagiannis et. al, A nonstationary Poisson view of internet traffic, INFOCOM 2004, 1558-1569.

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The complementary distribution function of the Packet interarrival times

exponential distribution

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Properties of the Poisson process

Superposition of two independent Poisson processes with rate 1 and 2, respectively, is a Poisson process with rate 1+2.
Proof: Let X1(t) and X2(t) be the two Poisson processes with rate 1 and 2, respectively. Note that the PGF of a Poisson distribution with parameter t is given by e(z-1)t.

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Random selection: From a Poisson process with parameter if we select each arrival with probability p, then the selected arrivals form a new Poisson process with parameter p.
Proof: Let Y(t) be the selected process. Then,

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A 22 switch with Poisson arrivals

Poisson(1p+2(1-q)) Poisson(1)
p 1-p

Poisson(2)

1-q q

Poisson(1(1-p)+2q)
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Random split: A Poisson process can be split into two independent sub-processes by random selection with probability p. The two processes are Poisson with p and Poisson with (1-p).
Proof: Let X1(t) and X2(t) be two sub-processes.

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Conditioning on the number of arrivals: Given that we have X(t) = n arrivals in [0,t], the n arrival times 1, , n are the order statistics corresponding to n independent random variables uniformly distributed in the interval [0,t]

By letting hi ! 0 we obtain the conditional joint density function f(t1,t2,,tn) = n!/tn.

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c.f. Order statistics generated by uniform random variables

Let X1, , Xn be independent uniform random variables in [0,t]. Consider the following ordered random variables X(1) = max{X1, ,Xn}, , X(n) = min{X1, , Xn}. Then for 0<t1 < < tn<t and sufficiently small > 0

Hence, given that X(t) = n, the arrival epochs i, 1 i n, of the Poisson process are the order statistics generated by n independent random variables uniformly distributed in the interval [0,t]
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PASTA (Poisson arrivals see time average) Consider a queueing system with Poisson arrivals with rate . i = the probability that the system is in state i in the steady state i(a) = the probability that the system is in state i at an arbitrary arrival instant The PASTA property tells that i = i(a).

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a counterexample of the PASTA property packets arrive at every seconds the service times of packets are all 0.9 seconds the number of packets just before an arrival = 0 the time average number of packets = 0.9
packet departures

packet arrivals
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Renewal Process

Reference: S.M. Ross, Stochastic Process, 2nd ed., John Wiley & Sons, Inc., 1996, chapter 3.
Definition of a renewal process Let {Tn, n 1} be a sequence of nonnegative independent random variables with a common distribution F(t) with F(0)<1. Let S0 = 0 and Sn = i=1n Tn, n 1. Then the process N(t) = sup{n 0 | Sn t}, the number of renewals (or arrivals) by time t, is called a renewal process.

time Renewals (arrivals, events)

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Properties of a renewal process

Since F(0) < 1, 0 < E[T1] 1 By strong law of large numbers, Sn = i=1n Tn goes to infinity a.s. as n ! 1 because E[T1] > 0. Therefore, N(t) < 1 a.s. for every finite t > 0. In addition,

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Distribution of N(t)

Note that
Then,

Let m(t) = E[N(t)] and Fn(t) is the dist. ft of Sn.

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The Elementary Renewal Theorem

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The Blackwells Theorem

Lattice distribution A nonnegative R.V. X is said to be lattice if there exists d 0 (called span) such that n=01 P{X=nd} = 1.

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Forward and Backward recurrence times

backward recurrence time (or the age of a renewal) Tb(t) = t - SN(t) forward recurrence time (or the remaining life time) Tf(t) = SN(t)+1 - t : the interval length including the present time TN(t)+1 = Tb(t) + Tf(t)

present time t
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Equilibrium distribution

Assume that F(t) is a non-lattice distribution with mean E[T]. Then,

Fe(t) = (1/E[T]) s0x 1-F(y) dy is called the equilibrium distribution associated with F(t).
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Similarly, for a discrete R.V. T with p.m.f. (probability mass function) p(k), k 1 we have its equilibrium distribution

Applications: For a batch arrival process, consider a tagged customer. P{limn!1 Tb(n) = k} is p.m.f. of the number of customers in front of our tagged customer in the batch containing our tagged customer P{limn!1 Tf(n) = k} is p.m.f. of the number of customers behind our tagged customer in the batch containing our tagged customer P{limn!1 TN(n)+1 = k} is p.m.f. of the size of the batch containing our tagged customer
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Why we need Fe(x) ?

Let X(i) be the i-th batch size in a batch arrival process. We assume {X(i)} are i.i.d. random variables with P{X=j} = aj. compute P{an arbitrary customer is in the j-th position in a batch}.

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Alternating renewal process

an i.i.d. sequence {Zn, n 1} for ON periods an i.i.d. sequence {Yn, n 1} for OFF periods For each n, Zn and Yn may be dependent {(Zn, Yn, n 1)} is called an alternating renewal process an alternating renewal process is a good model for an ON and OFF source.

0 (off)

1 (on)

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Limiting Theorem for alternating renewal process Assume that the system is on at time 0. Let p(t) = P{The system is on at time t}. Assume that F(x) is distribution of Zn+Yn, which is non-lattice with finite mean. Then limt!1 p(t) = E[Z1]/E[Z1+Y1].

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Exponential ON and OFF source

In the steady state

For N homogeneous ON and OFF sources,

0 (off)

1 (on)
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