Chapter 9 Input Modeling Example

1
Chapter 9 Input Modeling Example

• Gary Hill
• Adapted from Banks, Carson, Nelson Nicol
• Discrete-Event System Simulation

2
Purpose Overview

• Develop an input model of the vehicles arriving
  at the northwest corner of an intersection.
• We will develop our input model following these 4
  steps
• Collect data from the real system
• Identify a probability distribution to represent
  the input process
• Choose parameters for the distribution
• Evaluate the chosen distribution and parameters
  for goodness of fit.

3
Section 9.1 Data Collection

• Number of vehicles arriving at the northwest
  corner of an intersection between 700 A.M. and
  705 A.M.
• This is a good example of a a homogeneous data
  set
• Intersection monitored for 5 workdays over a 20
  week period.
• Here we have a possible danger of data censoring
  the quantity is not observed in its entirety,
  danger of leaving out long process times.
• Vehicle arrival times recorded.
• Good example of collecting input data, not
  performance data (vehicle wait times).

4
Histograms Identifying the distribution

• Vehicle Arrival Example number of vehicles
  arriving at an intersection between 7 am and 705
  am was monitored for 100 random workdays.
• There are ample data, so the histogram may have a
  cell for each possible value in the data range

5
Selecting the Family of Distributions
Identifying the distribution

• A family of distributions is selected based on
• The context of the input variable
• Shape of the histogram
• Is the process naturally discrete or continuous
  valued?
• Is it bounded?
• Frequently encountered distributions
• Easier to analyze exponential, normal and
  Poisson
• Harder to analyze beta, gamma and Weibull
• No true distribution for any stochastic input
  process
• Goal obtain a good approximation

6
Queueing Systems Useful Models

• In a queueing system, interarrival and
  service-time patterns can be probablistic (for
  more queueing examples, see Chapter 2)
• Sample statistical models for interarrival or
  service time distribution
• Exponential distribution if service times are
  completely random
• Normal distribution fairly constant but with
  some random variability (either positive or
  negative)
• Truncated normal distribution similar to normal
  distribution but with restricted value.
• Gamma and Weibull distribution more general than
  exponential (involving location of the modes of
  pdfs and the shapes of tails.)
• Poisson distribution this is a discrete
  distribution whereas the previous distributions
  are continuous.
• We will also look at Lognormal and Empirical
  distributions.

7
Exponential Distribution Continuous Distn

• A random variable X is exponentially distributed
  with parameter l gt 0 if its pdf and cdf are

• E(X) 1/l V(X) 1/l2
• Used to model interarrival times when arrivals
  are completely random, and to model service times
  that are highly variable
• For several different exponential pdfs (see
  figure), the value of intercept on the vertical
  axis is l, and all pdfs eventually intersect.

8
Normal Distribution Continuous Distn

• A random variable X is normally distributed has
  the pdf
• Mean
• Variance
• Denoted as X N(m,s2)
• Special properties
• 
  .
• f(m-x)f(mx) the pdf is symmetric about m.
• The maximum value of the pdf occurs at x m the
  mean and mode are equal.

9
Lognormal Distribution Continuous Distn

• A random variable X has a lognormal distribution
  if its pdf has the form
• Mean E(X) ems2/2
• Variance V(X) e2ms2/2 (es2 - 1)
• Relationship with normal distribution
• When Y N(m, s2), then X eY lognormal(m, s2)
• Parameters m and s2 are not the mean and variance
  of the lognormal

m1, s20.5,1,2.
10
Weibull Distribution Continuous Distn

• A random variable X has a Weibull distribution if
  its pdf has the form
• 3 parameters
• Location parameter u,
• Shape parameter b , (b gt 0)
• Scale parameter. a, (a gt 0)
• Example u 0 and a 1

When b 1, X exp(l 1/a)
11
Empirical Distributions Poisson Distn

• A distribution whose parameters are the observed
  values in a sample of data.
• May be used when it is impossible or unnecessary
  to establish that a random variable has any
  particular parametric distribution.
• Advantage no assumption beyond the observed
  values in the sample.
• Disadvantage sample might not cover the entire
  range of possible values.

12
Poisson Distribution

• Definition N(t) is a counting function that
  represents the number of events occurred in
  0,t.
• A counting process N(t), tgt0 is a Poisson
  process with mean rate l if
• Arrivals occur one at a time
• N(t), tgt0 has stationary increments
• N(t), tgt0 has independent increments
• Properties
• Equal mean and variance EN(t) VN(t) lt
• Stationary increment The number of arrivals in
  time s to t is also Poisson-distributed with mean
  l(t-s)

13
Poisson Distribution Discrete Distn

• Poisson distribution describes many random
  processes quite well and is mathematically quite
  simple.
• where a gt 0, pdf and cdf are
• E(X) a V(X)

14
Poisson Distribution Discrete Distn

• Example A computer repair person is beeped
  each time there is a call for service. The
  number of beeps per hour Poisson(a 2 per
  hour).
• The probability of three beeps in the next hour
• p(3) e-223/3! 0.18
• also, p(3) F(3) F(2) 0.857-0.6770.18
• The probability of two or more beeps in a 1-hour
  period
• p(2 or more) 1 p(0) p(1)
• 1 F(1)
• 0.594

15
Interarrival Times Poisson Distn

• Consider the interarrival times of a Possion
  process (A1, A2, ), where Ai is the elapsed time
  between arrival i and arrival i1
• The 1st arrival occurs after time t iff there are
  no arrivals in the interval 0,t, hence
• PA1 gt t PN(t) 0 e-lt
• PA1 lt t 1 e-lt cdf of exp(l)
• Interarrival times, A1, A2, , are exponentially
  distributed and independent with mean 1/l

Arrival counts Possion(l)
Interarrival time Exp(1/l)
Stationary Independent
Memoryless
16
Parameter Estimation

• 4 steps of input model development
• Collect data from the real system
• Identify a probability distribution to represent
  the input process
• Choose parameters for the distribution
• Evaluate the chosen distribution and parameters
  for goodness of fit.

17
Parameter Estimation Identifying the
distribution

• Next step after selecting a family of
  distributions
• If observations in a sample of size n are X1, X2,
  , Xn (discrete or continuous), the sample mean
  and variance are
• If the data are discrete and have been grouped in
  a frequency distribution
• where fj is the observed frequency of value Xj

18
Parameter Estimation Identifying the
distribution

• Vehicle Arrival Example (continued) Table in the
  histogram example on slide 6 (Table 9.1 in book)
  can be analyzed to obtain
• The sample mean and variance are
• The histogram suggests X to have a Possion
  distribution
• However, note that sample mean is not equal to
  sample variance.
• Reason each estimator is a random variable, is
  not perfect.

19
Goodness-of-Fit Tests

• 4 steps of input model development
• Collect data from the real system
• Identify a probability distribution to represent
  the input process
• Histograms
• Selecting families of distribution
• Choose parameters for the distribution
• Evaluate the chosen distribution and parameters
  for goodness of fit.

20
Chi-Square test Goodness-of-Fit Tests

• Intuition comparing the histogram of the data to
  the shape of the candidate density or mass
  function
• Valid for large sample sizes when parameters are
  estimated by maximum likelihood
• By arranging the n observations into a set of k
  class intervals or cells, the test statistics is
• which approximately follows the chi-square
  distribution with k-s-1 degrees of freedom, where
  s of parameters of the hypothesized
  distribution estimated by the sample statistics.

Expected Frequency Ei npi where pi is the
theoretical prob. of the ith interval. Suggested
Minimum 5
Observed Frequency
21
Chi-Square test Goodness-of-Fit Tests

• Vehicle Arrival Example (continued)
• H0 the random variable is Poisson
  distributed.
• H1 the random variable is not Poisson
  distributed.
• Degree of freedom is k-s-1 7-1-1 5, hence,
  the hypothesis is rejected at the 0.05 level of
  significance.

Combined because of min Ei
22
Summary

• In this chapter, we described the 4 steps in
  developing input data models
• Collecting the raw data
• Identifying the underlying statistical
  distribution
• Estimating the parameters
• Testing for goodness of fit

23
Summary

• The world that the simulation analyst sees is
  probabilistic, not deterministic.
• In this chapter
• Reviewed several important probability
  distributions.
• Showed applications of the probability
  distributions in a simulation context.
• Important task in simulation modeling is the
  collection and analysis of input data, e.g.,
  hypothesize a distributional form for the input
  data. Reader should know
• Difference between discrete, continuous, and
  empirical distributions.
• Poisson process and its properties.