B GIO DC V O TO

TRNG I HC S PHM TP. H CH MINH

KHOA: TON TIN HC

Bi tiu lun nhm

TI:

QU TRNH POISSON
GVHD: TS. NGUYN CH LONG
TS. HONG TH THO PHNG
TN NHM: NHM 6
SVTH: Lu Tin Dng

K39.101.025

V Quang Ph

K39.101.113

Phan L Thanh Quang K39.101.117

Trn Th Ngc Trm

K39.101.152

M HP: MATH104102

THNH PH H CH MINH THNG 10/2015

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

Mc lc:
PHN 1: QU TRNH POISSON.........................................................................3
I.

PHN PHI POISSON........................................................................................ 3

II.

PHN PHI M VI THAM S...........................................................................5

I.

QU TRNH M............................................................................................... 6

II.

QU TRNH POISSON........................................................................................ 7

1.

Cc gi thit quan trng...................................................................................... 7

2.

nh ngha........................................................................................................ 8

3.

Cc phn b lin quan n qu trnh Poisson..........................................................9

III. QU TRNH POISSON C PHN LOI..............................................................13

IV. PHN PHI U V QU TRNH POISSON.......................................................16
V.

QU TRNH POISSON PHC HP.....................................................................19

1.

nh ngha...................................................................................................... 19

2.

K vng v phng sai ca qu trnh Poisson phc hp..........................................19

PHN 2: BI TP................................................................................................ 22
PH LC: TI LIU THAM KHO................................................................29

2 | Page

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

PHN 1: QU TRNH POISSON

I.

PHN PHI POISSON

Trong l thuyt xc sut v thng k, phn phi Poisson l mt phn phi xc sut
ri rc. N khc vi cc phn phi xc sut ri rc khc ch thng tin cho bit khng
phi l xc sut mt s kin xy ra trong mt ln th nh trong phn phi Bernoulli,
hay l s ln s kin xy ra trong n ln th nh trong phn phi nh thc, m chnh
l trung bnh s ln xy ra thnh cng ca mt s kin trong mt khong thi gian nht
nh. Gi tr trung bnh ny c gi l lamda. K hiu .
Phn phi ny c tm ra bi nh ton hc Simon-Denis Poisson (1781-1840).
Theo nu xem xt mt bin ngu nhin N no v m s ln xut hin (ri rc) ca
n trong mt khong thi gian cho trc th xc sut s kin xy ra k ln s tnh
theo cng thc:
k

f ( k ; )=

e
k!

Vi:
k l s ln xut hin ca mt s kin, k= 0,1,2,.
l s thc dng, bng vi gi tr k vng xut hin ca s kin trong mt khong

cho sn.
V y l bin ngu nhin ri rc nn cng thc trn cho ta cng thc ca hm
phn phi xc sut:
k

P( X =k )=

e
, k =0,1, 2, . , n
k!

E ( X )= v D [ X ] = . .

3 | Page

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

Chng minh E(X)= :

Nu X~P( ) => Im(X) = {0,1,2,...,k), chui xc nh k vng l chui dng nn ta
tnh trc tip:

e k
k1
EX= k
=e
=e e =
k!
k=1
k=1 (k1)!

k1
j

= =e ( Khai trin Maclaurin )

(k
1)!
j
!
k=1
j=0

Vy EX = .
Chng minh D[X] = :

k=o

k=0

e k
k1
=e k
k!
k=0 ( k1)!

E( X 2)= P[ X=k ]= k 2

t k-1=j Ta c:
E ( X 2 ) =e

j j! + j !
j=0

j=0

= 2+

> DX =E ( X 2) ( EX ) =2 + 2=

nh l 1: nh l Poisson.
Cho X ~ B(n,p)
Khi n , p 0 , np =

nh l Poisson cho ta cng thc xp x:

Pn (k )

4 | Page

e
P n ( k )=
(const) th nlim
k!

k e
Khi n kh ln v p 0 ,np=
k!

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

V d 1:Xc sut gp mt th phm trong mt kho sn phm c kh cao cp l 0,002.

Tm xc sut gp 7 th phm trong 1000 snphm kim tra.
Gii:
n = 1000 ; p = 0,002;k=7 => = np = 2
P[ X=7 ] ;

27 e2
0,0034
7!

V d 2:quan st mt siu th mini ngi ta thy c trung bnh 1 gi c 30 khch vo.

Tnh xc sut c 4 khch vo siu th trong 10 pht.
Gii:
Gi X l s khch vo siu th trong 10 pht khi X l bin ngu nhin c phn phi
Poisson vi tham s =5 tc l X
Ta c P ( X=4)=

II.

P(5). Ta cn tnh P(X = 4).

54 e5
=0,1755
4!

PHN PHI M VI THAM S.

Phn phi m vi tham s: >0, k hiu E xp( l phn phi c hm mt :

f ( x )= e nu x> 0
0 nu x< 0

Hoc hm phn phi F(x) c dng:

x
F ( x )= 1e nu x> 0
0 nu x 0

1
1
E x p ()th E ()= , D[ ]= 2

2
Do E ( ) = x f ( x ) dx= x2 ex dx= 2 .

5 | Page

Xc sut thng k 2

6 | Page

Qu trnh Poisson

Nhm 6

Xc sut thng k 2

I.

Qu trnh Poisson

Nhm 6

QU TRNH M

Qu trnh m rt thng gp trong thc t.

Gi s A l bin c no . K hiu

N (t ), t 0

l s ln bin c A xut hin trong

khong thi gian t 0 n t (k c thi im t). Khi

N (t ), t 0

c gi l qu trnh

m.
Chng hn, ta c nhng v d sau v qu trnh m:
A l bin c: khch vo ca hng no . Khi yN(t) l s khch vo ca hng tnh ti
thi im t.
A l bin c: in thoi gi n trm bu in no . Khi y N(t) l s ln gi n trm
bu in tnh ti thi im t.
A l bin c: sinh con trai. Khi y N(t) l s con trai c sinh ra tnh n thi im t.
NuN(t) l qu trnh m, thN(t)l bin ngu nhin c cc tnh cht sau:
(i)

N (t ) 0, N (0) 0

(ii)N(t) l s nguyn khng m;

(iii)
(iv)

N ( s) N (t ), 0 s t

N ( s, t ] N (t ) N (s),0 s t

Ta gi

N (s, t ],0 s t

7 | Page

l s ln bin c A xy ra trong khong thi gian

l qu trnh im (ng vi qu trnh m

N (t ), t 0

( s, t ]

).

Xc sut thng k 2

II.

Qu trnh Poisson

QU TRNH POISSON.

1. nh ngha:Ta ni rng
(hoc tham s

i)

X (t )

ii)

X (t ), t 0

l qu trnh Poisson vi cng

) nu:

nhn cc gi tr 0, 1,2,.

X (t ), t 0

gia s

Nhm 6

l qu trnh c gia s c lp, tc l, vi bt k

X (t1 ) X (t0 ), X (t2 ) X (t1 ),..., X (t n ) X (t n1 )

iii) Mi gia s

X ( s t ) X (t)

0 t0 t1 t2 ... tn

cc

l cc bin ngu ngin c lp.

c phn phi Poisson vi tham s

vi mi

s 0, t 0

iv) X(0)=0.
T nh ngha trn ta thy ngayX(t)c phn phi Poisson vi tham s
E[ X (t)] Var[ X (t )] t

nn

Hn na, theo khai trin Taylor ta c:

P[ X (h) 0] e h 1 h O(h)

,khi

h0

P[ X (h) 1] he h h[1 h O(h)] h O(h)

khi

h0

Suy ra

P[(h) 2] 1 P[ X (h) 0] P[ X (h) 1] O(h)

khi

h0

Nh vy, qu trnh Poisson l qu trnh m tha mn cc gi thit nu trn v

ngc li, qu trnh m tha mn cc gi thit nu trn l qu trnh Poisson.
2. nh l 1:
8 | Page

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

Nu qu trnh m { X ( t ) ; t 0 } tha mn cc iu kin sau:

a) C s gia c lp, tc l, vi mi m = 2,3, v vi mi

0 t0 t1 t2 ... tm

cc gia s

X (t0 , t1 ], X (t1 , t2 ],..., X (tm 1 , tm ]

ngu nhin c lp.

b) C gia s dng, tc l, vi mi

X (t1 , t2 ]

s 0, 0 t1 t2

cc gia s

l cc bin

X (t1 s, t2 s]

l cc bin ngu nhin c cng phn b xc sut. Nh vy lut phn b ch ph

thuc vo khong thi gian v khng ph thuc vo thi im

c) Xc sut xut hin bin c A gn u; tc l tn ti hng s

h0

(tc

P [ X ( h )=1 ] = h+ O(h)

xut hin bin c A) sao cho vi

kh b th
.
d) Vih> 0 kh b th P [ X ( h ) 2 ]=O( h) .Trong O(h) l v cng b cng
bc vi h khi h0.
Th { X ( t ) ; t 0 } l qu trnh Poisson tham s
Ngc li, qu trnh Poisson l qu trnh m tha mn 4 iu kin trn
Chng minh:
iu kin i), ii) ca nh ngha qu trnh Poisson c suy t tnh cht ca qu trnh
m.T a) ta suy ra iu kin iii). Theo b) chng minh iu kin iv) ta ch cn chng
minh X(t) c phn b Poisson vi tham s t .

pn (t ) P[ X (t ) n], (n 0,1, 2,...)

. Ta thy

p0 (h) P[ X (h) 0] 1 P[ X (h) 1] P[ X (h) 2]

1h+O(h) (theo cc gi thit c) v d)).

9 | Page

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

p0 (t h) P[ X (t h) 0] P[ X (t ) 0, X (t h) X (t ) 0]

P[ X (t ) 0].P[ X (t h) X (t ) 0]

(theo gi thit a)

p 0 ( t ) [1h+O( h)] (theo gi thit b) v c)).

V th

Cho

p0 (t h) p0 (t )
O ( h)
p0 (t )
h
h

h0

Ch rng

ta c

p0 (0) 1

p0 (t ) p0 (t )

ta s suy ra

p0 (t ) e t , t 0

Tng t ta c

pn (t h) P[ X (t h) n]

P[ X (t ) n, X (t h) X (t ) 0] P[ X (t ) n 1, X (t h) X (t ) 1]

P[ X (t ) n k , X (t h) X (t ) k ]
k 2

pn (t ) pn (h) pn1 (t ) pn 1 (h) O( h)

(1 h) pn (t ) hpn 1 (t ) O (h)
(theo gi thit a), b) v d))

V th
Cho

pn (t h) pn (t )
O(h)
pn (t ) pn 1 (t )
h
h

h0

10 | P a g e

ta c

pn (t ) pn (t ) pn 1 (t )

Xc sut thng k 2

p1 (t )
T ta suy ra
tham s

Qu trnh Poisson

t t
( t ) n t
e , pn (t )
e
1!
n!

Nhm 6

, tc l, X(t)c phn phi Poisson vi

Ngc li, nu { X ( t ) ; t 0 } l qu trnh Poisson tham s

th X(t) c phn b

Poisson vi tham s t nn E [ X ( t ) ] =Var [ X ( t ) ] =t . Khai trin Taylor ta c:

h
P [ X ( h )=0 ]=e =1h+O ( h ) khi h
0

P [ X ( h )=1 ]= h+O ( h ) khi h

0
0
Do P [ X ( h ) 2 ]=1P [ X ( h )=0 ] P [ X ( h )=1 ] =O ( h ) khi h

3. Cc phn b lin quan n qu trnh Poisson.

Gi s{X(t); t 0} l qu trnh Poisson m s ln xut hin bin c A.
1) Ta k hiu W(n) l thi im n (arrival time) hay thi gian ch (waiting time)
th n, l thi im m bin c A xut hin th n
Quy c: W(0)=0
2) K hiu S(n) l khong thi gian gia 2 ln lin tip th n ( interarrival time),
l thi gian t thi im bin c A xy ra ln th n-1 n thi im bin c A xy
ra ln th n
T suy ra S(n) = W(n) W(n-1)
nh l 2.
1) Cc thi gian n trung gian S(1), S(2),.., S(n) l cc bin ngu nhin c lp c
cng phn phi m tham s vi hm mt
f S (n ) ( t )= e t ; t 0

2) W(n) c phn b Erlang tham s n, vi hm mt :

n n1

f W (n ) ( t )=

c bit W(1) c phn b m.

11 | P a g e

t
et , t 0,
( n1 ) !

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

3) vi mi 0 < u < t v 0 k n
P { X ( u )=k| X (t)=n }=

n!
u
k ! ( nk ) ! t

u
t

nk

( )( )
1

Ch rng nu X1, X2,.,Xn l cc bin ngu nhin c lp c cng phn b m tham s

th X = X1 +X2 + + Xn c phn b Erlang tham s n. Do c k vng v phng
sai:
n
n
E [ X 1 + X 2 ++ X n ] = ; var [ X 1 + X 2 ++ X n ]= 2

Chng minh nh l:
1) Ta chng minh cho trng hp n=2 v vi n bt k ta chng minh hon ton tng
t.
Xem hnh v di y :

S1

t1

S2

t1

t2

T hnh v ta d dng thy s lin h gia cc bin c

t1< S1< t1 +t1 v t2< S2< t2 +t2

12 | P a g e

t2

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

iu ny c ngha l bin c A khng xut hin trong cc khong

(0,t1], (t1 + t1, t1 + t1 + t2 )
V bin c A xut hin ng 1 ln trong mi khong
( t1, t1 + t1], (t1 + t1 + t2, t1 + t1 + t2 + t2 ]
Do suy ra phn phi ng thi ca S1, S2 c dng
f S S ( t 1 , t 2) . t 1 t 2 = P( t < S < t + t t < S < t + t ) + o(t t )
1
1
1
1, 2
2
2
2
1
2
1

= P{N(0,t1] = 0} P{N(t1 + t1, t1 + t2 + t2]=0} x P{N(t1, t1 + t1]=1}

P{ N( t1 + t1 + t2, t1 + t1 + t2 + t2] = 1 } + O(t1t2)
t
t
t
)( t 2 e t )+O ( t 1 t 2 )
= ( e ) ( e ) ( t 1 e
1

t
t
( t + t )
) ( t 1 t 2) +O ( t1 t 2)
= ( e )( e ) ( e
1

Chia hai v cho (t1t2) v cho t10, t20 ta c:

f S S ( t 1 , t 2)
1

t
t
= ( e )( e ) . iu ny kt thc chng minh 1)
1

2) rng Wn t khi v ch khi trong khong thi gian (0,t] c t nht n ln bin c
A xut hin. T suy ra hm phn phi Wn c dng:

FW ( t )=P ( W n t ) =P [ X ( t ) n ] =
n

k=n

( t )k t
e
k!
n

1
k=0

( t )k t
e
k!

Ly o hm theo t ta c ngay iu phi chng minh

3) Suy ra trc tip t xc sut c iu kin. Tht vy:
P{X(u) =k | X(t) = n}
P(X ( t )=n)
P ( X ( u ) =k , X ( t ) =n )
P ( X ( u )=k , X ( t ) X ( u )=nk )

P( X ( t )=n)

13 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

( u )k u [ ( tu ) ]nk (tu )
e .
e
k
nk
k!
( nk ) !
u (tu)
n!

=
k ! ( nk ) !
(t )n t
tn
e
n!

n!
u
(
)
k ! nk ! t

u
t

nk

( )( )
1

3) c chng minh
V D 1: Gi s s khch hng n 1 ca hng no l qu trnh Poisson vi tc
= 4 khch/gi. Ca hng m ca lc 8h.
1) Tnh xc sut n 8h30 c c thy 1 khch; ng thi n 10h30 c c thy 5
khch n ca hng.
2) Tnh thi im trung bnh khch th 10 n.
3) Tnh xc sut khong thi gian gia khch th 10 v khch th 11 ln hn
gi.
Gii :
1) Xem to=8h. Vy xc sut cn tm l
P{X(1/2) =1;X(5/2) = 5}=P{X(1/2)=1;X(5/2) X(1/2) = 4}=P{X(1/2)=1; X(2)=4} =
4
2 8
2
e
.
e8 0,0155.
P{X(1/2)=1}P{X(2) =4}=
4!

2) EW(10)=

10

10

= 4

=2h3
4.

3) P{S(1) >1/2} = 1 P{S(1) 1/2} = 1 ( 1- e

1
2

) 0.135

V d 2: Cho 2 qu trnh Poisson c lp {X 1(t) ; t 0} v {X2(t) ; t 0} vi cc tham s

tng ng 1, 2 Tm xc sut X1(t) =1 trc khi X2(t) =1.
Gii :

14 | P a g e

Xc sut thng k 2

Qu trnh Poisson

1
2
Ta cn tm xc sut P{ W 1 <W 1 } trong

Nhm 6

W n l thi im n th n ca qu trnh

2
X1(t) cn W m l thi im n th m ca qu trnh X2(t),

P {W 11 <W 21 }=

0 x< y

1 e x 2 e y dxdy= 1 e x 2 e y dxdy=
1

0x

1
.
1 + 2

Tng qut ta c th chng minh cng thc sau :

P {W <W }=
1
n

2
m

n +m1

k=n

k
n+m1

1
1 + 2

)(

2
1 + 2

n +m1k

4. QU TRNH POISSON C PHN LOI.

Xt qu trnh Poisson { X ( t ) ; t 0 } vi cng

(tng ng vi qu trnh m

s ln xy ra bin c A). Gi s mi khi bin c A xy ra th n c phn thnh hai loi:

Loi I vi xc sut p v loi II vi xc sut q = 1 p. Hn na, gi s s phn loi bin
c ny l c lp vi s phn loi bin c kia.
Chng hn, khch n ca hng theo qu trnh Poisson

{ X ( t ) ; t 0 } vi cng

, khch c phn loi thnh hai loi: Nam vi xc sut v N vi xc sut .

Ta k hiu

X 1 ( t ) v

X 2 ( t ) l cc qu trnh m tng ng vi bin c loi I v

bin c loi II. R rng l X ( t )=X 1 ( t ) + X 2 ( t ) .

nh l 3. Vi cc iu kin trn ta c

X1 (t )

X2 (t )

l hai qu trnh

Poissonvi cng p v q . Hn na hai qu trnh ny l c lp.

Chng minh: Theo cng thc xc sut y :

P { X 1 ( t )=n , X 2 ( t )=m }= P { X 1 ( t ) =n , X 2 (t )=m| X ( t )=k } P { X ( t )=k } .

k=0

15 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

V X ( t )=X 1 ( t ) + X 2 ( t ) P { X 1 ( t ) =n , X 2 ( t )=m| X ( t )=k }=0 k n+m

do :
P { X 1 ( t )=n , X 2 ( t )=m }=P { X 1 ( t )=n , X 2 ( t )=m|X ( t )=n+ m} P { X ( t )=n+ m} .

Mt khc trong n+m bin c c n bin c loi I v m bin c loi II. Do

n +m

, t gi thit c lp ca s phn loi bin c v

P { X 1 ( t )=n , X 2 ( t )=m }=C

n
n +m

m =0

Tng t

suy ra:

( t )n+m t ( tp )n tp ( tq )m tq
p q
e =
e
e
n!
m!
( n+ m ) !
n

P { X 1 ( t )=n }= P { X 1 ( t )=n , X 2 ( t )=m }=

iu ny chng t

(t )
P { X ( t ) =n+m }=
et
( n+m ) !

( tp )n tp
e .
n!

{ X 1 ( t ) ; t 0 } l qu trnh Poisson vi cng

{ X 2 ( t ) ; t 0 } l qu trnh Poisson vi cng

p .

q .

V d1: Gi s khch n 1 ngn hng no tun theo qu trnh Poisson vi cng

=1ng

i/ gi . Khch c th l nam vi xc sut

p=1/2

v c th l n vi xc

sut q=1/2 .
Bit trong 10 gi u c 100 nam n ngn hng.
Hi trung bnh c bao nhiu n n ngn hng trong 10 gi u?
Gii:
Theo nh l trn th { X 1 ( t ) ; t 0 } v { X 2 ( t ) ; t 0 } l cc qu trnh Poisson vi cng
1

1= p= 2 v 2= q= 2

tng ng v hai qu trnh ny l c lp. Do

2 k
P { X 2 ( 10 )=k| X 1 ( 10 )=100 }=P{ X 2 (10=k }= e (k =0,1,2 )
k!
2

16 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

V th E ( X 2 ( 10 )|X 1 ( 10 )=100 ) =10 2=5.

p s ny kh bt ng v ta d lm tng rng E ( X 2 ( 10 )|X 1 ( 10 )=100 ) =100.
V d 2: Xt mt h gm nhng c th m ti bt c lc no cng c th ri vo 1 trong r
trng thi. Gi s mi c th thay itrng thi theo Xch Markov vi xc sut chuyn l
pij ,(i , j=1,2, , r ) v cc c th chuyn ng trong h mt cch c lp vi nhau.

Gi thit ban u s c th thuc trng thi 1,2, ,r

l cc bin ngu nhin c

lp c phn phi Poisson vi tham s l 1 , 2 , , r tng ng.

Hy xc nh phn phi ng thi ca cc c th trng thi

1,2, ,r

ti thi

im t = n no .
Gii:
Vi i c nh, ta k hiu

X j ( i ) , j=1,2, r

thi im n chuyn sang trng thi

cho nn ta c

X j ( i ) ,i=1,2, , r

l s c th ban u trng thi i n

(c lp vi cc c th khc) vi xc sut

(n)

pij

l cc bin ngu nhin Poisson c lp vi tham s

p(nij ) .
r

T suy ra X j ( i ) ,( j=1,2, r )l cc bi n ng u nhin c l p c phn ph i

i=1

Poissonvi cc tham s p(n)

ij , ( j=1,2, r ) t

ngng .

i=1

V d 3:C m loi phiu. Mt ngi no chn phiu nhiu ln v kt qu ca ln chn

hin ti khng ph thuc vo kt qu ca cc ln chn trc (chn c hon li).
m

Xc su t chn

phi
c u loi jl p j , p j=1.
j=1

17 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

K hiu Nl s phiu m ngi cn chn c mt tp phiu gm cc loi

j=1,2, , m . Hy tnh EN?

Gii:
Nj

K hiu
c phiu loi

l s phiu m ngi cn chn c mt tp phiu nhn c

j , ( j=1,2, , m ) .

Ta suy ra

N= max N j .
1 j m

Mc d mi

Nj

c phn phi hnh hc, c th l

P ( N j=k )=(1 p j) k1 p j ,

nhng rt kh c th biu din tng minh phn phi ca Nv cc bin ngu nhin
N j , ( j=1,2, , m ) l khng c lp.

Tuy nhin, ta c th lm nh sau: Gi s cc thi im chn phiu l qu trnh

Poisson vi tham s
j

=1 . Ta ni rng bin c ca qu trnh Poisson nu thuc loi

nu chn c phiu loi

K hiu

N j (t )

j ,( j=1,2, ,m) .

l s phiu loi j c chn ra tnh ti thi im t. Khi

{ N j ( t ) ,t 0 } ,( j=1,2, , m) l cc qu trnh Poisson c lp vi cc tham s bng

p j =p j

tng ng.

( j)
K hiu W 1 ,( j=1,2, m) l thi im u tin bin c ca qu trnh Poisson

N j (t ) xut hin v t

X = max W (1j)
1 j m

Nh vy, X l thi im chn c y cc loi phiu.

( j)
Do W 1 , ( j=1,2, , m ) l cc bin ngu nhin c lp c phn phi m vi tham

( j)
p j , cho nn P ( X <t )=P max W 1 <t
1 j m

P ( W (1j) <t , j=1,2, m )

18 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

( 1e p t ) .
j

j=1

EX= P ( X >t ) dt= 1 ( 1ep t ) dt .

0

j =1

Tach rng X= S i , trong S i lthi gian ti trung gian th i .

i=1

Hn na, W 1 ,W 2 , l cc bin ngu nhin c lp c phn phi m vi tham

s bng 1, ngoi ra N c lp vi W 1 ,W 2 , nn
S
( i )=N .
EX ( X|N )=NE

Vy ta c EN =EX= 1 ( 1e p t ) dt .
0

j=1

5. PHN PHI U V QU TRNH POISSON.

Gi s ta c mt on thng chiu di bng

v c n ht cho trc. Ta ri

cc ht ln on thng ny sao cho v tr ca cc ht trn on ny lp thnh

bin

ngu nhin c lp c phn b u (mi ht ng kh nng ri vo tng im). Ta k

hiu U k l v tr ca ht th k ; k =1,2, ,n . Theo cch ri ca ta th U 1 , ,U n l
cc bin ngu nhin c lp c cng phn b u vi hm mt .
f ( x )=

1
,n u 0 u t
t
0,n u ng cli .

By gi ta sp xp li dy cc v tr theo th t t b n ln. Bng cch y ta

c dy W 1 W 2 W n , trong W 1 l b nht trong s U 1 , ,U n , tng t
W2

l b th hai trong s

U2
Un
U1
phn b u
trn on
.
W1
W2
W3
0

19 | P a g e

U 1 , ,U n . Ta gi

W 1 ,W 2 , W n l thng k th t ca
U3
Wn-1

Un-1
Wn

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

nh l 4. Hm phn b ng thi ca W 1 ,W 2 , W n c hm mt l
fW

, ,W n

( w 1 , , w n )=

n!
vi 0< w1 <w 2< <w n t .
n
t

Tht vy, khi n=2 th c 2 kh nng sp xp

U 1 ,U 2

theo th t:

U1 U2

hoc

U 1 U 2 . Do ta c:
fW

,W 2

( w 1 , w 2) w1 w 2=P ( w1 <W 1 w1 + w1 , w2 <W 2 w2 + w2 )

P ( w1 <U 1 w1 + w 1 , w 2< U 2 w 2+ w 2) + P ( w1 <U 2 w1+ w 1 , w 2< U 1 w 2+ w

w1 w 2 2
= 2 w 1 w2 .
t
t
t

Chia c hai v cho w 1 w2 ta thu c cng thc trn cho n=2.

Trng hp n bt k th c n! kh nng sp xp

U 1 ,U 2 , U n

v do cng

thc trn c chng minh tng t.

nh l 5.Gi s

{X (t ); t 0 }

l qu trnh Poisson vi tham s

W 1 ,W 2 , , W n l cc thi gian n trong qu trnh Poisson ny. Khi , vi

iu kin X ( t )=n , phn b ng thi ca W 1 ,W 2 , , W n c mt

fW

,W 2 , ,W nX ( t ) =n

( w 1 , w 2 , w n )=

n!
, vi 0< w1 <w 2< <w n t .
tn

Chng minh: Cc bin c { w i< W i w i+ w i } ; i=1,2, , n v

iu:

bin

khng

mt

ln

no

xy

ra

X ( t )=n

trong

tng ng vi
cc

khong

( 0, w1 ] , ( w 1+ w1 , w2 ] , , ( w n1 + wn1 , wn ] , ( w n+ w n , t ] v A ch xy ra mt ln trong cc
khong ( w 1 , w 1+ w1 ] , ( w 2 , w 2+ w 2 ] , , .
T tnh c lp suy ra:

20 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

P ( N ( 0, w1 ]=0, N ( w 1+ w1 , w 2 ]=0, , ( wn + wn , t ]=0 )

( w2w 1 w 1)

e w e
1

Mt

( w nw n1 w n1) ( tw n w n)

et [ e

( w 1+ w 2++ w n)

wi }
max {

1 i n

et + O

P ( N ( w1 , w1 + w1 ] =1, N ( w 2 , w 2+ w2 ] =1, , N ( w n , wn + w n ] =1 )

khc

( w1 ) ( w2 ) ( w n ) +O ( w 1 w2 w n ) .

T suy ra
fW

,W 2 , ,W nX ( t ) =n

( w1 , w 2 , w n ) w1 w 2 w n

P ( w1 <W 1 w1 + w1 , , wn <W n wn + wn|X ( t )=n ) +O ( w 1 w2 w n )

P ( w1 <W 1 w 1+ w 1 , , w n<W n w n + w n , X ( t )=n )

P( X ( t )=n)

et ( w1 ) ( w2 ) ( wn )
n

et ( t ) /n !

+O ( w1 w 2 wn )

+O ( w1 w2 wn )

n!
w1 w 2 wn ) +O ( w1 w2 w n ) .
n (
t

Chia c hai v cho

( w1 w2 wn ) ri cho w 1 0, , w n 0 ta suy ra

iu phi chng minh.

ngha nh l l: Vi iu kin c ng n bin c xy ra trong khongthi gian
th cc thi gian n l thng k th t ca phn b u trn on .

V d: Khch n mt ca hng theo qu trnh Poisson vi cng

khch hng tr 1000 vo ca ti thi im

21 | P a g e

. Mi

t=0 . Sau gi c gim theo thi

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

. Ta cn tnh s tin trung bnh M ca hng thu c trong

gian vi tc h gi l

khong thi gian theo cng thc sau:

X (t )

M=E

( )

e W trong l t c h gi ,W 1 , W 2 , l thi gian n

k

k=1

( hay ch ) , X ( t ) l s khch n trong khong thi gian ( 0, t ] .

Gii:
W
Ta thy 1000 c gim gi xung cn e

( |

X (t )

M = E
n=1

ti thi im W k v

e W X ( t )=n P { X ( t ) =n } .
k

k=1

Gi s U 1 , U n l cc bin ngu nhin c lp v c phn b u trn on (0;t].

X (t )

Dotnh cht i xng ca E

( )

e W v nh l trn , tac :
k

k=1

( |

) ( )

X(t)

W k

U k

X ( t )=n =E

k=1

k=1

U 1

=nE ( e

) = n eu du= n ( 1et ) .
t 0
t

1
1

t
t
t
Suy ra M = ( 1e ) nP {X ( t )=n }= ( 1e ) EX ( t )= ( 1e ) .
t
t

n=1

6. QU TRNH POISSON PHC HP.

1. nh ngha.
Gi s

{ X ( t ) ; t 0 } l qu trnh Poisson vi cng

cc bin ngu nhin c lp, cng phn b v dy ny c lp vi

ta gi
X (t)

Z ( t )= Y k ;t 0
k=1

l qu trnh Poisson phc hp.

V d:

22 | P a g e

>0 .

Y 1 , Y n dy

{ X ( t ) ;t 0 } . Khi

Xc sut thng k 2

i. Nu

Y k 1

Qu trnh Poisson

th

Nhm 6

Z ( t )=X (t ) . Do , qu trnh Poisson thng thng l qu

trnh Poisson phc hp.

ii. Gi s khch ri ca hng l qu trnh Poisson v tin mua hng ca khch l
dy cc bin ngu nhin c lp, cng phn b v dy ny c lp vi s khch. Khi
ta c qu trnh Poisson phc hp

Z (t )

l tin bn hng thu c tnh n thi im

t .

iii. Cc cuc gi n tng i l qu trnh Poisson v thi gian gi ca mi cuc l

dy cc bin ngu nhin c lp, cng phn b v dy ny c lp vi cc cuc gi n.
Khi tng thi gian ca tt c cc cuc gi cho n thi im

l mt qu trnh

Poisson phc hp.

2. K vng v phng sai ca qu trnh Poisson phc hp.
K vng v phng sai ca qu trnh Poisson phc hp:
2

EZ ( t )=tE Y 1 ; varZ ( t )=tE Y 1 .

Chng minh: Ta c

( |

) ( |

X (t )

E ( Z ( t )| X ( t )=n )=E

k=1

Y k X ( t )=n =E

k=1

) ( )

Y k X ( t ) =n =E

k=1

Y k =nE Y 1

Do : E ( Z ( t )| X ( t ) ) =X ( t ) E Y 1 .
Suy ra EZ ( t )=E [ E ( Z ( t )| X ( t ) ) ]=EX ( t ) E Y 1 =tE Y 1 .
2
Tng t ta c va rZ ( t )=tE Y 1 .

Ch : Nu cc

Yk

c lp vi nhau, c lp vi

chung l
G ( y )=P(Y k y ) th hm phn phi ca Z (t ) l

23 | P a g e

X (t )

v c hm phn phi

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

X (t )

P ( Z ( t ) z ) =P

( )
Ykz

k=1

P
n=0

X(t)

Y k zX ( t )=n . P ( X ( t )=n )
k=1

P
n=0

X(t)

Y k z .
k=1

( t )n e t
n!

P
n=0

n=0

X( t)

Y k zX ( t )=n .
k=1

( t )n et
n!

( t )n et (n )
G (z) ,
n!

(n )
Trong G
c tnh theo cng thc truy hi sau

G(n ) ( y )=P ( Y 1 +Y 2 ++Y n y )

+

G n 1 ( yu ) dG(u),
(

0
G ( y ) = 1, y 0
0, y< 0

V d:M hnh chn ng: Gi s

X (t )

l s ln chn ng trong h no v

lng thit hi tng cng do chn ng th

lm vic khi lng thit hi tng cng b hn
ngc li. K hiu

gy ra tnh n thi im
a

Yk

t . H tip tc

v h ngng hot ng trong trng hp

l thi im h ngng hot ng. Tnh

ET

(l thi gian trung

bnh h ngng hot ng).

Gii:
Ta c T >t

khi v ch khi Z ( t )< a

Nu cc Y k c lp vi nhau, c lp vi X (t ) v c hm phn phichung l

G ( y )=P(Y k y ) th:

( t )n et (n)
P (T >t )=P ( Z ( t )< a )=
G (a) .
n!
n=0

Do ta c

24 | P a g e

Xc sut thng k 2

Qu trnh Poisson

ET= P ( T >t ) dt=

n=0

Nhm 6

( t )n et
1
(n )
dt
G
(
a
)
=
n!
G ( n) ( a ) .

n=0
0

c bit, khi Y k c phn phi m vi tham s

th

Y 1+ Y 2+ +Y n

s c phn phi

Gamma:
n1

G ( y )=1
(n )

k=0

( y )n ey ( y )n ey
=
.
k!
k!
k=n

( a )k a k ( a )k a
e =
e
n=0 k=n k !
k=0 n=0 k !

Suy ra G( n) ( a )=
n=0

( a )k a
( 1+k )
e
k!
k=0

Vy ta c
ET=

1+ a

25 | P a g e

k=0

( a )k a ( a )k a
e +
e
k!
k=1 ( k1 ) !

( a )k1 a
1+ a
e
k =1 ( k 1 ) !

1+ a .

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

PHN 2: BI TP
Cu 1: Cc bc in gi ti bu in l qu trnh Poisson X(t) vi tc trung bnh 3
bc trong 1 gi.
a) Tnh xc sut t 8h00 n 12h00 khng c bc in no
b) Tnh phn b ca thi im ti nhn c bc in u tin sau 12h00.
Gii:
=3 bc/ gi.
Tc trung bnh 3 bc trong 1 gi

a) Xc sut t 8h00 n 12h00 khng c bc in no bng:

n

P { X ( 12 )X ( 8 ) =0 }=P { X ( 4 ) =0 } =

( t) t ( 3 4) 3 4 12
e =
e
=e
n!
0!

b) Phn b ca thi im ti nhn c bc in u tin sau 12h00 l:

P { X ( t ) =1| X ( 12 )=0 } =

P { X ( t )=1, X ( 12 )=0 }
P { X (12 ) =0 }

P { X ( 12 )=0, X ( t )X ( 12 )=1 } P { X ( 12 )=0 } P { X (t ) X (12 ) =1 }

=
P { X ( 12 )=0 }
P { X (12 ) =0 }

[3 ( t12 ) ]
P { X ( t ) X (12 )=1 }=P { X ( t12 )=1 }=
1!

e3 (t 12 )

3 ( t12 ) e3 (t 12 ) ; t> 12 .

Cu 2: S cuc gi n tng i l qu trnh Poisson vi tc trung bnh 2 cuc gi

trong 1 n v thi gian. Hy tnh:
a)

P { X ( 1 )=2 } v

b)

P { X ( 1 )=2|X ( 3 )=6 }

Gii:
26 | P a g e

P { X ( 1 )=2, X ( 3 )=6 } .

v P { X ( 3 )=6| X ( 1 )=2 } .

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

Tc trung bnh 2 cuc gi trong 1 n v thi gian =2

a)
n

P { X ( 1 )=2 }=

( t ) t (2 1) 2 1
2
e =
e
=2 e
n!
2!

P { X ( 1 )=2, X ( 3 )=6 }=P { X ( 1 )=2, X ( 3 ) X ( 1 ) =4 }

P { X (1 )=2 } P { X ( 3 ) X ( 1 ) =4 }=P { X ( 1 )=2 } P { X ( 2 )=4 }

2 e2

b)

(2 2) 4 2 2 64 6
e
= e .
4!
3

64 6
e
P { X ( 1 )=2, X ( 3 )=6 }
3
80
P { X ( 1 )=2|X ( 3 )=6 }=
=
=
6
P { X ( 3 )=6 }
(2 3) 2 3 243
e
6!
64 6
e
P { X ( 3 )=6, X ( 1 )=2 } 3
32 4
P { X ( 3 )=6| X ( 1 )=2 }=
=
= e
2
3
P { X (1 )=2 }
2e

Cu 3: Cho X(t), t 0 l qu trnh Poisson vi cng =2 . Hy tnh:

a) EX(2), EX2(1), E[X(1) X(2)].
b)

P { X (1) 2 } , P { X ( 1 )=1, X ( 2 )=3 } .

Gii:
a) Ta c X(2) l bin ngu nhin c phn b Poisson tham s

2=2 2=4 do

:
E [ X (2) ] =4

X(1) l bin ngu nhin c phn b Poisson tham s 1=2 do :

E [ X (1) ] =D [ X (1) ] =2 . Ta li c:

27 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

D [ X (1 ) ]=E [ X 2 (1 ) ]{ E [ X ( 1 ) ] }

E [ X 2 ( 1 ) ]=D [ X ( 1 ) ] + { E [ X ( 1 ) ] } =2+22=6

Ta c E [ X ( 1 ) X ( 2 ) ]=E [ X ( 1 ) ( X ( 3 ) X (1 ) ) ]
E [ X ( 1 ) ] E [ X ( 3 )X (1) ]

(do X(1) v X ( 3 ) X (1) c lp)

E [ X ( 1 ) ] ( E [ X (3 ) ]E [ X ( 1 ) ] )
2 ( 2 32 1 ) =8

b)

P { X ( 1 ) 2 }=P { X ( 1 )=0 } + P { X ( 1 )=1 } + P { X ( 1 )=2 }

(2 1) 2 1 (2 1) 2 1 (2 1) 2 1
2
e
+
e
+
e
=5 e
0!
1!
2!

P { X ( 1 )=1, X ( 2 )=3 } =P { X ( 1 ) =1, X ( 2 ) X ( 1 )=2 }

P { X (1 )=1 } P { X ( 2 )X ( 1 )=2 }=P { X ( 1 )=1 } P { X ( 1 )=2 }
1

(2 1) 2 1 (2 1) 2 1

e
=4 e4
1!
2!

Cu 4: Khch ti ca hng theo qua trnh Poisson vi cng 5 ngi mt gi. Bit
rng trong 2 gi u c 12 khch ti, tnh xc sut (c iu kin) c 5 khch ti
trong gi u tin.
Gii:
Gi X(t) l s khch hng ti ca hng trong khong thi gian t, theo gi thit,
X(t) l qu trnh Poisson tham s =5 .
Vy, xc sut c 5 khch ti trong gi u tin:

28 | P a g e

Xc sut thng k 2

Qu trnh Poisson

P { X ( 1 )=5|X ( 2 )=12 }=

Nhm 6

P { X ( 1 ) =5, X ( 2 ) =12 } P { X ( 1 )=5, X ( 2 ) X ( 1 ) =7 }

=
P { X ( 2 )=12 }
P { X ( 2 ) =12 }

P { X ( 1 )=5 } P { X (2 )X ( 1 )=7 } P { X ( 1 )=5 } P { X ( 1 ) =7 }

=
P { X ( 2 )=12 }
P { X ( 2 ) =12 }

(5 1)5 5 1 (5 1)7 5 1
e

e
5!
7!
99

=
.
12
512
(5 2) 5 2
e
12 !

Cu 5: Khch ti ca hng theo qu trnh Poisson vi cng 10 ngi mt gi. Khch

c th mua hng vi xc sut

p=0.3

v khng mua hng vi xc sut q=0.7 . Tnh

xc sut trong gi u tin c 9 ngi vo ca hng trong c 3 ngi mua hng, 6

ngi khng mua.
Gii:
Gi X(t) l s khch hng ti ca hng trong khong thi gian t, theo gi thit X(t)
l qu trnh Poisson tham s

=10 . Gi X1(t), X2(t) ln lt l s khch hng ti ca

hng c mua hng v khng mua hng trong khong thi gian t th X 1(t) l qu trnh
1=10 0,3=3

Poisson tham s

cn X2(t) l qu trnh Poisson tham s

2=10 0.7=7 .

Vy, xc sut trong gi u tin c 9 ngi vo ca hng trong c 3 ngi

mua hng, 6 ngi khng mua l:

3
6
( 1 t) t ( 2 t ) t ( 3 1 ) 3 1 ( 7 1 ) 7 1
e
e =
e
e
n1 !
n2!
3!
6!
P { X 1 ( 1 ) =3, X 2 ( 1 )=6 }=
n2

n1

29 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

117649 10
e .
160

Cu 6: Gi s khch n mt ngn hng no tun theo qu trnh Poisson vi cng

=1

ngi/gi. Khch c th l nam vi xc sut l

p=1/2

v c th l n vi xc

sut q=1/ 2 . Bit rng trong 10 gi u c 100 khch nam n ngn hng. Hi trung
bnh c bao nhiu n n ngn hng trong 10 gi u?
Gii:
Theo nh l th

{ X 1 ( t ) , t 0 } v { X 2 ( t ) , t 0 } l cc qu trnh Poisson vi

cng 1= p=1/2 v 2= q=1 /2 tng ng v hai qu trnh ny l c lp.

Do
P ( X 2 (10 )=k| X 1 ( 10 )=100 ) =P ( X 2 ( 10 )=k ) =

( 2 10 )

k!

2 10

(k=0,1,2,)

V vy:
E ( X 2 ( 10 )|X 1 ( 10 )=100 ) = 2 10=5.

Cu 7: Xt mt lng c nh ca mt cht phng x. Gi s cc ht alpha xut hin theo

thi gian l mt qu trnh Poisson vi cng
ngu nhin ri b hy dit. Gi s thi gian sng

. Mi ht tn ti trong mt thi gian

Y 1 ,Y 2 ,

ca cc ht khc nhau l

nhng bin ngu nhin c lp v c hm phn phi chung l G ( ) =P ( Y k ) . K hiu

M(t) l s cc ht alpha tn ti thi im t. Tnh phn phi ca M(t) vi iu kin M(0)
= 0.

30 | P a g e

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

Gii:
K hiu X(t) l s ht alpha sinh ra trong khong thi gian (0,t]. Theo gi thit th

{ X ( t ) , t 0 } l qu trnh Poisson vi cng . Hin nhin, M (t) X (t) . Gi s

X ( t )=n

v W 1 , ,W n t

l cc thi im ht xut hin. Khi , ht th k tn ti

thi im t nu v ch nu W k +Y k t . t
I { W k + Y k t }=

1 nu W k+ Y k t
0 n u W k +Y k < t

Nh vy I { W k + Y k t }=1 nu v ch nu ht th k ang cn sng thi im t. Do :

P ( M ( t )=m|X ( t )=n ) =P

( {
k=1

I W k +Y k t } =m X ( t )=n

Theo nh l v do tnh i xng gia cc ht, ta c:

( {
k=1

) ( {

I W k +Y k t } =m X ( t )=n =P

k=1

I U k +Y k t } =m ()

Trong U1, U2, l cc bin ngu nhin c lp c phn phi u trn on (0, t]. M
v phi ca (*) c tnh theo phn phi nh thc, do :
P ( M ( t )=m|X ( t )=n ) =

n!
m
nm
p (1 p) ,
m!( nm)!

Trong
t

1
1
p=P ( U k +Y k t ) = P (Y k tu) du= [ 1G(tu) ] du
t 0
t 0

Suy ra

P ( M ( t )=m )= P ( M ( t )=m|X ( t )=n ) P(X ( t )=n)

n =m

31 | P a g e

Xc sut thng k 2

Qu trnh Poisson
n t

( t ) e
n!
pm ( 1 p )nm
n!
m! ( nm ) !

et

( pt )m ( 1 p )nm ( t )nm
( nm ) !
m! n=m

n=m

Ch rng

[ t (1p) ] t (1 p )
(1p)nm ( t )mn
=
=e

( nm ) !
k!
n=m
k=0
Ta thu c kt qu:
m

( pt ) pt
P ( M ( t )=m )=
e ,(m=0,1,2, )
m!

Kt lun: S ht tn ti thi im t c phn phi Poisson vi tham s l

t

EM ( t )=pt= [ 1G( ) ] d
0

32 | P a g e

Nhm 6

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

Cu 8: Gi s s gia nh nhp c vo mt khu vc no l qu trnh Poisson vi

cng =2 gia nh/ 1 tun.
S ngi trong mi gia nh l cc bin ngu nhin c lp nhn cc gi tr 1, 2, 3, 4 vi
xc sut tng ng l 1/6, 1/3, 1/3, 1/6
a) Tnh k vng v phng sai ca s ngi nhp c ti khu vc ny trong vng 5
tun.
b) Tnh xc sut c t nht 250 nhp c ti khu vc ny trong vng 50 tun.
Gii:
a) K hiu Y k ,(k =1,2, ) l s ngi trong gia nh th k. Ta c
1
1
1
1 5
E Y k =1 +2 +3 + 4 =
6
3
3
6 2
1
1
1
1 43
2
E(Y k ) =1 + 4 +9 +16 =
6
3
3
6 6

K hiu Z(5) l s ngi n nhp c vo khu vc ny trong vng 5 tun.

5

Ta c EZ ( 5 )= tE Y 1=2 5 2 =25
VarZ ( 5 )=t E ( Y 1 )2=25

43 215
=
6
3

b) Ta c:

5
EZ ( 50 )=2 50 =250
2

VarZ ( 50 )=2 50

43 2150
=
6
3

Dng nh l gii hn trung tm ta c th xem Z(50) l bin ngu nhin c phn

phi chun vi trung bnh 250 v phng sai
P ( Z ( 50 ) 240 ) =P

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Z (50 )250

2150
3

240250
2150
3

2150
. Do
3

Xc sut thng k 2

Qu trnh Poisson

Nhm 6

1 (0.037) 0.515 .

PH LC: TI LIU THAM KHO

[1]. Nguyn Ch Long, Xc sut thng k v Qu trnh ngu nhin, NXB i hc quc
gia TP.H Ch Minh TP.H Ch Minh, 2006.
[2]. Nguyn Duy Tin, Cc m hnh xc sut v ng dng Phn I-Xch Markov v
ng dng, NXB i hc quc gia H Ni H Ni, 2001.
[3]. Sch hng dn hc tp Ton chuyn ngnh (Hc vin Cng ngh Bu chnh
vin thng), H Ni, 2006.
[4]. John Kingman,Oxford Studies in Probability 3 Poisson Processes, Carendon
Press Oxford, 1992.
[5]. Mt s trang web ca cc trng i hc:
1. New York University USA:
https://www.math.nyu.edu/faculty/varadhan/spring06/spring06.1.pdf
2. The University of Alabama in Huntsville USA:
http://www.math.uah.edu/stat/poisson/index.html
3. Helsinki University of Technology Finland:
https://www.netlab.tkk.fi/opetus/s383143/kalvot/E_poisson.pdf
4. University of California, Davis USA:
https://www.math.ucdavis.edu/~gravner/MAT135B/materials/ch18.pdf
5. Hong Kong University of Science and Technology Hong Kong:
https://www.math.ust.hk/~maykwok/courses/ma246/04_05/04MA246L4B.pdf

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