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Memoryless Information
Processes
Markov Processes and n-gram
Models
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Description
Sometimes we are interested in how a random
variable changes over time.
The study of how a random variable evolves
over time includes stochastic processes.
An explanation of stochastic processes – in
particular, a type of stochastic process known
as a Markov chain is included.
We begin by defining the concept of a
stochastic process.
A continuous –time Markov Chain (CTMC)
A Discrete –time Markov Chain (DTMC)
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Dr. Rashid A. Saeed
What is a Markov Chain?
One special type of discrete-time is called a Markov
Chain.
Definition: A discrete-time stochastic process is a
Markov chain if, for t = 0,1,2… and all states
P(Xt+1 = it+1|Xt = it, Xt-1=it-1,…,X1=i1, X0=i0)
=P(Xt+1=it+1|Xt = it)
Essentially this says that the probability distribution of
the state at time t+1 depends on the state at time t(it)
and does not depend on the states the chain passed
through on the way to it at time t.
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In our study of Markov chains, we make further
assumption that for all states i and j and all t,
P(Xt+1 = j|Xt = i) is independent of t.
This assumption allows us to write P(Xt+1 = j|Xt
= i) = pij where pij is the probability that given
the system is in state i at time t, it will be in a
state j at time t+1.
If the system moves from state i during one
period to state j during the next period, we call
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that a transition from i to j has occurred.
Dr. Rashid A. Saeed
We call the vector q= [q1, q2,…qs] the initial probability
distribution for the Markov chain.
In most applications, the transition probabilities are displayed
as an s x s transition probability matrix P. The transition
probability matrix P may be written as
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For each I
j s
p
j 1
ij 1
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Markov processes
ashid A. Saeed
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The Gambler’s Ruin Problem
At time 0, I have $2. At times 1, 2, …, I play a game
in which I bet $1, with probabilities p, I win the
game, and with probability 1 – p, I lose the game.
My goal is to increase my capital to $4, and as soon
as I do, the game is over. The game is also over if my
capital is reduced to 0.
Let Xt represent my capital position after the time
t game (if any) is played
X0, X1, X2, …. May be viewed as a discrete-time
stochastic process
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Dr. Rashid A. Saeed
The Gambler’s Ruin Problem
$0 $1 $2 $3 $4
1 0 0 0 0
1 p 0 p 0 0
P = 0 1 p 0 p 0
0 0 1 p 0 p
0 0 0 0 1
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20%
2 1 90%
80%
The Cola Example
10%
Cola1 Cola 2
Cola 1 .90 .10
P
Cola 2 .20 .80
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Markov Processes
A Markov source consists of:
an alphabet A
a set of states ∑,
a set of transitions between states,
a set of labels for the transitions and
two sets of probabilities.
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Diagrammatic representation of a
Markov source
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Markov chain in Network queuing
Markov Chain for M/M/1 system
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Birth-death chain
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Markov model of a scalar passage of
music.
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Find mth-order Markov model?
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A Markov source equivalent to a
3-gram model.
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Ch 05: Little’s Theorem and
M/M/1
ELEXM 621 Random Process and Queuing
Theorem
Assoc. Prof. Dr. Rashid A. Saeed
MSC Comp and Comm
Elex, FoE, SUST,
Agenda
Introduction
Queuing systems
Categories, Kendall notation
Markovian queuing systems
Little’s result
M/M/1
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What is queuing theory?
Queuing theory: performance evaluation of
resource sharing systems, specifically, for
teletraffic systems
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Performance of queuing systems
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Block diagram of a queuing system
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Description of queuing systems
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Examples in details
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Examples in details
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Performance measures
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Poisson process
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Poisson process
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Exponential distribution and
memoryless property
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Poisson process and exponential
distribution
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Kendall’s notation A/S/m/c/p/O
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Notation Example
M/M/3/20/1500/FCFS – single queue system with:
Exponentially distributed arrivals
Exponentially distributed service times
Three servers
Capacity 20 (queue size is 20 – 3 = 17)
Population is 1500 total
Service discipline is FCFS
Often, assume infinite queue and infinite population and
FCFS, so just M/M/3
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Markovian Queuing Systems
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System variables
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Little’s result
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Example
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M/M/1 queuing systems
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Thank You
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