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Probabilistic Operations Research (POR)

Topic # 12 Poisson Processes
(Chapter 5.1, 5.2, and 5.4 of Cassady and Nachlas Textbook)

Poisson process is a counting process since it represents the number of certain events that
occur by a given time and it is highly related to the exponential distribution which represents the
time between the occurrences of those events. So, we will start our discussion with the
exponential distribution and its properties.
The Exponential Distribution
A continuous random variable has an exponential distribution with parameter , where ,
if its probability density function (pdf) and its cumulative distribution function (cdf) are as below.
() {

() {

The parameter of the exponential distribution represents the rate of events per unit time.
Example: If the time until the next machine failure is exponentially distributed with parameter
, then the mean time until the next machine failure is 3 time units. Then
represents the number of machine failures per unit time.
We also already know that the mean (expectation) of the exponential random variable is
[] ()

and the variance of an exponential random variable is
() [

] ([])

The Memoryless Property of the Exponential Distribution
Definition: A random variable is said to be without memory, or memoryless, if
( | ) ( ), for all
When this holds, then
[ | ] []

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Let us show how the memoryless property holds for the exponential distribution.

( | )



Example 1: Suppose that the time a customer spends in a bank is exponentially distributed with
mean 10 minutes, i.e. . What is the probability that a customer will spend more than 15
minutes in the bank?



What about the probability that a customer will spend more than 15 minutes in the bank given
that she is still in the bank 10 minutes after she enters the bank?



Example 2: Consider a post office with two clerks. Suppose that when Ms. Knope enters the
post office, she discovers that Mr. Swanson is being served by one of the clerks and Mr.
Haverford is being served by the other clerk. Suppose also that Ms. Knope is told that her
service will begin immediately after either Mr. Swanson or Mr. Haverford leaves. If the service
time of a clerk is exponentially distributed with mean , what is the probability that, of the
three customers, Ms. Knope is the last one to leave the post office?







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Counting Processes
Definition: A stochastic process () is a counting process if () represents the total
number of events that occur by time .
Example: If the event of interest is the event that a customer enters a store, () would be the
number of customers who enter the store at or prior to time and () is a counting
process.
What if () represents the number of customers who are in the store at time ? Would
() still be a counting process?


A counting process must satisfy the following properties:
(i) ()
(ii) () is integer valued.
(iii) If , then () (). (() is non-decreasing.)
(iv) For , () () equals the number of events that occur in the interval ( ].

Definition: A counting process has independent increments if the number of events that
occur in disjoint time intervals are independent.
Example: The number of customers who enter Kroger between 11 am and 12 pm is
independent of the number of customers who enter the store between 8 am and 10 am.



Definition: A counting process has stationary increments if the distribution of the number of
events that occur in any interval of time depends only on the length of the time interval.
Example: For the Kroger example, stationary increments are only reasonable if there were no
times of day at which people were more likely to enter the store.




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The Poisson Process
Definition: A counting process () , is a Poisson process with rate , , if
(i) () .
(ii) The process has independent increments.
(iii) The number of events in any interval of length is Poisson distributed with mean .
That is, for all
(( ) () )

()

It follows that
[()]

Therefore, by property (iii), Poisson process has stationary increments.

The Interarrival Time Distributions
Let

be the elapsed time between the ( )

event (arrival) and the

event (arrival). The

sequence

is the sequence of interarrival times.

What would be the distribution of

?
Note that the event

takes place only if no events of the Poisson process occur in the

interval [ ]. Then,
(

)

(

)


The above follows from independent and stationary increments. In general,
(

)

Therefore, the distribution of

is

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Proposition: For a Poisson process with parameter ,

are independent identically

distributed exponential random variables with parameter .
We can explain this proposition by the memoryless property of the exponential distribution.
Since the assumption of independent and stationary increments for the Poisson process means
that the process probabilistically restarts itself at any point in time, this also means the process
has no memory.

Example 3: Suppose that students enter a classroom at a Poisson rate per minute.
What is the expected time until the 10
th
student arrives?






What is the probability that the elapsed time between the 10
th
and the 11
th
arrival exceeds two
days?




Further Properties of the Poisson Process
Consider a Poisson process () having rate , and suppose that each time an event
occurs it is classified either as a type I event with probability or as a type II event with
probability ( ), independently of all other events.
(Note that the classification of events is a Bernoulli process.)
Example: Consider the Kroger example where customers arrive at the store following a Poisson
process with rate and suppose that each arriving customer is a male with probability
and a female with probability ( ) . Then a type I event is the arrival of a male
customer and a type II event is the arrival of a female customer.
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()

()


Decomposition Principle of the Poisson Process
If

() and

() are both Poisson processes with respective rates and

( ) as explained above, the two processes are independent.

Would the two Poisson processes be independent if the classification was not done according to
an independent Bernoulli process with parameter ?






Example 3 (contd.): A student entering the classroom is either a male with probability 1/2 or a
female with probability 1/2. What is the probability that no female students will enter the
classroom during four minutes?








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Superposition Principle of the Poisson Process
Consider the Poisson processes

() and

() with respective rates

and

.
The process ()

()

() is a Poisson process with parameter (

).
We are now interested in the probability that events occur in the first Poisson process before
events occur in the second and independent Poisson process.
Example 3 (contd.): Assume that the arrival rate is

per minute for male students and

per minute for female students. What is the probability that 2 male students enter the
classroom before 1 female students enter?