6.

The Bernoulli and Poisson

Processes

Broadband Communication, NCTU, Taiwan 1

 Outline
 Introduction
 The Bernoulli Process
 The Poisson Process

Broadband Communication, NCTU, Taiwan 2

 Introduction

 A stochastic process is simply a (finite

or infinite) sequence of random
variables.
 Example: The sequence of
 Daily prices of a stock;
 Scores in a football game;
 Failure times of a machine;
 Hourly traffic loads at a node of a
communication network.

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 Emphasis

 Dependencies
 For example, how do future prices of a
stock depend on past values?
 Long-term averages
 For example, what is the fraction of time
that a machine is idle?
 Boundary events
 For example, what is the frequency with
which some buffer in a computer network
overflows with data?

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 Two Major Categories of Stochastic
Processes
 Arrival-type processes
 Bernoulli process (Sec. 6.1)
 Poisson process (Sec. 6.2)

 Markov processes (Ch. 7)

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 6.1 Bernoulli Process

 The Bernoulli process is a sequence X1,

X2, … of independent Bernoulli random
variables Xi with
P(Xi=1) = P(success at the ith trial) = p,
P(Xi=0) = P(failure at the ith trial) = 1-p,
for each i.

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 Random Variables Associated with
the Bernoulli Process
 S: number of successes in n
independent trials ~ binomial(p, n).

 T: number of trials up to (and including)

the first success ~ geometric(p).

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 Properties of the Bernoulli Process

 Fresh-Start
 For any given time n, the sequence of RV
Xn+1, Xn+2, … is also a Bernoulli process, and
is independent from X1, …, Xn.
 Memorylessness
 n: given time
 : the time of the first success after time n
 ~ geometric(p), and is independent
of the RV X1, …, Xn, i.e.,

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 Example 6.1: Independence
 (a) Let U be the number of successes in trials 1
to 5. Let V be the number of successes in trials
6 to 10. Then, U and V are independent. This is
because U = X1 +· · ·+ X5, V = X6+· · ·+ X10,
and the two collections {X1, . . . , X5}, {X6, . . . ,
X10} have no common elements.

 (b) Let U (respectively, V ) be the first odd

(respectively, even) time i in which we have a
success. Then, U is determined by the odd-time
sequence X1, X3, . . ., whereas V is determined
by the even-time sequence X2, X4, . . .. Since
these two sequences have no common
elements, U and V are independent.

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 Example 6.2 (1/3)

 A computer executes two types of tasks,

priority and nonpriority, and operates in
discrete time unit (slots).
 Priority task : probability=p, slot
independent.

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 Example 6.2 (2/3)

 T = the time index of the first idle slot

 B = the length (number of slots) of the
first busy period
 I = the length of the first idle period
 Z = the number of slots after the first
slot of the first busy period up to and
including the first subsequent idle slot
 Z=B

pT (k ) p k 1 (1  p),k  1, 2,....

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 Example 6.2 (3/3)

 T is geometrically distributed random

variable with parameter 1−p, and its
PMF is
pT (k ) p k 1 (1  p),k  1, 2,....

1 p
E[T ] ,var(T ) .
1 p (1  p ) 2

1 1 p
pI (k ) (1  p ) k 1 p,k  1, 2,....,E[ I ]  ,var( I ) 2
p p

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 Example 6.3: Fresh-Start at a
Random Time
 N: first i for which Xi-1 = Xi = 1.
 P(XN+1 = XN+2 = 0) = ?
 Sol:

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 Interarrival Times

 Yk: the time of the kth success (or

arrival)
 Tk: kth interarrival time
 T1 = Y1, Tk = Yk – Yk–1, k = 2, 3, ….
 Yk = T1 + T2 +  + Tk.

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 Alternative Description of the
Bernoulli Process
 Start with a sequence of independent
geometric RV T1, T2, …, with common
parameter p.
 Let Ti’s stand for the interarrival times.
 Record a success (or arrival) at times T1,
T1 + T2, T1 + T2 + T3, etc.

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 Example 6.4: Rainy Days

 After a rainy day, the number of days

until it rains again ~ geometric(p),
independent of the past.
 P(It rains on both the 5th and 8th day
of the month.) = ?
 Sol: p2

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Properties of the kth Arrival Time Yk
 Yk = T1 + T2 +  + Tk.
 Ti ~ i.i.d. geometric(p).
 E[Yk] = E[T1] +  + E[Tk] = k/p.
 var(Yk) = var(T1) +  + var(Tk)
= k(1-p)/p2.
 The PMF of Yk is

and is known as the Pascal PMF of order

k.

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 Example 6.5

 single foul with probability p

 No foul with probability 1−p
 The number of fouls in different minutes
are assumed independent.
 Sixth foul : foul out
 She will play 30 minutes if she does not
foul out.
 What is the PMF of Alicia’s playing time?

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 Example 6.5 - Solution

 Bernoulli process with parameter p

 Z: Alicia’s playing time
 Y6: the time until the sixth foul
 Z= min{Y6,30}

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Splitting of a Bernoulli Process

Bernoulli(pq)

Bernoulli(p)

Bernoulli(p(1-q))

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Merging of Independent Bernoulli
Processes

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 Poisson Approximation to the
Binomial
 Z ~ Poisson().

 For any fixed nonnegative integer k, the

binomial probability

converges to pZ(k) as n and p = /n,

while keeping  constant.
 The Poisson PMF is a good
approximation to the binomial as long
as  = np for large n and small p.

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 Example 6.6: Poisson/Binomial
approximation

is valid to several decimal places if n ≥

100, p ≤ 0.01, and  = np.

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 Example 6.7: Packet Transmission

 An n-symbol packet, transmitted over

noisy channel.
 Symbol error rate p = 10-4.
 Errors of symbols are independent.
 How small should n be in order for P(at
least one symbol in error) < 10-3?
 Sol:

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 6.2 Poisson Process - Terminology

 Consider an continuous-time arrival

process.
 Any real time t is a possible arrival time.
 Define P(k, ) = P(there are exactly k
arrivals during an interval of length ).
 Positive parameter : arrival rate or
intensity of the process.

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 Definition of the Poisson Process
(1/2)
 An arrival process is called a Poisson
process with rate  if it has the
following properties:
 Time-homogeneity: The probability P(k, )
of k arrivals is the same for all intervals of
the same length .
 Independence: The number of arrivals
during a particular interval is independent
of the history of arrivals outside this
interval.

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Definition of the Poisson Process
(2/2)
 Small interval probabilities: The
probabilities P(k, ) satisfy
P(0, ) = 1 −  + o(),
P(1, ) =  + o1(),
P(k, ) = ok(), for k=2, 3, …
Here, o() and ok() are functions of  that
satisfy

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 Interpretation of the Definition

 Time-homogeneity
 Arrivals are equally likely at all times.

 Independence
 Analogous to the independence of trials in a
Bernoulli process.
 Small interval probabilities
 For small ,
P(0 arrival) : 1 − ;
P(1 arrival) : ;
P(2 or more arrivals) : 0.

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Bernoulli Approximation of the
Poisson Process

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 Random Variables Associated with
the Poisson Process
 N: Number of arrivals in a Poisson
process with rate , over an interval of
length  ~ Poisson().

 T: The time until the first arrival ~

exponential().

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 Poisson v.s. Bernoulli

POISSON BERNOULLI

Times of
Continuous Discrete
Arrival

PMF of # of
Poisson Binomial
Arrivals

Interarrival
Exponential Geometric
Time CDF

Arrival Rate  / unit time p / per trial

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 Example 6.8: Check Email

 Email arrival: Poisson process,  = 0.2

messages/hour.
 You check email every hour.
 P(0 new message) = ?
 P(1 new message) = ?
 If you have not checked email for a
whole day, P(no new message) = ?
 Sol:

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 Example 6.9

 The Sum of Independent Poisson

Random Variables is Poisson.
 Arrival of customers are modeled by a
Poisson process with a rate of  = 10
customers per minute.
 Let M be the number of customers
arriving between 9:00 and 9:10. Also,
let N be the number of customers
arriving between 9:30 and 9:35. What
is the distribution of M + N?

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 Example 6.9 - Solution
 M is Poisson with parameter  = 10·10 = 100 and
N is Poisson with parameter  = 10·5 = 50. M
and N are independent.

 Derive it in a more direct and intuitive manner:

Let Ñ be the number of customers that arrive
between 9:10 and 9:15. Note that Ñ has the
same distribution as N (Poisson with parameter
50). Furthermore, Ñ is also independent of N.
Thus, the distribution of M + N is the same as
the distribution of M + Ñ . But M + Ñ is the
number of arrivals during an interval of length 15,
and has therefore a Poisson distribution with
parameter 10 · 15 = 150.
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 Properties of the Poisson Process

 Fresh-Start
 For any given time t > 0, the history of the
process after time t is also a Poisson
process, and is independent from the
history of the process until time t.
 Memorylessness
 t: given time
 : the time of the first arrival after time t
 ~ exponential(), and is independent
of the history of the process until time t.

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 Example 6.10

 You and your partner go to a tennis

court, and have to wait until the players
occupying the court finish playing.
Assume (somewhat unrealistically) that
their playing time has an exponential
PDF. Then the PDF of your waiting time
(equivalently, their remaining playing
time) also has the same exponential
PDF, regardless of when they started
playing.

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Example 6.11: Queuing in the Bank
 You enter the bank.
 You see 3 tellers are serving other
customers.
 No other customers in queue.
 Service time ~ i.i.d. exp. RV.
 P(You will be the last to leave.) = ?
 Sol:
Focus at the moment when you start service
with one of the tellers. Then, the remaining
time of each of the other two customers being
served, as well as your own remaining time,
have the same PDF. Therefore, you and the
other two customers have equal probability
1/3 of being the last to leave.
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 Alternative Description of the
Poisson Process
 Start with a sequence of independent
exponential RV T1, T2, …, with common
parameter .
 Let Ti’s represent the interarrival times.
 Record an arrival at times T1, T1 + T2,
T1 + T2 + T3, etc.

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Properties of the kth Arrival Time Yk
 Yk = T1 + T2 +  + Tk.
 Ti ~ i.i.d. exp().
 E[Yk] = E[T1] +  + E[Tk] = k/.
 var(Yk) = var(T1) +  + var(Tk)
= k/2.
 The PDF of Yk is

and is known as the Erlang PDF of order

k.

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 Example 6.12

 You call the IRS hotline and you are

told that you are the 56th person in line,
excluding the person currently being
served. Callers depart according to a
Poisson process with a rate of  = 2 per
minute. How long will you have to wait
on the average until your service starts,
and what is the probability you will
have to wait for more than an hour?

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 Splitting a Poisson Process

: Poisson process with rate 

Split

 For each point toss a coin (with bias p):

 With probabilityp the point goes to A1(t)
 With probability 1-p the point goes to A2(t)

 A1(t) and A2(t) are two independent

Poisson processes with rates

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 Example 6.13: Splitting of Poisson
Process
 Packet is destined for that node with
probability p, or else it must be relayed
to another node with probability 1−p
 Packets arrive according to a Poisson
process with rate . Packets are
independent to each other.
 The process of local packet arrivals is
Poisson with rate  p.

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 Merging Two Poisson Processes

merge

 Merging two independent Poisson

processes with rates 1 and 2 creates
a Poisson process with rate 1+2.

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 Example 6.14: Merging of Poisson
Process
 People with letters to mail arrive at the
post office according to a Poisson
process with rate 1, while people with
packages to mail arrive according to an
independent Poisson process with rate
2.


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Example 6.15: Competing Exponentials

 Two light bulbs.

 Independent exp. lifetimes Ta and Tb.
 Parameters a and b, respectively.
 What is the distribution of the first time
when a bulb burns out?
 Sol:

FZ z   Pmin Ta , Tb   z   1  Pmin Ta , Tb   z 

 1  PTa  z , Tb  z   1  PTa  z PTb  z 
 1  e a z e b z  1  e a  b  z

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 Example 6.16: More on Competing
Exponentials (1/2)
 Three light bulbs have independent
exponentially distributed lifetimes with
a common parameter . What is the
expected value of the time until the last
bulb burns out?

 Sol:
Let T1, T2, T3 be the time to the first,
second and third burnout, respectively.

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 Example 6.16: More on Competing
Exponentials (2/2)
 T1: exponential with parameter 3
 T2: exponential with parameter 2
 T3: exponential with parameter 

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 The Random Incidence Paradox

 L: interarrival time of a Poisson process.

 L ~ exp? Or L ~ Erlang of order two?

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Example 6.17: Random Incidence in a
Non-Poisson Arrival Process
 Buses arrive on the hour and 5 minutes
after the hour.
 Average interarrival time = 30 minutes
 A person shows up uniformly randomly
within a particular hour.
 E[length of the chosen interarrival
interval] = ?
 Sol: 1 11
5  55   50.83,
12 12
Which is larger than the avg. interarrival
time
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