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Tugas 1 - PPS

The document discusses Markov chains and solutions to example problems involving Markov chains. Specifically: 1) It provides the transition probability matrix for a Markov chain on states 0, 1, 2 and calculates the probability of moving from state 0 to 1 to 2. 2) It defines a production process Markov chain where each item is good or defective, and calculates the probability that the 5th item is the first defective one. 3) It provides solutions to additional example problems involving calculating transition probabilities and conditional probabilities for Markov chains defined by given transition probability matrices.

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Dani Ramadhan
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127 views3 pages

Tugas 1 - PPS

The document discusses Markov chains and solutions to example problems involving Markov chains. Specifically: 1) It provides the transition probability matrix for a Markov chain on states 0, 1, 2 and calculates the probability of moving from state 0 to 1 to 2. 2) It defines a production process Markov chain where each item is good or defective, and calculates the probability that the 5th item is the first defective one. 3) It provides solutions to additional example problems involving calculating transition probabilities and conditional probabilities for Markov chains defined by given transition probability matrices.

Uploaded by

Dani Ramadhan
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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PENGANTAR PROSES STOKASTIK

TUGAS I : PROSES MARKOV

Exercise 1.1
A Markov chain 𝑋0 , 𝑋1 , ⋯ on states 0, 1, 2 has the transition probability matrix
0 1 2
0 0.1 0.2 0.7
𝐏=
1 ‖0.9 0.1 0‖
2 0.1 0.8 0.1
and initial distribution 𝑝0 = Pr{𝑋0 = 0} = 0.3, 𝑝1 = Pr{𝑋0 = 1} = 0.4, and 𝑝2 =
Pr{𝑋0 = 2} = 0.3. Determine Pr{𝑋0 = 0, 𝑋1 = 1, 𝑋2 = 2}.
Penyelesaian :
Pr{𝑋0 = 0, 𝑋1 = 1, 𝑋2 = 2} = 𝑝0 𝑃01 𝑃12
= 0.3 × 0.2 × 0
=0
Problem 1.3
Consider a sequence of items from a production process, with each item being graded as good
or defective. Suppose that a good item is followed by another good item with probability 𝛼 and
is followed by a defective item with probability 1 − 𝛼. Similarly, a defective item is followed
by another defective item with probability 𝛽 and is followed by a good item with probability
1 − 𝛽. If the first item is good, what is the probability that the first defective item to appear is
the fifth item?
Penyelesaian :
Jika barang cacat pertama yang muncul adalah barang kelima, 4 barang pertama harus bagus
dan barang kelima harus cacat. Maka probabilitasnya adalah 𝑃{X} dimana X merupakan
kejadian barang kelima adalah barang pertama yang cacat.
𝑃{X} = 𝑃{Barang pertama bagus} × 𝑃{Barang kedua bagus|Barang pertama bagus} ×
⋯ × 𝑃{Barang kelima cacat|Barang keempat bagus}
= 𝛼 × 𝛼 × 𝛼 × (1 − 𝛼)
= 𝛼3 − 𝛼4

Exercise 2.1
Markov chain {𝑋𝑛 } on the states 0, 1, 2 has the transition probability matrix
0 1 2
0 0.1 0.2 0.7
𝐏=
1 ‖0.2 0.2 0.6‖
2 0.6 0.1 0.3
(a) Compute the two-step transition matrix 𝑃2 .
(b) What is Pr{𝑋3 = 1|𝑋1 = 0}?
(c) What is Pr{𝑋3 = 1|𝑋0 = 0}?
Penyelesaian :
(a) Matriks transisi 2 langkah dapat dihitung dengan cara
𝑃2 = 𝑃 × 𝑃
0.1 0.2 0.7 0.1 0.2 0.7
= ‖0.2 0.2 0.6‖ × ‖0.2 0.2 0.6‖
0.6 0.1 0.3 0.6 0.1 0.3
0.47 0.13 0.4
= ‖0.42 0.14 0.44‖
0.26 0.17 0.57
(𝑛)
(b) Dari P{𝑋𝑚+𝑛 = 𝑗|𝑋𝑚 = 𝑖} = 𝑃𝑖𝑗 diperoleh nilai 𝑚 = 1, 𝑛 = 2, 𝑖 = 0, dan 𝑗 = 1.
(2)
Maka, Pr{𝑋3 = 1|𝑋1 = 0} = 𝑃01 = 0.13
(𝑛)
(c) Dari P{𝑋𝑚+𝑛 = 𝑗|𝑋𝑚 = 𝑖} = 𝑃𝑖𝑗 diperoleh nilai 𝑚 = 0, 𝑛 = 3, 𝑖 = 0, dan 𝑗 = 1.
Untuk mencari Pr{𝑋3 = 1|𝑋0 = 0} perlu dicari 𝑃3 terlebih dahulu.
𝑃3 = 𝑃2 × 𝑃
0.47 0.13 0.4 0.1 0.2 0.7
= ‖0.42 0.14 0.44‖ × ‖0.2 0.2 0.6‖
0.26 0.16 0.57 0.6 0.1 0.3
0.313 0.16 0.527
= ‖0.334 0.156 0.51‖
0.402 0.143 0.455
(3)
Maka, Pr{𝑋3 = 1|𝑋0 = 0} = 𝑃01 = 0.16

Problem 2.3
Let 𝑋𝑛 denote the quality of the nth item produced by a production system with 𝑋𝑛 = 0
meaning "good" and 𝑋𝑛 = 1 meaning "defective." Suppose that 𝑋𝑛 evolves as a Markov chain
whose transition probability matrix is
0 1
𝐏= 0 0.99 0.01
‖ ‖
1 0.12 0.88
What is the probability that the fourth item is defective given that the first item is defective?
Penyelesaian :
Akan dicari probabilitas barang keempat cacat jika barang pertama cacat. Dapat dihitung
(3)
dengan cara Pr{𝑋4 = 1|𝑋1 = 1} = 𝑃11 .
Matriks transisi tiga langkah dicari dengan cara
𝑃3 = 𝑃 × 𝑃 × 𝑃
0.99 0.01 0.99 0.01 0.99 0.01
=‖ ‖×‖ ‖×‖ ‖
0.12 0.88 0.12 0.88 0.12 0.88
0.98 0.02 0.99 0.01
=‖ ‖×‖ ‖
0.22 0.78 0.12 0.88
0.97 0.03
=‖ ‖
0.32 0.68
(3)
Maka Pr{𝑋4 = 1|𝑋1 = 1} = 𝑃11 = 0.68

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