随机过程模型.pptVIP

* * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * * Use of Steady-State Probabilities in Decision Making In the Cola Example, suppose that each customer makes on purchase of cola during any week. Suppose there are 100 million cola customers. One selling unit of cola costs the company $1 to produce and is sold for $2. For $500 million/year, an advertising firm guarantees to decrease from 10% to 5% the fraction of cola 1 customers who switch after a purchase. Should the company that makes cola 2 hire the firm? At present, a fraction π1 = ? of all purchases are cola 1 purchases. Each purchase of cola 1 earns the company a $1 profit. We can calculate the annual profit as $3,466,666,667. The advertising firm is offering to change the P matrix to For P1, the steady-state equations become π1 = .95π1+.20π2 π2 = .05π1+.80π2 Replacing the second equation by π1 + π2 = 1 and solving, we obtain π1=.8 and π2 = .2. Now the cola 1 company’s annual profit will be $3,660,000,000. Hence, the cola 1 company should hire the ad agency. 以下自行參考 Mean First Passage Times For an ergodic chain, let mij = expected number of transitions before we first reach state j, given that we are currently in state i; mij is called the mean first passage time from state i to state j. In the example, we assume we are currently in state i. Then with probability pij, it will take one transition to go from state i to state j. For k ≠ j, we next go with probability pik to state k. In this case, it will take an average of 1 + mkj transitions to go from i and j. This reasoning implies By solving the linear equations of the equation above, we find all the mean first passage times. It can be shown that Solving for Steady-State Probabilities and Mean First Passage Times on the Computer Since we solve steady-state probabilities and mean first passage times by solving a system of