On approximating multifractal traffic burstiness with Markov modulated Poisson processes

We investigate the approximating capability of Markov modulated Poisson processes (MMPP) for modeling multifractal Internet traffic. The choice of MMPP is motivated by its ability to capture the variability and correlation in moderate time scales while being analytically tractable. Important statistics of traffic burstiness are described and a customized moment-based fitting procedure of MMPP to traffic traces is presented. Our methodology of doing this is to examine whether the MMPP can be used to predict the performance of a queue to which MMPP sample paths and measured traffic traces are fed for comparison respectively, in addition to the goodness-of-fit test of MMPP. Numerical results and simulations show that the fitted MMPP can approximate multifractal traffic quite well, i.e. accurately predict the queueing performance.

ON THE RUIN FUNCTIONS FOR A CORRELATED AGGREGATE CLAIMS MODEL WITH POISSON AND ERLANG RISK PROCESSES

This article considers a risk model as in Yuen et al. （2002）. Under this model the two claim number processes are correlated. Claim occurrence of both classes relate to Poisson and Erlang processes. The formulae is derived for the distribution of the surplus immediately before ruin, for the distribution of the surplus immediately after ruin and the joint distribution of the surplus immediately before and after ruin. The asymptotic property of these ruin functions is also investigated.

带线性红利和干扰的复合Poisson-Geometric风险模型的破产问题

考虑了常利力环境下,包含线性红利、随机干扰和随机保费的复合P-G风险模型。通过应用全期望公式,推导出该模型的Gerber-Shiu函数及破产概率的更新方程。在不考虑分红且保费额和索赔额均服从指数分布时,进一步得到了破产概率所满足的具体微分方程,并求解得到了其解析表达式。通过数值实验,系统分析了多个关键因素对破产概率的具体影响,所得结论与保险公司的实际经营情况相吻合。

STABLE SUB-GAUSSIAN MODELS CONSTRUCTED BY POISSON PROCESSES

In this paper, we first prove that one-parameter standard α-stable sub-Gaussian processes can be approximated by processes constructed by integrals based on the Poisson process with random intensity. Then we extend this result to the two-parameter processes. At last, we consider the approximation of the subordinated fractional Brownian motion.

The dynamic power management for embedded system with Poisson process

The mass of the embedded systems are driven by second batteries, not by wired power supply. So saving energy is one of the main design goals for embedded system. In this paper we present a new technique for modelling and solving the dynamic power management (DPM) problem for embedded systems with complex behavioural characteristics. First we model a power-managed embedded computing system as a controllable Flow Chart. Then we use the Poisson process for optimisation, and give the power management algorithm by the help of Dynamic Voltage Scaling (DVS) technology. At last we built the experi- mental model using the PXA 255 Processors. The experimental results showed that the proposed technique can achieve more than 12% power saving compared to other existing DPM techniques.

Bayesian Reliability——Growth Analysis for Statistical of Diverse Population Based on Non-homogeneous Poisson Process

New armament systems are subjected to the method for dealing with multi-stage system reliability-growth statistical problems of diverse population in order to improve reliability before starting mass production. Aiming at the test process which is high expense and small sample-size in the development of complex system, the specific methods are studied on how to process the statistical information of Bayesian reliability growth regarding diverse populations. Firstly, according to the characteristics of reliability growth during product development, the Bayesian method is used to integrate the testing information of multi-stage and the order relations of distribution parameters. And then a Gamma-Beta prior distribution is proposed based on non-homogeneous Poisson process（NHPP） corresponding to the reliability growth process. The posterior distribution of reliability parameters is obtained regarding different stages of product, and the reliability parameters are evaluated based on the posterior distribution. Finally, Bayesian approach proposed in this paper for multi-stage reliability growth test is applied to the test process which is small sample-size in the astronautics filed. The results of a numerical example show that the presented model can make use of the diverse information synthetically, and pave the way for the application of the Bayesian model for multi-stage reliability growth test evaluation with small sample-size. The method is useful for evaluating multi-stage system reliability and making reliability growth plan rationally.

Grey-based approach for estimating software reliability under nonhomogeneous Poisson process

Due to the randomness and time dependence of the factors affecting software reliability, most software reliability models are treated as stochastic processes, and the non-homogeneous Poisson process(NHPP) is the most used one.However, the failure behavior of software does not follow the NHPP in a statistically rigorous manner, and the pure random method might be not enough to describe the software failure behavior. To solve these problems, this paper proposes a new integrated approach that combines stochastic process and grey system theory to describe the failure behavior of software. A grey NHPP software reliability model is put forward in a discrete form, and a grey-based approach for estimating software reliability under the NHPP is proposed as a nonlinear multi-objective programming problem. Finally, four grey NHPP software reliability models are applied to four real datasets, the dynamic R-square and predictive relative error are calculated. Comparing with the original single NHPP software reliability model, it is found that the modeling using the integrated approach has a higher prediction accuracy of software reliability. Therefore, there is the characteristics of grey uncertain information in the NHPP software reliability models, and exploiting the latent grey uncertain information might lead to more accurate software reliability estimation.

One-Sample Bayesian Predictive Analyses for an Exponential Non-Homogeneous Poisson Process in Software Reliability

The Goel-Okumoto software reliability model, also known as the Exponential Nonhomogeneous Poisson Process,is one of the earliest software reliability models to be proposed. From literature, it is evident that most of the study that has been done on the Goel-Okumoto software reliability model is parameter estimation using the MLE method and model fit. It is widely known that predictive analysis is very useful for modifying, debugging and determining when to terminate software development testing process. However, there is a conspicuous absence of literature on both the classical and Bayesian predictive analyses on the model. This paper presents some results about predictive analyses for the Goel-Okumoto software reliability model. Driven by the requirement of highly reliable software used in computers embedded in automotive, mechanical and safety control systems, industrial and quality process control, real-time sensor networks, aircrafts, nuclear reactors among others, we address four issues in single-sample prediction associated closely with software development process. We have adopted Bayesian methods based on non-informative priors to develop explicit solutions to these problems. An example with real data in the form of time between software failures will be used to illustrate the developed methodologies.

HITTING PROBABILITIES OF WEIGHTED POISSON PROCESSES WITH DIFFERENT INTENSITIES AND THEIR SUBORDINATIONS

In this article,we study the hitting probabilities of weighted Poisson processes and their subordinated versions with different intensities.Furthermore,we simulate and analyze the asymptotic properties of the hitting probabilities in different weights and give an example in the case of subordination.

Kolmogorov-Smirnov APF Test for Inhomogeneous Poisson Processes with Shift Parameter

In this article, we study the Kolmogorov-Smirnov type goodness-of-fit test for the inhomogeneous Poisson process with the unknown translation parameter as multidimensional parameter. The basic hypothesis and the alternative are composite and carry to the intensity measure of inhomogeneous Poisson process and the intensity function is regular. For this model of shift parameter, we propose test which is asymptotically partially distribution free and consistent. We show that under null hypothesis the limit distribution of this statistic does not depend on unknown parameter.

Poisson Process and Its Application to the Storm Water Overflows

The homogenous Poisson process is often used to describe the event arrivals. Such Poisson process has been applied in various areas. This study focuses on the arrival pattern of storm water overflows. A set of overflow data was obtained from the storm water pipeline of a municipality. The aim is to verify the overflow arrival pattern and check whether the Poisson process can be applied. The adopted method is the analysis over the inter-arrival times. The exponential distribution test is conducted on the annual data set as well as the entire data set. The results show that all data sets follow the exponential distribution. With the verification of Poisson process, specific examples are also given to show how the Poisson process properties can be used in the management of storm water pipeline management. For other data that are featured with various heterogeneities, the homogenous Poisson process might not be able to be verified and used. Under such circumstances, non-homogenous survival model can be used to simulate the arrival process.

The algorithm of decomposing superimposed 2-D Poisson processes and its application to the extracting earthquake clustering pattern

Aiming at the complexity of seismic gestation mechanism and spatial distribution, we hypothesize that the seismic data are composed of background earthquakes and anomaly earthquakes in a certain temporal-spatial scope. Also the background earthquakes and anomaly earthquakes both satisfy the 2-D Poisson process of different parameters respectively. In the paper, the concept of N-th order distance is introduced in order to transform 2-D superimposed Poisson process into 1-D mixture density function. On the basis of choosing the distance, mixture density function is decomposed to recognize the anomaly earthquakes through genetic algorithm. Combined with the temporal scanning of C value, the algorithm is applied to the recognition on spatial pattern of foreshock anomalies by exam-ples of Songpan and Longling sequences in the southwest of China.

Fluctuations and pseudo long range dependence in network flows: A non-stationary Poisson process model

In the study of complex networks （systems）, the scaling phenomenon of flow fluctuations refers to a certain powerlaw between the mean flux （activity） （Fi） of the i-th node and its variance σi as σi α （Fi）α Such scaling laws are found to be prevalent both in natural and man-made network systems, but the understanding of their origins still remains limited. This paper proposes a non-stationary Poisson process model to give an analytical explanation of the non-universal scaling phenomenon： the exponent α varies between 1/2 and 1 depending on the size of sampling time window and the relative strength of the external/internal driven forces of the systems. The crossover behaviour and the relation of fluctuation scaling with pseudo long range dependence are also accounted for by the model. Numerical experiments show that the proposed model can recover the multi-scaiing phenomenon.

Some Applications of the Poisson Process

The Poisson process is a stochastic process that models many real-world phenomena. We present the definition of the Poisson process and discuss some facts as well as some related probability distributions. Finally, we give some new applications of the process.

MULTIVARIATE SURVIVAL DISTRIBUTIONS OF AGE AND RESIDUAL LIFETIME PROCESSES IN NONHOMOGENEOUS POISSON PROCESS

Let {V(t),t≤0} be the nonhomogeneous Poisson process with cumulative intensituy parameter A(t). |δ,t≥0 the, age process, and y, t≥0} the residual lifetime process. In the present-paper the expressions of n-dimensional survival distribution functions of the processes {δ and γ, and their Lebesgue decompositions are derived.

Nonlinear Modeling for a Two-Stage Degradation System Based on Nonhomogeneous Poisson Process

The degradation process modeling is one of research hotspots of prognostic and health management(PHM),which can be used to estimate system reliability and remaining useful life(RUL).In order to study system degradation process,cumulative damage model is used for degradation modeling.Assuming that damage increment is Gamma distribution,shock counting subjects to a homogeneous Poisson process(HPP)when degradation process is linear,and shock counting is a non-homogeneous Poisson process(NHPP)when degradation process is nonlinear.A two-stage degradation system is considered in this paper,for which the degradation process is linear in the first stage and the degradation process is nonlinear in the second stage.A nonlinear modeling method for considered system is put forward,and reliability model and remaining useful life model are established.A case study is given to validate the veracities of established models.

The Conditional Poisson Process and the Erlang and Negative Binomial Distributions

It is a well known fact that for the hierarchical model of a Poisson random variable Y?whose mean has an Erlang distribution, the unconditional distribution of Y is negative binomial. However, the proofs in the literature [1] [2] provide no intuitive understanding as to why this result should be true. It is the purpose of this manuscript to give a new proof of this result which provides such an understanding. The memoryless property of the exponential distribution allows one to conclude that the events in two independent Poisson processes may be regarded as Bernoulli trials, and this fact is used to achieve the research purpose. Another goal of this manuscript is to give another proof of this last fact which does not rely on the memoryless property.

Large Deviation Principle for a Form of Compound Nonhomogeneous Poisson Process

By the Cramér method, the large deviation principle for a form of compound Poisson process S(t)=∑N(t)i=1h(t-Si)Xi is obtained,where N(t), t>0, is a nonhomogeneous Poisson process with intensity λ(t)>0, Xi, i≥1, are i.i.d. nonnegative random variables independent of N(t), and h(t), t>0, is a nonnegative monotone real function. Consequently, weak convergence for S(t) is also obtained.

Two-Sample Bayesian Predictive Analyses for an Exponential Non-Homogeneous Poisson Process in Software Reliability

The Goel-Okumoto software reliability model is one of the earliest attempts to use a non-homogeneous Poisson process to model failure times observed during software test interval. The model is known as exponential NHPP model as it describes exponential software failure curve. Parameter estimation, model fit and predictive analyses based on one sample have been conducted on the Goel-Okumoto software reliability model. However, predictive analyses based on two samples have not been conducted on the model. In two-sample prediction, the parameters and characteristics of the first sample are used to analyze and to make predictions for the second sample. This helps in saving time and resources during the software development process. This paper presents some results about predictive analyses for the Goel-Okumoto software reliability model based on two samples. We have addressed three issues in two-sample prediction associated closely with software development testing process. Bayesian methods based on non-informative priors have been adopted to develop solutions to these issues. The developed methodologies have been illustrated by two sets of software failure data simulated from the Goel-Okumoto software reliability model.

Immune Clone Maximum Likelihood Estimation of Improved Non-homogeneous Poisson Process Model Parameters

Aiming at the solving problem of improved nonhomogeneous Poisson process( NHPP) model in engineering application,the immune clone maximum likelihood estimation( MLE)method for solving model parameters was proposed. The minimum negative log-likelihood function was used as the objective function to optimize instead of using iterative method to solve complex system of equations,and the problem of parameter estimation of improved NHPP model was solved by immune clone algorithm. And the interval estimation of reliability indices was given by using fisher information matrix method and delta method. An example of failure truncated data from multiple numerical control( NC) machine tools was taken to prove the method. and the results show that the algorithm has a higher convergence rate and computational accuracy, which demonstrates the feasibility of the method.