Fluid M/M/1 Catastrophic Queue in a Random Environment
Total Page:16
File Type:pdf, Size:1020Kb
Load more
Recommended publications
-
Queueing Theory and Process Flow Performance
QUEUEING THEORY AND PROCESS FLOW PERFORMANCE Chang-Sun Chin1 ABSTRACT Queuing delay occurs when a number of entities arrive for services at a work station where a server(s) has limited capacity so that the entities must wait until the server becomes available. We see this phenomenon in the physical production environment as well as in the office environment (e.g., document processing). The obvious solution may be to increase the number of servers to increase capacity of the work station, but other options can attain the same level of performance improvement. The study selects two different projects, investigates their submittal review/approval process and uses queuing theory to determine the major causes of long lead times. Queuing theory provides good categorical indices—variation factor, utilization factor and process time factor—for diagnosing the degree of performance degradation from queuing. By measuring the magnitude of these factors and adjusting their levels using various strategies, we can improve system performance. The study also explains what makes the submittal process of two projects perform differently and suggests options for improving performance in the context of queuing theory. KEY WORDS Process time, queueing theory, submittal, variation, utilization INTRODUCTION Part of becoming lean is eliminating all waste (or muda in Japanese). Waste is “any activity which consumes resources but creates no value” (Womack and Jones 2003). Waiting, one of seven wastes defined by Ohno of Toyota (Ohno 1988), can be seen from two different views: “work waiting” or “worker waiting.” “Work waiting” occurs when servers (people or equipment) at work stations are not available when entities (jobs, materials, etc) arrive at the work stations, that is, when the servers are busy and entities wait in queue. -
Extremes and Fluid Queues
UvA-DARE (Digital Academic Repository) Extremes and fluid queues Dieker, A.B. Publication date 2006 Document Version Final published version Link to publication Citation for published version (APA): Dieker, A. B. (2006). Extremes and fluid queues. Ponsen & Looijen. General rights It is not permitted to download or to forward/distribute the text or part of it without the consent of the author(s) and/or copyright holder(s), other than for strictly personal, individual use, unless the work is under an open content license (like Creative Commons). Disclaimer/Complaints regulations If you believe that digital publication of certain material infringes any of your rights or (privacy) interests, please let the Library know, stating your reasons. In case of a legitimate complaint, the Library will make the material inaccessible and/or remove it from the website. Please Ask the Library: https://uba.uva.nl/en/contact, or a letter to: Library of the University of Amsterdam, Secretariat, Singel 425, 1012 WP Amsterdam, The Netherlands. You will be contacted as soon as possible. UvA-DARE is a service provided by the library of the University of Amsterdam (https://dare.uva.nl) Download date:30 Sep 2021 Extremes and uid queues Extremes and uid queues / Antonius Bernardus Dieker, 2006 Proefschrift Universiteit van Amsterdam Met lit. opg. { Met samenvatting in het Nederlands Omslagontwerp door Tobias Baanders Gedrukt door Ponsen & Looijen BV ISBN 90-5776-151-3 Dit onderzoek kwam tot stand met steun van NWO Extremes and uid queues ACADEMISCH PROEFSCHRIFT ter verkrijging van de graad van doctor aan de Universiteit van Amsterdam op gezag van de Rector Magni¯cus prof. -
Heterogeneous Arrival Fluid Model Driven by an M/M/1 Queue with Exponential Vacation Subject to Catastrophe M
The International journal of analytical and experimental modal analysis ISSN NO:0886-9367 Heterogeneous Arrival Fluid Model Driven by an M/M/1 Queue with Exponential Vacation Subject to Catastrophe 1 2 M. Deepa , Dr. K. Julia Rose Mary 1Research Scholar, Nirmala College For Women 2Asso.Prof.of Mathematics, Nirmala College For Women [email protected] 2 [email protected] Abstract- Fluid model is suitable for modeling traffic network where individual arrival has less impact on the performance of the network. For evaluating the performance measure, it is important to obtain information about the buffer content. This paper studies a fluid model driven by an M/M/1 queue with heterogeneous arrival and exponential vacation subject to catastrophe under steady state conditions. Based on that explicit expression for the Laplace transform of the stationary buffer content distribution with the minimal positive solution to a crucial quadratic equation is obtained .Then the performance measure – mean of the buffer content which is dependent on vacation parameter is obtained .Finally, the parameters effect on the mean buffer content is also illustrated by sensitivity analysis. Keywords- Fluid queue, Heterogeneous arrival, Exponential vacation, Catastrophe and Buffer Content. I. INTRODUCTION A Fluid queue is a mathematical model used to describe fluid level in a reservoir subject to randomly determined periods of filling and emptying the system without interruption called a buffer, according to a randomly varying rate regulated by an external stochastic environment. Such fluid queues are used as a mathematical tool for modeling, for example, to approximate discrete models, model the spread of wildfires in ruin theory and to model high speed data networks, a router, computer networks including call admission control, traffic shaping and modeling of TCP and production and inventory systems. -
Informs 2007 Proceedings
informs14th ® Applied Probability Conference July 9–11, 2007 Program Monday July 9, 2007 Track 1 Track 2 Track 3 Track 4 Track 5 Track 6 Track 7 Track 8 Track 9 Room CZ 4 CZ 5 CZ 10 CZ 11 CZ 12 CZ 13 CZ 14 CZ 15 CZ 16 9:00am - 9:15am Opening (Room: Blauwe Zaal) 9:15am - 10:15am Plenary - Peter Glynn (Room: Blauwe Zaal) MA Financial Random Fields Rare Event Asymptotic Scheduling Call Centers 1 MDP 1 Retrial Inventory 1 10:45am - 12:15pm Engineering 1 Simulation 1 Analysis 1 Queues Kou Kaj Dupuis Bassamboo / Borst / Koole Feinberg Artalejo Van Houtum Randhawa Wierman Keppo Scheffler Blanchet Lin Gupta Taylor Bispo Machihara Buyukkaramikli DeGuest Ruiz-Medina Glasserman Tezcan Ayesta Jongbloed Van der Laan Nobel Qiu Peng Kaj Juneja Gurvich Wierman Henderson Haijema Shin Timmer Weber Mahmoodi Dupuis Randhawa Winands Koole Feinberg Artalejo Van Houtum 12:45pm - 1.45pm Tutorial Philippe Robert MB Financial Percolation and Simulation 1 Stability of Stoch. Communication Many-server Games 1 Fluid Queues Search 2:00pm - 3:30pm Engineering 2 Related Topics Networks Systems 1 Models 1 Models Schoutens / Van den Berg Henderson Ramanan Choi Armony Economou Adan Klafter Valdivieso Werker Newman Chick Gamarnik Bae Tezcan Economou Dieker Benichou Koch Newman Haas Reiman Kim Jennings Amir Nazarathy Oshanin Scherer Meester Blanchet Williams Park Ward Dube Margolius Eliazar Valdivieso Kurtz Henderson Zachary Roubos Armony Economou Adan Metzler MC Exit Times Interacting Stoch. Prog. Stoch. Netw. & Flow-Level Markov Control Queueing Inventory 2 4:00pm - 5:30pm -
Lecture 5/6 Queueing
6.263/16.37: Lectures 5 & 6 Introduction to Queueing Theory Eytan Modiano Massachusetts Institute of Technology Eytan Modiano Slide 1 Packet Switched Networks Messages broken into Packets that are routed To their destination PS PS PS Packet Network PS PS PS Buffer Packet PS Switch Eytan Modiano Slide 2 Queueing Systems • Used for analyzing network performance • In packet networks, events are random – Random packet arrivals – Random packet lengths • While at the physical layer we were concerned with bit-error-rate, at the network layer we care about delays – How long does a packet spend waiting in buffers ? – How large are the buffers ? • In circuit switched networks want to know call blocking probability – How many circuits do we need to limit the blocking probability? Eytan Modiano Slide 3 Random events • Arrival process – Packets arrive according to a random process – Typically the arrival process is modeled as Poisson • The Poisson process – Arrival rate of λ packets per second – Over a small interval δ, P(exactly one arrival) = λδ + ο(δ) P(0 arrivals) = 1 - λδ + ο(δ) P(more than one arrival) = 0(δ) Where 0(δ)/ δ −> 0 as δ −> 0. – It can be shown that: (!T)n e"!T P(n arrivals in interval T)= n! Eytan Modiano Slide 4 The Poisson Process (!T)n e"!T P(n arrivals in interval T)= n! n = number of arrivals in T It can be shown that, E[n] = !T E[n2 ] = !T + (!T)2 " 2 = E[(n-E[n])2 ] = E[n2 ] - E[n]2 = !T Eytan Modiano Slide 5 Inter-arrival times • Time that elapses between arrivals (IA) P(IA <= t) = 1 - P(IA > t) = 1 - P(0 arrivals in time -
Steady-State Analysis of Reflected Brownian Motions: Characterization, Numerical Methods and Queueing Applications
STEADY-STATE ANALYSIS OF REFLECTED BROWNIAN MOTIONS: CHARACTERIZATION, NUMERICAL METHODS AND QUEUEING APPLICATIONS a dissertation submitted to the department of mathematics and the committee on graduate studies of stanford university in partial fulfillment of the requirements for the degree of doctor of philosophy By Jiangang Dai July 1990 c Copyright 2000 by Jiangang Dai All Rights Reserved ii I certify that I have read this dissertation and that in my opinion it is fully adequate, in scope and in quality, as a dissertation for the degree of Doctor of Philosophy. J. Michael Harrison (Graduate School of Business) (Principal Adviser) I certify that I have read this dissertation and that in my opinion it is fully adequate, in scope and in quality, as a dissertation for the degree of Doctor of Philosophy. Joseph Keller I certify that I have read this dissertation and that in my opinion it is fully adequate, in scope and in quality, as a dissertation for the degree of Doctor of Philosophy. David Siegmund (Statistics) Approved for the University Committee on Graduate Studies: Dean of Graduate Studies iii Abstract This dissertation is concerned with multidimensional diffusion processes that arise as ap- proximate models of queueing networks. To be specific, we consider two classes of semi- martingale reflected Brownian motions (SRBM's), each with polyhedral state space. For one class the state space is a two-dimensional rectangle, and for the other class it is the d general d-dimensional non-negative orthant R+. SRBM in a rectangle has been identified as an approximate model of a two-station queue- ing network with finite storage space at each station. -
Introduction to Queueing Theory Review on Poisson Process
Contents ELL 785–Computer Communication Networks Motivations Lecture 3 Discrete-time Markov processes Introduction to Queueing theory Review on Poisson process Continuous-time Markov processes Queueing systems 3-1 3-2 Circuit switching networks - I Circuit switching networks - II Traffic fluctuates as calls initiated & terminated Fluctuation in Trunk Occupancy Telephone calls come and go • Number of busy trunks People activity follow patterns: Mid-morning & mid-afternoon at All trunks busy, new call requests blocked • office, Evening at home, Summer vacation, etc. Outlier Days are extra busy (Mother’s Day, Christmas, ...), • disasters & other events cause surges in traffic Providing resources so Call requests always met is too expensive 1 active • Call requests met most of the time cost-effective 2 active • 3 active Switches concentrate traffic onto shared trunks: blocking of requests 4 active active will occur from time to time 5 active Trunk number Trunk 6 active active 7 active active Many Fewer lines trunks – minimize the number of trunks subject to a blocking probability 3-3 3-4 Packet switching networks - I Packet switching networks - II Statistical multiplexing Fluctuations in Packets in the System Dedicated lines involve not waiting for other users, but lines are • used inefficiently when user traffic is bursty (a) Dedicated lines A1 A2 Shared lines concentrate packets into shared line; packets buffered • (delayed) when line is not immediately available B1 B2 C1 C2 (a) Dedicated lines A1 A2 B1 B2 (b) Shared line A1 C1 B1 A2 B2 C2 C1 C2 A (b) -
Markov-Modulated and Feedback Fluid Queues
Markov-modulated and feedback fluid queues Werner Scheinhardt Faculty of Mathematical Sciences University of Twente P.O. Box 217 7500 AE Enschede The Netherlands ISBN 90-3651248-4 MARKOV-MODULATED AND FEEDBACK FLUID QUEUES PROEFSCHRIFT ter verkrijging van de graad van doctor aan de Universiteit Twente, op gezag van de rector magnificus, prof. dr. F.A. van Vught, volgens besluit van het College voor Promoties in het openbaar te verdedigen op vrijdag 4 december 1998 te 15.00 uur. door Willem Richard Werner Scheinhardt geboren op 24 februari 1969 te Santiago Dit proefschrift is goedgekeurd door de promotor en de assistent promotor, prof. dr. ir. J.H.A. de Smit dr. ir. E.A. van Doorn Voorwoord Aan het eind van dit proefschrift gekomen, rest nog het schrijven van het begin ervan, het voorwoord. Gebruikelijk is om daarin allen te bedanken die op ´e´en of andere wijze aan de totstandkoming van het proefschrift hebben bijgedragen. Graag houd ik deze traditie in ere, en wel omdat de volgende personen dit ten volle verdienen. Uiteraard wil ik beginnen met mijn dagelijks begeleider Erik van Doorn hartelijk te bedanken voor zijn inzet en enthousiasme. Van v´o´or het eerste sollicitatiegesprek tot na het laatste 2-teken was hij intensief betrokken bij mijn doen en laten. Een belangrijk deel van het onderzoek in dit proefschrift is in samenwerking met hem tot stand gekomen. Ook de samenwerking met Dick Kroese was aangenaam en productief. Hij wist vaak antwoorden die ik zelf niet zou hebben gevonden, en leerde mij omgaan met het symbolisch manipulatie-pakket \Mathematica", dat heel wat \tiresome analysis" heeft uitgevoerd. -
Analysis of Packet Queueing in Telecommunication Networks
Analysis of Packet Queueing in Telecommunication Networks Course Notes. (BSc.) Network Engineering, 2nd year Video Server TV Broadcasting Server AN6 Web Server File Storage and App Servers WSN3 R1 AN5 AN7 AN4 User9 WSN1 R2 R3 User8 AN1 User7 User1 R4 User2 AN3 User6 User3 WSN2 AN2 User5 User4 Boris Bellalta and Simon Oechsner 1 . Copyright (C) by Boris Bellalta and Simon Oechsner. All Rights Reserved. Work in progress! Contents 1 Introduction 8 1.1 Motivation . .8 1.2 Recommended Books . .9 I Preliminaries 11 2 Random Phenomena in Packet Networks 12 2.1 Introduction . 12 2.2 Characterizing a random variable . 13 2.2.1 Histogram . 14 2.2.2 Expected Value . 16 2.2.3 Variance . 16 2.2.4 Coefficient of Variation . 17 2.2.5 Moments . 17 2.3 Stochastic Processes with Independent and Dependent Outcomes . 18 2.4 Examples . 19 2.5 Formulation of independent and dependent processes . 23 3 Markov Chains 25 3.1 Introduction and Basic Properties . 25 3.2 Discrete Time Markov Chains: DTMC . 28 3.2.1 Equilibrium Distribution . 28 3.3 Continuous Time Markov Chains . 30 3.3.1 The exponential distribution in CTMCs . 31 3.3.2 Memoryless property of the Exponential Distribution . 33 3.3.3 Equilibrium Distribution . 34 3.4 Examples . 35 3.4.1 Load Balancing in a Farm Server . 35 3.4.2 Performance Analysis of a Video Server . 36 2 CONTENTS 3 II Modeling the Internet 40 4 Delays in Communication Networks 41 4.1 A network of queues . 41 4.2 Types of Delay . -
EUROPEAN CONFERENCE on QUEUEING THEORY 2016 Urtzi Ayesta, Marko Boon, Balakrishna Prabhu, Rhonda Righter, Maaike Verloop
EUROPEAN CONFERENCE ON QUEUEING THEORY 2016 Urtzi Ayesta, Marko Boon, Balakrishna Prabhu, Rhonda Righter, Maaike Verloop To cite this version: Urtzi Ayesta, Marko Boon, Balakrishna Prabhu, Rhonda Righter, Maaike Verloop. EUROPEAN CONFERENCE ON QUEUEING THEORY 2016. Jul 2016, Toulouse, France. 72p, 2016. hal- 01368218 HAL Id: hal-01368218 https://hal.archives-ouvertes.fr/hal-01368218 Submitted on 19 Sep 2016 HAL is a multi-disciplinary open access L’archive ouverte pluridisciplinaire HAL, est archive for the deposit and dissemination of sci- destinée au dépôt et à la diffusion de documents entific research documents, whether they are pub- scientifiques de niveau recherche, publiés ou non, lished or not. The documents may come from émanant des établissements d’enseignement et de teaching and research institutions in France or recherche français ou étrangers, des laboratoires abroad, or from public or private research centers. publics ou privés. EUROPEAN CONFERENCE ON QUEUEING THEORY 2016 Toulouse July 18 – 20, 2016 Booklet edited by Urtzi Ayesta LAAS-CNRS, France Marko Boon Eindhoven University of Technology, The Netherlands‘ Balakrishna Prabhu LAAS-CNRS, France Rhonda Righter UC Berkeley, USA Maaike Verloop IRIT-CNRS, France 2 Contents 1 Welcome Address 4 2 Organization 5 3 Sponsors 7 4 Program at a Glance 8 5 Plenaries 11 6 Takács Award 13 7 Social Events 15 8 Sessions 16 9 Abstracts 24 10 Author Index 71 3 1 Welcome Address Dear Participant, It is our pleasure to welcome you to the second edition of the European Conference on Queueing Theory (ECQT) to be held from the 18th to the 20th of July 2016 at the engineering school ENSEEIHT in Toulouse. -
Queueing Theory
Queueing theory Agner Krarup Erlang, a Danish engineer who worked for the Copenhagen Telephone Exchange, published the first paper on what would now be called queueing theory in 1909.[8][9][10] He modeled the number of telephone calls arriving at an exchange by a Poisson process and solved the M/D/1 queue in 1917 and M/D/k queueing model in 1920.[11] In Kendall’s notation: • M stands for Markov or memoryless and means ar- rivals occur according to a Poisson process • D stands for deterministic and means jobs arriving at the queue require a fixed amount of service • k describes the number of servers at the queueing node (k = 1, 2,...). If there are more jobs at the node than there are servers then jobs will queue and wait for service Queue networks are systems in which single queues are connected The M/M/1 queue is a simple model where a single server by a routing network. In this image servers are represented by serves jobs that arrive according to a Poisson process and circles, queues by a series of retangles and the routing network have exponentially distributed service requirements. In by arrows. In the study of queue networks one typically tries to an M/G/1 queue the G stands for general and indicates obtain the equilibrium distribution of the network, although in an arbitrary probability distribution. The M/G/1 model many applications the study of the transient state is fundamental. was solved by Felix Pollaczek in 1930,[12] a solution later recast in probabilistic terms by Aleksandr Khinchin and Queueing theory is the mathematical study of waiting now known as the Pollaczek–Khinchine formula.[11] lines, or queues.[1] In queueing theory a model is con- structed so that queue lengths and waiting time can be After World War II queueing theory became an area of [11] predicted.[1] Queueing theory is generally considered a research interest to mathematicians. -
Approximating Heavy Traffic with Brownian Motion
APPROXIMATING HEAVY TRAFFIC WITH BROWNIAN MOTION HARVEY BARNHARD Abstract. This expository paper shows how waiting times of certain queuing systems can be approximated by Brownian motion. In particular, when cus- tomers exit a queue at a slightly faster rate than they enter, the waiting time of the nth customer can be approximated by the supremum of reflected Brow- nian motion with negative drift. Along the way, we introduce fundamental concepts of queuing theory and Brownian motion. This paper assumes some familiarity of stochastic processes. Contents 1. Introduction 2 2. Queuing Theory 2 2.1. Continuous-Time Markov Chains 3 2.2. Birth-Death Processes 5 2.3. Queuing Models 6 2.4. Properties of Queuing Models 7 3. Brownian Motion 8 3.1. Random Walks 9 3.2. Brownian Motion, Definition 10 3.3. Brownian Motion, Construction 11 3.3.1. Scaled Random Walks 11 3.3.2. Skorokhod Embedding 12 3.3.3. Strong Approximation 14 3.4. Brownian Motion, Variants 15 4. Heavy Traffic Approximation 17 Acknowledgements 19 References 20 Date: November 21, 2018. 1 2 HARVEY BARNHARD 1. Introduction This paper discusses a Brownian Motion approximation of waiting times in sto- chastic systems known as queues. The paper begins by covering the fundamental concepts of queuing theory, the mathematical study of waiting lines. After waiting times and heavy traffic are introduced, we define and construct Brownian motion. The construction of Brownian motion in this paper will be less thorough than other texts on the subject. We instead emphasize the components of the construction most relevant to the final result—the waiting time of customers in a simple queue can be approximated with Brownian motion.