A Bayesian Approach to Parameter Inference in Queueing Networks

The application of queueing network models to real-world applications often involves the task of estimating the service demand placed by requests at queueing nodes. In this article, we propose a methodology to estimate service demands in closed multiclass queueing networks based on Gibbs sampling. Our methodology requires measurements of the number of jobs at resources and can accept prior probabilities on the demands. Gibbs sampling is challenging to apply to estimation problems for queueing networks since it requires one to efficiently evaluate a likelihood function on the measured data. This likelihood function depends on the equilibrium solution of the network, which is difficult to compute in closed models due to the presence of the normalizing constant of the equilibrium state probabilities. To tackle this obstacle, we define a novel iterative approximation of the normalizing constant and show the improved accuracy of this approach, compared to existing methods, for use in conjunction with Gibbs sampling. We also demonstrate that, as a demand estimation tool, Gibbs sampling outperforms other popular Markov Chain Monte Carlo approximations. Experimental validation based on traces from a cloud application demonstrates the effectiveness of Gibbs sampling for service demand estimation in real-world studies

Bayesian inference for queueing networks and modeling of internet services

Modern Internet services, such as those at Google, Yahoo!, and Amazon, handle billions of requests per day on clusters of thousands of computers. Because these services operate under strict performance requirements, a statistical understanding of their performance is of great practical interest. Such services are modeled by networks of queues, where each queue models one of the computers in the system. A key challenge is that the data are incomplete, because recording detailed information about every request to a heavily used system can require unacceptable overhead. In this paper we develop a Bayesian perspective on queueing models in which the arrival and departure times that are not observed are treated as latent variables. Underlying this viewpoint is the observation that a queueing model defines a deterministic transformation between the data and a set of independent variables called the service times. With this viewpoint in hand, we sample from the posterior distribution over missing data and model parameters using Markov chain Monte Carlo. We evaluate our framework on data from a benchmark Web application. We also present a simple technique for selection among nested queueing models. We are unaware of any previous work that considers inference in networks of queues in the presence of missing data.Comment: Published in at http://dx.doi.org/10.1214/10-AOAS392 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Institute of Mathematical Statistics (http://www.imstat.org

Computationally Efficient Simulation of Queues: The R Package queuecomputer

Large networks of queueing systems model important real-world systems such as MapReduce clusters, web-servers, hospitals, call centers and airport passenger terminals. To model such systems accurately, we must infer queueing parameters from data. Unfortunately, for many queueing networks there is no clear way to proceed with parameter inference from data. Approximate Bayesian computation could offer a straightforward way to infer parameters for such networks if we could simulate data quickly enough. We present a computationally efficient method for simulating from a very general set of queueing networks with the R package queuecomputer. Remarkable speedups of more than 2 orders of magnitude are observed relative to the popular DES packages simmer and simpy. We replicate output from these packages to validate the package. The package is modular and integrates well with the popular R package dplyr. Complex queueing networks with tandem, parallel and fork/join topologies can easily be built with these two packages together. We show how to use this package with two examples: a call center and an airport terminal.Comment: Updated for queuecomputer_0.8.

Non-linear regression models for Approximate Bayesian Computation

Approximate Bayesian inference on the basis of summary statistics is well-suited to complex problems for which the likelihood is either mathematically or computationally intractable. However the methods that use rejection suffer from the curse of dimensionality when the number of summary statistics is increased. Here we propose a machine-learning approach to the estimation of the posterior density by introducing two innovations. The new method fits a nonlinear conditional heteroscedastic regression of the parameter on the summary statistics, and then adaptively improves estimation using importance sampling. The new algorithm is compared to the state-of-the-art approximate Bayesian methods, and achieves considerable reduction of the computational burden in two examples of inference in statistical genetics and in a queueing model.Comment: 4 figures; version 3 minor changes; to appear in Statistics and Computin

Maximum Likelihood Estimation of Closed Queueing Network Demands from Queue Length Data

Resource demand estimation is essential for the application of analyical models, such as queueing networks, to real-world systems. In this paper, we investigate maximum likelihood (ML) estimators for service demands in closed queueing networks with load-independent and load-dependent service times. Stemming from a characterization of necessary conditions for ML estimation, we propose new estimators that infer demands from queue-length measurements, which are inexpensive metrics to collect in real systems. One advantage of focusing on queue-length data compared to response times or utilizations is that confidence intervals can be rigorously derived from the equilibrium distribution of the queueing network model. Our estimators and their confidence intervals are validated against simulation and real system measurements for a multi-tier application

Transient bayesian inference for short and long-tailed GI/G/1 queueing systems

In this paper, we describe how to make Bayesian inference for the transient behaviour and busy period in a single server system with general and unknown distribution for the service and interarrival time. The dense family of Coxian distributions is used for the service and arrival process to the system. This distribution model is reparametrized such that it is possible to define a non-informative prior which allows for the approximation of heavytailed distributions. Reversible jump Markov chain Monte Carlo methods are used to estimate the predictive distribution of the interarrival and service time. Our procedure for estimating the system measures is based in recent results for known parameters which are frequently implemented by using symbolical packages. Alternatively, we propose a simple numerical technique that can be performed for every MCMC iteration so that we can estimate interesting measures, such as the transient queue length distribution. We illustrate our approach with simulated and real queues