Call blocking probabilities for Poisson traffic under the Multiple Fractional Channel Reservation policy

In this paper, we study the performance of the Multiple Fractional Channel Reservation (MFCR) policy, which is a bandwidth reservation policy that allows the reservation of real (not integer) number of channels in order to favor calls of high channel (bandwidth) requirements. We consider a link of fixed capacity that accommodates Poisson arriving calls of different service-classes with different bandwidth-per-call requirements. Calls compete for the available bandwidth under the MFCR policy. To determine call blocking probabilities, we propose approximate but recursive formulas based on the notion of reserve transition rates. The accuracy of the proposed method is verified through simulation

On two-echelon inventory systems with Poisson demand and lost sales

We derive approximations for the service levels of two-echelon inventory systems with lost sales and Poisson demand. Our method is simple and accurate for a very broad range of problem instances, including cases with both high and low service levels. In contrast, existing methods only perform well for limited problem settings, or under restrictive assumptions.\u

Finite Horizon Portfolio Selection

We study the problem of maximising expected utility of terminal wealth over a nite horizon, with one risky and one riskless asset available, and with trades in the risky asset subject to proportional transaction costs. In a discrete time setting, using a utility function with hyperbolic risk aversion, we prove that the optimal trading strategy is characterised by a function of time (t), which represents the ratio of wealth held in the risky asset to that held in the riskless asset. There is a time varying no transaction region with boundaries b(t) < s(t), such that the portfo- lio is only rebalanced when (t) is outside this region. The results are consistent with similar studies of the in nite horizon problem with in- termediate consumption, where the no transaction region has a similar, but time independent, characterisation. We solve the problem numerically and compute the boundaries of the no transaction region for typical model parameters. We show how the results can be used to implement option pricing models with transaction costs based on utility maximisation over a nite horizo

Retrial Queuing Models of Multi-Wavelength FDL Feedback Optical Buffers

Cataloged from PDF version of article.Optical buffers based on Fiber Delay Lines (FDL) have been proposed for contention resolution in optical packet/burst switching systems. In this article, we propose a retrial queuing model for FDL optical buffers in asynchronous optical switching nodes. In the considered system, the reservation model employed is of post-reservation type and optical packets are allowed to re-circulate over the FDLs in a probabilistic manner. We combine the MMPP-based overflow traffic models of the classical circuit switching literature and fixed-point iterations to devise an algorithmic procedure to accurately estimate blocking probabilities as a function of various buffer parameters in the system when packet arrivals are Poisson and packet lengths are exponentially distributed. The proposed algorithm is both accurate and fast, allowing one to use the procedure to dimension optical buffers in next-generation optical packet switching systems

EUROPEAN CONFERENCE ON QUEUEING THEORY 2016

International audienceThis booklet contains the proceedings of the second European Conference in Queueing Theory (ECQT) that was held from the 18th to the 20th of July 2016 at the engineering school ENSEEIHT, Toulouse, France. ECQT is a biannual event where scientists and technicians in queueing theory and related areas get together to promote research, encourage interaction and exchange ideas. The spirit of the conference is to be a queueing event organized from within Europe, but open to participants from all over the world. The technical program of the 2016 edition consisted of 112 presentations organized in 29 sessions covering all trends in queueing theory, including the development of the theory, methodology advances, computational aspects and applications. Another exciting feature of ECQT2016 was the institution of the Takács Award for outstanding PhD thesis on "Queueing Theory and its Applications"

Dynamic bandwidth allocation in ATM networks

Includes bibliographical references.This thesis investigates bandwidth allocation methodologies to transport new emerging bursty traffic types in ATM networks. However, existing ATM traffic management solutions are not readily able to handle the inevitable problem of congestion as result of the bursty traffic from the new emerging services. This research basically addresses bandwidth allocation issues for bursty traffic by proposing and exploring the concept of dynamic bandwidth allocation and comparing it to the traditional static bandwidth allocation schemes