1,241 research outputs found
Tutte's invariant approach for Brownian motion reflected in the quadrant
We consider a Brownian motion with drift in the quarter plane with orthogonal
reflection on the axes. The Laplace transform of its stationary distribution
satisfies a functional equation, which is reminiscent from equations arising in
the enumeration of (discrete) quadrant walks. We develop a Tutte's invariant
approach to this continuous setting, and we obtain an explicit formula for the
Laplace transform in terms of generalized Chebyshev polynomials.Comment: 14 pages, 3 figure
Approximations for the Moments of Nonstationary and State Dependent Birth-Death Queues
In this paper we propose a new method for approximating the nonstationary
moment dynamics of one dimensional Markovian birth-death processes. By
expanding the transition probabilities of the Markov process in terms of
Poisson-Charlier polynomials, we are able to estimate any moment of the Markov
process even though the system of moment equations may not be closed. Using new
weighted discrete Sobolev spaces, we derive explicit error bounds of the
transition probabilities and new weak a priori estimates for approximating the
moments of the Markov processs using a truncated form of the expansion. Using
our error bounds and estimates, we are able to show that our approximations
converge to the true stochastic process as we add more terms to the expansion
and give explicit bounds on the truncation error. As a result, we are the first
paper in the queueing literature to provide error bounds and estimates on the
performance of a moment closure approximation. Lastly, we perform several
numerical experiments for some important models in the queueing theory
literature and show that our expansion techniques are accurate at estimating
the moment dynamics of these Markov process with only a few terms of the
expansion
Closed queueing networks under congestion: non-bottleneck independence and bottleneck convergence
We analyze the behavior of closed product-form queueing networks when the
number of customers grows to infinity and remains proportionate on each route
(or class). First, we focus on the stationary behavior and prove the conjecture
that the stationary distribution at non-bottleneck queues converges weakly to
the stationary distribution of an ergodic, open product-form queueing network.
This open network is obtained by replacing bottleneck queues with per-route
Poissonian sources whose rates are determined by the solution of a strictly
concave optimization problem. Then, we focus on the transient behavior of the
network and use fluid limits to prove that the amount of fluid, or customers,
on each route eventually concentrates on the bottleneck queues only, and that
the long-term proportions of fluid in each route and in each queue solve the
dual of the concave optimization problem that determines the throughputs of the
previous open network.Comment: 22 page
A Maclaurin-series expansion approach to coupled queues with phase-type distributed service times
International audienc
Analytic approach for reflected Brownian motion in the quadrant
Random walks in the quarter plane are an important object both of
combinatorics and probability theory. Of particular interest for their study,
there is an analytic approach initiated by Fayolle, Iasnogorodski and Malyshev,
and further developed by the last two authors of this note. The outcomes of
this method are explicit expressions for the generating functions of interest,
asymptotic analysis of their coefficients, etc. Although there is an important
literature on reflected Brownian motion in the quarter plane (the continuous
counterpart of quadrant random walks), an analogue of the analytic approach has
not been fully developed to that context. The aim of this note is twofold: it
is first an extended abstract of two recent articles of the authors of this
paper, which propose such an approach; we further compare various aspects of
the discrete and continuous analytic approaches.Comment: 19 pages, 5 figures. Extended abstract of the papers arXiv:1602.03054
and arXiv:1604.02918, to appear in Proceedings of the 27th International
Conference on Probabilistic, Combinatorial and Asymptotic Methods for the
Analysis of Algorithms, Krakow, Poland, 4-8 July 2016 arXiv admin note: text
overlap with arXiv:1602.0305
Analysis of State-Independent Importance-Sampling Measures for the Two-Node Tandem Queue
We investigate the simulation of overflow of the total population of a Markovian two-node tandem queue model during a busy cycle, using importance sampling with a state-independent change of measure. We show that the only such change of measure that may possibly result in asymptotically efficient simulation for large overflow levels is exchanging the arrival rate with the smallest service rate. For this change of measure, we classify the model's parameter space into regions of asymptotic efficiency, exponential growth of the relative error, and infinite variance, using both analytical and numerical techniques
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