1,652 research outputs found
Markovian arrivals in stochastic modelling: a survey and some new results
This paper aims to provide a comprehensive review on Markovian arrival processes (MAPs),
which constitute a rich class of point processes used extensively in stochastic modelling. Our
starting point is the versatile process introduced by Neuts (1979) which, under some simplified
notation, was coined as the batch Markovian arrival process (BMAP). On the one hand, a general
point process can be approximated by appropriate MAPs and, on the other hand, the MAPs
provide a versatile, yet tractable option for modelling a bursty flow by preserving the Markovian
formalism. While a number of well-known arrival processes are subsumed under a BMAP as
special cases, the literature also shows generalizations to model arrival streams with marks, nonhomogeneous
settings or even spatial arrivals. We survey on the main aspects of the BMAP,
discuss on some of its variants and generalizations, and give a few new results in the context of a
recent state-dependent extension.Peer Reviewe
Error bounds for last-column-block-augmented truncations of block-structured Markov chains
This paper discusses the error estimation of the last-column-block-augmented
northwest-corner truncation (LC-block-augmented truncation, for short) of
block-structured Markov chains (BSMCs) in continuous time. We first derive
upper bounds for the absolute difference between the time-averaged functionals
of a BSMC and its LC-block-augmented truncation, under the assumption that the
BSMC satisfies the general -modulated drift condition. We then establish
computable bounds for a special case where the BSMC is exponentially ergodic.
To derive such computable bounds for the general case, we propose a method that
reduces BSMCs to be exponentially ergodic. We also apply the obtained bounds to
level-dependent quasi-birth-and-death processes (LD-QBDs), and discuss the
properties of the bounds through the numerical results on an M/M/ retrial
queue, which is a representative example of LD-QBDs. Finally, we present
computable perturbation bounds for the stationary distribution vectors of
BSMCs.Comment: This version has fixed the bugs for the positions of Figures 1
through
Analysis of generalized QBD queues with matrix-geometrically distributed batch arrivals and services
In a quasi-birth–death (QBD) queue, the level forward and level backward transitions of a QBD-type Markov chain are interpreted as customer arrivals and services. In the generalized QBD queue considered in this paper, arrivals and services can occur in matrix-geometrically distributed batches. This paper presents the queue length and sojourn time analysis of generalized QBD queues. It is shown that, if the number of phases is N, the number of customers in the system is order-N matrix-geometrically distributed, and the sojourn time is order-(Formula presented.) matrix-exponentially distributed, just like in the case of classical QBD queues without batches. Furthermore, phase-type representations are provided for both distributions. In the special case of the arrival and service processes being independent, further simplifications make it possible to obtain a more compact, order-N representation for the sojourn time distribution. © 2015 Springer Science+Business Media New Yor
Markovian arrivals in stochastic modelling : a survey and some new results
This paper aims to provide a comprehensive review on Markovian arrival processes (MAPs), which constitute a rich class of point processes used extensively in stochastic modelling. Our starting point is the versatile process introduced by Neuts (1979) which, under some simplified notation, was coined as the batch Markovian arrival process (BMAP). On the one hand, a general point process can be approximated by appropriate MAPs and, on the other hand, the MAPs provide a versatile, yet tractable option for modelling a bursty flow by preserving the Markovian formalism. While a number of well-known arrival processes are subsumed under a BMAP as special cases, the literature also shows generalizations to model arrival streams with marks, nonhomogeneous settings or even spatial arrivals. We survey on the main aspects of the BMAP, discuss on some of its variants and generalizations, and give a few new results in the context of a recent state-dependent extension
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