19 research outputs found
Rare event analysis of Markov-modulated infinite-server queues: a Poisson limit
This article studies an infinite-server queue in a Markov environment, that is, an infinite-server queue with arrival rates and service times depending on the state of a Markovian background process. Scaling the arrival rates (i) by a factor N and the rates (ij) of the background process by N1+E (for some E>0), the focus is on the tail probabilities of the number of customers in the system, in the asymptotic regime that N tends to . In particular, it is shown that the logarithmic asymptotics correspond to those of a Poisson distribution with an appropriate mean
Large deviations of an infinite-server system with a linearly scaled background process
This paper studies an infinite-server queue in a Markov environment, that is, an infinite-server queue with arrival rates and service times depending on the state of a Markovian background process. We focus on the probability that the number of jobs in the system attains an unusually high value. Scaling the arrival rates ΒΏiΒΏi by a factor NN and the transition rates ΒΏijΒΏij of the background process as well, a large-deviations based approach is used to examine such tail probabilities (where NN tends to 88). The paper also presents qualitative properties of the systemβs behavior conditional on the rare event under consideration happening. Keywords: Queues; Infinite-server systems; Markov modulation; Large deviation
Rare event analysis of Markov-modulated infinite-service queues: A Poisson limit
This paper studies an infinite-server queue in a Markov environment, that is, an infinite-server
queue with arrival rates and service times depending on the state of a Markovian background
process. Scaling the arrival rates by a factor and the rates of the background process by N^{1+\vareps}
(for some \vareps > 0), the focus is on the tail probabilities of the number of customers in the system, in
the asymptotic regime that tends to . In particular, it is shown that the logarithmic asymptotics
correspond to those of a Poisson distribution with an appropriate mean
A functional central limit theorem for a Markov-modulated infinite-server queue
The production of molecules in a chemical reaction network is modelled as a
Poisson process with a Markov-modulated arrival rate and an exponential decay
rate. We analyze the distributional properties of , the number of molecules,
under specific time-scaling; the background process is sped up by ,
the arrival rates are scaled by , for large. A functional central limit
theorem is derived for , which after centering and scaling, converges to an
Ornstein-Uhlenbeck process. A dichotomy depending on is observed. For
the parameters of the limiting process contain the deviation
matrix associated with the background process.Comment: 4 figure
Explicit computations for some Markov modulated counting processes
In this paper we present elementary computations for some Markov modulated
counting processes, also called counting processes with regime switching.
Regime switching has become an increasingly popular concept in many branches of
science. In finance, for instance, one could identify the background process
with the `state of the economy', to which asset prices react, or as an
identification of the varying default rate of an obligor. The key feature of
the counting processes in this paper is that their intensity processes are
functions of a finite state Markov chain. This kind of processes can be used to
model default events of some companies.
Many quantities of interest in this paper, like conditional characteristic
functions, can all be derived from conditional probabilities, which can, in
principle, be analytically computed. We will also study limit results for
models with rapid switching, which occur when inflating the intensity matrix of
the Markov chain by a factor tending to infinity. The paper is largely
expository in nature, with a didactic flavor
Pseudo steady-state period in non-stationary infinite-server queue with state dependent arrival intensity
An infinite-server queueing model with state-dependent arrival process and exponential distribution of service time is analyzed. It is assumed that the difference between the value of the arrival rate and total service rate becomes positive starting from a certain value of the number of customers in the system. In this paper, time until reaching this value by the number of customers in the system is called the pseudo steady-state period (PSSP). Distribution of duration of PSSP, its raw moments and its simple approximation under a certain scaling of the number of customers in the system are analyzed. Novelty of the considered problem consists of an arbitrary dependence of the rate of customer arrival on the current number of customers in the system and analysis of time until reaching from below a certain level by the number of customers in the system. The relevant existing papers focus on the analysis of time interval since exceeding a certain level until the number of customers goes down to this level (congestion period). Our main contribution consists of the derivation of a simple approximation of the considered time distribution by the exponential distribution. Numerical examples are presented, which confirm good quality of the proposed approximation
Tail asymptotics of a Markov-modulated infinite-server queue
This paper analyzes large deviation probabilities related to the number of customers in
a Markov modulated infinite-server queue, with state-dependent arrival and service rates.
Two specific scalings are studied: in the first, just the arrival rates are linearly scaled by (for large ),
whereas in the second
in addition the Markovian background process is sped up by a factor , for some .
In both regimes, (transient and stationary) tail probabilities decay essentially exponentially,
where the associated decay rate corresponds to that of the probability
that the sample mean of i.i.d.\ Poisson random variables
attains an atypical value
Analysis of Markov-modulated infinite-server queues in the central-limit regime
This paper focuses on an infinite-server queue modulated by an independently
evolving finite-state Markovian background process, with transition rate matrix
. Both arrival rates and service rates are depending
on the state of the background process. The main contribution concerns the
derivation of central limit theorems for the number of customers in the system
at time , in the asymptotic regime in which the arrival rates
are scaled by a factor , and the transition rates by a
factor , with . The specific value of
has a crucial impact on the result: (i) for the system
essentially behaves as an M/M/ queue, and in the central limit theorem
the centered process has to be normalized by ; (ii) for ,
the centered process has to be normalized by , with the
deviation matrix appearing in the expression for the variance