Computing stationary probability distributions and large deviation rates for constrained random walks. The undecidability results

Our model is a constrained homogeneous random walk in a nonnegative orthant Z_+^d. The convergence to stationarity for such a random walk can often be checked by constructing a Lyapunov function. The same Lyapunov function can also be used for computing approximately the stationary distribution of this random walk, using methods developed by Meyn and Tweedie. In this paper we show that, for this type of random walks, computing the stationary probability exactly is an undecidable problem: no algorithm can exist to achieve this task. We then prove that computing large deviation rates for this model is also an undecidable problem. We extend these results to a certain type of queueing systems. The implication of these results is that no useful formulas for computing stationary probabilities and large deviations rates can exist in these systems

On deciding stability of multiclass queueing networks under buffer priority scheduling policies

One of the basic properties of a queueing network is stability. Roughly speaking, it is the property that the total number of jobs in the network remains bounded as a function of time. One of the key questions related to the stability issue is how to determine the exact conditions under which a given queueing network operating under a given scheduling policy remains stable. While there was much initial progress in addressing this question, most of the results obtained were partial at best and so the complete characterization of stable queueing networks is still lacking. In this paper, we resolve this open problem, albeit in a somewhat unexpected way. We show that characterizing stable queueing networks is an algorithmically undecidable problem for the case of nonpreemptive static buffer priority scheduling policies and deterministic interarrival and service times. Thus, no constructive characterization of stable queueing networks operating under this class of policies is possible. The result is established for queueing networks with finite and infinite buffer sizes and possibly zero service times, although we conjecture that it also holds in the case of models with only infinite buffers and nonzero service times. Our approach extends an earlier related work [Math. Oper. Res. 27 (2002) 272--293] and uses the so-called counter machine device as a reduction tool.Comment: Published in at http://dx.doi.org/10.1214/09-AAP597 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Stability of Skorokhod problem is undecidable

Skorokhod problem arises in studying Reflected Brownian Motion (RBM) on an non-negative orthant, specifically in the context of queueing networks in the heavy traffic regime. One of the key problems is identifying conditions for stability of a Skorokhod problem, defined as the property that trajectories are attracted to the origin. The stability conditions are known in dimension up to three, but not for general dimensions. In this paper we explain the fundamental difficulties encountered in trying to establish stability conditions for general dimensions. We prove that stability of Skorokhod problem is an undecidable property when the starting state is a part of the input. Namely, there does not exist an algorithm (a constructive procedure) for identifying stable Skorokhod problem in general dimensions

Instability in Stochastic and Fluid Queueing Networks

The fluid model has proven to be one of the most effective tools for the analysis of stochastic queueing networks, specifically for the analysis of stability. It is known that stability of a fluid model implies positive (Harris) recurrence (stability) of a corresponding stochastic queueing network, and weak stability implies rate stability of a corresponding stochastic network. These results have been established both for cases of specific scheduling policies and for the class of all work conserving policies. However, only partial converse results have been established and in certain cases converse statements do not hold. In this paper we close one of the existing gaps. For the case of networks with two stations we prove that if the fluid model is not weakly stable under the class of all work conserving policies, then a corresponding queueing network is not rate stable under the class of all work conserving policies. We establish the result by building a particular work conserving scheduling policy which makes the associated stochastic process transient. An important corollary of our result is that the condition $\rho^*\leq 1$, which was proven in \cite{daivan97} to be the exact condition for global weak stability of the fluid model, is also the exact global rate stability condition for an associated queueing network. Here $\rho^*$ is a certain computable parameter of the network involving virtual station and push start conditions.Comment: 30 pages, To appear in Annals of Applied Probabilit

Algorithmic issues in queueing systems and combinatorial counting problems

Includes bibliographical references (leaves 111-118).Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, Operations Research Center, 2008.(cont.) However, these randomized algorithms can never provide proven upper or lower bounds on the number of objects they are counting, but can only give probabilistic estimates. We propose a set of deterministic algorithms for counting such objects for three classes of counting problems. They are interesting both because they give an alternative approach to solving these problems, and because unlike MCMC algorithms, they provide provable bounds on the number of objects. The algorithms we propose are for special cases of counting the number of matchings, colorings, or perfect matchings (permanent), of a graph.Multiclass queueing networks are used to model manufacturing, computer, supply chain, and other systems. Questions of performance and stability arise in these systems. There is a body of research on determining stability of a given queueing system, which contains algorithms for determining stability of queueing networks in some special cases, such as the case where there are only two stations. Yet previous attempts to find a general characterization of stability of queueing networks have not been successful.In the first part of the thesis, we contribute to the understanding of why such a general characterization could not be found. We prove that even under a relatively simple class of static buffer priority scheduling policies, stability of deterministic multiclass queueing network is, in general, an undecidable problem. Thus, there does not exist an algorithm for determining stability of queueing networks, even under those relatively simple assumptions. This explains why such an algorithm, despite significant efforts, has not been found to date. In the second part of the thesis, we address the problem of finding algorithms for approximately solving combinatorial graph counting problems. Counting problems are a wide and well studied class of algorithmic problems, that deal with counting certain objects, such as the number of independent sets, or matchings, or colorings, in a graph. The problems we address are known to be #P-hard, which implies that, unless P = #P, they can not be solved exactly in polynomial time. It is known that randomized approximation algorithms based on Monte Carlo Markov Chains (MCMC) solve these problems approximately, in polynomial time.by Dmitriy A. Katz-Rogozhnikov.Ph.D

Resource Management and Pricing in Networks

Resource management is important for network design and deployment. Resource management and allocation have been studied under a wide variety of scenarios --- routing in wired networks, scheduling in cellular networks, multiplexing, switching, and channel access in opportunistic networks are but a few examples. In this dissertation, we revisit resource management in the context of routing and scheduling in multihop wireless networks and pricing in single resource systems. The first issue addressed is of delays in multihop wireless networks. The resource under contention is capacity which is allocated by a joint routing and scheduling algorithm. Delay in wireless networks is a key issue gaining interest with the growth of interactive applications and proliferation of wireless networks. We start with an investigation of the back-pressure algorithm (BPA), an algorithm that activates the schedule with the largest sum of link weights in a timeslot. Though the BPA is throughput-optimal, it has poor end-to-end delays. Our investigation identifies poor routing decisions at low loads as one cause for it. We improve the delay performance of max-weight algorithms by proposing a general framework for routing and scheduling algorithms that allow directing packets towards the sink node dynamically. For a stationary environment, we explicitly formulate delay minimization as a static problem while maintaining stability. We see similar improved delay performance with the advantage of reduced per time-slot complexity. Next, the issue of pricing for flow based models is studied. The increasing popularity of cloud computing and the ease of commerce over the Internet is making pricing a key issue requiring greater attention. Although pricing has been extensively studied in the context of maximizing revenue and fairness, we take a different perspective and investigate pricing with predictability. Prior work has studied resource allocations that link insensitivity and predictability. In this dissertation, we present a detailed analysis of pricing under insensitive allocations. We study three common pricing models --- fixed rate pricing, Vickrey-Clarke-Groves (VCG) auctions, and congestion-based pricing, and provide the expected operator revenue and user payments under them. A pre-payment scheme is also proposed where users pay on arrival a fee for their estimated service costs. Such a mechanism is shown to have lower variability in payments under fixed rate pricing and VCG auctions while generating the same long-term revenue as in a post-payment scheme, where users pay the exact charge accrued during their sojourn. Our formulation and techniques further the understanding of pricing mechanisms and decision-making for the operator

New Perspectives on Modelling and Control for Next Generation Intelligent Transport Systems

This PhD thesis contains 3 major application areas all within an Intelligent Transportation System context. The first problem we discuss considers models that make beneficial use of the large amounts of data generated in the context of traffic systems. We use a Markov chain model to do this, where important data can be taken into account in an aggregate form. The Markovian model is simple and allows for fast computation, even on low end computers, while at the same time allowing meaningful insight into a variety of traffic system related issues. This allows us to both model and enable the control of aggregate, macroscopic features of traffic networks. We then discuss three application areas for this model: the modelling of congestion, emissions, and the dissipation of energy in electric vehicles. The second problem we discuss is the control of pollution emissions in eets of hybrid vehicles. We consider parallel hybrids that have two power units, an internal combustion engine and an electric motor. We propose a scheme in which we can in uence the mix of the two engines in each car based on simple broadcast signals from a central infrastructure. The infrastructure monitors pollution levels and can thus make the vehicles react to its changes. This leads to a context aware system that can be used to avoid pollution peaks, yet does not restrict drivers unnecessarily. In this context we also discuss technical constraints that have to be taken into account in the design of traffic control algorithms that are of a microscopic nature, i.e. they affect the operation of individual vehicles. We also investigate ideas on decentralised trading of emissions. The goal here is to allocate the rights to pollute fairly among the eet's vehicles. Lastly we discuss the usage of decentralised stochastic assignment strategies in traffic applications. Systems are considered in which reservation schemes can not reliably be provided or enforced and there is a signifficant delay between decisions and their effect. In particular, our approach facilitates taking into account the feedback induced into traffic systems by providing forecasts to large groups of users. This feedback can invalidate the predictions if not modelled carefully. At the same time our proposed strategies are simple rules that are easy to follow, easy to accept, and significantly improve the performance of the systems under study. We apply this approach to three application areas, the assignment of electric vehicles to charging stations, the assignment of vehicles to parking facilities, and the assignment of customers to bike sharing stations. All discussed approaches are analysed using mathematical tools and validated through extensive simulations