Numerical methods for queues with shared service

A queueing system is a mathematical abstraction of a situation where elements, called customers, arrive in a system and wait until they receive some kind of service. Queueing systems are omnipresent in real life. Prime examples include people waiting at a counter to be served, airplanes waiting to take off, traffic jams during rush hour etc. Queueing theory is the mathematical study of queueing phenomena. As often neither the arrival instants of the customers nor their service times are known in advance, queueing theory most often assumes that these processes are random variables. The queueing process itself is then a stochastic process and most often also a Markov process, provided a proper description of the state of the queueing process is introduced. This dissertation investigates numerical methods for a particular type of Markovian queueing systems, namely queueing systems with shared service. These queueing systems differ from traditional queueing systems in that there is simultaneous service of the head-of-line customers of all queues and in that there is no service if there are no customers in one of the queues. The absence of service whenever one of the queues is empty yields particular dynamics which are not found in traditional queueing systems. These queueing systems with shared service are not only beautiful mathematical objects in their own right, but are also motivated by an extensive range of applications. The original motivation for studying queueing systems with shared service came from a particular process in inventory management called kitting. A kitting process collects the necessary parts for an end product in a box prior to sending it to the assembly area. The parts and their inventories being the customers and queues, we get ``shared service'' as kitting cannot proceed if some parts are absent. Still in the area of inventory management, the decoupling inventory of a hybrid make-to-stock/make-to-order system exhibits shared service. The production process prior to the decoupling inventory is make-to-stock and driven by demand forecasts. In contrast, the production process after the decoupling inventory is make-to-order and driven by actual demand as items from the decoupling inventory are customised according to customer specifications. At the decoupling point, the decoupling inventory is complemented with a queue of outstanding orders. As customisation only starts when the decoupling inventory is nonempty and there is at least one order, there is again shared service. Moving to applications in telecommunications, shared service applies to energy harvesting sensor nodes. Such a sensor node scavenges energy from its environment to meet its energy expenditure or to prolong its lifetime. A rechargeable battery operates very much like a queue, customers being discretised as chunks of energy. As a sensor node requires both sensed data and energy for transmission, shared service can again be identified. In the Markovian framework, "solving" a queueing system corresponds to finding the steady-state solution of the Markov process that describes the queueing system at hand. Indeed, most performance measures of interest of the queueing system can be expressed in terms of the steady-state solution of the underlying Markov process. For a finite ergodic Markov process, the steady-state solution is the unique solution of $N-1$ balance equations complemented with the normalisation condition, $N$ being the size of the state space. For the queueing systems with shared service, the size of the state space of the Markov processes grows exponentially with the number of queues involved. Hence, even if only a moderate number of queues are considered, the size of the state space is huge. This is the state-space explosion problem. As direct solution methods for such Markov processes are computationally infeasible, this dissertation aims at exploiting structural properties of the Markov processes, as to speed up computation of the steady-state solution. The first property that can be exploited is sparsity of the generator matrix of the Markov process. Indeed, the number of events that can occur in any state --- or equivalently, the number of transitions to other states --- is far smaller than the size of the state space. This means that the generator matrix of the Markov process is mainly filled with zeroes. Iterative methods for sparse linear systems --- in particular the Krylov subspace solver GMRES --- were found to be computationally efficient for studying kitting processes only if the number of queues is limited. For more queues (or a larger state space), the methods cannot calculate the steady-state performance measures sufficiently fast. The applications related to the decoupling inventory and the energy harvesting sensor node involve only two queues. In this case, the generator matrix exhibits a homogene block-tridiagonal structure. Such Markov processes can be solved efficiently by means of matrix-geometric methods, both in the case that the process has finite size and --- even more efficiently --- in the case that it has an infinite size and a finite block size. Neither of the former exact solution methods allows for investigating systems with many queues. Therefore we developed an approximate numerical solution method, based on Maclaurin series expansions. Rather than focussing on structural properties of the Markov process for any parameter setting, the series expansion technique exploits structural properties of the Markov process when some parameter is sent to zero. For the queues with shared exponential service and the service rate sent to zero, the resulting process has a single absorbing state and the states can be ordered such that the generator matrix is upper-diagonal. In this case, the solution at zero is trivial and the calculation of the higher order terms in the series expansion around zero has a computational complexity proportional to the size of the state space. This is a case of regular perturbation of the parameter and contrasts to singular perturbation which is applied when the service times of the kitting process are phase-type distributed. For singular perturbation, the Markov process has no unique steady-state solution when the parameter is sent to zero. However, similar techniques still apply, albeit at a higher computational cost. Finally we note that the numerical series expansion technique is not limited to evaluating queues with shared service. Resembling shared queueing systems in that a Markov process with multidimensional state space is considered, it is shown that the regular series expansion technique can be applied on an epidemic model for opinion propagation in a social network. Interestingly, we find that the series expansion technique complements the usual fluid approach of the epidemic literature

A Robust Queueing Network Analyzer Based on Indices of Dispersion

In post-industrial economies, modern service systems are dramatically changing the daily lives of many people. Such systems are often complicated by uncertainty: service providers usually cannot predict when a customer will arrive and how long the service will be. Fortunately, useful guidance can often be provided by exploiting stochastic models such as queueing networks. In iterating the design of service systems, decision makers usually favor analytical analysis of the models over simulation methods, due to the prohibitive computation time required to obtain optimal solutions for service operation problems involving multidimensional stochastic networks. However, queueing networks that can be solved analytically require strong assumptions that are rarely satisfied, whereas realistic models that exhibit complicated dependence structure are prohibitively hard to analyze exactly. In this thesis, we continue the effort to develop useful analytical performance approximations for the single-class open queueing network with Markovian routing, unlimited waiting space and the first-come first-served service discipline. We focus on open queueing networks where the external arrival processes are not Poisson and the service times are not exponential. We develop a new non-parametric robust queueing algorithm for the performance approximation in single-server queues. With robust optimization techniques, the underlying stochastic processes are replaced by samples from suitably defined uncertainty sets and the worst-case scenario is analyzed. We show that this worst-case characterization of the performance measure is asymptotically exact for approximating the mean steady-state workload in G/G/1 models in both the light-traffic and heavy-traffic limits, under mild regularity conditions. In our non-parametric Robust Queueing formulation, we focus on the customer flows, defined as the continuous-time processes counting customers in or out of the network, or flowing from one queue to another. Each flow is partially characterized by a continuous function that measures the change of stochastic variability over time. This function is called the index of dispersion for counts. The Robust Queueing algorithm converts the index of dispersion for counts into approximations of the performance measures. We show the advantage of using index of dispersion for counts in queueing approximation by a renewal process characterization theorem and the ordering of the mean steady-state workload in GI/M/1 models. To develop generalized algorithm for open queueing networks, we first establish the heavy-traffic limit theorem for the stationary departure flows from a GI/GI/1 model. We show that the index of dispersion for counts function of the stationary departure flow can be approximately characterized as the convex combination of the arrival index of dispersion for counts and service index of dispersion for counts with a time-dependent weight function, revealing the non-trivial impact of the traffic intensity on the departure processes. This heavy-traffic limit theorem is further generalized into a joint heavy-traffic limit for the stationary customer flows in generalized Jackson networks, where the external arrival are characterized by independent renewal processes and the service times are independent and identically distributed random variables, independent of the external arrival processes. We show how these limiting theorems can be exploited to establish a set of linear equations, whose solution serves as approximations of the index of dispersion for counts of the flows in an open queueing network. We prove that this set of equations is asymptotically exact in approximating the index of dispersion for counts of the stationary flows. With the index of dispersion for counts available, the network is decomposed into single-server queues and the Robust Queueing algorithm can be applied to obtain performance approximation. This algorithm is referred to as the Robust Queueing Network Analyzer. We perform extensive simulation study to validate the effectiveness of our algorithm. We show that our algorithm can be applied not only to models with non-exponential distirbutions but also to models with more complex arrival processes than renewal processes, including those with Markovian arrival processes

A self-correcting point process

AbstractSuppose a point process is attempting to operate as closely as possible to a deterministic rate ρ, in the sense of aiming to produce ρt points during the interval (0,t] for all t. This can be modelled by making the instantaneous rate of t of the process a suitable function of n-ρt, n being the number of points in [0, t]. This paper studies such a self-correcting point process in two cases: when the point process is Markovian and the rate function is very general, and when the point process is arbitrary and the rate function is exponential. In each case it is shown that as t→∞ the mean number of points occuring in (0, t] is ρt+O(1) while the variance is bounded further, in the Markov case all the absolute central moments are bounded. An application to the outputs of stationary D/M/s queues is given

Analysis of a two-class single-server discrete-time FCFS queue : the effect of interclass correlation

In this paper, we study a discrete-time queueing system with one server and two classes of customers. Customers enter the system according to a general independent arrival process. The classes of consecutive customers, however, are correlated in a Markovian way. The system uses a global FCFS service discipline, i.e., all arriving customers are accommodated in one single FCFS queue, regardless of their classes. The service-time distribution of the customers is general but class-dependent, and therefore, the exact order in which the customers of both classes succeed each other in the arrival stream is important, which is reflected by the complexity of the system content and waiting time analysis presented in this paper. In particular, a detailed waiting time analysis of this kind of multi-class system has not yet been published, and is considered to be one of the main novelties by the authors. In addition to that, a major aim of the paper is to estimate the impact of interclass correlation in the arrival stream on the total number of customers in the system, and the customer delay. The results reveal that the system can exhibit two different classes of stochastic equilibrium: a strong equilibrium where both customer classes give rise to stable behavior individually, and a compensated equilibrium where one customer type creates overload

The power-series algorithm:A numerical approach to Markov processes

Abstract: The development of computer and communication networks and flexible manufacturing systems has led to new and interesting multidimensional queueing models. The Power-Series Algorithm is a numerical method to analyze and optimize the performance of such models. In this thesis, the applicability of the algorithm is extended. This is illustrated by introducing and analyzing a wide class of queueing networks with very general dependencies between the different queues. The theoretical basis of the algorithm is strengthened by proving analyticity of the steady-state distribution in light traffic and finding remedies for previous imperfections of the method. Applying similar ideas to the transient distribution renders new analyticity results. Various aspects of Markov processes, analytic functions and extrapolation methods are reviewed, necessary for a thorough understanding and efficient implementation of the Power-Series Algorithm.

Equilibrium delay distribution for queues with random service

The problem which the thesis discusses is that of determining the probability of delay of a demand (customer) in a queueing system in which service is random, i.e. on the completion of a service-time the server obtains the next customer for service by choosing at random from among those waiting. The system is assumed to be in statistical equilibrium arrivals are assumed to follow the Poisson distribution and two distinct assumptions regarding service-time are made, (i) that it follows the negative exponential distribution, (ii) that it is constant. For the case of negative exponential service-time, the work of a number of authors is reviewed: (i) Molina (1927), who derived the equilibrium state probabilities of the system; (ii) Mellor (1942), who was the first to discuss the actual delay distribution, but whose treatment of the problem is incorrect; (iii) Vaulot (1946), who formulated the problem correctly and gave a fundamental differential-difference equation, which he used to find the delay distribution as a Maclaurin series; (iv) Palm (1946), who, independently of Vaulot and almost simultaneously with him, derived the fundamental equation, and discussed methods (involving generating functions) by which it might be solved, the determination of the general form of the distribution by means of the first two moments, and the question of numerical computation; (v) Pollaczek (1946), who used Laplace transforms end contour integration to find an exact expression for the delay distribution function, but In a form too complicated for actual computation; (vi) Riordan (1953), who, in cm attempt to check numerical values obtained by means of a differential analyzer, found a method of evaluating exactly the moments of the distribution, and used them to approximate to the distribution function by a sum of a few exponentials, thus obtaining numerical values comparatively easily; (vii) Le Roy (1937), who discussed the problem In matrix notation and used an approximating process similar to Riordan's. The case in which the number of places in the queue is finite does not appear to have been discussed, and in the next section, which is new, the modifications to the state probabilities and to the fundamental equation for this case are given. The results of act vial solution of the equation, by means of the Sirius digital computer, for 20, 40 and 60 places In the queue are given, and their relation to the results for an unrestricted queue cure discussed. The case of constant service-time has received comparatively little attention, and the section dealing with this first reviews the work of Crommelin (1932), who derived equations satisfied by the equilibrium state probabilities and also obtained an expression for a generating function of these probabilities, and of Burke (1959), gave a very clear analysis of the problem and obtained actual numerical values for the delay distribution, but only for the case of one server. Burke's work appears to be capable of extension, and in the next section, which is new, it is shown that his methods can be used In the case of two servers. There seems to be no record of a Monte Carlo investigation of the constant service-time case, and in the following section, which is also new, the method by which such an investigation was carried out, by means of the Sirius computer, for one and for two servers is described. It is shown that for one server good agreement with Burke's results was obtained. Finelly, it is pointed out that although Burke's methods can probably be extended to more than two servers, Monte Carlo methods offer an easier way of dealing with this problem, and there seems to be no serious difficulty in using them to analyse not only larger systems but also cases in which more realistic assumptions are made regarding the arrival and service-time distributions

Information-theoretic analysis of human-machine mixed systems

Many recent information technologies such as crowdsourcing and social decision-making systems are designed based on (near-)optimal information processing techniques for machines. However, in such applications, some parts of systems that process information are humans and so systems are affected by bounded rationality of human behavior and overall performance is suboptimal. In this dissertation, we consider systems that include humans and study their information-theoretic limits. We investigate four problems in this direction and show fundamental limits in terms of capacity, Bayes risk, and rate-distortion. A system with queue-length-dependent service quality, motivated by crowdsourcing platforms, is investigated. Since human service quality changes depending on workload, a job designer must take the level of work into account. We model the workload using queueing theory and characterize Shannon's information capacity for single-user and multiuser systems. We also investigate social learning as sequential binary hypothesis testing. We find somewhat counterintuitively that unlike basic binary hypothesis testing, the decision threshold determined by the true prior probability is no longer optimal and biased perception of the true prior could outperform the unbiased perception system. The fact that the optimal belief curve resembles the Prelec weighting function from cumulative prospect theory gives insight, in the era of artificial intelligence (AI), into how to design machine AI that supports a human decision. The traditional CEO problem well models a collaborative decision-making problem. We extend the CEO problem to two continuous alphabet settings with general rth power of difference and logarithmic distortions, and study matching asymptotics of distortion as the number of agents and sum rate grow without bound

Introduction to Queueing Theory and Stochastic Teletraffic Models

The aim of this textbook is to provide students with basic knowledge of stochastic models that may apply to telecommunications research areas, such as traffic modelling, resource provisioning and traffic management. These study areas are often collectively called teletraffic. This book assumes prior knowledge of a programming language, mathematics, probability and stochastic processes normally taught in an electrical engineering course. For students who have some but not sufficiently strong background in probability and stochastic processes, we provide, in the first few chapters, background on the relevant concepts in these areas.Comment: 298 page

15 september 2010: de internationale dag van de democratie

Since 2008 the International Community has been observing annually the International Day of Democracy. This article examines what exactly the international community celebrates on that day. In other words it is analyzed how the concept of democracy is defined within the UN framework