Many-server queues with customer abandonment: numerical analysis of their diffusion models

We use multidimensional diffusion processes to approximate the dynamics of a queue served by many parallel servers. The queue is served in the first-in-first-out (FIFO) order and the customers waiting in queue may abandon the system without service. Two diffusion models are proposed in this paper. They differ in how the patience time distribution is built into them. The first diffusion model uses the patience time density at zero and the second one uses the entire patience time distribution. To analyze these diffusion models, we develop a numerical algorithm for computing the stationary distribution of such a diffusion process. A crucial part of the algorithm is to choose an appropriate reference density. Using a conjecture on the tail behavior of a limit queue length process, we propose a systematic approach to constructing a reference density. With the proposed reference density, the algorithm is shown to converge quickly in numerical experiments. These experiments also show that the diffusion models are good approximations for many-server queues, sometimes for queues with as few as twenty servers

Product-form solutions for integrated services packet networks and cloud computing systems

We iteratively derive the product-form solutions of stationary distributions of priority multiclass queueing networks with multi-sever stations. The networks are Markovian with exponential interarrival and service time distributions. These solutions can be used to conduct performance analysis or as comparison criteria for approximation and simulation studies of large scale networks with multi-processor shared-memory switches and cloud computing systems with parallel-server stations. Numerical comparisons with existing Brownian approximating model are provided to indicate the effectiveness of our algorithm.Comment: 26 pages, 3 figures, short conference version is reported at MICAI 200

Many-server queues with customer abandonment

Customer call centers with hundreds of agents working in parallel are ubiquitous in many industries. These systems have a large amount of daily traffic that is stochastic in nature. It becomes more and more difficult to manage a call center because of its increasingly large scale and the stochastic variability in arrival and service processes. In call center operations, customer abandonment is a key factor and may significantly impact the system performance. It must be modeled explicitly in order for an operational model to be relevant for decision making. In this thesis, a large-scale call center is modeled as a queue with many parallel servers. To model the customer abandonment, each customer is assigned a patience time. When his waiting time for service exceeds his patience time, a customer abandons the system without service. We develop analytical and numerical tools for analyzing such a queue. We first study a sequence of G/G/n+GI queues, where the customer patience times are independent and identically distributed (iid) following a general distribution. The focus is the abandonment and the queue length processes. We prove that under certain conditions, a deterministic relationship holds asymptotically in diffusion scaling between these two stochastic processes, as the number of servers goes to infinity. Next, we restrict the service time distribution to be a phase-type distribution with d phases. Using the aforementioned asymptotic relationship, we prove limit theorems for G/Ph/n+GI queues in the quality- and efficiency-driven (QED) regime. In particular, the limit process for the customer number in each phase is a d-dimensional piecewise Ornstein-Uhlenbeck (OU) process. Motivated by the diffusion limit process, we propose two approximate models for a GI/Ph/n+GI queue. In each model, a d-dimensional diffusion process is used to approximate the dynamics of the queue. These two models differ in how the patience time distribution is built into them. The first diffusion model uses the patience time density at zero and the second one uses the entire patience time distribution. We also develop a numerical algorithm to analyze these diffusion models. The algorithm solves the stationary distribution of each model. The computed stationary distribution is used to estimate the queue's performance. A crucial part of this algorithm is to choose an appropriate reference density that controls the convergence of the algorithm. We develop a systematic approach to constructing a reference density. With the proposed reference density, the algorithm is shown to converge quickly in numerical experiments. These experiments also show that the diffusion models are good approximations of queues with a moderate to large number of servers.Ph.D.Committee Chair: Dai, Jiangang; Committee Member: Ayhan, Hayriye; Committee Member: Foley, Robert; Committee Member: Kleywegt, Anton; Committee Member: Tezcan, Tolg

Uniform Moment Bounds for Generalized Jackson Networks in Multi-scale Heavy Traffic

We establish uniform moment bounds for steady-state queue lengths of generalized Jackson networks (GJNs) in multi-scale heavy traffic as recently proposed by Dai et al. [2023]. Uniform moment bounds lay the foundation for further analysis of the limit stationary distribution. Our result can be used to verify the crucial moment state space collapse (SSC) assumption in Dai et al. [2023] to establish a product-form limit of GJN in the multi-scale heavy traffic regime. Our proof critically utilizes the Palm version of the basic adjoint relationship (BAR) as developed in Braverman et al. [2023]

Validity of heavy traffic steady-state approximations in generalized Jackson Networks

We consider a single class open queueing network, also known as a generalized Jackson network (GJN). A classical result in heavy-traffic theory asserts that the sequence of normalized queue length processes of the GJN converge weakly to a reflected Brownian motion (RBM) in the orthant, as the traffic intensity approaches unity. However, barring simple instances, it is still not known whether the stationary distribution of RBM provides a valid approximation for the steady-state of the original network. In this paper we resolve this open problem by proving that the re-scaled stationary distribution of the GJN converges to the stationary distribution of the RBM, thus validating a so-called ``interchange-of-limits'' for this class of networks. Our method of proof involves a combination of Lyapunov function techniques, strong approximations and tail probability bounds that yield tightness of the sequence of stationary distributions of the GJN.Comment: Published at http://dx.doi.org/10.1214/105051605000000638 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Bounds and Approximations for Stochastic Fluid Networks

The success of modern networked systems has led to an increased reliance and greater demand of their services. To ensure that the next generation of networks meet these demands, it is critical that the behaviour and performance of these networks can be reliably predicted prior to deployment. Analytical modeling is an important step in the design phase to achieve both a qualitative and quantitative understanding of the system. This thesis contributes towards understanding the behaviour of such systems by providing new results for two fluid network models: The stochastic fluid network model and the flow level model. The stochastic fluid network model is a simple but powerful modeling paradigm. Unfortunately, except for simple cases, the steady state distribution which is vital for many performance calculations, can not be computed analytically. A common technique to alleviate this problem is to use the so-called Heavy Traffic Approximation (HTA) to obtain a tractable approximation of the workload process, for which the steady state distribution can be computed. Though this begs the question: Does the steady-state distribution from the HTA correspond to the steady-state distribution of the original network model? It is shown that the answer to this question is yes. Additionally, new results for this model concerning the sample-path properties of the workload are obtained. File transfers compose much of the traffic of the current Internet. They typically use the transmission control protocol (TCP) and adapt their transmission rate to the available bandwidth. When congestion occurs, users experience delays, packet losses and low transfer rates. Thus it is essential to use congestion control algorithms that minimize the probability of occurrence of such congestion periods. Flow level models hide the complex underlying packet-level mechanisms and simply represent congestion control algorithms as bandwidth sharing policies between flows. Balanced Fairness is a key bandwidth sharing policy that is efficient, tractable and insensitive. Unlike the stochastic fluid network model, an analytical formula for the steady-state distribution is known. Unfortunately, performance calculations for realistic systems are extremely time consuming. Efficient and tight approximations for performance calculations involving congestion are obtained

Performance Evaluation of Transition-based Systems with Applications to Communication Networks

Since the beginning of the twenty-first century, communication systems have witnessed a revolution in terms of their hardware capabilities. This transformation has enabled modern networks to stand up to the diversity and the scale of the requirements of the applications that they support. Compared to their predecessors that primarily consisted of a handful of homogeneous devices communicating via a single communication technology, today's networks connect myriads of systems that are intrinsically different in their functioning and purpose. In addition, many of these devices communicate via different technologies or a combination of them at a time. All these developments, coupled with the geographical disparity of the physical infrastructure, give rise to network environments that are inherently dynamic and unpredictable. To cope with heterogeneous environments and the growing demands, network units have taken a leap from the paradigm of static functioning to that of adaptivity. In this thesis, we refer to adaptive network units as transition-based systems (TBSs) and the act of adapting is termed as transition. We note that TBSs not only reside in diverse environment conditions, their need to adapt also arises following different phenomena. Such phenomena are referred to as triggers and they can occur at different time scales. We additionally observe that the nature of a transition is dictated by the specified performance objective of the relevant TBS and we seek to build an analytical framework that helps us derive a policy for performance optimization. As the state of the art lacks a unified approach to modelling the diverse functioning of the TBSs and their varied performance objectives, we first propose a general framework based on the theory of Markov Decision Processes. This framework facilitates optimal policy derivation in TBSs in a principled manner. In addition, we note the importance of bespoke analyses in specific classes of TBSs where the general formulation leads to a high-dimensional optimization problem. Specifically, we consider performance optimization in open systems employing parallelism and closed systems exploiting the benefits of service batching. In these examples, we resort to approximation techniques such as a mean-field limit for the state evolution whenever the underlying TBS deals with a large number of entities. Our formulation enables calculation of optimal policies and provides tangible alternatives to existing frameworks for Quality of Service evaluation. Compared to the state of the art, the derived policies facilitate transitions in Communication Systems that yield superior performance as shown through extensive evaluations in this thesis

Numerical Methods and Analysis via Random Field Based Malliavin Calculus for Backward Stochastic PDEs

We study the adapted solution, numerical methods, and related convergence analysis for a unified backward stochastic partial differential equation (B-SPDE). The equation is vector-valued, whose drift and diffusion coefficients may involve nonlinear and high-order partial differential operators. Under certain generalized Lipschitz and linear growth conditions, the existence and uniqueness of adapted solution to the B-SPDE are justified. The methods are based on completely discrete schemes in terms of both time and space. The analysis concerning error estimation or rate of convergence of the methods is conducted. The key of the analysis is to develop new theory for random field based Malliavin calculus to prove the existence and uniqueness of adapted solutions to the first-order and second-order Malliavin derivative based B-SPDEs under random environments.Comment: 39 page