22,875 research outputs found

    The moments of the M/M/s queue length process

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    24 pages, no figures.-- MSC2000 codes: 60K25, 68J80, 42C05.MR#: MR1998083 (2004e:60152)Zbl#: Zbl 1035.90023A representation for the moments of the number of customers in a M/M/s queueing system is deduced from the Karlin and McGregor representation for the transition probabilities. This representation allows us to study the limit behavior of the moments as time tends to infinity. We study some consequences of the representation for the mean.The work of the first author (F.M.) was supported by Direccíon General de Investigación (Ministerio de Ciencia y Tecnología) of Spain under grant BFM 2000-0206-C04-01 and INTAS 2000-272.Publicad

    Random Fluid Limit of an Overloaded Polling Model

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    In the present paper, we study the evolution of an overloaded cyclic polling model that starts empty. Exploiting a connection with multitype branching processes, we derive fluid asymptotics for the joint queue length process. Under passage to the fluid dynamics, the server switches between the queues infinitely many times in any finite time interval causing frequent oscillatory behavior of the fluid limit in the neighborhood of zero. Moreover, the fluid limit is random. Additionally, we suggest a method that establishes finiteness of moments of the busy period in an M/G/1 queue.Comment: 36 pages, 2 picture

    Regenerative properties of the linear hawkes process with unbounded memory

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    We prove regenerative properties for the linear Hawkes process under minimal assumptions on the transfer function, which may have unbounded support. These results are applicable to sliding window statistical estimators. We exploit independence in the Poisson cluster point process decomposition, and the regeneration times are not stopping times for the Hawkes process. The regeneration time is interpreted as the renewal time at zero of a M/G/infinity queue, which yields a formula for its Laplace transform. When the transfer function admits some exponential moments, we stochastically dominate the cluster length by exponential random variables with parameters expressed in terms of these moments. This yields explicit bounds on the Laplace transform of the regeneration time in terms of simple integrals or special functions yielding an explicit negative upper-bound on its abscissa of convergence. These regenerative results allow, e.g., to systematically derive long-time asymptotic results in view of statistical applications. This is illustrated on a concentration inequality previously obtained with coauthors

    Another look at the transient behavior of the M/G/1 workload process

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    We use Palm measures, along with a simple approximation technique to derive new explicit expressions for all of the transient moments of the workload process of an M=G=1 queue. These expressions can also be used to derive a closed-form expression for the nth moment of the stationary workload, which solves the well-known Takacs recursion that generates the waiting time moments of an M=G=1 queue that serves customers in a first-come-first-serve manner

    Moments of polynomial functionals in Levy-driven queues with secondary jumps

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    A long-standing open problem concerns the calculation of the moments of the area beneath the M/G/1 workload graph during a busy period. While expressions for the first two moments were known, no results for higher moments were available. This paper includes a recursive algorithm to compute all moments in terms of the model primitives. Our results extend to any storage system fed by a superposition of a drifted Brownian motion and a subordinator with a secondary jump input, yielding the moments of a general class of polynomial functionals of the workload process. Some applications of these moments are also provided

    Maximum of N Independent Brownian Walkers till the First Exit From the Half Space

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    We consider the one-dimensional target search process that involves an immobile target located at the origin and NN searchers performing independent Brownian motions starting at the initial positions x=(x1,x2,...,xN)\vec x = (x_1,x_2,..., x_N) all on the positive half space. The process stops when the target is first found by one of the searchers. We compute the probability distribution of the maximum distance mm visited by the searchers till the stopping time and show that it has a power law tail: PN(mx)BN(x1x2...xN)/mN+1P_N(m|\vec x)\sim B_N (x_1x_2... x_N)/m^{N+1} for large mm. Thus all moments of mm up to the order (N1)(N-1) are finite, while the higher moments diverge. The prefactor BNB_N increases with NN faster than exponentially. Our solution gives the exit probability of a set of NN particles from a box [0,L][0,L] through the left boundary. Incidentally, it also provides an exact solution of the Laplace's equation in an NN-dimensional hypercube with some prescribed boundary conditions. The analytical results are in excellent agreement with Monte Carlo simulations.Comment: 18 pages, 9 figure

    Packet loss characteristics for M/G/1/N queueing systems

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    In this contribution we investigate higher-order loss characteristics for M/G/1/N queueing systems. We focus on the lengths of the loss and non-loss periods as well as on the number of arrivals during these periods. For the analysis, we extend the Markovian state of the queueing system with the time and number of admitted arrivals since the instant where the last loss occurred. By combining transform and matrix techniques, expressions for the various moments of these loss characteristics are found. The approach also yields expressions for the loss probability and the conditional loss probability. Some numerical examples then illustrate our results

    Large deviations analysis for the M/H2/n+MM/H_2/n + M queue in the Halfin-Whitt regime

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    We consider the FCFS M/H2/n+MM/H_2/n + M queue in the Halfin-Whitt heavy traffic regime. It is known that the normalized sequence of steady-state queue length distributions is tight and converges weakly to a limiting random variable W. However, those works only describe W implicitly as the invariant measure of a complicated diffusion. Although it was proven by Gamarnik and Stolyar that the tail of W is sub-Gaussian, the actual value of limxx2log(P(W>x))\lim_{x \rightarrow \infty}x^{-2}\log(P(W >x)) was left open. In subsequent work, Dai and He conjectured an explicit form for this exponent, which was insensitive to the higher moments of the service distribution. We explicitly compute the true large deviations exponent for W when the abandonment rate is less than the minimum service rate, the first such result for non-Markovian queues with abandonments. Interestingly, our results resolve the conjecture of Dai and He in the negative. Our main approach is to extend the stochastic comparison framework of Gamarnik and Goldberg to the setting of abandonments, requiring several novel and non-trivial contributions. Our approach sheds light on several novel ways to think about multi-server queues with abandonments in the Halfin-Whitt regime, which should hold in considerable generality and provide new tools for analyzing these systems
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