22,875 research outputs found
The moments of the M/M/s queue length process
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
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
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
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
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
We consider the one-dimensional target search process that involves an
immobile target located at the origin and searchers performing independent
Brownian motions starting at the initial positions 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 visited by the searchers till the stopping time and
show that it has a power law tail: for large . Thus all moments of up to the order
are finite, while the higher moments diverge. The prefactor increases
with faster than exponentially. Our solution gives the exit probability of
a set of particles from a box through the left boundary.
Incidentally, it also provides an exact solution of the Laplace's equation in
an -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
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 queue in the Halfin-Whitt regime
We consider the FCFS 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 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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