Branching-type polling systems with large setups

The present paper considers the class of polling systems that allow a multi-type branching process interpretation. This class contains the classical exhaustive and gated policies as special cases. We present an exact asymptotic analysis of the delay distribution in such systems, when the setup times tend to infinity. The motivation to study these setup time asymptotics in polling systems is based on the specific application area of base-stock policies in inventory control. Our analysis provides new and more general insights into the behavior of polling systems with large setup times. © 2009 The Author(s)

On polling systems with large setups

Polling systems with large deterministic setup times find many applications in production environments. We study the delay distribution in exhaustive polling systems when the setup times tend to infinity. Via mean value analysis a novel approach is developed to show that the scaled delay distribution converges to a uniform distribution

Quasi-birth-and-death processes, lattice path counting, and hypergeometric functions

This paper considers a class of quasi-birth-and-death processes for which explicit solutions can be obtained for the rate matrix R and the associated matrix G. The probabilistic interpretations of these matrices allow us to describe their elements in terms of paths on the two-dimensional lattice. Then determining explicit expressions for the matrices becomes equivalent to solving a lattice path counting problem, the solution of which is derived using path decomposition, Bernoulli excursions, and hypergeometric functions. A few applications are provided, including classical models for which we obtain some new results

Closed-form waiting time approximations for polling systems

A typical polling system consists of a number of queues, attended by a single server in a fixed order. The present study derives closed-form approximations for the mean waiting times and mean marginal queue lengths of polling systems with renewal arrival processes, which can be computed by simple calculations. The results of the present research may be very suitable for the design and optimisation phase in many application areas, such as telecommunication, maintenance, manufacturing and transportation

On capital allocation for a risk measure derived from ruin theory

This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest initial capital needed to ensure that the ultimate ruin probability is less than a given threshold. We introduce an intuitively appealing, novel allocation method, with a focus on its application to capital reserves which are determined through the dynamic VaR measure. Various desirable properties of the presented approach are derived including a limit result when considering a large time horizon and the comparison with the frequently used gradient allocation method. In passing, we introduce a second allocation method and discuss its relation to the other allocation approaches. A number of examples illustrate the applicability and performance of the allocation approaches