When Do Redundant Requests Reduce Latency ?

Several systems possess the flexibility to serve requests in more than one way. For instance, a distributed storage system storing multiple replicas of the data can serve a request from any of the multiple servers that store the requested data, or a computational task may be performed in a compute-cluster by any one of multiple processors. In such systems, the latency of serving the requests may potentially be reduced by sending "redundant requests": a request may be sent to more servers than needed, and it is deemed served when the requisite number of servers complete service. Such a mechanism trades off the possibility of faster execution of at least one copy of the request with the increase in the delay due to an increased load on the system. Due to this tradeoff, it is unclear when redundant requests may actually help. Several recent works empirically evaluate the latency performance of redundant requests in diverse settings. This work aims at an analytical study of the latency performance of redundant requests, with the primary goals of characterizing under what scenarios sending redundant requests will help (and under what scenarios they will not help), as well as designing optimal redundant-requesting policies. We first present a model that captures the key features of such systems. We show that when service times are i.i.d. memoryless or "heavier", and when the additional copies of already-completed jobs can be removed instantly, redundant requests reduce the average latency. On the other hand, when service times are "lighter" or when service times are memoryless and removal of jobs is not instantaneous, then not having any redundancy in the requests is optimal under high loads. Our results hold for arbitrary arrival processes.Comment: Extended version of paper presented at Allerton Conference 201

The MDS Queue: Analysing the Latency Performance of Erasure Codes

In order to scale economically, data centers are increasingly evolving their data storage methods from the use of simple data replication to the use of more powerful erasure codes, which provide the same level of reliability as replication but at a significantly lower storage cost. In particular, it is well known that Maximum-Distance-Separable (MDS) codes, such as Reed-Solomon codes, provide the maximum storage efficiency. While the use of codes for providing improved reliability in archival storage systems, where the data is less frequently accessed (or so-called "cold data"), is well understood, the role of codes in the storage of more frequently accessed and active "hot data", where latency is the key metric, is less clear. In this paper, we study data storage systems based on MDS codes through the lens of queueing theory, and term this the "MDS queue." We analytically characterize the (average) latency performance of MDS queues, for which we present insightful scheduling policies that form upper and lower bounds to performance, and are observed to be quite tight. Extensive simulations are also provided and used to validate our theoretical analysis. We also employ the framework of the MDS queue to analyse different methods of performing so-called degraded reads (reading of partial data) in distributed data storage

Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation

We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of model parameters in the presence of price series level shifts which are not accurately modeled in the standard Gaussian error correction model (ECM) framework. This involves developing a novel matrix variate Bayesian CVAR mixture model comprised of Gaussian errors intra-day and Alpha-stable errors inter-day in the ECM framework. To achieve this we derive a novel conjugate posterior model for the Scaled Mixtures of Normals (SMiN CVAR) representation of Alpha-stable inter-day innovations. These results are generalized to asymmetric models for the innovation noise at inter-day boundaries allowing for skewed Alpha-stable models. Our proposed model and sampling methodology is general, incorporating the current literature on Gaussian models as a special subclass and also allowing for price series level shifts either at random estimated time points or known a priori time points. We focus analysis on regularly observed non-Gaussian level shifts that can have significant effect on estimation performance in statistical models failing to account for such level shifts, such as at the close and open of markets. We compare the estimation accuracy of our model and estimation approach to standard frequentist and Bayesian procedures for CVAR models when non-Gaussian price series level shifts are present in the individual series, such as inter-day boundaries. We fit a bi-variate Alpha-stable model to the inter-day jumps and model the effect of such jumps on estimation of matrix-variate CVAR model parameters using the likelihood based Johansen procedure and a Bayesian estimation. We illustrate our model and the corresponding estimation procedures we develop on both synthetic and actual data.Comment: 30 page