Monitoring Networked Applications With Incremental Quantile Estimation

Abstract

Networked applications have software components that reside on different computers. Email, for example, has database, processing, and user interface components that can be distributed across a network and shared by users in different locations or work groups. End-to-end performance and reliability metrics describe the software quality experienced by these groups of users, taking into account all the software components in the pipeline. Each user produces only some of the data needed to understand the quality of the application for the group, so group performance metrics are obtained by combining summary statistics that each end computer periodically (and automatically) sends to a central server. The group quality metrics usually focus on medians and tail quantiles rather than on averages. Distributed quantile estimation is challenging, though, especially when passing large amounts of data around the network solely to compute quality metrics is undesirable. This paper describes an Incremental Quantile (IQ) estimation method that is designed for performance monitoring at arbitrary levels of network aggregation and time resolution when only a limited amount of data can be transferred. Applications to both real and simulated data are provided.Comment: This paper commented in: [arXiv:0708.0317], [arXiv:0708.0336], [arXiv:0708.0338]. Rejoinder in [arXiv:0708.0339]. Published at http://dx.doi.org/10.1214/088342306000000583 in the Statistical Science (http://www.imstat.org/sts/) by the Institute of Mathematical Statistics (http://www.imstat.org