Queueing systems with batch Markovian arrival process (BMAP) have paramount applications in the domain of wireless communication. The BMAP has been used to model the superposition of video sources and to approximate the super-position of data, voice and video traffic. This paper analyzes an infinite-buffer generally distributed batch-service queue with BMAP, general bulk service ($a,b$) rule and batch-size-dependent service time. In this proposed analysis, we mainly focus on deriving the bivariate vector generating function of queue and server content distribution together at departure epoch using supplementary variable technique. The mathematical procedure for the complete extraction of distribution at departure epoch has been discussed and using those extracted probabilities, we achieve the queue and server content distribution at arbitrary epoch. Finally, numerical illustrations have been carried out in order to make a deep insight to the readers which contains deterministic as well as phase-type service time distributions.
This paper considers a BMAP/M/$\infty$ queue with a batch Markovian arrival process (BMAP) and an exponential service time distribution. We first prove that the BMAP/M/$\infty$ queue is stable if and only if the expectation of the logarithm of the batch-size distribution is finite. Using this result, we also present the stability condition for an infinite-server queue with a multiclass batch Markovian arrival process and class-dependent exponential service times.
The main contribution of this paper is to prove the subexponential tail equivalence of the stationary queue length distributions in the BMAP/GI/1 queues with and without retrials. We first present a stochastic-decomposition-like result of the stationary queue length in the BMAP/GI/1 retrial queue, which is an extension of the stochastic decomposition of the stationary queue length in the M${}^X$/GI/1 retrial queue. The stochastic-decomposition-like result shows that the stationary queue length distribution in the BMAP/GI/1 retrial queue is decomposed into two parts: the stationary conditional …
In this paper, we analyze a retrial queueing system with Batch Markovian Arrival Processes and two types of customers. The rate of individual repeated attempts from the orbit is modulated according to a Markov Modulated Poisson Process. Using the theory of multi-dimensional asymptotically quasi-Toeplitz Markov chain, we obtain the stability condition and the algorithm for calculating the stationary state distribution of the system. Main performance measures are presented. Furthermore, we investigate some optimization problems. The algorithm for determining the optimal number of guard servers a…
The mathematics of the finite single server queue with Poisson input and semi-Markov service times($M/SM/1/b$) is similar to that used for $BMAP/G/1/b$ systems. This observation results in new analytical formulas for a queue size in the $M/SM/1/b$ system. Both stationary and the transient solutions are considered
The main contribution of this paper is to present a new sufficient condition for the subexponential asymptotics of the stationary distribution of a GI/GI/1-type Markov chain without jumps from level "infinity" to level zero. For simplicity, we call such Markov chains {\it GI/GI/1-type Markov chains without disasters} because they are often used to analyze semi-Markovian queues without "disasters", which are negative customers who remove all the customers in the system (including themselves) on their arrivals. In this paper, we demonstrate the application of our main result to the stationary qu…
In this paper, we deal with a two-queue polling system attended by a single server. The server visits the queues according to a Markovian routing mechnism. There are two-class customers in the first queue. Customers of each queue are served in the exhaustive discipline. For this model, we study the joint number of customers, the cycle time and the waiting times. we are also devoted to deriving the exact asymptotics for the scaled delay in the heavy-traffic scenario. In addition, the scaled delays with large switch-over times are discussed for the first time in the Markovian polling systems. Fi…
This paper considers a work-conserving FIFO single-server queue with multiple batch Markovian arrival streams governed by a continuous-time finite-state Markov chain. A particular feature of this queue is that service time distributions of customers may be different for different arrival streams. After briefly discussing the actual waiting time distributions of customers from respective arrival streams, we derive a formula for the vector generating function of the time-average joint queue length distribution in terms of the virtual waiting time distribution. Further assuming the discrete phase…
We consider an $M/M/1$ queueing system with impatient customers with multiple and single vacations. It is assumed that customers are impatient whenever the state of the server. We derive the probability generating functions of the number of customers in the system and we obtain some performance measures.
We consider a Markovian queue subject to Poisson generated catastrophes. Whenever a catastrophe occurs, all customers are forced to abandon the system, the server is rendered inoperative and an exponential repair time is set on. We assume that the arriving customers decide whether to join the system or balk, based on a natural reward-cost structure. We study the balking behavior of the customers and derive the corresponding Nash equilibrium strategies.
In this note, a general approach to the study of non-stationary Markov chains with catastrophes and the corresponding queuing models is considered, as well as to obtain estimates of the limiting regime itself. As an illustration, an example of a queuing model is studied.
An infinite buffer batch service vacation queue has been studied where service rate of the batch is dependent on the size of the batch and vacation rate is dependent on the queue size at vacation initiation epoch. The arrivals follow the Markovian arrival process (MAP). For service rule, general bulk service (GBS) rule is considered. The service time and vacation time both are considered to be generally distributed. Several joint distributions of interest are obtained using the bivariate vector generating function method and the supplementary variable technique (SVT). Numerical results are pre…
We consider a finite population processor-sharing (PS) queue, with Markovian arrivals and an exponential server. Such a queue can model an interactive computer system consisting of a bank of terminals in series with a central processing unit (CPU). For systems with a large population $N$ and a commensurately rapid service rate, or infrequent arrivals, we obtain various asymptotic results. We analyze the conditional sojourn time distribution of a tagged customer, conditioned on the number $n$ of others in the system at the tagged customer's arrival instant, and also the unconditional distributi…
In this paper we investigate an M/M/$\infty$ queue whose parameters depend on an external random environment that we assume to be a semi-Markovian process with finite state space. For this model we show a recursive formula that allows to compute all the factorial moments for the number of customers in the system in steady state. The used technique is based on the calculation of the raw moments of the measure of a bidimensional random set. Finally the case when the random environment has only two states is deeper analyzed. We obtain an explicit formula to compute the above mentioned factorial m…
In this paper we revisit the Markovian queueing system with a single server, infinite capacity queue and the special queue skipping policy. Customers arrive in batches, but are served one by one according to any conservative discipline. The size of the arriving batch becomes known upon its arrival and at any time instant the total number of customers in the system is also known. According to the adopted queue skipping policy if a batch, which size is greater than the current system size, arrives to the system, all current customers in the system are removed from it and the new batch is placed …
We develop accurate approximations of the delay distribution of the MArP/G/1 queue that cap- ture the exact tail behavior and provide bounded relative errors. Motivated by statistical analysis, we consider the service times as a mixture of a phase-type and a heavy-tailed distribution. With the aid of perturbation analysis, we derive corrected phase-type approximations as a sum of the delay in an MArP/PH/1 queue and a heavy-tailed component depending on the perturbation parameter. We exhibit their performance with numerical examples.
Queueing networks are notoriously difficult to analyze sans both Markovian and stationarity assumptions. Much of the theoretical contribution towards performance analysis of time-inhomogeneous single class queueing networks has focused on Markovian networks, with the recent exception of work in Liu and Whitt (2011) and Mandelbaum and Ramanan (2010). In this paper, we introduce transitory queueing networks as a model of inhomogeneous queueing networks, where a large, but finite, number of jobs arrive at queues in the network over a fixed time horizon. The queues offer FIFO service, and we assum…
A state-dependent 1-limited polling model with N queues is analyzed. The routing strategy generalizes the classical Markovian polling model, in the sense that two routing matrices are involved, the choice being made according to the state of the last visited queue. The stationary distribution of the position of the server is given. Ergodicity conditions are obtained by means of an associated dynamical system. Under rotational symmetry assumptions, average queue length and mean waiting times are computed.
We consider Markovian multiserver retrial queues where a blocked customer has two opportunities for abandonment: at the moment of blocking or at the departure epoch from the orbit. In this queueing system, the number of customers in the system (servers and buffer) and that in the orbit form a level-dependent quasi-birth-and-death (QBD) process whose stationary distribution is expressed in terms of a sequence of rate matrices. Using a simple perturbation technique and a matrix analytic method, we derive Taylor series expansion for nonzero elements of the rate matrices with respect to the number…
Discrete-time queueing models find huge applications as they are used in modeling queueing systems arising in digital platforms like telecommunication systems, computer networks, etc. In this paper, we analyze an infinite-buffer queueing model with discrete Markovian arrival process. The units on arrival are served in batches by a single server according to the general bulk-service rule, and the service time follows general distribution with service rate depending on the size of the batch being served. We mathematically formulate the model using the supplementary variable technique and obtain …
We establish heavy traffic limit theorems for queue-length processes in critically loaded single class queueing networks with state dependent arrival and service rates. A distinguishing feature of our model is non-Markovian state dependence. The limit stochastic process is a continuous-path reflected process on the nonnegative orthant. We give an application to generalised Jackson networks with state-dependent rates.
Significant correlations between arrivals of load-generating events make the numerical evaluation of the workload of a system a challenging problem. In this paper, we construct highly accurate approximations of the workload distribution of the MAP/G/1 queue that capture the tail behavior of the exact workload distribution and provide a bounded relative error. Motivated by statistical analysis, we consider the service times as a mixture of a phase-type and a heavy-tailed distribution. With the aid of perturbation analysis, we derive our approximations as a sum of the workload distribution of th…
This is an expository review paper illustrating the ``martingale method'' for proving many-server heavy-traffic stochastic-process limits for queueing models, supporting diffusion-process approximations. Careful treatment is given to an elementary model -- the classical infinite-server model $M/M/\infty$, but models with finitely many servers and customer abandonment are also treated. The Markovian stochastic process representing the number of customers in the system is constructed in terms of rate-1 Poisson processes in two ways: (i) through random time changes and (ii) through random thinnin…
We consider a general $k$ dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (claims) are given by a $k$ dimensional finite state Markov Chain and the arrivals follow a renewal process. After deriving a multidimensional integral equation for the moment generating function jointly to the state of the input at time $t$ given the initial state of the input at time 0, asymptotic results for the first and second (matrix) moments of the process are provided. In particular, when the interarrival or ser…
We propose a generalization of the classical M/M/1 queue process. The resulting model is derived by applying fractional derivative operators to a system of difference-differential equations. This generalization includes both non-Markovian and Markovian properties, which naturally provide greater flexibility in modeling real queue systems than its classical counterpart. Algorithms to simulate M/M/1 queue process and the related linear birth-death process are provided. Closed-form expressions of the point and interval estimators of the parameters of these fractional stochastic models are also pr…
This paper proposes a new algorithm for computing the stationary distribution vector in continuous-time upper block-Hessenberg Markov chains. To this end, we consider the last-block-column-linearly-augmented (LBCL-augmented) truncation of the (infinitesimal) generator of the upper block-Hessenberg Markov chain. The LBCL-augmented truncation is a linearly-augmented truncation such that the augmentation distribution has its probability mass only on the last block column. We first derive an upper bound for the total variation distance between the respective stationary distribution vectors of the …
We consider a Markovian single-server retrial queueing system with a constant retrial rate. Conditions of null ergodicity and exponential ergodicity for the correspondent process, as well as bounds on the rate of convergence are obtained.
Motivated by queues with many servers, we study Brownian steady-state approximations for continuous time Markov chains (CTMCs). Our approximations are based on diffusion models (rather than a diffusion limit) whose steady-state, we prove, approximates that of the Markov chain with notable precision. Strong approximations provide such "limitless" approximations for process dynamics. Our focus here is on steady-state distributions, and the diffusion model that we propose is tractable relative to strong approximations. Within an asymptotic framework, in which a scale parameter $n$ is taken large,…
We investigate Markovian queues that are examined by a controller at random times determined by a Poisson process. Upon examination, the controller sets the service speed to be equal to the minimum of the current number of customers in the queue and a certain maximum service speed; this service speed prevails until the next examination time. We study the resulting two-dimensional Markov process of queue length and server speed, in particular two regimes with time scale separation, specifically for infinitely frequent and infinitely long examination times. In the intermediate regime the analysi…
In this paper we study the distribution of the level at time $θ$ of Markovian fluid queues and Markovian continuous time random walks, the maximum (and minimum) level over $[0,θ]$, and their joint distributions. We approximate $θ$ by a random variable $T$ with Erlang distribution and we use an alternative way, with respect to the usual Laplace transform approach, to compute the distributions. We present probabilistic interpretation of the equations and provide a numerical illustration.
We consider the so-called GI/GI/N queue, in which a stream of jobs with independent and identically distributed service times arrive as a renewal process to a common queue that is served by $N$ identical parallel servers in a first-come-first-serve manner. We introduce a new representation for the state of the system and, under suitable conditions on the service and interarrival distributions, establish convergence of the corresponding sequence of centered and scaled stationary distributions in the so-called Halfin-Whitt asymptotic regime. In particular, this resolves an open question posed by…
In this paper we study the number of customers in infinite-server queues with a self-exciting (Hawkes) arrival process. Initially we assume that service requirements are exponentially distributed and that the Hawkes arrival process is of a Markovian nature. We obtain a system of differential equations that characterizes the joint distribution of the arrival intensity and the number of customers. Moreover, we provide a recursive procedure that explicitly identifies (transient and stationary) moments. Subsequently, we allow for non-Markovian Hawkes arrival processes and non-exponential service t…
A Markovian single-server queue is studied in an interactive random environment. The arrival and service rates of the queue depend on the environment, while the transition dynamics of the random environment depends on the queue length. We consider in detail two types of Markov random environments: a pure jump process and a reflected jump-diffusion. In both cases, the joint dynamics is constructed so that the stationary distribution can be explicitly found in a simple form (weighted geometric). We also derive an explicit estimate for exponential rate of convergence to the stationary distributio…
We consider Markov processes, which describe e.g. queueing network processes, in a random environment which influences the network by determining random breakdown of nodes, and the necessity of repair thereafter. Starting from an explicit steady state distribution of product form available in the literature, we notice that this steady state distribution does not provide information about the correlation structure in time and space (over nodes). We study this correlation structure via one step correlations for the queueing-environment process. Although formulas for absolute values of these corr…
This paper considers the tail asymptotics for a cumulative process $\{B(t); t \ge 0\}$ sampled at a heavy-tailed random time $T$. The main contribution of this paper is to establish several sufficient conditions for the asymptotic equality ${\sf P}(B(T) > bx) \sim {\sf P}(M(T) > bx) \sim {\sf P}(T>x)$ as $x \to \infty$, where $M(t) = \sup_{0 \le u \le t}B(u)$ and $b$ is a certain positive constant. The main results of this paper can be used to obtain the subexponential asymptotics for various queueing models in Markovian environments. As an example, using the main results, we derive subexponen…
In this paper we analyze a single server queue with batch arrivals and semi-Markovian service times. We also include the feature that the first service of each busy period might have a different distribution than subsequent service times. Our generating function based approach allows us to determine the heavy traffic limit of the scaled queue-length distribution. It turns out that this distribution converges to an exponential distribution. Nonsurprisingly, the exceptional first service does not influence this limiting distribution. We identify a sufficient and necessary condition under which t…
In this paper we study a non-stationary Markovian queueing model of a two-processor heterogeneous system with time-varying arrival and service rates. We obtain the bounds on the rate of convergence and find the main limiting characteristics of the queue-length process.
In this paper, we consider a $G_t/G_t/\infty$ infinite server queueing model in a random environment. More specifically, the arrival rate in our server is modeled as a highly fluctuating stochastic process, which arguably takes into account some small time scale variations often observed in practice. We show a homogenization property for this system, which yields an approximation by a $M_t/G_t/\infty$ queue with modified parameters. Our limiting results include the description of the number of active servers, the total accumulated input and the solution of the storage equation. Hence in the fa…
The PS-model treated in this paper is motivated by freelance job websites where multiple freelancers compete for a single job. In the context of such websites, multistage service of a job means collection of applications from multiple freelancers. Under Markovian stochastic assumptions, we develop fluid limit approximations for the PS-model in overload. Based on this approximation, we estimate what proportion of freelancers get the jobs they apply for. In addition, the PS-model studied here is an instant of PS with routing and impatience, for which no Lyapunov function is known, and we suggest…
The $M/GI/m/n$ queueing system with $m$ homogeneous servers and the finite number $n$ of waiting spaces is studied. Let $λ$ be the customers arrival rate, and let $μ$ be the reciprocal of the expected service time of a customer. Under the assumption $λ=mμ$ it is proved that the expected number of losses during a busy period is the same value for all $n\geq1$, while in the particular case of the Markovian system $M/M/m/n$ the expected number of losses during a busy period is $\frac{m^m}{m!}$ for all $n\geq0$. Under the additional assumption that the probability distribution function of a servic…
As a favorite urban public transport mode, the bike sharing system is a large-scale and complicated system, and there exists a key requirement that a user and a bike should be matched sufficiently in time. Such matched behavior makes analysis of the bike sharing systems more difficult and challenging. This paper considers a more general large-scale bike sharing system from two important views: (a) Bikes move in an irreducible path graph, which is related to geographical structure of the bike sharing system; and (b) Markovian arrival processes (MAPs) are applied to describe the non-Poisson and …
A univariate Hawkes process is a simple point process that is self-exciting and has clustering effect. The intensity of this point process is given by the sum of a baseline intensity and another term that depends on the entire past history of the point process. Hawkes process has wide applications in finance, neuroscience, social networks, criminology, seismology, and many other fields. In this paper, we prove a functional central limit theorem for stationary Hawkes processes in the asymptotic regime where the baseline intensity is large. The limit is a non-Markovian Gaussian process with depe…
We consider a two-dimensional stochastic fluid model with $N$ ON-OFF inputs and temporary assistance, which is an extension of the same model with $N = 1$ in Mahabhashyam et al. (2008). The rates of change of both buffers are piecewise constant and dependent on the underlying Markovian phase of the model, and the rates of change for Buffer 2 are also dependent on the specific level of Buffer 1. This is because both buffers share a fixed output capacity, the precise proportion of which depends on Buffer 1. The generalization of the number of ON-OFF inputs necessitates modifications in the origi…
We consider a system of N queues with decentralized load balancing such as power-of-D strategies(where D may depend on N) and generic scheduling disciplines. To measure the dependence of the queues, we use the clan of ancestors, a technique coming from interacting particle systems. Relying in that analysis we prove quantitative estimates on the queues correlations implying propagation of chaos for systems with Markovian arrivals and general service time distribution. This solves the conjecture posed by Bramsom et. al. in [*] concerning the asymptotic independence of the servers in the case of …
Hawkes process is a class of simple point processes that is self-exciting and has clustering effect. The intensity of this point process depends on its entire past history. It has wide applications in finance, insurance, neuroscience, social networks, criminology, seismology, and many other fields. In this paper, we study linear Hawkes process with an exponential kernel in the asymptotic regime where the initial intensity of the Hawkes process is large. We establish large deviations for Hawkes processes in this regime as well as the regime when both the initial intensity and the time are large…
This paper focuses on an infinite-server queue modulated by an independently evolving finite-state Markovian background process, with transition rate matrix $Q\equiv(q_{ij})_{i,j=1}^d$. Both arrival rates and service rates are depending on the state of the background process. The main contribution concerns the derivation of central limit theorems for the number of customers in the system at time $t\ge 0$, in the asymptotic regime in which the arrival rates $λ_i$ are scaled by a factor $N$, and the transition rates $q_{ij}$ by a factor $N^α$, with $α\in \mathbb R^+$. The specific value of $α$ h…
We investigate the transient and stationary queue-length distributions of a class of service systems with correlated service times. The classical $M^X/G/1$ queue with semi-Markov service times is the most prominent example in this class and serves as a vehicle to display our results. The sequence of service times is governed by a modulating process $J(t)$. The state of $J(\cdot)$ at a service initiation time determines the joint distribution of the subsequent service duration and the state of $J(\cdot)$ at the next service initiation. Several earlier works have imposed technical conditions, on…
