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Analysis of A General Markovian Two-Stage Continuous-Flow Production System With A Finite Buffer
Analysis of A General Markovian Two-Stage Continuous-Flow Production System With A Finite Buffer
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Koc University
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Graduate School of Business, Koc- University, Rumeli Feneri Yolu, Saryer, Istanbul, Turkey
Department of Mechanical Engineering, Massachusetts Institute of Technology, Cambridge, MA 02139-4307, USA
a r t i c l e in fo
abstract
Article history:
Received 5 April 2007
Accepted 6 May 2008
Available online 20 January 2009
Fluid ow models are used in the performance evaluation of production, computer, and
telecommunication systems. In order to develop a methodology to analyze general
Markovian continuous material ow production systems with two processing stages
with an intermediate nite buffer, a general single-buffer uid ow system is modelled
as a continuous time, continuous-discrete state space stochastic process and the steadystate distribution is determined. Various performance measures such as the production
rate and the expected buffer level are determined from the steady-state distributions.
The exibility of this methodology allows analysis of a wide range of models by
specifying only the transition rates and the ow rates associated with the discrete states
of each stage. Therefore, the method is proposed as a tool for performance evaluation of
general Markovian continuous-ow systems with a nite buffer. The solution
methodology is illustrated by analyzing a production system where each machine has
multiple up and down states associated with their quality characteristics.
& 2008 Elsevier B.V. All rights reserved.
Keywords:
Continuous-ow systems
Fluid ow models
Markovian production systems
Level crossing analysis
Performance evaluation
1. Introduction
In this study, we consider a two-stage continuous-ow
system separated by a nite capacity buffer (Fig. 1). The
dynamics of each stage is described by a continuous time,
discrete-state Markov chain where a different ow rate is
associated with each state. This model can represent a
wide range of systems. For example, it may represent a
portion of a factory in which a stage represents an
unreliable machine that may have any one of a wide
variety of up- and down-time distributions; or a machine
with variable quality; or multiple machines in series or in
parallel without intermediate buffers. For another example, it can represent a communications network in which
message ow rates change according to Markov processes.
Corresponding author.
Mu
Md
2. Example
Before presenting the methodology to analyze general
Markovian continuous-ow systems, we rst introduce a
specic example to illustrate the type of models and also
to show the generality of our methodology. In this
example, we consider a production system with two
unreliable machines with multiple up and down
states and a nite buffer studied by Poffe and Gershwin
(2005).
In the system we consider, the rst stage, Mu , has two
up (State 1 and State 1) and three down states (State D1 ,
D1 , and DQ ). We refer to states of M u as down when the
processing rate in that state is 0. In State 1, the machine
produces products with no quality problems but when it
is in State 1, the quality of the products produced is not
perfect. Furthermore, the machine is subject to two
different failures: operational failures (State D1 and
DQ
rQ
g
u
d
u
1
-1
D1
D-1
0
0
329
q
probXtpx; au t i; ad t j for 0oxoN.
qx
We assume that the process is ergodic and the steadystate probabilities exist. A formal proof of ergodicity is not
given in this paper. However, it is possible to show
u
DQ
D1
D1
1
1
0
20
40
60
80
100
d
120
140
160
180
200
20
40
60
80
100
120
140
160
180
200
20
40
60
80
100
t
120
140
160
180
200
0
1
10
5
0
Fig. 3. Sample path for the system of Sections 2 and 5 with multiple up and down states (mu 1:2, md 1, p 0:01, r 0:1, p0 0:05, r 0 0:10, g 0:05,
h 0:10, r Q 0:10).
for 0oxoN,
(1)
for i; j 2 S; S U; D; Z.
(2)
0
B
f x; i; j; t h f x mui mdj h; i; j; tB
@1
0
Iu
X
i0 1
i0 ai
luii0 hC
A
Id
X
B
C
B
1
ldjj0 hC
@
A
j0 1
j0 aj
Iu
X
i0 1
i0 ai
B
B
@1
Id
X
Id
X
j0 1
j0 aj
ldjj0 hC
A
d
j0 1
j0 aj
B
B
@1
Iu
X
i0 1
i0 ai
luii0 hC
A;
i; j 2 SM .
(3)
qf x; i; j; t
qf x; i; j; t
mui mdj
qt
qx
0
1
Id
Iu
X
BX
C
u
0
l
ldjj0 C
f x; i; j; tB
ii
@
A
i0 1
i0 ai
j0 1
j0 aj
Iu
X
f x; i
u
; j; tli0 i
i0 1
i0 ai
Id
X
f x; i; j
d
; tlj0 j ;
i; j 2 SM .
(4)
j0 1
j0 aj
Id
Iu
X
C
BX
qf x; i; j
u
0
f x; i; jB
l
ldjj0 C
ii
A
@
qx
i0 1
j0 1
i0 ai
Iu
X
f x; i
j0 aj
i0 1
i0 ai
Id
X
f x; i; j0 lj0 j ;
i; j 2 SM .
(5)
j 1
j0 aj
Solution of the internal equations: Note that the coefcient of qf x; i; j=qx in Eq. (5) can be positive, negative, or
zero. Then the internal equations given in Eq. (5) can be
written in matrix form as
22
33
qf U x
2"
#3
6 6 qx 7 7 "
#
f U x
7
66
A1 A2 6
7
6 4 qf x 7
57
6 f D x 7,
(6)
D
7
6
5
A3 A4 4
7
6
qx
5
4
f Z x
0
where A1 is a square matrix of size IU ID IU ID , A4
is a square matrix of size IZ IZ , A2 is a matrix of size
IU ID IZ , A3 is a matrix of size IZ IU ID , and 0 is a
column vector of length IZ . These matrices are determined
by the parameters of the system.
Expanding Eq. (6) gives the following set of equations:
3
2
qf U x
"
#
f x
6 qx 7
7 A1 U
6
(7)
A2 f Z x,
4 qf D x 5
f D x
qx
and
"
0 A3
f U x
f D x
#
A4 f Z x.
where L A1 A2 A1
4 A3 . The solution of this rst-order
matrix differential equation is
"
#
f U x
(11)
eLx w,
f D x
where eLx is a matrix exponential determined by matrix L
and w is a column vector of length IU ID .
Inserting the solution for f U x and f D x given in
Eq. (11) into Eq. (9) yields the solution for f Z x
f Z x O eLx w.
u
; jli0 i
(8)
331
(12)
T!1
Lx; i; j; T
h
oh.
u
T
jmi mdj j
(14)
Iu
X
lim
T!1
Lx; i; j; T
jmui mdj jf x; i; j.
T
(15)
(16)
i1 j1
p0; i0 ; j; tlui0 i
i0 1
i0 ai
i0 ;j2S0
Id
X
p0; i; j0 ; tcdj0 j ;
i; j 2 S0 .
(17)
j0 1
j0 aj
i;j0 2S0
A0 p0S0 t,
(18)
Iu
X
p0; i0 ; j; tlui0 i
i0 1
i0 ai
i0 ;j2S0
Id
X
p0; i; j0 ; tcdj0 j ;
i; j 2 U.
(19)
j0 1
j0 aj
i;j0 2S0
(20)
0
Iu
BX
dp0; i; j; t
p0; i; j; tB
@
dt
i0 1
i0 ai
luii0
Id
X
j0 1
j0 aj
cdjj0 C
A
mui mdj f 0 ; i; j
m mdj0 f 0 ; i0 ; j0
u
i0 ;j0 2D i0
i; j 2 D.
,
(21)
exit
i; j P
mui mdj f 0 ; i; j
i0 ;j0 2U
d f 0 ; i0 ; j0
j0
u
i0
m m
i; j 2 U.
(22)
The empty-buffer process relates the probabilities given
in Eqs. (21) and (22). More specically
exit
i; j
probf
X
exit
enter
i; jjf
probf
i0 ;j0 2D
enter
i0 ; j0 probf
i0 ; j0 ;
i; j 2 U.
(23)
Inserting Eqs. (21) and (22) into Eq. (23) and using the
equivalence of the upward and downward crossings given
in Eq. (16) yields
X
exit
enter
mui mdj f 0 ; i; j
i; jjf
probf
333
given as
p0; i; j
lim
i0 ;j0 2D
T!1
(26)
(27)
0 0
i ;j 2D
0
(28)
0 0
i ;j 2D
i0 ; j0 mdj0 mui0 f 0 ; i0 ; j0 ;
i; j 2 U (24)
exit
enter
i; jjf
where conditional probabilities probf
0 0
i ; j are determined from Eqs. (18) and (20).
is the conditional
The i; ji0 ; j0 element of B0 A1
0
probability that the empty-buffer process exits in a
particular state i; j 2 U given that it starts in one of the
states i0 ; j0 2 S0 where the buffer stays empty. Since the
empty-buffer process can start only in states i; j 2 D, let
G0 be a IU ID matrix that is obtained by eliminating
corresponding to states S0 nD.
the columns of B0 A1
0
Accordingly, by using the solution of the density
functions given in Eqs. (11), (24) can be written in matrix
form as
diagmU 0IU ID w G0 0ID IU diagmD w,
u
i
d
j ji; j
(25)
where
mU fm m
2 Ug
and
mD fmdj mui ji; j 2 Dg. We use diag(a) to represent a
diagonal matrix formed with the elements of vector a and
0kl is a k l matrix of zeros.
P
exit
i; j 1, Eq. (25) gives
Since
i;j2U probf
IU 1 linearly independent equations that will be used
to determine w.
Steady-state probability distribution: Due to ergodicity
of the process, the probability that X 0 and au ; ad
i; j is also the fraction of the total time the process stays
in this state in a given time period the long run.
We can determine the total time the process stays in
state i; j 2 S0 while X 0 in a given time period by
determining the number of times the buffer becomes
empty and the time the process stays in this state for
each time the buffer becomes empty in the same time
period.
Given that the machine states au ; ad i0 ; j0 2 D at
the time the buffer becomes empty, the expected time
that the machine states au ; ad stay in i; j 2 S0 before
exiting to a state au ; ad 2 U is denoted by ET 0i;j;i0 ;j0 .
Then, the steady-state probability of state 0; i; j, p0; i; j is
X
i0 ;j0 2S0
p0; i; j uIS0 p0 ,
(29)
t
.
tN
k k
In order for the buffer to become full at time t N
k the
machine state au ; ad must have been in set U at that time.
N
For it to stay full during tN
k ; t k t, au ; ad must be in set
SN U [ Z during that interval. For it to become non-full
at time t N
k t, au ; ad must make a transition into D at
that time.
The dynamics of the system when the buffer stays full
in state i; j 2 SN are given as
0
B
dpN; i; j; t
pN; i; j; tB
@
dt
1
Id
X
j0 1
j0 aj
ldjj0
Iu
X
i0 1
i0 ai
cuii0 C
A
pN; i; j ; t
N
XtN
as h ! 0 then jexit
au tN
k N
k ; ad tk . Then
k
the probability that the process exits the full-buffer state
with a transition into state i; j 2 D is given as
d
lj0 j
j0 1
j0 aj
i;j0 2SN
Iu
X
pN; i ; j; t
u
ci0 i ;
i; j 2 SN .
(30)
i0 1
i0 ai
0
i ;j2SN
m mdj0 f N ; i0 ; j0
u
i0 ;j0 2D i0
pNSN t
AN pN
(31)
SN t,
dt
where pN
SN t fpN; i; j; tg for i; j 2 SN and AN is a ISN
probjexit i; jjjenter
0 0
i ;j 2U
i0 ; j0 probjenter i0 ; j0 ;
i; j 2 D.
(36)
Inserting Eqs. (34) and (35) into Eq. (36) and simplifying
by using the equivalence of the upward and downward
crossings given in Eq. (16) gives
X
probjexit i; jjjenter
mdj mui f N ; i; j
i0 ;j0 2U
d
lj0 j
i0 ; j0 mui0 mdj0 f N ; i0 ; j0 ;
pN; i; j ; t
j 1
j0 aj
Iu
X
i; j 2 D,
(37)
i;j0 2SN
i; j 2 D.
(35)
qN; i; j; t
mui mdj f N ; i; j
probjexit i; j P
u
ci0 i ;
pN; i ; j; t
i; j 2 D
(32)
i0 1
i0 ai
i0 ;j2SN
or in matrix form
N
qN
D t BN pSN t,
(33)
where qN
D t fqN; i; j; tg for i; j 2 D and BN is a ID ISN
matrix.
Entry and exit probabilities: In order to link the interior
and the full-buffer process, we rst analyze how the
buffer becomes full and then how it exits the full-buffer
states and the buffer level starts decreasing. Let us dene
; k 1; 2; . . .g
a discrete time random process fjenter
k
sampled from the process fst; tX0g at the instances
where the buffer becomes full. The random variable
jenter
describes the states of the machines at the
k
instances tN
k , k 1; 2; . . . when the buffer becomes full for
and XtN
the kth time. That is, if Xt N
k h N
k N as
N
N
a
t
;
a
t
.
The
subscript
k is
h ! 0 then jenter
u k
d k
k
dropped to represent the random variable in steady state.
The probability that the buffer becomes full while the
process has been in a specic state is the ratio of the
number of upward crossings in this particular state and
the all possible upward crossings at X N
probjenter i; j P
mui mdj f N ; i; j
m mdj0 f N ; i0 ; j0
u
i0 ;j0 2U i0
i; j 2 U.
(34)
X
i0 ;j0 2U
lim
T!1
LN ; i0 ; j0 ; TET N
i;j;i0 ;j0
T
(39)
335
times as
X
pN; i; j
mui0 mdj0 f N ; i0 ; j0 ET N
i;j;i0 ;j0 .
(40)
0 0
i ;j 2U
(41)
X
i;j2S0
X Z
mui p0; i; j
i;j2SM
mui f x; i; j dx
mdj pN; i; j.
(47)
i;j2SN
Once the weight vector w is determined, all the steadystate probabilities are also determined. Since there are
IU ID weights and Eqs. (25) and (28) give a total of IU
ID 2 equations, two additional equations are required to
uniquely determine w.
The rst equation is the equivalence of the total
upward and downward crossings in the interior region.
Integrating Eq. (16) from 0 to N yields
Z
N
0
Id
Iu X
X
mui f x; i; j dx
i1 j1
N
0
Id
Iu X
X
mdj f x; i; j dx,
(44)
Id
Iu X
X
p0; i; j pN; i; j
i1 j1
Id
Iu X
X
i1 j1
xf x; i; j dx NpN; i; j .
(48)
I d Z
Iu X
X
(43)
EX
i1 j1
or in matrix form
Z N
eLx dx w 0.
mU mD
f x; i; j dx 1.
(45)
i1 j1
mU mu md mu md mu mu ;
mD md md md ;
u
d
j g,
m fm
mZ 0 0 0:
example, since cii0 mdj =mui lii0 and cjj0 mui =mdj ljj0 , c
d
mu mu mu 0 0.
r0
m m
6 u d
g
6
6 mu md
6
6 p0
6 mu
6
6
0
A1 6
6
6
6 p
md
6
6
6
0
6
4
0
php0
mu md
pgr 0
mu
mu md
r0
m u md
mu
mu md
phr0
mu
mu
mu md
rp0
mp
rp0
mh
md
0
md
rQ
m u md
7
0 7
7
7
0 7
7
7
7
0 7,
7
7
0 7
7
7
0 7
7
5
0
r Q r
md
(52)
2
0
6
6
A2 6 0
4
0
2 pgp0
0
0
rQ
mr
mu
mu
mu
3T
7
0 7
7 ,
5
0
mr
mr
(53)
p0
6
A3 4 0
0
p0
07
5,
r r 0
r Q r
(54)
p0
r r 0
6
A4 4
md md 0.
3
0
7
5.
(55)
r
6
A0 4 0
0
r
rQ r
3
0
7
5,
(56)
and
2
.
(51)
rQ
60
6
B0 6
40
r
0
0 7
7
7.
0 5
(57)
1
Since S0 D, ET 0 A1
0 and G0 B0 A0 .
For the full-buffer process, M u is partially blocked
in states 1; 10 and 1; 10 and completely blocked in
matrices and vectors into Eqs. (25) and (38) with Eqs. (44)
and (46) yields a system of equations that determine the
weight vector w. Then Eqs. (47) and (48) yield production
rate and the expected buffer level.
All the results, in this section, are validated by
simulation. Each model is simulated by using both a
continuous ow and also a discrete event simulation
model. When the continuous simulation is run for 106
events, the percentage error between the analytical
production rate and the simulated production rate is less
than 105 . The time required to determine the performance measures by using the general methodology is very
short and not affected by the buffer level. All the models
analyzed in this paper and in the technical report (Tan and
Gershwin, 2007) are solved in less than 0.005 s on a Intel
Core 2 computer with 1.83 GHz processor and with 1 Gb
RAM by using Matlab 7.4.0.
Figs. 4 and 5 show that increasing the processing rate
of each stage increases the production rate until it reaches
its limit. However, the expected buffer level increases with
the processing rate of the rst stage and it reaches its
capacity and decreases with the processing rate of the
(58)
2 m
p md
6 u
6 0
BN 6
4
0
p mmd
h mmd
7
07
7.
5
0
337
(59)
1
Since SN U, ET N A1
N , GN BN AN .
20
0.8
15
[X]
0.6
0.4
10
0.2
0
0
0.5
1
u
1.5
0.5
1
u
1.5
Fig. 4. Effect of the processing rate of the upstream station in the model with multiple up and down states (md 1, p 0:005, r 0:15, p0 0:015,
r 0 0:15, g 0:01, h 0:20, r Q 0:15, N 17).
20
0.8
15
[X ]
0.6
0.4
10
0.2
0
0
0
0.5
1
d
1.5
0.5
1
d
1.5
Fig. 5. Effect of the processing rate of the downstream station in the model with multiple up and down states (mu 1, p 0:005, r 0:15, p0 0:015,
r 0 0:15, g 0:01, h 0:20, r Q 0:15, N 17).
0.9
12
0.89
10
0.88
8
E [X]
338
0.87
0.86
0.85
0.84
0
0
10
N
15
20
10
N
15
20
Fig. 6. Effect of the buffer capacity in the model with multiple up and down states (m1 1, m2 1, p 0:005, r 0:15, p0 0:015, r 0 0:15, g 0:01,
h 0:20, r Q 0:15).
6. Conclusion
We presented a general methodology to analyze
continuous-ow material ow two stage-single buffer
production systems. The method handles general Markovian transitions and different processing rates associated
with each state for both stages. The run time of the
method is very fast and not affected by the buffer size.
A wide range of models can be analyzed by our
methodology directly by determining the transition rates
of each stage and the ow rates associated with the
discrete states of each stage. Tan and Gershwin (2007) use
the methodology presented in this study to model and
analyze various single-buffer continuous-ow systems
including the systems where each stage has a number of
identical machines in parallel or in series, systems where
the up- and down-times of each station are Erlang random
variables with different number of stages, and a model of
a three station merge system with a shared buffer.
Analysis of series production lines with limited buffer
capacity is one application domain where this model can
be used. If the failure and repair times of the machines in a
series production line have phase-type distributions, the
upstream and downstream processes of a buffer can be
captured by a two stage model as analyzed in this paper.
By using this model as a building block, a decomposition
method can be used to evaluate the performance of the
system approximately.
In addition to the production systems, our methodology
can also be used in performance evaluation of computer
and telecommunication systems. Since the operation
dependent failure mechanism differentiates the models of
production and computer/telecommunication models, setting the operation dependent failure rates equal to the
original rates in our methodology allows us to use the
same tool in the performance evaluation of computer and
telecommunication systems.
Acknowledgments
BA
The rst author acknowledges the support from TU
BITAK. The second author acknowledges the
and TU
support from the Singapore-MIT Alliance and the General
Motors Research and Development Center.
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