JOURNAL OF INDUSTRIAL AND doi:10.3934/jimo.2016.12.

1121
MANAGEMENT OPTIMIZATION
Volume 12, Number 3, July 2016 pp. 1121–1133

EXPLICIT SOLUTION FOR THE STATIONARY DISTRIBUTION

OF A DISCRETE-TIME FINITE BUFFER QUEUE

Bara Kim
Department of Mathematics, Korea University
145, Anam-ro, Seongbuk-gu
Seoul, 02841, Korea

Jeongsim Kim∗
Department of Mathematics Education, Chungbuk National University
1, Chungdae-ro, Seowon-gu, Cheongju
Chungbuk, 28644, Korea

(Communicated by Yutaka Takahashi)

Abstract. We consider a discrete-time single server queue with finite buffer.

The customers arrive according to a discrete-time batch Markovian arrival
process with geometrically distributed batch sizes and the service time is one
time slot. For this queueing system, we obtain an exact closed-form expression
for the stationary queue length distribution. The expression is in a form of
mixed matrix-geometric solution.

1. Introduction. The discrete-time batch Markovian arrival process (D-BMAP) is

a good representation of bursty and correlated traffics arising in telecommunication
networks. The D-BMAP has been used to model the superposition of video sources
in [3, 13], and to approximate the superposition of voice, video and data sources in
[11, 12]. The D-BMAP can represent a number of arrival processes which include,
as special cases, the Bernoulli arrival process, the Markov modulated Bernoulli
process (MMBP), the discrete-time Markovian arrival process (D-MAP) and their
superpositions (see, e.g., [2, 4]).
Finite buffer queues are more realistic in many real life situations such as man-
ufacturing and telecommunication networks. Several authors have analyzed the
discrete-time finite buffer queueing model with input process as D-BMAP or D-
MAP. For the D-MAP/G/1/K queue with a finite buffer of size K, Chaudhry and
Gupta [5] obtained the queue length distributions at various epochs using embed-
ded Markov chain and supplementary variable methods. For the D-BMAP/G/1/K
queue, Blondia [2] obtained the recursive formulas for the queue length distribu-
tions at departure and arbitrary epochs, and presented the algorithms for computing
the queue-length distributions. Herrmann [6] gave comprehensive analysis of the
D-BMAP/G/1/K queue, including fast algorithms for computing the probability
functions of the queue length at arrival epochs.

2010 Mathematics Subject Classification. Primary: 60K25; Secondary: 60J10.

Key words and phrases. Discrete-time queue, discrete-time batch markovian arrival process,
stationary distribution, quadratic matrix equation, mixed matrix-geometric solution.
∗ Corresponding author: Jeongsim Kim.

1121
1122 BARA KIM AND JEONGSIM KIM

We are concerned with the stationary queue length distribution of the discrete-
time finite buffer queue with D-BMAP arrivals. We will consider a discrete-time
finite buffer queue where the customers arrive according to a D-BMAP with geo-
metrically distributed batch sizes and the service time is one time slot. This type
of queueing system has been used in applications for the frame transmission pro-
cess over the wireless channel, refer to Moltchanov et al. [8]. This queueing model
enables us to construct a finite M/G/1-type Markov chain. Akar et al. [1] investi-
gated the stationary distribution of infinite and finite M/G/1-type Markov chains.
Assuming that the offered load ρ < 1, Akar et al. [1] showed that if the underlying
probability generating matrices are rational, then the stationary distribution has a
matrix-geometric form for the infinite queue, and a mixed matrix-geometric form
for the finite queue. The result of Akar et al. [1] for the finite queue can be extended
to the case of ρ 6= 1. However, this is not applicable to the case of ρ = 1.
In this paper we derive an exact closed-form expression for the stationary queue
length distribution in the cases of ρ 6= 1 and ρ = 1. When ρ 6= 1, the stationary
distribution is expressed in the form of mixed matrix-geometric solution, as expected
from the results of Akar et al. [1]. This form of solution is expressed in terms of
R-matrices of the quasi-birth-and-death (QBD) processes described in Section 3.
When ρ = 1, the stationary distribution is expressed as the sum of mixed matrix-
geometric term plus a linear term. This case was not dealt with in Akar et al.
[1].
The paper is organized as follows: In Section 2, we describe the model in detail
and derive the matrix difference equations for the stationary distribution of the
Markov chain. The stationary distributions are derived by solving the matrix dif-
ference equations in Sections 3 and 4 for the cases of ρ 6= 1 and ρ = 1. Appendix is
devoted to the derivation of useful properties which are used in Sections 3 and 4.

2. Stationary distribution of the Markov chain. We consider the discrete-

time single server queueing system with a finite buffer of size K. The time is
divided into intervals of equal length, called time slots. One time slot is needed to
serve a customer. The customers arrive in batches of random size B, where B has
a geometric distribution with probability mass function P(B = k) = (1 − r)rk−1 ,
0 < r < 1, k = 1, 2, . . .. The batches arrive at the end of time slots according
to a D-MAP, which is governed by an underlying m state Markov chain having
transition probability cij , 1 ≤ i, j ≤ m, from state i to j without an arrival and
having transition probability dij , 1 ≤ i, j ≤ m, from state i to j with an arrival.
Let C = (cij ), D = (dij ) be the m × m nonnegative matrices and let C + D be
the irreducible transition matrix of the underlying Markov chain. Let π be the
stationary probability vector of the underlying Markov chain, i.e., π is a solution of
π(C + D) = π, πe = 1.
Here and subsequently, e denotes the m-dimensional column vector with all com-
ponents equal to one. The so-called fundamental arrival rate of batches is given
λ
by λ = πDe. The offered load ρ is defined as ρ = 1−r , which is the fundamental
arrival rate of batches multiplied by the mean batch size.
Let N (t) be the number of customers in the queue at time t (after possible
arrivals) and J(t) be the phase of the arrival process (i.e., the state of the underlying
Markov chain of the D-MAP) at time t. Then {(N (t), J(t)) : t = 0, 1, . . .} is a
Markov chain with state space {0, 1, . . . , K}×{1, . . . , m}. The transition probability
 STATIONARY DISTRIBUTION OF DISCRETE-TIME QUEUE 1123

matrix P of the Markov chain {(N (t), J(t)) : t = 0, 1, . . .} is given, in lexicographic

order, as follows:
C D1 D2 · · · DK−1
 
DK
 C D1 D2 · · · DK−1 DK 
 
 O C D1 · · · DK−2 DK−1 
P =  O O C · · · DK−3 DK−2  ,
 
 
 . .. .. .. .. ..
 ..

. . . . . 
O O O ··· C D1
where
Dk ≡ (1 − r)rk−1 D, k ≥ 1,
∞
X
Dk ≡ Di = rk−1 D, k ≥ 1.
i=k
Since C + D is irreducible, the Markov chain {(N (t), J(t)) : t = 0, 1, . . .} has only
one closed subset of the state space {0, 1, . . . , K} × {1, . . . , m}. Moreover, it can
be easily shown that the closed subset is aperiodic. Therefore the Markov chain
{(N (t), J(t)) : t = 0, 1, . . .} has a unique limiting distribution, which is also a unique
stationary distribution.
Let
pnj = lim P((N (t), J(t)) = (n, j)), n = 0, 1, . . . , K, j = 1, . . . , m
t→∞
be the joint distribution of the number of customers in the system and the phase
of the arrival process in the steady state. Let p = (p0 , p1 , . . . , pK ) with pn =
(pn1 , . . . , pnm ), n = 0, 1, . . . , K, i.e., p is the stationary probability vector of the
Markov chain {(N (t), J(t)) : t = 0, 1, . . .}. Then p satisfies
p = pP,
from which we have
p0 = p0 C + p1 C, (1)
n
X
pn = (1 − r)rn−k pk D + pn+1 C + (1 − r)rn−1 p0 D, n = 1, 2, . . . , K − 1, (2)
k=1
 K
X 
pK = rK−1 p0 + rK−k pk D. (3)
k=1
Therefore, the stationary probability vector p is uniquely determined by (1)-(3) and
the normalization condition
XK
pk e = 1. (4)
k=0
In what follows we derive a more tractable system of equations which is equivalent
to the system of equations (1)-(4). From (2), we have
n+1
X
pn+1 = (1 − r)rn+1−k pk D + pn+2 C + (1 − r)rn p0 D, n = 0, 1, . . . , K − 2,
k=1
n
X
rpn = (1 − r)rn+1−k pk D + rpn+1 C + (1 − r)rn p0 D, n = 1, 2, . . . , K − 1.
k=1
1124 BARA KIM AND JEONGSIM KIM

Subtracting the second from the first leads to

pn+2 C − pn+1 (I + rC − (1 − r)D) + rpn = 0, n = 1, 2, . . . , K − 2. (5)
By (1), we have
p0 = p1 C(I − C)−1 , (6)
from which and (2) with n = 1, it follows that
p1 (I − C)−1 (C + (1 − r)D − I) + p2 C = 0. (7)
By summing both sides of (1)-(3), we have
K
X K
X
pk = pk (C + D).
k=0 k=0

Because C + D is an irreducible stochastic matrix, the above equation and (4) yield
PK
k=0 pk = π. From this and (6), we obtain
K
X
p1 (I − C)−1 + pk = π. (8)
k=2

Therefore (1)-(4) imply (5)-(8). The converse implication can also be shown.
In summary, we have the following lemma.
Lemma 2.1. The system of equations (5)-(8) has a unique solution and the solution
is the stationary distribution p = (p0 , . . . , pK ) of the Markov chain {(N (t), J(t)) :
t = 0, 1, . . .}.
In the following two sections we will find pn , 0 ≤ n ≤ K, by solving (5)-(8). To
this end, we consider the two cases ρ 6= 1 and ρ = 1 separately.

3. Explicit solution for the stationary distribution when ρ 6= 1. Note that

equation (5) has 2m linearly independent solutions for pn , 1 ≤ n ≤ K, because
pK−1 and pK can be chosen arbitrarily and pn , 1 ≤ n ≤ K − 2, are determined by
pK−1 and pK . To obtain the general solution of (5), we try to find a solution of
the form
pn = a(xX + yI)n−1 (zX + wI)K−n , n = 1, 2, . . . , K, (9)
where a is an arbitrary m-dimensional row vector, x, y, z and w are scalars, and X
is an m × m matrix. By direct calculation, it can be shown that (9) is a solution of
(5), if the following equation is satisfied:
X2 {x2 C − xz (I + rC − (1 − r)D) + rz 2 I}
+ X{2xyC − (xw + yz) (I + rC − (1 − r)D) + 2rzwI} (10)
2 2
+ {y C − yw (I + rC − (1 − r)D) + rw I} = O.
If we let x = 1 − r, y = r, z = 0 and w = 1, then (10) becomes
X2 ((1 − r)C) + X (rC + (1 − r)D) + rD = X. (11)
The quadratic matrix equation (11) is of the form that has been studied by several
authors, see for example, [7, 9, 10]. The equation (11) has the minimal nonnega-
tive solution R1 , which is the so-called “R-matrix” of the QBD process with the
 STATIONARY DISTRIBUTION OF DISCRETE-TIME QUEUE 1125

transition probability matrix P∗ :

 
C+(1−r)D rD
 (1 − r)C rC+(1−r)D rD 
P∗ =  .
 
 (1 − r)C rC+(1−r)D rD 
.. .. ..
. . .
There are many efficient algorithms for numerical calculation of R1 , refer to [7, 9,
10]. We obtain a solution of (5) as follows:
n−1
pn = c1 ((1 − r)R1 + rI) , n = 1, 2, . . . , K, (12)
where c1 is an arbitrary m-dimensional row vector.
On the other hand, if we let x = r, y = 1 − r, z = 1 and w = 0, then (10)
becomes
X2 (rD) + X (rC + (1 − r)D) + (1 − r)C = X. (13)
The equation (13) has the minimal nonnegative solution R2 , which is the R-matrix
of the QBD process with the transition probability matrix P∗∗ :
 
rC+D (1 − r)C
 rD rC+(1−r)D (1 − r)C 
P∗∗ =  .
 
 rD rC+(1−r)D (1 − r)C 
.. .. ..
. . .
Hence, we obtain a solution of (5) as follows:
n−1
pn = c2 (rR2 + (1 − r)I) (R2 )K−n , n = 1, 2, . . . , K, (14)
where c2 is an arbitrary m-dimensional row vector. Thus we have from (12) and
(14) that
n−1 n−1
pn = c1 ((1 − r)R1 + rI) + c2 (rR2 + (1 − r)I) (R2 )K−n , n = 1, 2, . . . , K,
(15)
is a solution of (5).
Now we show that (15) is the general solution of (5). Let qk = pK−k , k =
0, 1, . . . , K − 1. Noting that (1 − r)R1 + rI and rR2 + (1 − r)I are invertible (by
Lemma 5.1 (d) in Appendix A), we have that for arbitrary m-dimensional row
vectors a and b,

k
k
qk = a ((1 − r)R1 + rI)−1 + b R2 (rR2 + (1 − r)I)−1 , k = 0, 1, . . . , K − 1,
(16)
is a solution of
qk C − qk+1 (I + rC − (1 − r)D) + rqk+2 = 0, k = 0, 1, . . . , K − 3. (17)
−1 −1
Since the spectra of ((1 − r)R1 + rI) and R2 (rR2 + (1 − r)I) are disjoint (see
Lemma 5.1 (e) in Appendix A), (16) is the general solution of (17). Equivalently,

K−n
K−n
pn = a ((1 − r)R1 + rI)−1 + b R2 (rR2 + (1 − r)I)−1 , n = 1, 2, . . . , K,
is the general solution of (5). Therefore, (15) is the general solution of (5).
Finally, it remains to determine the m-dimensional row vectors c1 and c2 . From
(15), (7) and (8), we have
[c1 , c2 ]B = [0, π], (18)
1126 BARA KIM AND JEONGSIM KIM

where
 
B11 B12
B=
B21 B22

with

B11 = (I − C)−1 (C + (1 − r)D − I) + ((1 − r)R1 + rI) C,

K
X
−1 k−1
B12 = (I − C) + ((1 − r)R1 + rI) ,
k=2
B21 = (R2 )K−1 (I − C)−1 (C + (1 − r)D − I) + (rR2 + (1 − r)I)(R2 )K−2 C,
K
X
K−1 −1 k−1
B22 = (R2 ) (I − C) + (rR2 + (1 − r)I) (R2 )K−k .
k=2

By Lemma 2.1, (18) has a unique solution for c1 and c2 , which implies that B is
invertible. Therefore, c1 and c2 are obtained from [c1 , c2 ] = [0, π]B−1 .
In summary, we have the following theorem.

Theorem 3.1. If ρ 6= 1, then the stationary probability vectors p0 , . . . , pK , are

given by

p0 = c1 + c2 (R2 )K−1 C(I − C)−1 ,

n−1 n−1
pn = c1 ((1 − r)R1 + rI) + c2 (rR2 + (1 − r)I) (R2 )K−n , n = 1, 2, . . . , K,

where the vectors c1 and c2 are determined by [c1 , c2 ] = [0, π]B−1 .

Remark 1. This mixed matrix-geometric form of the stationary distribution can

be expected from the result of Akar et al. [1]. We note that Theorem 3.1 enables us
to obtain the explicit solution for the stationary distribution in terms of R-matrices
of the QBD processes P∗ and P∗∗ .
PK
k−1
Remark 2. We can calculate the summations k=2 (1 − r)R1 + rI in B12
PK
k−1 K−k
and k=2 rR2 + (1 − r)I (R2 ) in B22 , for the two cases ρ < 1 and ρ > 1
separately.
(i) Suppose that ρ < 1. By Lemma 5.1 (a), sp((1 − r)R1 + rI) < 1, where sp(A)
denotes the spectral radius of a square matrix A. Hence
K
X
k−1
(1 − r)R1 + rI
k=2
=(1 − r)−1 (I − R1 )−1 ((1 − r)R1 + rI)(I − ((1 − r)R1 + rI)K−1 ).
PK
k−1
Next, let S = k=2 rR2 + (1 − r)I (R2 )K−k and η be the right maximal
eigenvector of R2 , scaled by πη = 1. After simple algebra, we have

((1 − r)(I − R2 ) + ηπ)S

= rR2 + (1 − r)I (rR2 + (1 − r)I)K−1 − (R2 )K−1 + (K − 1)ηπ.



 STATIONARY DISTRIBUTION OF DISCRETE-TIME QUEUE 1127

By Lemma 5.1 (a)-(c), (1 − r)(I − R2 ) + ηπ is invertible and so

K
X
k−1
rR2 + (1 − r)I (R2 )K−k
k=2

−1  (19)
= (1 − r)(I − R2 ) + ηπ (rR2 + (1 − r)I)
× ((rR2 + (1 − r)I)K−1 − (R2 )K−1 ) + (K − 1)ηπ .

(ii) Suppose that ρ > 1. Let ξ be the right maximal eigenvector of R1 , scaled by
πξ = 1. By Lemma 5.1 (a)-(c), (1 − r)(I − R1 ) + ξπ is invertible. In a manner
similar to the calculation of S,
K
X k−1
((1 − r)R1 + rI)
k=2
−1  (20)
= ((1 − r)(I − R1 ) + ξπ) ((1 − r)R1 + rI)
× (I − ((1 − r)R1 + rI)K−1 ) + (K − 1)ξπ .

Also, by Lemma 5.1 (a), I − R2 is invertible. Therefore,

K
X k−1
(rR2 + (1 − r)I) (R2 )K−k
k=2
=(1 − r)−1 (I − R2 )−1 (rR2 + (1 − r)I) (rR2 + (1 − r)I)K−1 − (R2 )K−1 .

4. Explicit solution for the stationary distribution when ρ = 1. This section

is devoted to a derivation of the explicit solution for the stationary distribution when
ρ = 1. Note that the results of Akar et al. [1] cannot be applied to the case of
ρ = 1. Using the same R-matrices R1 and R2 as in Section 3, we will show that
for arbitrary m-dimensional row vectors c1 and c2 ,
n−1 n−1
pn = c1 ((1 − r)R1 + rI) +c2 (rR2 + (1 − r)I) (R2 )K−n , n = 1, 2, . . . , K −1,
(21)
generates 2m − 1 linearly independent solutions for the difference equation (5). As
in Section 3, (21) is a solution of (5) for arbitrary m-dimensional row vectors c1 and
−1
c2 . Since ρ = 1, by Lemma 5.1 (e) in Appendix A, the matrices ((1 − r)R1 + rI)
−1
and R2 (rR2 + (1 − r)I) have only one common eigenvalue, 1. Furthermore, the
eigenvalue 1 is of algebraic multiplicity one for both matrices. Also π is a left
eigenvector of both matrices corresponding to the eigenvalue 1. This observation
shows that (21) generates 2m − 1 linearly independent solutions for (5).
Recall that the dimension of the solution space of (5) is 2m. Hence, in order
to find the general solution of (5), we need to find one more linearly independent
solution. Let κ be an m-dimensional row vector satisfying
π(C − rI) + (1 − r)κ(C + D − I) = 0. (22)
The existence of such κ is shown in Appendix B. Then it can be shown by direct
substitution that {nπ+κ : n = 1, 2, . . . , K} is a solution of (5). Further, the solution
{nπ + κ : n = 1, 2, . . . , K} is not in the space generated by (21). Therefore, for any
m-dimensional row vectors c01 and c02 , and any scalar α,
pn = c01 ((1−r)R1 +rI)n−1 + c02 (rR2 +(1−r)I)n−1 (R2 )K−n + α(nπ+κ), n = 1, . . . , K,
generates 2m linearly independent solutions of (5).
1128 BARA KIM AND JEONGSIM KIM

In the following lemma we give the general solution of (5) for the case of ρ = 1.
The proof is deferred to Appendix C.
Lemma 4.1. If ρ = 1, then the general solution of (5) is given by
pn =c1 ((1−r)R1 +rI)n−1 + c2 (rR2 +(1−r)I)n−1 (R2 )K−n
(23)
+ (c1 ξ−c2 η)(nπ+κ), n = 1, . . . , K,
where c1 and c2 are arbitrary m-dimensional row vectors, and ξ and η are the right
maximal eigenvectors of R1 and R2 , respectively, scaled by πξ = πη = 1.
It remains to determine the vectors c1 and c2 . From (23), (7) and (8), we have
[c1 , c2 ]B
e = [0, π], (24)
where " #
B
e 11 B
e 12
B
e =
B
e 21 B
e 22
with
e 11 =(I + ξ(π + κ))(I − C)−1 (C + (1 − r)D − I)
B
+ {(1 − r)R1 + rI + ξ(2π + κ)} C,
K
X
e 12 =(I + ξ(π + κ))(I − C)−1 + k−1
B ((1 − r)R1 + rI)
k=2
 
K(K + 1) 
+ξ − 1 π + (K − 1)κ ,
2
= (R2 )K−1 − η(π + κ) (I − C)−1 (C + (1 − r)D − I)


B
e 21
+ (rR2 + (1 − r)I)(R2 )K−2 − η(2π + κ) C,


K
X
e 22 = (R2 )K−1 − η(π + κ) (I − C)−1 + k−1
(R2 )K−k


B (rR2 + (1 − r)I)
k=2
 
K(K + 1) 
−η − 1 π + (K − 1)κ .
2
PK k−1 PK k−1
The summations k=2 ((1 − r)R1 + rI) and k=2 (rR2 + (1 − r)I)
(R2 )K−k in the above can be written explicitly as (20) and (19), respectively. By
Lemma 2.1, (24) has a unique solution for c1 and c2 , which implies that B e is
−1
invertible. Hence c1 and c2 are obtained from [c1 , c2 ] = [0, π]B
e .
In summary, we have the following theorem. The theorem expresses the station-
ary distribution as the sum of mixed matrix-geometric terms plus a linear term,
when ρ = 1.
Theorem 4.2. If ρ = 1, then the stationary probability vectors p0 , . . . , pK , are
given by
p0 = c1 I + ξ(π + κ) + c2 (R2 )K−1 − η(π + κ) C(I − C)−1 ,




n−1
n−1
pn =c1 (1−r)R1 +rI + c2 rR2 +(1−r)I (R2 )K−n
+ (c1 ξ−c2 η)(nπ+κ), n = 1, 2, . . . , K,
e −1 .
where the vectors c1 and c2 are determined by [c1 , c2 ] = [0, π]B
 STATIONARY DISTRIBUTION OF DISCRETE-TIME QUEUE 1129

5. Conclusion. We considered the discrete-time finite buffer queue where the cus-
tomers arrive according to a D-BMAP with geometrically distributed batch sizes
and the service time is one time slot. We derived an exact closed-form expression
for the stationary queue length distribution. The stationary distribution has the
form of mixed matrix-geometric solution for the case of ρ 6= 1, and the sum of mixed
matrix-geometric term plus a linear term for the case of ρ = 1.

Appendix A. Properties of R1 and R2 . The following lemma provides some

properties of the R-matrices R1 and R2 , which are used in Sections 3 and 4.
Lemma 5.1. (a) We have the following:
(i) If ρ < 1, then sp(R1 ) < 1 and sp(R2 ) = 1.
(ii) If ρ > 1, then sp(R1 ) = 1 and sp(R2 ) < 1.
(iii) If ρ = 1, then sp(R1 ) = sp(R2 ) = 1.
(b) The maximal eigenvalue of R1 (R2 , resp.) is of algebraic multiplicity one and
its modulus is strictly greater than moduli of all other eigenvalues of R1 (R2 ,
resp.).
(c) If ρ ≥ 1 (ρ ≤ 1, resp.), then π is a left maximal eigenvector of R1 (R2 , resp.).
(d) The matrices (1 − r)R1 + rI and rR2 + (1 − r)I are invertible.
(e) Let C1 and C2 be subsets of the set of complex numbers, defined as
C1 ≡ {((1 − r)z + r)−1 : |z| < 1, (1 − r)z + r 6= 0},
C2 ≡ {z(rz + 1 − r)−1 : |z| < 1, rz + 1 − r 6= 0}.
Then C1 and C2 are disjoint, 1 ∈ / C1 ∪ C2 , and we have the following:
(i) If ρ < 1, then all eigenvalues of ((1 − r)R1 + rI)−1 (R2 (rR2 + (1 − r)I)−1 ,
resp.) lie in C1 (C2 ∪ {1}, resp.).
(ii) If ρ > 1, then all eigenvalues of ((1 − r)R1 + rI)−1 (R2 (rR2 + (1 − r)I)−1 ,
resp.) lie in C1 ∪ {1} (C2 , resp.).
(iii) If ρ = 1, then all eigenvalues of ((1 − r)R1 + rI)−1 (R2 (rR2 + (1 − r)I)−1 ,
resp.) lie in C1 ∪ {1} (C2 ∪ {1}, resp.). Moreover, 1 is a common eigen-
−1 −1
value of ((1 − r)R1 + rI) and R2 (rR2 + (1 − r)I) . The eigenvalue
1 is of algebraic multiplicity one for both matrices. Also, π is a left eigen-
vector of both matrices corresponding to the eigenvalue 1.
πDe
Proof. Since π(C + D) = π and ρ = 1−r , we have that
ρ < 1 if and only if π((1 − r)C)e > π(rD)e,
ρ > 1 if and only if π((1 − r)C)e < π(rD)e,
ρ = 1 if and only if π((1 − r)C)e = π(rD)e.
The assertions (a) and (c) follow from the properties of the R-matrix; see, for
example, [7, 9, 10]. Let us prove assertions (b), (d) and (e).
(b) We prove only for R1 because the proof for R2 is very similar. Since C + D is
−1
irreducible, rC + (1 − r)D is irreducible, and so (I − rC − (1 − r)D) is positive.
Therefore each row of
−1
R1 = rD + (R1 )2 ((1 − r)C) (I − rC − (1 − r)D)

is strictly positive or zero. Thus R1 is cogredient to a matrix of the form

 
Re1 R e2
,
O O
1130 BARA KIM AND JEONGSIM KIM

where Re 1 and Re 2 are positive matrices and O matrices on the bottom can be empty.
Since Re 1 is positive, it is primitive, and assertion (b) follows.
(d) Suppose on the contrary that (1 − r)R1 + rI is singular. Then, there is a
nonzero row vector ζ satisfying
ζ ((1 − r)R1 + rI) = 0.
This implies that
r
ζR1 = − ζ. (25)
1−r
Since R1 = (R1 )2 ((1 − r)C) + R1 (rC + (1 − r)D) + rD, we have
 r 2 r
ζR1 = − ζ(1 − r)C − ζ (rC + (1 − r)D) + rζD = 0,
1−r 1−r
which contradicts (25). Therefore (1 − r)R1 + rI is nonsingular. Similarly, we can
prove that rR2 + (1 − r)I is invertible.
1 z
(e) Note that (1−r)z+r and rz+1−r are linear fractional transforms. It can be
shown from Figures 1-3 that C1 and C2 are disjoint and 1 ∈ / C 1 ∪ C2 .
(i) Suppose that ρ < 1. Then, by (a), (b) and (d), it is observed that
• spectrum of R1 is in {z : |z| < 1, (1 − r)z + r 6= 0};
• spectrum of R2 is in {z : |z| < 1, rz + (1 − r) 6= 0} ∪ {1}.
(ii) Suppose that ρ > 1. Then, by (a), (b) and (d), it is observed that
• spectrum of R1 is in {z : |z| < 1, (1 − r)z + r 6= 0} ∪ {1};
• spectrum of R2 is in {z : |z| < 1, rz + (1 − r) 6= 0}.
(iii) Suppose that ρ = 1. Then by (a), (b), (c) and (d), it is observed that
• spectrum of R1 is in {z : |z| < 1, (1 − r)z + r 6= 0} ∪ {1};
• spectrum of R2 is in {z : |z| < 1, rz + (1 − r) 6= 0} ∪ {1};
• 1 is an eigenvalue of both R1 and R2 and the eigenvalue 1 is of algebraic
multiplicity one;
• π is a left eigenvector of both R1 and R2 corresponding to the eigenvalue
1.
Therefore we complete the proof of the lemma.

Appendix B.
Proof of the existence of κ satisfying (22). Since C+D is irreducible, the row space
of (1 − r)(C + D − I) has dimension m − 1. Since (1 − r)(C + D − I)e = 0, the
row space of (1 − r)(C + D − I) is the space consisting of row vectors which are
orthogonal to e. On the other hand, since π(C − rI)e = π(C + D − rI − D)e =
(1 − r) − πDe = 0, π(C − rI) is orthogonal to e. Hence −π(C − rI) is in the row
space of (1 − r)(C + D − I). Therefore, there exists a row vector κ satisfying
κ(1 − r)(C + D − I) = −π(C − rI),
which completes the proof.

Appendix C.
Proof of Lemma 4.1. To prove that (23) is the general solution of (5), it suffices to

n−1 0
n−1
show that c01 (1−r)R1 +rI , c2 rR2 +(1−r)I (R2 )K−n and nπ + κ are all
c0 ξ c0 ξ
expressed in the form (23). If we let c1 = c01 − 12 π and c2 = 12 π in (23), then the

n−1 c0 η c0 η
right-hand side becomes c01 (1−r)R1+rI . If we let c1 = 22 π and c2 = c02 − 22 π
 STATIONARY DISTRIBUTION OF DISCRETE-TIME QUEUE 1131

n−1
in (23), then the right-hand side becomes c02 rR2 +(1−r)I (R2 )K−n . Finally, if
we let c1 = 21 π and c2 = − 12 π in (23), then the right-hand side becomes nπ + κ.
Therefore the proof is complete.

6


 

     
 
    
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Figure 1. The regions C1 and C2 when 0 < r < 21 .

Acknowledgments. B. Kim’s research was supported by the National Research

Foundation of Korea (NRF) grant funded by the Korea government (MSIP) (No.
2014R1A2A2A01005831). J. Kim’s research was supported by Basic Science Re-
search Program through the National Research Foundation of Korea (NRF) funded
by the Ministry of Education (2014R1A1A4A01003813).

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J. Oper. Res. Statist. Comput. Sci., 32 (1993), 3–23.
1132 BARA KIM AND JEONGSIM KIM

6 
  



 

 

1 
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1 

......
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....


....... .... 
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........ ....... 
....... ....
....


.  .... 
.  ...
...
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....  
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...

q q
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.. 
...  
.. .. -  
-1 ..... ..
... 
 
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.
... 1
 
...
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....  ..
...

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......
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...........................................

 
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...
...
...
..
..
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..
..
..
..
...
...
...
...
...
...
... 6
... 
The region {z : |z| < 1}
...
....
....

 





....    
 
....  
.....  
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...... 
  
......
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.......  
.......    
.......  
........
........
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    1
 
 
 
 
 
 
 
 
 
 

 


The region C2

Figure 2. The regions C1 and C2 when r = 12 .

[3] C. Blondia and O. Casals, Performance analysis of statistical multiplexing of VBR sources,
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 STATIONARY DISTRIBUTION OF DISCRETE-TIME QUEUE 1133

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...

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..
..
..
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...
...
...
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....

    
....
.... 
   
.....
......   
z ......
......    
....
.  
rz+1−r ...... .................... .................
..
 ........

.......
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.....
..... 
.......
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........

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......

.....  ... ... 
R   .... ...
.. .. .
.. 
...
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.......q 1 ..q

   ..


  . -
1 ..
..

 ... 2r−1 ...
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.
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1
Figure 3. The regions C1 and C2 when 2 < r < 1.
[9] M. F. Neuts, Matrix-Geometric Solutions in Stochastic Models: An Algorithmic Approach,
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Received October 2013; revised February 2015.

E-mail address: bara@korea.ac.kr
E-mail address: jeongsimkim@chungbuk.ac.kr