The Asymptotic Variance of the

Output Process of Finite

Capacity Queues
Yoni Nazarathy
Gideon Weiss
University of Haifa

EURANDOM QPA Seminar

April 4, 2008
Outline

• Background

• A Queueing Phenomenon: BRAVO

• Main Theorem

• More on BRAVO

• Some open questions

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 1

The M/M/1/K Queue K
   *   (1   K )
Finite Server “Carried load”
 K
Buffer

• Buffer size: K
• Poisson arrivals: 
• Independent exponential service times: 
• Jobs arriving to a full system are a lost.
• Number in system,{Q(t ), t  0}, is represented by a finite state
irreducible birth-death CTMC.
•Assume{Q (t ), t  0} is stationary.


    
 
   (   )    i 1 
     1
   0  1   K 1
   e 1
 i   i  0,..., K


 (   )  

 1
 1
     
 K 1
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 2
Traffic Processes
Counts of point processes:
• { A(t ), t  0} - Arrivals during [0, t ] M/M/1/K
K
• {E (t ), t  0} - Entrances A(t ) E (t ) D(t )
• {D(t ), t  0} - Outputs
L (t )
• {L(t ), t  0} - Lost jobs
A(t )  L(t )  E (t )
K  E (t )  Q(t )  D(t )
( M / M /1) 1 K   K 1

A(t ) Poisson
L (t ) 0 Renewal Renewal

E (t )  A(t ) Non-Renewal Renewal

D(t ) Poisson Non-Renewal Renewal

D(t )  L(t ) Poisson Poisson Poisson

Book: Traffic Processes in Queueing

Networks, Disney, Kiessler 1987.

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 3

The Output process
• Some Attributes:
(Disney, Kiessler, Farrell, de Morias 70’s)

• Not a renewal process (but a Markov Renewal Process).

• Expressions for Cov(Tn , Tn1 ) .
• Transition probability kernel of Markov Renewal Process.
• A Markovian Arrival Process (MAP)
(Neuts 80’s)

• What about Var  D(t )  ?

Var  D(t )  V

Asymptotic Variance Rate: V

Var  D(t )   V t  o(t )

t
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 4
 What values do we expect for V ?
Keep K and  fixed.

V ( )


?

     
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 5
 What values do we expect for V ?
Keep K and  fixed.

V ( )
K 
( M / M / 1)

? Work in
progress by
Ward Whitt

     
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 6
 What values do we expect for V ?
Keep K and  fixed.

V ( ) K  40

?
Similar to Poisson:
?
V     (1   K )
*

     
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 7
 What values do we expect for V ?
Keep K and  fixed.

V ( ) K  40

?

     
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 8
 What values do we expect for V ?
Keep K and  fixed.

V ( ) K  40

2 Balancing

3 Reduces
Asymptotic
Variance of
Outputs
     
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 9
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 10
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 11
Explicit Formula for M/M/1/K
 2K 2  K
  1
 3 K 2
 6K  3
V 
 (1   K 1 )(1  (1  2 K )  K (1   )   2 K 1 )
  1
 (1   K 1 )3


  
 2

lim V   
K 
 3
  

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 12

 Calculating V
Using MAPs

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 13

 MAP (Markovian Arrival Process)


(Neuts, Lucantoni et al.)


Generator
C
Transitions without events
 D
Transitions with events

 0 0  0 0 


 0 0 


     
 1 (1  1 ) 1   0 (1  1 ) 1   1 0 0 
     
     
     
  K 1 (K 1   K 1 ) K 1   0 (K 1   K 1 ) K 1    K 1 0
     
 K   K   0   K   K 0 

E[ D(t )]   * t *   D e  (  e  )1

Var  D(t )     *  2( * ) 2  2  D  De  t  2( * ) 2  2    De  O(t 3r  2e  bt )

r , b 0

Asymptotic Variance Rate

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 14

Attempting to evaluate V directly
V   *  2( * )2  2  D (  e  ) 1 De

For   , there is a nice structure to the inverse. 1 2 3 4 5 6 7 8 9 10

1 1

2 2

3 3

4 4

5 5
1 10 20 30 40

6 6
1 1

7 7

8 8

9 9
1 50 100 150 201 10 10
10 10
1 1
1 2 3 4 5 6 7 8 9 10

20 20 K  10
50

rij 50
30 30

40 40

1 10 20 30 40

K  40
100 100

150 150

201 201

1 50 100 150 201

K  200

i 2  i  ( K  2  j )2  ( K  2  j ) ( K  1)3  7( K  1)
rij   , i j
2( K  1) 2
2( K  1) 3

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 15

 Main Theorem

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 16

Main Theorem Scope: Finite, irreducible, stationary,
(Asymptotic Variance Rate of Output Process)
birth-death CTMC that represents a queue.
 0 0 
Part (i)  
 1 (1  1 ) 1 
K 1  

V   *   vi

 
  K 1 (K 1   K 1 ) K 1 
i 0  
 K   K 

Part (ii) Calculation of vi

If 1  2  ...   K    i 1
i  0 0 0  K
1
i 1 j
i
Pi    j
1   i  j 1
i  0 j  0 i 1
and
0  1  ...  K 1 di   i i
i
Di   d j  *  DK 1
j 0
Then
 Mi2 
vi  0 
V
*
1 M i  Di 1   * Pi vi  2  M i  
 d i 

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 17

 Proof Outline
(of part i)
K 1
V     vi
*

i 0

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 18

Define The Transition Counting Process
M (t ) E (t )  D(t ) - Counts the number of transitions in [0,t]
Births Deaths

Asymptotic Variance Rate of M(t): M , Var  M (t )   M t  o(t )

MAP of M(t) is “Fully Counting” – all transitions result in counts of events.

Lemma: M  4 V

Proof:
M (t )  2 D(t )  Q(t )

Var  M (t )   4Var  D(t )   Var Q(t )   4Cov  D(t ), Q(t ) 

Var  Q(t )   O(1) Cov  D(t ), Q(t ) 
Var  D(t )   O(t ) Var  D(t )  Var  Q(t ) 
1  Cov  D(t ), Q(t )   O  t
Q.E.D

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 19

Proof Outline K 1
V     vi
*

i 0

1) Lemma: Look at M(t) instead of D(t).

2) Proposition: The “Fully Counting” MAP of M(t) has

associated MMPP with same variance.
3) Results of Ward Whitt: An explicit expression of
asymptotic variance rate of birth-death MMPP.
Whitt: Book: 2001 - Stochastic Process Limits,.
Paper: 1992 - Asymptotic Formulas for Markov Processes…

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 20

Fully Counting MAP and associated MMPP
Example: Transitions without events Transitions with events
 3 0 0  0 2 1
Q(t ) a b c
 
 0 4 0

  
2 0 2
 Fully Counting MAP N1 (t )
a  3 2 1   0 0 2 
 
1
 1 0 
 
  b  2 4 2 
 6 2 1  3 0 0
c  1 1 2    
 2 8 2   
0 4 0
 MMPP N 0 (t )
 1 1 4  0 0 2 
(Markov Modulated Poisson Process)
  

N1 (t ), N 0 (t )

Proposition
E[ N1 (t )]  E[ N 0 (t )]
Var( N1 (t ))  Var( N 0 (t ))

Q(t )
t
c rate 2 rate 2 rate 2 rate 2

b rate 4 rate 4 rate 4 rate 4

a Poisson
Process rate 3 rate 3 rate 3
t
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 21
 More On

BRAVO
Balancing
Reduces
Asymptotic
Variance of
Outputs

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 22

Some intuition for M/M/1/K

   
    
0 1 … K–1 K

   

     

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 23

Intuition for M/M/1/K doesn’t carry over
to M/M/c/K
V But BRAVO does
c
M/M/1/40 c=20

c=30
K=30 K=20

M/M/10/10

M/M/40/40


c
   1 24
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008
BRAVO also occurs in GI/G/1/K
MAP used for PH/PH/1/40 with Erlang
V and Hyper-Exp distributions


   1
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 25
The “2/3 property”
• GI/G/1/K
• SCV of arrival = SCV of service
•  1 V
2 4
2 
3 3

3 2
 1
2 3
6 2 4
 
5 3 5

1 2 1
 
2 3 3

K
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 26
 Other Phenomena
at   1

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 27

Asymptotic Correlation Between Outputs
and Overflows M/M/1/K
 R  ,K  1
 D(t )
 1
 1
lim Corr( D(t ), L(t ))   K  1 L (t )
t 
 4 1 5  5  3
 2K 2K 2 4K 3

  R  ,K  1
K
K (1   )(1  3 K 1 )   (1   K )(3   K 1 )
R  ,K 2
(1   K 1 )(1  (2 K  1)(1   )  K   2 K 1 )((1   )(1   2 K  2 )  4(  1)(1   )  K 1 )


For Large K 0.139772   1

 1
lim Corr( D(t ), L(t ))     1
t  4

 1
    1

 2

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 28

The y-intercept of the Linear Asymptote
Var  D(t )     *  2( * ) 2  2  D  De  t  2( * ) 2  2    De  O(t 3r  2e bt )
V BD r , b 0

M/M/1/K
 1

Proposition: For   1,
7 K 4  28K 3  37 K 2  18K
BD 
180 K 2  360 K  180
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 29
The variance function in the short range
M / M /1/ 40

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 30

 Why looked
at asymptotic variance rate?

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 31

Push-Pull Queueing Network
(Weiss, Kopzon 2002,2006)
Server 1 Server 2
Require: PUSH PULL

• 1  2  1
• Stable Queues
 1 1 1* 
11 ( 2  2 )
12  12

PULL PUSH

2* 
2 2 ( 1  1 )
12  12
2 2 
Positive Recurrent Policies Exist!!!
i  i n2 i  i
n2 2
2 1
1 1
2 2
0,5 1,5 2,5 4,5
2
0,4 2 1 1
1 1 2
2 2 0,4 1,4 2,4
2
1 1
2
0,3

2
Low variance of the 0,3
1
1,3
1
2,3
1
3,3
1
4,3
1
5,3
1

2
2 2 2
0,2
output processes? 2
1 1
2 2 2 2
2

0,2 2,2 3,2 4,2 5,2

2 2 2 2 2
2 2
2
0,1 2 2 2
0,1 2,1 3,1 4,1 5,1
2
2 1 1 1 1 1 1 2 2 2 2 2
2 2 2 2
0,0 1,0 2,0 3,0 4,0 5,0 n1
0,0 1,0 2,0 3,0 4,0 5,0 n1
1 1 1 1 1 1
1 1 1 1 1 1

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 32

Queue Size Realizations

i  i

10

50 100 150 200 250 300

i  i
50

40

30

20

10

500 1000 1500 2000

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 33

Work in progress Server 1 Server 2

PUSH PULL

 1 1  *1 ,V1

PULL PUSH

*2 ,V2 2 2 

• Can we calculate V i ?
• Diffusion Approximations of the Outputs.
• Is V i the right measure of burstines?
• Which policies are “good” in terms of burstiness?

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 34

Other Questions

• Heavy Traffic Scaling, Whitt.

Prove the 2/3 Property for GI/G/1/K.
• BRAVO - What is going on?
• M/M/1 with    .
• Formulas for asymptotic variance of outputs
from other systems.

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 35

 In Progress by Ward Whitt
Question: What about the null recurrent M/M/1(     1) ?
Some Guessing
4 2
V  2  0.727 V V  0.65 V 1
 3
1970, Iglehart and Whitt
B1 , B2 Standard independent Brownian motions.
D(nt )  nt
Dn (t )  , n  1, 2,... BD (t )  B2 (t )  inf {B1 (t )  B2 ( s)}
n 0 s t
w
Dn  BD
L  inf {B1 (t )  B2 (1  t )}
0t 1
d
L  BD (1)
2008, (1 week in progress by Whitt)
? 4
V  Var( L)  2   2 Var( N (0,1)  )
Uniform Simulation

Integrability Results

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 36

M/M/1+ Impatient Customers - Simulation

*, * V

 A(t ) E (t )  D(t )
L (t ) 


(   1,   1) 37
Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008
 Thank You

Yoni Nazarathy, Gideon Weiss, University of Haifa, 2008 38