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Register a new userStationary Distributions and Convergence for M/M/1 Queues in Interactive Random Environment
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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 distribution via coupling.
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Exponential single server queues with state dependent arrival and service rates are considered which evolve under influences of external environments. The transitions of the queues are influenced by the environments state and the movements of the environment depend on the status of the queues (bi-directional interaction). The structure of the environment is constructed in a way to encompass various models from the recent Operation Research literature, where a queue is coupled e.g. with an inventory or with reliability issues. With a Markovian joint queueing-environment process we prove separability for a large class of such interactive systems, i.e. the steady state distribution is of product form and explicitly given: The queue and the environment processes decouple asymptotically and in steady state. For non-separable systems we develop ergodicity criteria via Lyapunov functions. By examples we show principles for bounding throughputs of non-separable systems by throughputs of two separable systems as upper and lower bound.
Fluid queues are mathematical models frequently used in stochastic modelling. Their stationary distributions involve a key matrix recording the conditional probabilities of returning to an initial level from above, often known in the literature as the matrix $Psi$. Here, we present a probabilistic interpretation of the family of algorithms known as emph{doubling}, which are currently the most effective algorithms for computing the return probability matrix $Psi$. To this end, we first revisit the links described in cite{ram99, soares02} between fluid queues and Quasi-Birth-Death processes; in particular, we give new probabilistic interpretations for these connections. We generalize this framework to give a probabilistic meaning for the initial step of doubling algorithms, and include also an interpretation for the iterative step of these algorithms. Our work is the first probabilistic interpretation available for doubling algorithms.
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 fast oscillatory context under consideration, we show how the queuing system in a random environment can be approximated by a more classical Markovian system.
We study infinite server queues driven by Cox processes in a fast oscillatory random environment. While exact performance analysis is difficult, we establish diffusion approximations to the (re-scaled) number-in-system process by proving functional central limit theorems (FCLTs) using a stochastic homogenization framework. This framework permits the establishment of quenched and annealed limits in a unified manner. At the quantitative level, we identity two parameter regimes, termed subcritical and supercritical indicating the relative dominance between the two underlying stochasticities driving our system: the randomness in the arrival intensity and that in the serivce times. We show that while quenched FCLTs can only be established in the subcritical regime, annealed FCLTs can be proved in both cases. Furthermore, the limiting diffusions in the annealed FCLTs display qualitatively different diffusivity properties in the two regimes, even though the stochastic primitives are identical. In particular, when the service time distribution is heavy-tailed, the diffusion is sub- and super-diffusive in the sub- and super-critical cases. The results illustrate intricate interactions between the underlying driving forces of our system.
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 Halfin and Whitt in 1981. We also characterize the limit as the stationary distribution of an infinite-dimensional two-component Markov process that is the unique solution to a certain stochastic partial differential equation. Previous results were essentially restricted to exponential service distributions or service distributions with finite support, for which the corresponding limit process admits a reduced finite-dimensional Markovian representation. We develop a different approach to deal with the general case when the Markovian representation of the limit is truly infinite-dimensional. This approach is more broadly applicable to a larger class of networks.
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