Page 1 Hans Peter Schwefel SIPCom9-4: Stochastic Models Lecture 5, Fall05 Stochastic Models for Information Processing • Mm1 Channel Characterization and Measurements (bfl) • Mm2 Discrete-time Markov Chains, HMMs (hps) • Mm3 Loss models and error concealment (sva) • Mm4 Modeling of Medium Access Schemes (hps) • Mm5 Traffic and Performance Models (hps) [email protected]http://www.kom.auc.dk/~hps Bernard Fleury, Søren V. Andersen, Hans-Peter Schwefel Note: slide-set will be complemented by formulas, mathematical derivations, and examples on the black-board! Page 2 Hans Peter Schwefel SIPCom9-4: Stochastic Models Lecture 5, Fall05 Challenges in IP networks: • Multiplexing of packets at nodes (L3) • Burstiness of IP traffic (L3-7) • Impact of Dynamic Routing (L3) • Performance impact of transport layer, in particular TCP (L4) • Wide range of applications different traffic & QoS requirements (L5-7) • Feedback: performance traffic model, e.g. for TCP traffic, adaptive applications Challenges in Wireless Networks: • Wireless link models (channel models) • MAC & LLC modeling • RRM procedures • Mobility models • Cross layer optimization Analysis frequently with ‚stochastic‘ models Challenges in Packet Switched Setting HTTP TCP IP Link-Layer L5-7 L4 L3 L2 Revision (SIPCOM9-3)
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Page 1 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Stochastic Models for Information Processing
• Mm1 Channel Characterization and Measurements (bfl)
Bernard Fleury, Søren V. Andersen, Hans-Peter Schwefel
Note: slide-set will be complemented by formulas, mathematical derivations, and examples on the black-board!
Page 2 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Challenges in IP networks:• Multiplexing of packets at nodes (L3)• Burstiness of IP traffic (L3-7)• Impact of Dynamic Routing (L3)• Performance impact of transport layer, in particular TCP (L4)• Wide range of applications different traffic & QoS requirements (L5-7)• Feedback: performance traffic model, e.g. for TCP traffic, adaptive applications
Challenges in Wireless Networks:• Wireless link models (channel models)• MAC & LLC modeling• RRM procedures• Mobility models• Cross layer optimization
Analysis frequently with ‚stochastic‘ models
Challenges in Packet Switched SettingHTTP
TCP
IPLink-Layer
L5-7
L4
L3
L2
Revision (SIPCOM9-3)
Page 3 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Basic concepts• Probabilities
– ’Random experiment’ with set of possible results Ω– Axiomatic definition on event set V(Ω)
• number of packets that arrive at the access router in the next hour (discrete)• Buffer occupancy (#packets) in switch x at time y (discrete)• Number of downloads (’mouse clicks’) in the next web session (discrete)• Time until arrival of the next IP packet at a base station (continuous)
Revision (SIPCOM9-3)
Page 4 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Basic concepts: Exponential Distributions
Important Case: Exponentially distributed RV• Single parameter: rate λ• Density function f(x)= λ exp(- λx), x>0• Cdf: F(x)=1-exp(- λx), Reliability function: R(x)=exp(- λx)• Moments: EX=1/ λ; VarX=1/ λ2, C2 = VarX / [EX]2 = 1
Important properties:• Memory-less: Pr(X>x+y | X>x) = exp(- λy) • Properties of two independent exponential RV: X with rate λ, Y with rate µ
– Distribution of min(X,Y): exponential with rate (λ+µ)– Pr(X<Y)= λ/(λ+µ)
Revision (SIPCOM9-3)
Page 5 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Basic concepts III: Stochastic Processes• Definition of process (Xi) (discrete) or (Nt) (continuous)
– Simplest type: Xi independent and identically distributed (iid)• Relevant Examples:
– Inter-arrival time process: Xi– Counting Process:
Important Example: Poisson Process• Assume i.i.d. exponential packet inter-arrival times (rate λ): Xi:=Ti-Ti-1• Counting Process: Number of packets Nt until time t
– Pr(Nt=n)= (λt)n exp(- λt) / n!• Properties:
– Merging: arrivals from two independent Poisson processes with rate λ1 and λ2 Poisson process with rate (λ1+ λ2)
– Thinning: arrivals from a Poisson process of rate λ are discarded independently with probability p Poisson process with rate (1-p) λ
– Central Limit Theorem: superposition of n independent processes results in the limit n→∞in a Poisson process (under some conditions on the processes)
n-1
Revision (SIPCOM9-3)
Page 6 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
• Defined by– State-Space: finite or countable infinite, w/o.l.g. E=0,1,2,...,K (K=∞ also allowed)– Transition rates: µjk
• Holding time in state j: exponential with rate Σk≠j µjk =: µj
• Transition probability from state j to k: µjk / Σl≠j µjl = µjk / µj
• Xt = RV indicating the current state at time t; πi(t):=Pr(Xt=i)• ’Markov Property’: transitions do not depend on history but only on current state
• Y: Specifies Service Process (M,G(I),...)• C: Number of Servers• B: size of finite waiting room (buffer)
[also counting the packet in service]– If not specified: B=∞
• Often also specified: service discipline– FIFO: First-In-First-Out (default)– Processor Sharing: PS– Last-in-first-out LIFO (preemptive or non-preemptive)– Earliest Deadline First (EDF), etc.
Finite buffer (size B)
µλ
Scope here: Point-process models as opposed to fluid-flow queues
Revision (SIPCOM9-3)
Page 8 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
M/M/1 queue• Poisson arrival of packets (first ’M’ Markovian) with rate λ• Exponentially distributed service times of rate µ (second ’M’)• Single Server (1)• FIFO service discipline
Qt = Number of packets in system is continuous-time Markov Process
’Derived’ Parameter:• Utilization, ρ= λ/ µ : if ρ≥1, instable case (no steady-state q.l.d)
Performance Parameters• Queue-length distribution: π(t) , steady-state limit: π=lim π(t) (if ρ<1)• Queue-length that an arriving customer sees• Waiting/System time distribution• Buffer-Overflow Probability for level B = Pr(arriving customers sees buffer occupancy B or
higher)
Infinite buffer
µλ
Revision (SIPCOM9-3)
Page 9 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
M/M/1 queue: Performance
• Birth-Death Process– Probability of i packets in queue [using flow-balance equations]
πi := Pr(Q=i) = (1-ρ)* ρi , where ρ= λ/ µ <1– Probability of idle server: π0 = (1-ρ)– Average Queue-length: EQ= ρ/(1-ρ)– Average Delay (System Time): ES= EQ/ λ = 1/(µ-λ)– Buffer Overflow Probabilities (PASTA principle)
Pr(Q(a)≥B)= Pr(Q≥B) = ρB
λ λ λ
µµ µ
Revision (SIPCOM9-3)
Page 10 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Discussion: Models for packet traffic• Poisson assumption for packet arrivals may be applicable for highly
aggregated traffic (core networks), but otherwise traffic tends to be bursty– High data rates in ftp download but less activity between downloads– http: activities after mouse-clicks– Video streaming: high data rates in frame transmissions– Interactive Voice: talk and silent periods
• Model Modifications:– Bulk Arrival processes– ON/OFF models– Hierarchical models
• [Assumption of exponential service times ?]
Page 11 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
4. Performance Models: MMPP/M/1 Queues• Matrix formulation, Quasi-Birth Death Processes• Steady-State Queue-length probabilities• Solving the quadratic matrix equation
5. Long-Range Dependence and Heavy-Tails6. Summary, Exercises
Page 12 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Daily Profiles: Stationarity
• “A stationary process has the property that the mean, variance and autocorrelation structure do not change over time.”
• Informally: “we mean a flat looking series, without trend, constant variance over time, a constant autocorrelation structure over time and no periodic fluctuations (seasonality).”
NIST/SEMATECH e-Handbook of Statistical Methodshttp://www.itl.nist.gov/div898/handbook/
Source: M. Crovella
Page 13 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
The 1-Hour / Stationarity Connection• Nonstationarity in traffic is primarily a result of varying human behavior over
time• The biggest trend is diurnal• This trend can usually be ignored up to timescales of about an hour, especially
in the “busy hour”
Mon Tue Wed Thu Fri Sat Sun
0.85
0.9
0.95
1
1.05
1.1
1.15
1.2
1.25
1.3
1.35
x 108
Traf
fic in
OD
Flo
w 8
4
Mon Tue Wed Thu Fri Sat Sun−0.1
−0.08
−0.06
−0.04
−0.02
0
0.02
0.04
0.06
0.08
Eig
enflo
w 2
9
Source: M. Crovella
Page 14 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Traffic Modeling: A Reasonable Approach
• Fully characterizing a stochastic process can be impossible – Potentially infinite set of properties to capture– Some properties can be very hard to estimate
• A reasonable approach is to concentrate on two particular properties:
marginal distribution and autocorrelation
Source: M. Crovella
Page 15 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Autocorrelation
• Once we have characterized the marginals, we know a lot about the process.
• In fact, if the process consisted of i.i.d. samples, we would be done.• However, most traffic has the property that its measurements are not
independent.• Lack of independence usually results in autocorrelation• Autocorrelation is the tendency for two measurements to both be greater
than, or less than, the mean at the same time.
Source: M. Crovella
Page 16 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Page 37 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Power Tails, Mathematically
We say that a random variable X is power tailed if:
where a(x) ~ b(x) means .1lim )()( =
∞→ xbxa
x
Focusing on polynomial shape allowsParsimonious descriptionCapture of variability in α parameter
20 ~][ ≤<> − ααxxXP
Source: M. Crovella
Page 38 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
A Fundamental Shift in Viewpoint
• Traditional modeling methods have focused on distributions with “light” tails– Tails that decline exponentially fast (or faster)– Arbitrarily large observations are vanishingly rare
• Heavy tailed models behave quite differently– Arbitrarily large observations have non-negligible probability– Large observations, although rare, can dominate a system’s
performance characteristics
Source: M. Crovella
Page 39 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Heavy Tails are Surprisingly Common
• Sizes of data objects in computer systems– Files stored on Web servers– Data objects/flow lengths traveling through the Internet– Files stored in general-purpose Unix filesystems– I/O traces of filesystem, disk, and tape activity
• Process/Job lifetimes• Node degree in certain graphs
– Inter-domain and router structure of the Internet– Connectivity of WWW pages
• Zipf’s Law
Source: M. Crovella
Page 40 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Evidence: Web File Sizes
Barford et al., World Wide Web, 1999 Source: M. Crovella
Page 41 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Harchol-Balter and Downey,
ACM TOCS, 1997
Source: M. Crovella
Evidence: Process Lifetimes
Page 42 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
The Bad News
• Workload metrics following heavy tailed distributions are extremelyvariable
• For example, for power tails:– When α ≤ 2, distribution has infinite variance– When α ≤ 1, distribution has infinite mean
• In practice, empirical moments are slow to converge – or nonconvergent• To characterize system performance, either:
– Attention must shift to distribution itself, or – Attention must be paid to timescale of analysis
Source: M. Crovella
Page 43 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Heavy Tails in Practice
Power tailswith α=0.8
Large observations dominate statistics (e.g., sample mean)
Source: M. Crovella
Page 44 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Self-Similar Properties:
Measurementof intervall-basedCounting Process
Self-Similar Poisson Traditional Bursty
∆=0.01 s
∆=10 s
∆=1 s
∆=0.1 s
Page 45 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Long-Range Dependence in MeasurementsCorrelation Plot (Inter-cell times) Aggregated Variance Plot
r(k) ~ k -α+1 with α≈1.4 Var X(m) ~ m -α+1 Var X
Long-Range Dependence found in ATM measurements
Page 46 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Mathematical DefinitionsSelf-Similarity with Hurst Parameter H: [Ni(∆)]i = [s-H Nj(s∆)]jd
Second Order Self-Similarity: r(m)(k) ≡ r(k) for all m,k=1,2,....
where r(m)(k) is autocorrelation of averaged, m-aggregated process
Asymptotic Second Order Self-Similarity: lim r(m)(k) / r(k) = 1
4. Performance Models: MMPP/M/1 Queues• Matrix formulation, Quasi-Birth Death Processes• Steady-State Queue-length probabilities• Solving the quadratic matrix equation
5. Long-Range Dependence and Heavy-Tails6. Summary, Exercises
Page 50 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Non-exponential Service Times: M/G/1 Queues
• Poisson Arrivals (rate λ)• service times general (ME) distributed (i.i.d. RVs Yi)
– Utilization: ρ = λ EY [ Pr(Q=0)=1- ρ for infinite buffer model, as we will see later]
• Solution Approaches: – Embedded Markov Chain (see e.g. Kleinrock)
Pollaczek-Khinchin Formula:
where C^2:=coefficient of variation of service times– Matrix-Exponential Distributions Quasi Birth-Death Processes
existence of Matrix-geometric solution
Page 51 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
References• Traffic Measurements
– H. Gogl, ’Measurement and Characterization of Traffic Streams in High-Speed Wide Area Networks’, VDI Verlag, 2001.
– E. Matthiesen, J. Larsen, F. Olufsen: ‚Quality of Service for Computer Gaming – An Evaluation of DiffServ‘, Student Report, Aalborg University, Spring 04. www.control.auc.dk/~04gr832b/
• M. Neuts: ’Matrix geometric Solutions in Stochastic Models’, John Hopkins University Press, 1981.
• M. Neuts: ’Structured stochastic matrices of M/G/1 type and their applications.’ Dekker, 1989.• G. Latouche, V. Ramaswami: ’Introduction to matrix-analytic methods in stochastic modeling’.
ASA-SIAM Series on Statistics and Applied Probability 5. 1999.• H.-P. Schwefel: ’Performance Analysis of Intermediate Systems Serving Aggregated
ON/OFF Traffic with Long-Range Dependent Properties’, Dissertation, TU Munich, 2000. [Appendices B,C,D,F]
• K. Meier-Hellstern, W. Fischer: ’MMPP Cookbook’, Performance Evaluation 18, p.149-171. 1992.
• P. Fiorini et al.: ’Auto-correlation Lag-k for customers departing from Semi-Markov Processes’, Technical Report TUM-I9506, TU München, July 1995.
• M. Crovella: ’Network Traffic Modeling’, PhD lecture, Aalborg University, February 2004.
Page 52 Hans Peter SchwefelSIPCom9-4: Stochastic Models Lecture 5, Fall05
Exercises:A network operator asks you to assist him in dimensioning his access router. The operator expects that during the daily busy hours, the router is used by N=10 users, each of them independently generates traffic according to an ON/OFF process with exponential ON and OFF periods. On periods have mean ON=10s with a Poisson packet rate of λp=6pck/sec for a single user. OFF periods show mean Z=20 seconds. The aggregated traffic stream of N=10 users can be described by an MMPP with K=11 states.
a. Determine the Q and the L matrix of the MMPP (in MATLAB).b. Compute the stationary probability vector pi of the MMPP. What is the average packet rate generated by the
MMPP?c. Determine the queue-length distribution of an MMPP/M/1 queue with service rate nu=30pck/sec via the
following steps.i. Compute the coefficient matrices A0,A1,A2 for the quadratic matrix equation for the rate matrix R.
ii. Solve the quadratic matrix equation via the simple iterative method from the lecture. Measure the time thatMatlab needs to do so.
iii. Use R to compute and plot the queue-length probabilities and the average queue-length.d. Compare the average queue-length with an M/M/1 queue of same utilization.