The Asymptotic Variance of Departures in Critically Loaded Queues Yoni Nazarathy * EURANDOM, Eindhoven University of Technology, The Netherlands. (As of Dec 1: Swinburne University of Technology, Melbourne) Joint work with Ahmad Al-Hanbali, Michel Mandjes and Ward Whitt. MASCOS Seminar, Melbourne, July 30, 2010. *Supported by NWO-VIDI Grant 639.072.072 of Erjen Lefeber
20
Embed
The Asymptotic Variance of Departures in Critically Loaded Queues
The Asymptotic Variance of Departures in Critically Loaded Queues. Yoni Nazarathy * EURANDOM, Eindhoven University of Technology, The Netherlands. (As of Dec 1: Swinburne University of Technology, Melbourne) Joint work with Ahmad Al- Hanbali , Michel Mandjes and Ward Whitt. - PowerPoint PPT Presentation
This document is posted to help you gain knowledge. Please leave a comment to let me know what you think about it! Share it to your friends and learn new things together.
Transcript
The Asymptotic Variance of Departures in Critically Loaded
QueuesYoni Nazarathy*
EURANDOM, Eindhoven University of Technology,The Netherlands.
(As of Dec 1: Swinburne University of Technology, Melbourne)
Joint work with Ahmad Al-Hanbali, Michel Mandjes and Ward Whitt.
MASCOS Seminar, Melbourne, July 30, 2010.
*Supported by NWO-VIDI Grant 639.072.072 of Erjen Lefeber
Overview
• GI/G/1 Queue with • number of served customers during• Asymptotic variance:• Balancing Reduces Asymptotic Variance of Outputs• Main Result:
( )D t [0, ]t Var ( )
limt
D tV
t
1
2
2
2
2 2( ) 1s
a
s
ac c
c
V
c
The GI/G/1/K Queue
2, ac ( )D t2, sc
K
overflows
2 22
variance,meana sc c
Load:
Squared coefficients of variation:
Assume: (0) 0Q
or K K
Variance of Outputs( )tVt o
t
Var ( )D t
Var ( )D T TV
* Stationary stable M/M/1, D(t) is PoissonProcess( ):
* Stationary M/M/1/1 with , D(t) is RenewalProcess(Erlang(2, )):
21 1 1( )
4 8 8tVar D t t e
( )Var D t t V
4V
2 1 23V m cm
* In general, for renewal process with :
* The output process of most queueing systems is NOT renewal
2,m
Asymptotic Variance
Var ( )limt
VD tt
Simple Examples:
Notes:
Asymptotic Variance for (simple) 1
( ) ( ) ( )
( ) ( ) ( ) ( ), ( ) 2
D t A t Q tVar D t Var A t Var Q t Cov A t Q t
t t t t
2aV c
2sV c
, 1K
After finite time, server busy forever…
is approximately the same as when or 1 K V
, 1K
K
1
**
* *
VV
V V
M/M/1/K: Reduction of Variance when 1
Summary of known BRAVO Results
Balancing Reduces Asymptotic Variance of Outputs
Theorem (N. , Weiss 2008): For the M/M/1/K queue with :
2
2 3 23 3( 1)
KVK
Conjecture (N. 2009):
For the GI/G/1/K queue with :2 2
(1)3
a sK
c cV o
1
1
Theorem (Al Hanbali, Mandjes, N. , Whitt 2010):For the GI/G/1 queue with , under some further technical conditions:
2 221 ( )a sV c c
1
Focus of this talk
BRAVO Effect (illustration for M/M/1)
2 221 ( )a sV c c
Assume GI/G/1 with and finite second moments
2 221 ( )a sV c c
The remainder of the talks outlinesthe proof and conditions for:
1
Theorem 1: Assume that is UI,
then , with
2
0( ) ,Q t t tt
Q
VarV D
Theorem 2: 2 2 2Var ( ) 1a sD c c
Theorem 3: Assume finite 4’th moments,then, Q is UI under the following cases:(i) Whenever and L(.) bounded (ii) M/G/1(iii) GI/NWU/1 (includes GI/M/1)(iv) D/G/1 with services bounded away from 0
3 Steps for
1/2( ) ( )P B x L x x
2 21 20 1
inf ( ) (1 )a stD c B t c B t
2 221 ( )a sV c c
Proof Outlinefor Theorems 1,2,3
( )D t t Dt
2 2
Var ( ) Var ( )lim lim
E ( ) E ( )lim lim Var( )
t t
t t
D t D t tVt t
D t t D t t Dt t
D.L. Iglehart and W. Whitt. Multiple Channel Queues in Heavy Traffic. I. Advances in Applied Probability, 2(1):150-177, 1970.
Proof:
2
2( )D t tD
t
so also,
( )lim [ ] , 1,2k
k
t
D t tE ED kt
If, then,
Theorem 1: Assume that is UI,
then , with
2
0( ) ,Q t t tt
Q
VarV D 2 21 20 1
inf ( ) (1 )a stD c B t c B t
Theorem 1 (cont.)We now show:
( ) ( ) ( )D t t A t t Q tt t t
( ) ( ) ( )D t A t Q t
22 2( )( ) ( )2A t tD t t Q t
t tt
2
0
( ),
A t tt t
t
is UI since A(.) is renewal
2
0( ) ,Q t t tt
Q is UI by assumption
( )lim [ ] , 1,2k
k
t
D t tE ED kt
Theorem 2Theorem 2:
2 2 2Var ( ) 1a sD c c
Proof Outline:
2 22 2 1 2 1 1 2 20 1
1 1 2 2
1 1 2 2
inf ( ) min( , )| (1) , (1)
1 min( , )t
P b c c c B t x x b c b cP D x B b B b
x b c b c
1 1 2 22 2
1 2
( ) ( ) (1) b c b cB t B t t Bc c
2 21 20 1
inf ( ) (1 )a stD c B t c B t
Brownian Bridge:
Theorem 2 (cont.)
1 1 2 22 20 1
1 2
sup ( ) exp 2t
b c b cP B t y y yc c
2 22 2 1 2 1 1 2 20 1
1 1 2 2
1 1 2 2
inf ( ) min( , )| (1) , (1)
1 min( , )t
P b c c c B t x x b c b cP D x B b B b
x b c b c
Now use (e.g. Mandjes 2007),
Manipulate + use symmetry of Brownian bridge and uncondition….
( , )
1 2 1 2 0
1 ( , )2
L u xx x x xP D x e M u x duc c c c
( , )L u x Quadratic expression in u
( , )M u x Linear expression in uNow compute the variance.
Theorem 3: Proving is UI for some cases2
0( ) ,Q t t tt
Q
0
'( ) ( ) ( ) inf ( ) ( )s t
Q t A t S t A t S t
4 4 2
0 0[sup ( ) ], [sup ( ) ] ( )
s t s tE A s s E S s s O t
After some manipulation…
0 0
14 2 2sup [ '( ) / ] sup [ '( ) / ]t t t tE Q t t E Q t t
So Q’ is UI
Assume
Now some questions:1) What is the relation between Q’(t) and Q(t)?2) When does (*) hold?
(*)
Some answers:1) Well known for GI/M/1: Q’(.) and Q(.) have the same distribution2) For M/M/1 use Doob’s maximum inequality:
4
4 4 2 2 2
0 0
4[sup ( ) ], [sup ( ) ] 3 ( )3s t s t
E A s s E S s s t t O t
4 2[ '( ) ] ( )E Q t O t
Lemma: For renewal processes with finite fourth moment, (*) holds.
Ideas of proof: Find related martingale, relate it to a stopped martingale, thenUse Wald’s identity to look at the order of growth of the moments.
Going beyond the GI/M/1 queueProposition: (i) For the GI/NWU/1 case:
(ii) For the general GI/G/1 case:
( ) '( )stQ t Q t
4 4 4( ) 8 [ '( ) ] [ ( ) ]EQ t E Q t E C t
C(t) counts the number of busy cycles up to time t
Question: How fast does grow?4[ ( ) ]E C t
Lemma (Due to Andreas Lopker): For renewal process with 1 ( ) ( ) [0,1)F x L x x
E[C(t) ] ( ( ) )m m mO L x t
Zwart 2001: For M/G/1:1/2( ) P B x k x
So, Q is UI under the following cases:(i) Whenever and L(.) bounded (ii) M/G/1(iii) GI/NWU/1 (includes GI/M/1)(iv) D/G/1 with services bounded away from 0
1/2( ) ( )P B x L x x
Summary
• Critically loaded GI/G/1 Queue:
• UI of in critical case is challenging
• Many open questions related to BRAVO,both technical and practical
2 2Var ( ) 2lim ( ) 1a st
D tV c c
t
2
0( ) ,Q t t tt
Q
References• Yoni Nazarathy and Gideon Weiss, The
asymptotic variance rate of the output process of finite capacity birth-death queues. Queueing Systems, 59(2):135-156, 2008.
• Yoni Nazarathy, 2009, The variance of departure processes: Puzzling behavior and open problems. Preprint, EURANDOM Technical Report Series, 2009-045.
• Ahmad Al-Hanbali, Michel Mandjes, Yoni Nazarathy and Ward Whitt. Preprint. The asymptotic variance of departures in critically loaded queues. Preprint, EURANDOM Technical Report Series, 2010-001.