Infinitesimal and finite perturbation analysis for queueing networks

The sample-path perturbation analysis technique is extended to include finite (and possibly large) perturbations typically introduced by changes in queue sizes or other parameters. It is shown that there is a natural hierarchy of perturbation analysis which takes care of increasingly large perturbations. Experiments with zero (infinitesimal) and first order (finite) perturbation analysis show that significant accuracy improvement can be obtained with small increase in computational effort.     

On derivative estimation of single-server queues via structural infinitesimal perturbation analysis

In Dai and Ho (1994) we developed a method, referred to asstructural infinitesimal perturbation analysis (SIPA), to address the need for derivative estimation with respect to a special type of parameter. However, it was not clear how much computational effort is required to implement this method. Derivative estimation via SIPA can be complicated in implementation. Such computational problems, also arise in several other derivative estimation methods. In this paper we take SIPA as a typical method and apply it to a special class of DEDS-several variations of single-server queues, focusing on the issue of implementation. We demonstrate that SIPA can be efficiently implemented. In some cases, it can be as simple as theinfinitesimal perturbation analysis (IPA), method which is considered to be the most efficient method available so far. The main approach we take is to combine SIPA with finite perturbation analysis and cut-and-paste techniques. Explicit formulae are given to various problems, some being impossible to solve using the traditional IPA method. Numerical examples are employed to illustrate the results.     

Full-state perturbation analysis of discrete event dynamic systems

Discrete event dynamic systems are studied within the framework of perturbation analysis in this paper. Perturbation is extended from the event times only to both event times and queue lengths. An approximate technique, full-state perturbation analysis (PA), is developed as an extension of the PA approach. Full-state PA is able to deal with problems involving queue length perturbations which often defy existing PA methods, while it still retains all the advantages of existing PA. Full-state PA is used to calculate the throughput sensitivity to the number of customers in closed queueing networks and the throughput sensitivity to routing change. Numerical examples are given. Experimental results verify the validity and accuracy.This work is supported in part by the National High Technology Project and by Southeast University Research Funds for Young Teachers.     

Feedback invariant discipline and insensitivity in closed queueing networks

Motivated by control theory concepts, we investigate a closed queueing network by adding a feedback path to each node. A feedback invariant service discipline is introduced. This approach differs from the conventional queueing theory approach and provides a new criteria and an intuitive explanation for the insensitivity property in a closed queueing network.     

Decomposition of general tandem queueing networks with MMPP input

For tandem queueing networks with generally distributed service times, decomposition often is the only feasible solution method besides simulation. The network is partitioned into individual nodes which are analyzed in isolation. In most existing decomposition algorithms for continuous-time networks, the output of a queue is usually approximated as a renewal process, which becomes the arrival process to the next queue. In this paper, the internal traffic processes are described as semi-Markov processes (SMPs) and Markov modulated Poisson processes (MMPPs). Thus, correlations in the traffic streams, which are known to have a considerable impact on performance, are taken into account to some extent. A two-state MMPP, which arises frequently in communications modeling, serves as input to the first queue of the tandem network. Furthermore, the single nodes may have infinite or finite buffers. Customers who arrive at a full buffer will get lost.

In principle, the analysis of an individual queue as an MMPP/G/1(/K) system delivers a wide range of performance measures. For different examples of tandem networks, stationary mean queue lengths at arbitrary time are compared to simulation data. The relative errors of the results, which are computed promptly by the decomposition component of the tool TimeNET, remain within a reasonable range.     

Asymptotic approximations and bottleneck analysis in product form queueing networks with large populations

Asymptotic approximations are constructed for the performance measures of product form queueing networks consisting of single server, fixed rate nodes with large populations. The approximations are constructed by applying singular perturbation methods to the recursion equations of Mean Value Analysis. Networks with a single job class are studied first to illustrate the use of perturbation techniques. The leading term in the approximation is related to bottleneck analysis, but fails to be accurate if there is more than one bottleneck node. A uniform approximation is constructed which is valid for networks with many bottleneck nodes. The accuracy of the uniform approximation is demonstrated for both small and large population sizes. Next, multiclass networks are considered. The leading term in the asymptotic approximation is again related to bottleneck analysis but fails to be valid across “switching surfaces”. Across these the bottleneck nodes of the network change as a function of the fraction of jobs in the different job classes. A boundary layer correction is constructed near the switching surfaces which provides an asymptotic connection across the switching surfaces. Numerical examples are presented to demonstrate the accuracy of the results. We illustrate the asymptotic approach on some simple networks and indicate how to treat more complicated problems.     

ACAL—An efficient adaptive chain oriented algorithm for the analysis of multiple chain closed queueing networks

This paper presents an Adaptive Chain Oriented Algorithm (ACAL) for the analysis of closed product form queueing networks with multiple chains. The algorithm calculates the joint queue length distributions as well as the mean performance values. It is shown to be more efficient than existing ones, e.g. MVAC, RECAL or DAC, in dealing with networks with a large number of chains and a small number of nodes. In addition, it has an adaptive nature, which further improves the efficiency of ACAL. The adaptive nature also distinguishes ACAL from existing algorithms.     

Convergence of perturbation analysis based optimization algorithm with fixed number of customers period

In this paper we show that an optimization algorithm using infinitesimal perturbation analysis converges to the minimum of the performance measure. The algorithm is updated every fixed number of customers period rather than every one or two busy periods. The key step of the proof is to verify that the observation noises satisfy the strong law of large numbers. Then applying a stochastic approximation theorem leads to the desired results.     

Infinitesimal perturbation analysis of a queueing system with bursty traffic

We study aG/G/1 queueing system with a bursty arrival process. Based on a general model for such a bursty process, we derive infinitesimal perturbation analysis (IPA) derivative estimators of the mean system time with respect to various parameters of interest. The cases of both complete and partial state information are considered. To ensure unbiasedness and strong consistency of the estimators, different sample path representations are developed such that sample functions are continuous with respect to the particular parameter of interest. Some of these representations are applicable to a wider class of gradient estimation problems where sample path discontinuities arise. Simulation results are included to compare the convergence rates and variance properties of the different IPA estimators developed.     

A unified view of product-form approximation techniques for general closed queueing networks

Two major approximate techniques have been proposed for the analysis of general closed queueing networks, namely the aggregation method and Marie's method. The idea of the aggregation technique is to replace a subsystem (a subnetwork) by a flow equivalent single-server with load-dependent service rates. The parameters of the equivalent server are obtained by analyzing the subsystem in isolation as a closed system with different populations. The idea of Marie's method is also to replace a subsystem by an equivalent exponential service station with load-dependent service rates. However, in this case, the parameters of the equivalent server are obtained by analyzing the subsystem in isolation under a load-dependent Poisson arrival process. Moreover, in Marie's case, the procedure is iterative.

In this paper we provide a general and unified view of these two methods. The contributions of this paper are the following. We first show that their common principle is to partition the network into a set of subsystems and then to define an equivalent product-form network. To each subsystem is associated a load-dependent exponential station in the equivalent network. We define a set of rules in order to partition any general closed network with various features such as general service time distributions, pupulation constraints, finite buffers, state-dependent routing. We then show that the aggregation method and Marie's method are two ways of obtaining the parameters of the equivalent network associated with a given partition. Finally, we provide a discussion pertaining to the comparison of the two methods with respect to their accuracy and computational complexity.     

Sensitivity results in open, closed and mixed product form queueing networks

General formulas are proposed to quantify the effects of changing the model parameters in the so-called BCMP network [F. Baskett et al., J. ACM 22 (2) (April 1975) 248–260]. These formulas relate the derivative of the expectation of any function of both the state and the paramaters of the network with respect to any model parameter (i.e., arrival rate, mean service demand, service rate, visit ratio, traffic intensity) to known functions of the state variables. Applications of our results to sensitivity analysis and optimization problems are given.     

Characteristics of optimal workload allocation for closed queueing networks

We consider the problem of allocating a given workload among the stations in a multi-server product-form closed queueing network to maximize the throughput. We first investigate properties of the throughput function and prove that it is pseudoconcave for some special cases. Some other characteristics of the optimal workload and its physical interpretation are also provided. We then develop two computational procedures to find the optimum workload allocation under the assumption that the throughput function is pseudoconcave in general. The primary advantage of assuming pseudoconcavity is that, under this assumption, satisfaction of first order necessary conditions is sufficient for optimality. Computational experience with these algorithms provides additional support for the validity of this assumption. Finally, we generalize the solution procedure to accommodate bounds on the workloads at each station.     

Applications of queueing structures in manufacturing systems

This survey paper discusses and, to some extent, identifies manufacturing sub-systems that can be represented using accepted queueing models. Aggregate performance measures can be obtained through application of these models. Depending on the complexity of the congestion characteristics of the system, the standard results from queueing theory texts may yield guidelines for selection of optimal operational parameters.     

Infinitesimal perturbation analysis of a multi-stage tandem of fluid queue with additive loss feedback

In this paper Infinitesimal Perturbation Analysis (IPA) is used to derive the gradient estimators for loss volume and queue workload in a multi-stage tandem of stochastic fluid queues with instantaneous additive loss-feedback for overall congestion control. These gradient estimators are then used to drive a standard stochastic approximation algorithm to optimize, with respect to the buffer limits of the individual queues, an objective function which is the weighted sum of loss volume and queue workload of the queues that make up the tandem.     

Higher-order distributional properties in closed queueing networks

In many real-life computer and networking applications, the distributions of service times, or times between arrivals of requests, or both, can deviate significantly from the memoryless negative exponential distribution that underpins the product-form solution for queueing networks. Frequently, the coefficient of variation of the distributions encountered is well in excess of one, which would be its value for the exponential. For closed queueing networks with non-exponential servers there is no known general exact solution, and most, if not all, approximation methods attempt to account for the general service time distributions through their first two moments.We consider two simple closed queueing networks which we solve exactly using semi-numerical methods. These networks depart from the structure leading to a product-form solution only to the extent that the service time at a single node is non-exponential. We show that not only the coefficients of variation but also higher-order distributional properties can have an important effect on such customary steady-state performance measures as the mean number of customers at a resource or the resource utilization level in a closed network.Additionally, we examine the state that a request finds upon its arrival at a server, which is directly tied to the resulting quality of service. Although the well-known Arrival Theorem holds exactly only for product-form networks of queues, some approximation methods assume that it can be applied to a reasonable degree also in other closed queueing networks. We investigate the validity of this assumption in the two closed queueing models considered. Our results show that, even in the case when there is a single non-exponential server in the network, the state found upon arrival may be highly sensitive to higher-order properties of the service time distribution, beyond its mean and coefficient of variation.This dependence of mean numbers of customers at a server on higher-order distributional properties is in stark contrast with the situation in the familiar open M/G/1 queue. Thus, our results put into question virtually all traditional approximate solutions, which concentrate on the first two moments of service time distributions.     

离散事件动态系统的分析和优化：排队网络模型方法（下）

5近似分析法前面我们介绍了排队网络的三种分析方法,它们都可以求出准确解。这当然是最理想结果,遗憾的是这些方法并不适用于所有的排队网络模型。因此在这一节里我们接着介绍排队网络模型的近似分析。事实上上节已经介绍了一种近似方法:平均值近似分析法。之所以提出近似分析是因为一方面有许多排队网络用现在的理论还无法求出其准确解,因此不得不借助于近似分析;另     

Augmented infinitesimal perturbation analysis: An alternate explanation

Augmented infinitesimal perturbation analysis (APA) was introduced by Gaivoronski [1991] to increase the purview of the theory of Infinitesimal Perturbation Analysis (IPA). In reference [Gaivoronski 1991] it is shown that an unbiased estimate for the gradient of a class of performance measures of DEDS represented bygeneralized semi-Markov processes (GSMPs) (cf. [Glynn 1989] can be expressed as a sum of an IPA-estimate and a term that takes into account the event order changes. In this paper we present an alternate approach to establishing the result of Gaivoronski, and from this we derive a necessary and sufficient condition for the validity of the IPA algorithm for this class of performance measures. Finally we validate our results by simulation examples.This research was supported by the National Science Foundation under grant number ECS-85-15449, Office of Naval Research Grants Nos. N00014-90-K-1093 and N00014-89-J-1023 and by Army Grant No. DAAL-03-86-K-0171.     

离散事件系统基于混合状态法的性能分析*

本文在离散事件动态系统混合状态建模的基础上,对系统的积分方程模型进行了数值求解,讨论了数值解法的稳定性与收敛性,最后给出了一个数值计算的实例．并对数值结果进行了仿真验证．