Queues and risk processes with dependencies

We study the generalization of the G/G/1 queue obtained by relaxing the assumption of independence between inter-arrival times and service requirements. The analysis is carried out for the class of multivariate matrix exponential distributions introduced in [12]. In this setting, we obtain the steady state waiting time distribution and we show that the classical relation between the steady state waiting time and the workload distributions re- mains valid when the independence assumption is relaxed. We also prove duality results with the ruin functions in an ordinary and a delayed ruin process. These extend several known dualities between queueing and risk models in the independent case. Finally we show that there exist stochastic order relations between the waiting times under various instances of correlation

Queues and risk models with simultaneous arrivals

We focus on a particular connection between queueing and risk models in a multi-dimensional setting. We first consider the joint workload process in a queueing model with parallel queues and simultaneous arrivals at the queues. For the case that the service times are ordered (from largest in the first queue to smallest in the last queue) we obtain the Laplace-Stieltjes transform of the joint stationary workload distribution. Using a multivariate duality argument between queueing and risk models, this also gives the Laplace transform of the survival probability of all books in a multivariate risk model with simultaneous claim arrivals and the same ordering between claim sizes. Other features of the paper include a stochastic decomposition result for the workload vector, and an outline how the two-dimensional risk model with a general two-dimensional claim size distribution (hence without ordering of claim sizes) is related to a known Riemann boundary value problem

Computable bounds in fork-join queueing systems

In a Fork-Join (FJ) queueing system an upstream fork station splits incoming jobs into N tasks to be further processed by N parallel servers, each with its own queue; the response time of one job is determined, at a downstream join station, by the maximum of the corresponding tasks' response times. This queueing system is useful to the modelling of multi-service systems subject to synchronization constraints, such as MapReduce clusters or multipath routing. Despite their apparent simplicity, FJ systems are hard to analyze. This paper provides the first computable stochastic bounds on the waiting and response time distributions in FJ systems. We consider four practical scenarios by combining 1a) renewal and 1b) non-renewal arrivals, and 2a) non-blocking and 2b) blocking servers. In the case of non blocking servers we prove that delays scale as O(logN), a law which is known for first moments under renewal input only. In the case of blocking servers, we prove that the same factor of log N dictates the stability region of the system. Simulation results indicate that our bounds are tight, especially at high utilizations, in all four scenarios. A remarkable insight gained from our results is that, at moderate to high utilizations, multipath routing 'makes sense' from a queueing perspective for two paths only, i.e., response times drop the most when N = 2; the technical explanation is that the resequencing (delay) price starts to quickly dominate the tempting gain due to multipath transmissions

System occupancy of a two-class batch-service queue with class-dependent variable server capacity

Due to their wide area of applications, queueing models with batch service, where the server can process several customers simultaneously, have been studied frequently. An important characteristic of such batch-service systems is the size of a batch, that is the number of customers that are processed simultaneously. In this paper, we analyse a two-class batch-service queueing model with variable server capacity, where all customers are accommodated in a common first-come-first served single-server queue. The server can only process customers that belong to the same class, so that the size of a batch is determined by the number of consecutive same-class customers. After establishing the system equations that govern the system behaviour, we deduce an expression for the steady-state probability generating function of the system occupancy at random slot boundaries. Also, some numerical examples are given that provide further insight in the impact of the different parameters on the system performance

Large closed queueing networks in semi-Markov environment and its application

The paper studies closed queueing networks containing a server station and $k$ client stations. The server station is an infinite server queueing system, and client stations are single-server queueing systems with autonomous service, i.e. every client station serves customers (units) only at random instants generated by a strictly stationary and ergodic sequence of random variables. The total number of units in the network is $N$. The expected times between departures in client stations are $(N\mu_j)^{-1}$. After a service completion in the server station, a unit is transmitted to the $j$th client station with probability $p_{j}$ $(j=1,2,...,k)$, and being processed in the $j$th client station, the unit returns to the server station. The network is assumed to be in a semi-Markov environment. A semi-Markov environment is defined by a finite or countable infinite Markov chain and by sequences of independent and identically distributed random variables. Then the routing probabilities $p_{j}$ $(j=1,2,...,k)$ and transmission rates (which are expressed via parameters of the network) depend on a Markov state of the environment. The paper studies the queue-length processes in client stations of this network and is aimed to the analysis of performance measures associated with this network. The questions risen in this paper have immediate relation to quality control of complex telecommunication networks, and the obtained results are expected to lead to the solutions to many practical problems of this area of research.Comment: 35 pages, 1 figure, 12pt, accepted: Acta Appl. Mat

An approach to the use of indices-based analysis subject to money laundering and terrorist financing national risk assessment

The core aim of this study is to propose an approach to quantitate estimation of indices-based information subject to necessities of the National Risk Assessment (NRA) of money laundering and terrorist financing (ML/TF) risks. Mathematical formalization analysis for Ukraine based on 11 indices and indicators for years 2011-2015 subject to core areas of the overall situation in a country considered within its National Risk Assessment was carried out. Authors’ contribution covers scientific novelty that is a first-time analysis of a general situation in a jurisdiction in light of the National Risk Assessment’s requirements based on joint consideration of various indices and setting priority to areas of the overall country’s situation in the framework of conducted calculations. It was concluded that proposed approach is a valuable instrument for assessing priority of areas of the overall situation in the country for the National Risk Assessment’s purposes through a formalized mechanism ensuring high objectiveness. Practical significance of this study is a possibility to reach higher efficiency in allocation of available resources for the participants of the National Risk Assessment, to reduce some costs considering flexibility of the approach allowing consideration of significant volumes of information, its updating and comparison. This research could become a starting point for further research. Considering complexity of existing indices, there is a necessity to study a mechanism of their correlation and mutual influence, analyze elasticity and joint behavior, and discover the areas of preferable influence on large range of purposes not only limited to the MRA of ML/TF risks

Large deviations for polling systems

Related INRIA Research report available at : http://hal.inria.fr/docs/00/07/27/62/PDF/RR-3892.pdfInternational audienceWe aim at presenting in short the technical report, which states a sample path large deviation principle for a resealed process n-1 Qnt, where Qt represents the joint number of clients at time t in a single server 1-limited polling system with Markovian routing. The main goal is to identify the rate function. A so-called empirical generator is introduced, which consists of Q t and of two empirical measures associated with S t the position of the server at time t. The analysis relies on a suitable change of measure and on a representation of fluid limits for polling systems. Finally, the rate function is solution of a meaningful convex program

Iterative approximation of k-limited polling systems

The present paper deals with the problem of calculating queue length distributions in a polling model with (exhaustive) k-limited service under the assumption of general arrival, service and setup distributions. The interest for this model is fueled by an application in the field of logistics. Knowledge of the queue length distributions is needed to operate the system properly. The multi-queue polling system is decomposed into single-queue vacation systems with k-limited service and state-dependent vacations, for which the vacation distributions are computed in an iterative approximate manner. These vacation models are analyzed via matrix-analytic techniques. The accuracy of the approximation scheme is verified by means of an extensive simulation study. The developed approximation turns out be accurate, robust and computationally efficient

Controlled mobility in stochastic and dynamic wireless networks

We consider the use of controlled mobility in wireless networks where messages arriving randomly in time and space are collected by mobile receivers (collectors). The collectors are responsible for receiving these messages via wireless transmission by dynamically adjusting their position in the network. Our goal is to utilize a combination of wireless transmission and controlled mobility to improve the throughput and delay performance in such networks. First, we consider a system with a single collector. We show that the necessary and sufficient stability condition for such a system is given by ρ<1 where ρ is the expected system load. We derive lower bounds for the expected message waiting time in the system and develop policies that are stable for all loads ρ<1 and have asymptotically optimal delay scaling. We show that the combination of mobility and wireless transmission results in a delay scaling of Θ([1 over 1−ρ]) with the system load ρ, in contrast to the Θ([1 over (1−ρ)[superscript 2]]) delay scaling in the corresponding system without wireless transmission, where the collector visits each message location. Next, we consider the system with multiple collectors. In the case where simultaneous transmissions to different collectors do not interfere with each other, we show that both the stability condition and the delay scaling extend from the single collector case. In the case where simultaneous transmissions to different collectors interfere with each other, we characterize the stability region of the system and show that a frame-based version of the well-known Max-Weight policy stabilizes the system asymptotically in the frame length.National Science Foundation (U.S.) (Grant CNS-0915988)United States. Army Research Office. Multidisciplinary University Research Initiative (Grant W911NF-08-1-0238